高盛全球投资研究2022市场展望：“不适”的上行空间；离岸市场重回超配高盛中国市场策略投资者不应视本报告为作出投资决策的唯因素。 有关分析师的申明和其他重要信息，见信息披露附录，或参阅www.gs.com/research/hedge.html。2022年核心展望Source: Goldman Sachs Global Investment ResearchGlobal Investment Research2六张图概括2022年中国股票市场主要观点Source: Goldman Sachs Global Investment ResearchGlobal Investment Research3宏观周期：我们的经济研究团队预计2022年中国GDP增长4.8%,这是危机年份之外的历史最低增速20196.05.26.26.44.00.70.5-2.720202.31.7-0.9-1.75.30.73.6-0.62021F7.82022F4.84.96.77.02.8-0.112GDPDomestic Demand% yoypp% yoy% yoy% yoypp6.88.311.05.31.1ConsumptionHousehold ConsumptionGross Capital FormationNet ExportsExports of Goods (nominal USD)Imports of Goods (nominal USD)Inflation% yoy% yoy283214CPICore CPIPPI% yoy% yoy% yoy2.91.7-0.52.50.7-1.80.70.97.52.71.84.5OtherCurrent AccountUSDCNY (eop)OMO 7-Day Repo RateTSF Stock Growth (eop)Augmented Fiscal Deficit% GDPlevel% GDP0.71.91.71.66.962.5010.711.86.532.2013.316.56.352.2010.511.06.202.2010.512.0Source: Goldman Sachs Global Investment ResearchGlobal Investment Research4宏观周期：房地产市场构成显著阻力，但是增长动能将于2021年四季度开始改善GDP growth10Forecast864206.05.55.05.04.5Real GDP (yoy)Real GDP (qoq, saar)Source: Haver Analytics, Goldman Sachs Global Investment ResearchGlobal Investment Research5盈利周期：由于利润率假设较为保守，我们的2022年盈利增长预期低于市场一致预期MSCI China earnings growth (% yoy, in HKD terms)Sales growth (% yoy)Net margin (%)25%20%15%10%5%35%30%25%14%13%12%11%MXCN Net MarginCons:14%MXCN Sales growthCons:GSe:18%14% 20%15%GSe:9%GSe: 12%10%5%GSe:9%GSe: 7%0%0%GSe:GSe:9.6%GSe:9.5%-5%-10%-15%9.8%10%-5%-10%9%Source: FactSet, I/B/E/S, MSCI, Goldman Sachs Global Investment ResearchGlobal Investment Research6盈利周期：房地产市场放缓的程度是我们盈利预测面临的主要风险因素2022E earnings impact from property sector slowdownMXCN EPS Revision (Average of 2021/22 EPS) (CNY)25%15%5%New starts: -30%Completion: -10%Sales volume: -10%ASP: -10%Land sales: -30%FCI: +140bpNew starts: -15%Completion: +10%New starts: -22.5%Completion: 0%Sales volume: -5% Sales volume: -7.5%ASP: -5%ASP: -7.5%Land sales: -15% Land sales: -22.5%FCI: +35bpFCI: +70bp+2% (11%)-3% (29%)10510095GS 2022EEPSg: 7%-5%(14%)902022E EPSg without property impact: +13%85-5%MXCN80-6%Property-centric ex. EnergyInternet75Financing-10%-34% (28%)-15%-25%-35%Property constructionRelated consumptionAsset allocation70Non property-centric/internet-17%65-28%Macro impacts on other sectorsScenario 1Scenario 2Scenario 3Note: Numbers in brackets represent 2021-23E EPS CAGR on consensus est.Source: FactSet, CEIC, MSCI, Goldman Sachs Global Investment ResearchGlobal Investment Research7盈利周期：我们看好半导体、互联网零售以及传媒娱乐行业，但对房地产相关行业更加保守MXCN 2022 Earnings Growth Forecasts (HKD)2022E Earnings growth contribution (yoy)MXCNReal Estate -2%TransportationEnergy7%EarningsGrowth -ConsEarnings GS vs ConsEarningsWeightGICS Industry GroupsGrowth -GSEPSintegerChemicals/Other Mat.Metals & MiningTelecomBanksInsurance/Other Fin.Real EstateCapital GoodsEnergyUtilitiesChemicals/Other Mat.TransportationMetals & MiningTelecomCons. Retail & Svcs.Internet/Media & Enter.Tech HardwareStaples27%11%8%5%3%3%2%2%1%0%15%11%3%3%2%2%1%0%8%17%11%12%-5%5%11%-20%6%-15%10%-13%-28%-19%11%32%26%9%-5%-9%-31%-10%-9%SemiconductorsSoftware & Svcs.Tech HardwareUtilities13%9%-8%-24%-26%-36%-7%Capital GoodsHealth Care-14%15%16%29%23%16%22%25%109%7%StaplesAutos-1%Insurance/Other Fin.Banks1%1%+1%-10%-4%-3%-4%Internet/Media & Enter.Cons. Retail & Svcs.2%4%20%19%105%9%Health CareAutosSemiconductorsSoftware & Svcs.Non-Property8%+6%-1%Property-Centric-1%407%408%MXCN100%30%70%14%24%11%7%27%1%-9%0%New ChinaOld China7%New China0%Old China-10%-5%0%5%10%Note: using 2020 EPS as base.Source: FactSet, MSCI, Goldman Sachs Global Investment ResearchGlobal Investment Research8股市和价格周期：我们认为最近市场33%的回调从历史来看属于 “大幅”回调，但往往随后会出现市场的强劲恢复Source: MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research9股市和价格周期：随着2022年的进展，我们认为中国股市周期可能逐渐进入“Hope”阶段Average MXCN return (annualized)ReturnPE expansion13 monthsEarnings growth (trailing)Average duration:8 months11 months6 months100%80%60%40%89%70%52%46%24%19%20%13%3%3%0%-4%-20%-40%Note: is calculated asthe averagereturn/volatility, ignoringthe risk-free rate.-45%-46%-60%DespairHopeGrowthOptimismSharpe ratio: -1.31.71.23.7IQR annualized return: 133%213%116%376%Source: MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research10股市和价格周期：根据过去十年来的股市周期经验，“Hope”阶段往往紧随“Despair”阶段Performance decomposition for MXCN (since 2010)Equity cycles: DespairOptimism HopeGrowthDespairGrowth HopeDespairGrowthHope?Hope DespairGrowthHopeDespairOptimism100%80%60%40%20%0%-20%-40%fP/E changesEPSg changesIndex returnSource: MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research11政策周期：我们预测2022年中国政策边际放松Z-score1.5Z-score1.5China domestic macro policy proxy1.00.51.0ActualProjection*More policystimulus0.50.00.0-0.5-1.0-1.5-2.0-2.5-0.5-1.0-1.5-2.0-2.5Note: Shaded areas refer to periods when ChinaCAI 3mma growth was below 5.5%.*Assume no change in housing stance, a widerfiscal deficit in 2022, no RRR cut or ratechanges, TSF growth of 10.5% yoy in 202220152016201720182019202020212022Source: Goldman Sachs Global Investment ResearchGlobal Investment Research12政策周期：尽管全球大多数市场将迎来货币政策收紧，中国可能小幅放松Monetary policy outlook for US, EU and APAC markets2021Q420222023MarketsUSQ1Q2Q3Q4Q1Q2Q3Q4Tapering+25 bps +25 bps+25 bps+25 bpsEuro areaChinaHK+25 bps +25 bps+25 bps+25 bpsIndia+25 bps +25 bps +25 bps+25 bps +25 bps +25 bpsIndonesiaMalaysiaPhilippinesSingapore*Korea+25 bps +50 bps +50 bps +25 bps +25 bps +25 bps+25 bps +25 bps +25 bps +25 bps +25 bps+25 bps +25 bps +25 bps +25 bps +25 bps+100 bps+50 bps+25 bps+13 bps+25 bps+25 bps+25 bps+25 bpsTaiwan+12.5 bps+12.5 bps+12.5 bps+12.5 bpsThailandAustralia+25 bps +25 bps +25 bps +25 bps +25 bps+15 bpsTapering*Note: Values refer to the GS expected increase of the MAS S$NEER slope.Source: Goldman Sachs Global Investment ResearchGlobal Investment Research13政治周期：历史数据表明在换届前夕，经济、政策和市场估值指标多为积极乐观Real GDP (yoy, %)Output Gap (Median Est., %)Max/Min bandChina Party Congress(2002, 2007, 2012, 2017)AverageMax/Min bandChina Party Congress(1997, 2002, 2007, 2012, 2017)Average2.52.01615141312111091.51.00.50.0-0.5-1.0-1.5876-12M-6M0M6M12M-12M-6M0M6M12MDomestic Policy ProxyForward 12M P/E of MSCI China (X)Max/Min bandAverageMax/Min bandChina Party Congress(1997, 2002, 2007, 2012, 2017)Average1.5China Party Congress(2007, 2012, 2017)2520151051.00.50.0-0.5-1.0Macro policytightening-4M-2M0M2M4M-12M-6M0M6M12MSource: Wind, Goldman Sachs Global Investment ResearchGlobal Investment Research14政治周期：在政治意义重要的年份，股票市场亦表现强劲MSCI China Index16014012010080199720022007China Party Congress(1997, 2002, 2007, 2012, 2017)20122017Average604020-12M-6M06M12MSource: FactSet, MSCI, Goldman Sachs Global Investment ResearchGlobal Investment Research15监管周期：我们的私营企业监管指数表明监管趋于缓和Source: Goldman Sachs Global Investment ResearchGlobal Investment Research16监管周期：我们预测，如果监管强度常态化或左尾风险被消除，中国互联网行业将被重估约20%Probability distribution of China Internet fair-values(under a normal distribution assumption of ROE and ERP around current values)403530252010%8%6%4%2%0%+26%Fair-valuesdistribution(CurrentExtremeScenariosRemoved(ROE 9.0%removed)level =100)+18%(+60%)(-35%)31-Oct-21fPE to POE Proxy = -1.0(67.5% conf. interval, +/-1)(-55%)(+120%)(95% confidence interval, +/-2)-2.5 -2.0 -1.5 -1.0 -0.50.00.51.01.52.02.520 40 60 80 100 120 140 160 180 200 220 240China Internet fair-value (10 index points per each interval)POE Regulation ProxySource: Factiva, Bloomberg, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research17监管周期：我们认为监管不确定性已经被充分反映到市场定价中Potential 12M Upside for China Internet under differentERP & Earnings/ROE assumptions in a DCF model(Base Case: 30% Internet EPS Growth in 2022)Internets ROE assumptions in the medium-term(Year 3-8 Average) under a DCF ModelConsensus /(China InternetEquity RiskPremium Scenario)Moderate BearishScenario: Scenario: Scenario:ExtremeGS Model:17.0% medium-term ROE18.0%16%-8%15%14.0%-42%Current ComparableSOE IERP Level9.4%8.8%8.4%31%55%79%10%30%50%-23%Current IERP Level(+1.1 s.d. above 5yr mean)9%-9%4%-32%-21%Mid-Point b/w Current vs.GS Assumptions26%Past 5-year Avg IERP2021 Trough (Mid-Feb)7.9%7.6%108%128%74%91%46%60%21%33%-9%-1%(Current Market Priced / (More bearish scenarios/ assumptions ifImplied Assumptions) markets expect negative returns in 12M)Source: FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research18估值周期：中国市场估值处于近年来的历史低位，“中国折价”接近历史高点12m forward P/E (X)20Premium/discount of 12m fPE80%18.6x17.1xMXCN vs S&P500 (sector neutral)MXCN vs MSCI ACWICSI300 12mfPE: 13.5x,0.4 s.d.1816141210860%40%20%0%China Internet vs US Internet-18% (-1.3sd)MXCN 12m fPE:12.7x, -0.5 s.d.-20%-40%-60%10.6x-28% (-0.9sd)-42% (-1.8sd)10.6x9.4xSource: MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research19估值周期：随着政策放松和监管可见性提高，我们预测市场估值有可能在2022年迎来修复/扩张MXCN 12m fPE (x)2022E GSforecastsModel variablesChina growthGlobal growthUS liquidity3530252015105Internet32.0x(+0.8sd)US-China RelationsRegulation24.6xAggregateSouthboundmacro modelflowsforecastMXCN14.5x(+0.5sd)12.7xChina growthGlobal growthNon-Internet10.5xChina domestic policy(+0.6sd)9.8xRegulationNote:andindicates macro variables;indicates other factors.Source: MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research20仓位/资金流周期：全球共同基金对中国股票的配置接近低谷China allocations in active funds globally (OW/UW)(includes GEM, AEJ, Global & Global ex-US funds, AUM: US$1.2tn)Positioning of EM/Asia funds in Chinese equities(OW/UW vs MXCN index wgt, bps)bp-2502001001st tranche ofChina ADRinclusionAs of Sep 30, 2021-300-350-400-450-500-550-60023844A sharesADRs-13-350-100-200-300-400-500-600-700-800-77-108-120-145Avg. -410Latest:-470(-421)(ex Alibaba)H shares(-442)-528(-464)-584(-445)Trough:-518(-499)-4822nd tranche of ChinaADR inclusion-603-684Dec19Jun20Dec20Jun21Sep21Source: EPFR, MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research21仓位/资金流周期：我们预计2022年互联互通资金流强劲、资金重新配置情况更加明显Cumulative net buying of Southbound/Northbound Connect since inception(RMBtn)12(RMBtn)Potential allocation in equities and mutual funds - RHSHousehold investable capital (annual)(US$bn)GSe: +753.53.02.52.0MSCI AshareInclusion35030025020015010050Southbound flowNorthbound flowytd: +53Note: Household investable capital is estimated as thehousehold disposable income + net change in consumercredit - household expenditure - property downpayment -interest payment.108+87+31GSe:+756ytd:+513tn+501.51.00.50.0+11+45+44+32+94+15+18+322+3000Source: Wind, CEIC, Bloomberg, Goldman Sachs Global Investment ResearchGlobal Investment Research22股票策略：年初至今中国市场主要有两次“成长-价值”轮动，触发因素首先是对于美债利率上行的担忧，然后是监管不确定性的加剧Growth vs. Value rotation, since 201030%20%10%0%35030025020015010050Growth vs. Value (3m rolling return)Growth vs. Value rel. performance - RHS-10%-20%-30%-18% -18%(202d) (125d)-20% -18%(147d)(49d)-19%(109d)-23% -18%(84d) (69d)Note: Style rotation defined as 10% correction of Growth vs. Value relative performance and 10%loss measured by 3m rolling return. Duration and return of rotations based on starting peaks andending troughs. As of Nov 5, 2021.Source: MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research23股票策略：我们认为增长放缓但更宽松的政策环境应会促进“增长溢价”扩张PE premium (New vs. Old China)22Actual18.0xModel-fitted(+1.2s.d.)1814106Current:13.8xVariablesGS China CAIDomestic macro policy proxyGS Global ex China CAISource: MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research24投资标的(1)：政策驱动增长：寻找通向“富裕”的“共同”路径Source: FactSet, IBES, Goldman Sachs Global Investment ResearchGlobal Investment Research25投资标的(2)：在“失宠”的互联网行业寻找增长机会Forward P/E (X)Forward PEG (X) Total Listed Mkt Cap for Chinese Internet/Tech (USD tn)1.5 3.0Feb 17:2.99tn403530252015China Internet(Offshore)Forward1.42.51.3Jul 1:2.42tn12M P/ENov 12:1.91tn1.82tn2.01.51.01.21.11.00.925.7X(-1.2s.d.)0.8 0.5Forward12M PEG RHS0.9X(-0.6s.d.)0.70.00.6Note: including all stocks. excluding stocks listed after Feb 17.US$5bn US$5mnB/B*Potentialupside ifCNRG revertsto 50Listed MktCap(US$bn)GSe 22-24EEPS CAGR(%)Price vsYTD peakQuotedPriceQuotedCurrencyADVT(US$mn)GSe 22EP/E (X)GSe 22EP/B (X)GSe 22EPEG (X)GSRatingsTickerNameSectorBuy rated offshore Internet companies700 HKTencentAlibabaMeituan DianpingPDDJD.comNetEaseBaiduComm SvcsCons DiscCons DiscCons DiscCons DiscComm SvcsComm SvcsCons DiscCons Disc15%18%40%30%21%23%26%18%27%25%-37%-41%-39%-59%-28%-24%-52%-32%-55%464.0160.2270.483.277.2100.8161.630.421.0-HKDUSDHKDUSDUSDUSDUSDUSDUSD-571.5434.3189.4104.3103.269.745.819.45.01,6693,7288587777683157391502717.624.2695.658.172.914.624.359.2205.5130.220.913.92074.159.547.320.015.025.983.03.72.313.010.43.44.01.31.10.60.60.70.51.40.60.30.20.7B*B*BBB*BBBBBABA UN3690 HKPDD UWJD UWNTES UWBIDU UWTCOM UW Trip.comDADA UW Dada NexusAverage1.16.4156.694235.76.0-Note: Prices as of Nov 9, 2021; Valuation items are estimates by GS equity analysts, except for I/B/E/S consensus. Current CNRG = 77 as of Nov 5, 2021; upside calculated based on past 52-week absolute returnsensitivity to CNRG.Source: FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research26投资标的(3)：行业策略：相对价值而言，更偏好成长性机会21-23EEPSCAGR22EP/E(X)22EP/B(X)MXCN industry Weight in Past 1M22EPEGAllocationgroupsMXCNperfAutosConsumer DurablesOverweight MediaRetailing6.92.917.721.81.63.42.31.91.44.91.23.36.03.81.52.38.33.03.80.212.6%7.6%-1.7%-3.5%8.2%34%21%22%32%24%11%65%11%-4%22%19%14%36%14%-13%11%7%31.625.823.325.531.79.123.17.76.225.422.05.458.514.810.110.84.23.15.83.13.45.31.11.90.80.65.42.40.85.62.71.21.30.51.40.70.81.31.41.10.71.20.90.60.7-1.21.10.51.51.1-SemisCapital GoodsConsumer SvcsDiv FinancialsEnergy4.5%-9.9%-4.4%-11.9%-1.0%-13.1%-5.7%-4.8%-0.7%-6.5%-2.2%-3.0%-7.1%-4.3%-2.1%Food BevMarketweight HC Equip & SvcsInsurancePharma BiotechTech HardwareTransportationUtilities1.10.71.70.51.2BanksMaterialsReal Estate8%10%15%8.74.816.5UnderweightTelecomSource: MSCI, FactSet, Wind, Goldman Sachs Global Investment ResearchGlobal Investment Research27什么可能出错？中国房地产：60万亿美元的困局Percent pointPercent point3.03.0Impact of property sector slowdown on China GDP level in 2022MXCN 12m fPE (x)New starts: -15%Completion: +10%Sales volume: -5%ASP: -5%Land sales: -15%FCI: +35bpNew starts: -22.5%Completion: 0%Sales volume: -7.5%ASP: -7.5%Land sales: -22.5%FCI: +70bpNew starts: -30%Completion: -10%Sales volume: -10%ASP: -10%Land sales: -30%FCI: +140bp2.01.02.01.00.0-1.0-2.017161514131211Note: Numbers in bracket indicate 2022Ereal GDP growth assumptions.14.5x(GDP=4.8%)14.0x (4.2%)0.0-1.0-2.0-3.012.7x12.0x (3.0%)11.0x (1.5%)-3.0 10-4.0Direct effectsIndirect effects-4.0-5.0Financial conditions tightening-5.0Scenario 1Scenario 2Scenario 3Source: Wind, Haver Analytics, World Input-Output Database (2015), MSCI, FactSet, Goldman Sachs Global Investment ResearchGlobal Investment Research28什么可能出错？中国（房地产）债市：仍在探底Avg cross-asset 3M rolling correlation with MXCNChina property developer maturity schedule until 2022 (USD bn)1412108100%80%OffshoreOnshore60%4.87.740%5.25.95.05.11.36.920%5.94.64.062.44.83.24.04.30%2011propertyconcerns2015 FXreform2018 tradetension1.63.64-20%-40%-60%-80%-100%1.53.20.93.02.12.523.6 1.01.23.60When MXCN underperforms, Property credit/China Sovspread widens, MXWD/Copper underperforms, CNYdepreciatesSource: FactSet, MSCI, Bloomberg, Goldman Sachs Global Investment ResearchGlobal Investment Research29什么可能出错？美国货币政策正常化：此次有更多缓冲MSCI China Index160140120100801999200420132015AverageFed Hike (1999, 2004, 2015)Tapering (2013)604020-12M-6M06M12MSource: FactSet, MSCI, Goldman Sachs Global Investment ResearchGlobal Investment Research30什么可能出错？中美关系(GSSRUSCN)：关注尾部风险Tension barometers by categoryGeopolitics:(94%)Higher tensionCapital Markets:(99%)100%90%80%70%60%50%40%30%20%10%0%100%90%80%70%60%50%40%30%20%10%0%Trade:(13%)Technology:(93%)Source: Wind, FactSet, Bloomberg, Goldman Sachs Global Investment ResearchGlobal Investment Research31什么可能出错？通货膨胀与滞胀：对股市构成的风险可控MXCN sector return correlation with PPI - CPI0.60.50.40.30.20.10-0.1-0.2-0.3Note: Monthly data since 2016. Sector return: qoq avg. CPI/PPI: yoy 3mma.Source: FactSet, Wind, Goldman Sachs Global Investment ResearchGlobal Investment Research32附录：CSI300指数估值预期及目标点位CSI300 12m fPE (x)2022E GSforecasts1817161514131211109CSI30015.0x(+1.4sd)13.5xNominal GDP7D repoDomestic policyNorthboundflows8Source: FactSet, Wind, Goldman Sachs Global Investment ResearchGlobal Investment Research33附录：股票互联互通资金流预测分项Source: Goldman Sachs Global Investment ResearchGlobal Investment Research34