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Goldman Sachs

EM Strategy Views

Exhibit 10: EMs tend to rotate from ‘extreme underperformance to outperformance’ from one year to the next

Countries tend not to remain at the top/bottom of the order (x-asset index)

2014		2015			2016			2017			2018
Indonesia	0.2%		Russia	0.1%		Brazil	0.5%		Poland	0.3%		Brazil	0.0%
India	0.2%		Hungary	0.1%		Russia	0.3%		Peru	0.2%		Thailand	0.0%
Turkey	0.1%		India	0.0%		Peru	0.2%		Hungary	0.2%		Peru	0.0%
Philippines	0.1%		China	0.0%		South Africa	0.2%		South Africa	0.2%		Malaysia	0.0%
Thailand	0.1%		Korea	0.0%		Colombia	0.2%		Korea	0.2%		Czech Rep.	0.0%
Peru	0.1%		Philippines	0.0%		Indonesia	0.2%		Chile	0.2%		Taiwan	0.0%
China	0.1%		Taiwan	0.0%		Chile	0.1%		Thailand	0.2%		Colombia	-0.1%
South Africa	0.0%		Indonesia	-0.1%		Hungary	0.1%		China	0.2%		China	-0.1%
Korea	0.0%		Thailand	-0.1%		Thailand	0.1%		Indonesia	0.2%		Russia	-0.1%
Taiwan	0.0%		Czech Rep.	-0.1%		India	0.1%		Brazil	0.2%		Mexico	-0.1%
Mexico	0.0%		Poland	-0.1%		Taiwan	0.0%		Malaysia	0.2%		Korea	-0.1%
Brazil	0.0%		Mexico	-0.1%		Korea	0.0%		India	0.2%		Poland	-0.1%
Malaysia	0.0%		Chile	-0.1%		Malaysia	0.0%		Mexico	0.1%		India	-0.1%
Chile	0.0%		Malaysia	-0.1%		China	0.0%		Philippines	0.1%		Hungary	-0.1%
Czech Rep.	-0.1%		Peru	-0.2%		Philippines	0.0%		Czech Rep.	0.1%		Chile	-0.1%
Poland	-0.1%		Turkey	-0.2%		Poland	0.0%		Colombia	0.1%		Philippines	-0.1%
Hungary	-0.1%		South Africa	-0.2%		Czech Rep.	0.0%		Russia	0.1%		Indonesia	-0.1%
Colombia	-0.1%		Colombia	-0.3%		Turkey	-0.1%		Turkey	0.1%		South Africa	-0.2%
Russia	-0.4%		Brazil	-0.3%		Mexico	-0.1%		Taiwan	0.1%		Turkey	-0.3%

Source: Datastream, FactSet, Goldman Sachs Global Investment Research

More broadly, our economic outlook outlined how several large EM economies have weighed heavily on the aggregate growth data for EM (Brazil, Russia, Turkey, and South Africa). Improvements in these economies is critical to stabilizing the EM growth differential vs. the US (which in turn tends to be indicative of EM asset stability). But we note that markets appear to have priced a signiﬁcant improvement in their growth data already (see Exhibit 11). Assets in Brazil and Turkey have moved the needle to a greater extent here, with equities holding up in Russia and South Africa (in local terms); we still see more upside in FX for the latter two markets (and modestly in Brazil as well).

26 November 2018

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Goldman Sachs

EM Strategy Views

Exhibit 11: The ‘weak economies’ of this year have already priced improvement heading into 2019

105		Growth and pricing in the "BRTS" vs the Rest						2%
			(Brazil, Russia, Turkey, and South Africa)
								1%
100				Relative market pricing of
				Relative market pricing of
				growth vs rest of EM				0%
				(cyc vs def EQ, 2s-10s				0%
				(cyc vs def EQ, 2s-10s
95				slop, Real TWI FX)
95								-1%
								-1%
90								-2%
90
								-3%
85						CAI differentia vs
						CAI differentia vs		-4%
							rest of EM	-4%
						(3mo mov avg, RHS)
80								-5%
2011	2012	2013	2014	2015	2016	2017	2018	2019

Source: Datastream, FactSet, Goldman Sachs Global Investment Research

(8) China - a known risk to EM, but FX spillovers have declined

Bottom Line: China trade and growth concerns are paramount for macro EM investing, but local bonds are trading less China-centric vs. recent history, and we expect growth improvement in China to boost the equity more than FX.

Outside the US-focused concerns (weaker growth and higher rates), macro investors remain in ‘prove it to me’ mode regarding the potential for China data to improve after a meaningful deceleration over the past six months (our CAI suggests activity has fallen from a sequential run rate above 7% in the Spring to below 6% currently). The importance of the Chinese economy to global growth and to EM investing (particularly equities given the 30%+ weighting of Chinese equities in the benchmark index) is well known, but we note that at the margin, EM FX and local bonds appear to be trading less China-centric (see Exhibit 12 left-hand side).

Anecdotally, we ﬁnd that macro investors are focused on the CNY in particular, as USD/CNY has been skirting the 7.00 level for the past two months. As we show below, EM equities are still highly correlated with CNY moves, but EM local bonds (GBI-EM) are currently trading with the lowest correlation to the CNY since early 2015 (before the surprise CNY devaluation that summer).

We have made the case above for owning EM equity in terms of the distribution of returns around US growth and interest rate outcomes (where local bonds did screen as attractively), but we would note that from a China-risk perspective, EM local seems a safer asset class. As shown below on the right-hand side, there is still a general relationship between China equity risk and EM local bonds, but outside the extremes, the potential for strong EM local bond returns is high.

26 November 2018

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Goldman Sachs

EM Strategy Views

Exhibit 12: Local bonds trade with low correlation to the CNY and are less China-dependent in general

Weekly Return Correlation

Correlation of CNY

15%

GBI-EM

EM local bond performance given

(6-mo rolling)

0.7

with EM Equity and EM Local Bonds

6mo Performance

6mo China local equity performance

0.6

10%

0.5

Equity

0.4

Median

0.3

0.2

-5%

0.1

GBI-EM

25th - 75th

-10%

percentile

-0.1

-15%

MSCI China 6mo

15-Jan

15-Apr

15-Jul

15-Oct

16-Jan

16-Apr

16-Jul

16-Oct

17-Jan

17-Apr

17-Jul

17-Oct

18-Jan

18-Apr

18-Jul

18-Oct

<-30%

30%-to -25%

25%-to -20%

20%-to -15%

15%-to -10%

10%- to -5%

5%-to -2.5%

2.5%- to 0%

0%to 2.5%

2.5%to 5%

5%to 7.5%

7.5%to 10%

to10%12.5%

12.5%to 15%

15%to 20%

20%to 25%

>25%

19-Jan

-0.2

-0.3

Source: Datastream, Goldman Sachs Global Investment Research

26 November 2018

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Goldman Sachs

EM Strategy Views

Appendix – Macro Forecasts and Activity

Goldman Sachs macro forecasts for major EMs and world aggregates

	Market		GDP growth			Inflation			Policy Rates			FX Forecast (USD)
	Market	2017E	2018E	2019E	2017E	2018E	2019E	Current	2018E	2019E	Current	3-m	6-m	12-m
		2017E	2018E	2019E	2017E	2018E	2019E	Current	2018E	2019E	Current	3-m	6-m	12-m
	Brazil	1.0	1.2	2.6	3.5	3.7	4.0	6.50	6.50	8.00	3.82	3.70	3.60	3.60
	Brazil	1.0	1.2	2.6	3.5	3.7	4.0	6.50	6.50	8.00	3.82	3.70	3.60	3.60
	Chile	1.5	4.0	3.6	2.2	2.5	3.3	2.75	3.00	4.00	674	650	640	630
	China	6.9	6.6	6.2	1.6	2.2	2.5	2.37	2.50	2.50	6.94	7.00	7.10	6.90
	Colombia	1.8	2.6	3.2	4.3	3.3	3.4	4.25	4.25	5.00	3229	3050	3000	2950
	Czech Rep.	4.5	2.8	2.9	2.4	2.2	2.3	1.75	1.75	2.00	22.85	22.77	21.71	21.04
	Hungary	4.3	4.8	3.5	2.4	3.0	3.2	0.90	0.90	1.25	284.12	283.90	271.80	262.50
	India	6.3	7.5	7.3	3.3	4.1	5.2	6.50	6.50	7.25	70.94	74.00	74.00	71.00
	Indonesia	5.1	5.2	5.0	3.8	3.1	3.5	6.00	6.00	6.25	14540	15000	14800	14400
	Korea	3.1	2.7	2.5	1.9	1.5	1.8	1.50	1.75	2.00	1130	1140	1160	1170
	Malaysia	5.9	4.8	4.6	3.8	1.1	2.3	3.25	3.25	3.25	4.19	4.20	4.25	4.20
	Mexico	2.0	2.2	1.9	6.0	4.9	4.3	8.00	8.00	8.00	20.37	19.75	19.50	19.25
	Peru	2.5	3.9	4.1	2.8	1.3	2.8	2.75	2.75	4.00	3.38	3.30	3.27	3.25
	Philippines	6.7	6.3	6.0	2.9	5.4	3.9	4.75	4.50	4.25	52.46	53.00	52.00	50.00
	Poland	4.9	5.3	3.8	2.0	1.7	2.4	1.50	1.50	1.75	3.78	3.79	3.59	3.46
	Russia	1.5	1.7	1.8	3.7	2.8	4.3	7.50	7.50	7.00	66.29	70.00	68.00	65.00
	South Africa	1.3	0.8	2.2	5.3	4.6	4.4	6.75	6.75	6.25	13.86	14.25	13.75	13.50
	Taiwan	2.9	2.7	2.3	0.6	1.5	1.1	1.38	1.38	1.75	30.90	31.50	31.50	31.00
	Thailand	3.9	4.2	3.7	0.7	1.2	1.4	1.50	1.50	1.75	33.05	34.00	34.50	33.50
	Turkey	7.4	3.0	-1.5	11.1	17.2	22.1	24.00	24.00	18.00	5.29	5.50	6.00	6.50
	EM	4.9	5.0	4.7	3.4	3.5	4.1	-	-	-	-	-	-	-
	DM	2.4	2.4	2.1	1.7	2.0	1.6	-	-	-	-	-	-	-
	World	3.7	3.8	3.5	3.7	3.5	3.2	-	-	-	-	-	-	-

Source: Haver Analytics, FactSet, Goldman Sachs Global Investment Research

Goldman Sachs Current Activity Indicators (3-month smoothed)								Current activity indicators across EMs

3-mo

2.0

Momentum

6.0

EM CAI

(last 3-mo vs prior

smoothed

3-mo chg in CAI, %)

BRL

5.0

(Avg. of 19 major EM CAIs)

1.0

4.0

MXN

IDR

THB

0.0

INR

3.0

MYR

PLN

ZAR

PHP

-1.0

RUB

CZK

HUF

2.0

3-mo

CLP KRW

COP CNY

1.0

DM CAI

smoothed

TWD

Growth

-2.0

(Avg. of US, Euro Area, and Japan CAIs)

PEN

(Current CAI vs.

0.0

Consensus long-term

Jul-14

Jan-15

Apr-15 Jul-15

Oct-15 Jan-16 Apr-16 Jul-16

Jan-17

Apr-17 Jul-17 Oct-17

Jan-18 Apr-18 Jul-18 Oct-18

Jan-19

Jan-14

Apr-14

Oct-14

Oct-16

-3.0

growth, %)

-3.0

-2.0

-1.0

0.0

1.0

2.0

3.0

4.0

Source: Goldman Sachs Global Investment Research

Source: Consensus Economics, Goldman Sachs Global Investment Research

Goldman Sachs Financial Conditions Index

102.5

EM FCI

102.0

101.5

101.0

100.5

100.0

99.5

99.0

Easier financial

DM FCI

98.5

conditions

98.0

Jan-13

Jul-13

Jan-14

Jul-14

Jan-15

Jul-15

Jan-16

Jul-16

Jan-17

Jul-17

Jan-18

Jul-18

Jan-19

EM inﬂation and policy monitor

		Inflation	Inflation & Policy Monitor
2.0pp		Change	Inflation & Policy Monitor
		(now vs.
1.5pp		3-mo ago)
1.5pp
1.0pp			PEN		RUB
			KRW	CNY CLP	RUB
0.5pp	MYR		KRW	CNY CLP	BRL	MXN	PHP
	MYR				COP HUF
0.0pp					COP HUF
0.0pp		THB		CZK	IDR
		THB		CZK	IDR	ZAR
(0.5pp)						ZAR
(0.5pp)		TWD PLN			INR		Cutting
					INR
(1.0pp)
(1.0pp)							No Chg.
(1.5pp)							Hiking
(1.5pp)							Inflation Rate
							Inflation Rate
(2.0pp)							(current, yoy)
	0%	1%	2%	3%	4%	5%	6%	7%

Source: Goldman Sachs Global Investment Research

Source: Haver Analytics, Goldman Sachs Global Investment Research

26 November 2018

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Goldman Sachs

EM Strategy Views

Central Bank Policy and Inﬂation

Policy Rate

Inflation (%)

Level (%)

Market Pricing (cum.)

GS Forecasts

Recent Policy Changes

Curr

12m fwd 3m ch

Current

Real

3mo

6mo

12mo

3mo

6mo

12mo

3-6m

Brazil

4.5

4.2

+0.0

6.50

1.97

-5

+35

+75

+150

Chile

2.9

3.2

+0.3

2.75

-0.16

+21

+37

+90

+50

+75

+125

+25

China

2.4

2.3

+0.6

2.39

-0.01

+10

+16

+23

-5

-30

-5

-21

+35

-18

-67

Colombia

3.4

3.3

+0.2

4.25

0.89

+30

+89

+50

+75

Czech Rep

2.2

2.3

-0.1

1.75

-0.46

+14

+26

+34

+25

+50

Hungary

3.9

3.1

+0.4

0.90

-2.97

+13

+35

+93

+35

India

3.3

4.8

-0.9

6.50

3.24

+17

+24

+25

+75

+25

Indonesia

3.2

3.7

-0.0

6.00

2.84

+25

+75

Korea

1.9

1.8

+0.4

1.50

-0.44

+16

+17

+25

+50

Malaysia

0.6

2.0

-0.3

3.25

2.67

Mexico

4.9

3.9

+0.1

8.00

3.09

+44

+56

+51

+25

Peru

1.8

2.4

+0.2

2.75

0.90

Philippines

6.7

4.5

+0.8

4.75

-1.92

+76

+39

+34

-25

-50

+25

+50

+75

Poland

1.9

2.3

-0.3

1.50

-0.41

+12

+25

Romania

4.2

-0.3

2.50

-1.72

+37

+36

+78

+25

+50

Russia

3.5

4.4

+1.1

7.50

3.99

+41

+92

+67

-25

-50

+25

South Africa

5.2

+0.0

6.75

1.57

+18

+34

-50

+25

Taiwan

1.4

-0.5

1.38

0.00

+24

-0

+13

+38

Thailand

1.2

1.4

-0.3

1.50

0.27

+34

+25

Turkey

25.3

19.0

+9.5

24.00

-1.31

-65

-47

-116

-600

+625

+975

75	Tight	Financial Conditions
75	Tight
		3mo Change
50		(Bars)
50
		Current
		(vs 3yr average, RHS,
25		Dots)
25

-25

-50

Loose

-75

Russia

Indonesia

South Africa

Thailand

China

Chile

Mexico

Hungary

Korea

Poland

India

Malaysia

Czech Rep

Brazil

Turkey

Philippines

				Inflation Momentum						TRY
250	current inflation (%)			Inflation Momentum
250	current inflation (%)
	7.0%
200	6.5%						PHP
200	6.5%
150	6.0%
100	5.5%
100	5.0%			MXN
				MXN
					ZAR
50					ZAR
50	4.5%				BRL
	4.5%				BRL
0	4.0%			RON
0	4.0%					HUF
						HUF
-50	3.5%	INR			COP		RUB
-50					COP
	3.0%			IDR
				IDR
-100					CLP
					CLP
	2.5%			CZK
	2.5%			CZK			CNY
-150							CNY
-150	2.0%			PLN	PEN	KRW
				PLN		KRW
-200	1.5%		TWD
-200	1.5%			THB
	1.0%			THB
-250	1.0%
-250	0.5%
	0.5%			MYR			current inflation vs 3mo ago (pp change)
	0.0%			MYR			current inflation vs 3mo ago (pp change)
	0.0%
	-1.5%	-1.0%	-0.5%	0.0%		0.5%	1.0%	1.5%	2.0%	2.5%

real policy rate (%)		Inflation vs Policy								TRY
		Inflation vs Policy									(bps)

5.0%
5.0%
4.5%				RUB						125
4.0%				RUB						125
3.5%
3.0%	MYR		IDR	INR					MXN	75
2.5%										75
2.5%
2.0%							BRL
1.5%				PEN			ZAR			25
1.0%							COP			25
1.0%							COP
0.5%			CNY THB
0.0%			CNY THB

			TWD KRW			CLP				-25
-0.5%						CLP				-25
-0.5%
-1.0%			CZK	PLN
-1.5%										-75
-2.0%								RON		PHP
-2.5%										PHP

							HUF
-3.0%							HUF			-125
-3.0%										-125
-3.5%							current inflation minus target (%)
-3.5%							current inflation minus target (%)
-4%	-3%	-2%	-1%		0%		1%	2%		3%

12mo Market Implied Policy Changes

Market implied

93 90 89

67	GS Forecasts
51

35 34 34 34 34 24 23

17 12 3

Chile

Colombia

Mexico

Brazil

-116

Hungary

Romania

Russia

Philippines

Thailand

Czech Rep

South Africa

India

China

Korea

Poland

Malaysia

Taiwan

Turkey

Source: Haver Analytics, Bloomberg, Goldman Sachs Global Investment Research

26 November 2018

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Goldman Sachs

EM Strategy Views

EM “Macro Slice” performance vs. MSCI EM

115	vs. MSCI EM											145
115
												140
												140
110												135
110
												130
105												125
105
												120
100									External			115
100									External
									Demand			110
95						Domestic						105
95						Cyclicals
						Cyclicals						100
												100
90												95
Dec-15	Mar-16	Jun-16	Sep-16	Dec-16	Mar-17	Jun-17	Sep-17	Dec-17	Mar-18	Jun-18	Sep-18	Dec-18

vs. MSCI EM

110

105

Commodity Cyclicals

100

Jun-16

Sep-16

Mar-17

Jun-17

Sep-17

Mar-18

Jun-18

Sep-18

Dec-15

Mar-16

Dec-16

Dec-17

Dec-18

vs. MSCI EM

Banks

Defensives

Dec-15

Mar-16

Jun-16

Sep-16

Dec-16

Mar-17

Jun-17

Sep-17

Dec-17

Mar-18

Jun-18

Sep-18

Dec-18

EM valuation and earnings growth

MSCI EM Valuation

	P/E	P/B	D/Y		Earnings Growth
	(NTM)	(LTM)	(LTM)	2017E	2018E	2019E	2020E
Brazil	10.9	1.9	3.9	44.8	48.4	20.6	8.2
Chile	15.0	1.8	3.0	17.2	25.3	15.2	7.2
China	10.2	1.6	3.0	39.9	4.0	13.2	13.5
India	17.2	2.9	1.7	14.8	8.0	18.7	18.4
Indonesia	14.5	2.8	3.2	12.2	8.5	12.4	11.0
Korea	7.2	0.9	2.8	49.8	12.4	1.1	9.0
Malaysia	15.3	1.7	3.4	5.8	9.5	3.7	7.3
Mexico	12.6	2.0	2.9	32.4	12.4	17.3	12.4
Philippines	15.6	2.1	1.9	14.4	6.3	12.7	12.6
Poland	11.1	1.4	3.3	30.9	0.6	8.1	10.0
Russia	5.3	0.9	7.3	10.7	58.8	2.7	4.2
South Africa	12.3	2.0	3.8	8.9	23.2	16.7	14.6
Taiwan	12.2	1.7	4.7	15.3	1.3	1.2	9.8
Thailand	13.7	2.0	3.1	26.0	6.9	5.1	6.6
Turkey	5.8	1.0	5.8	45.6	13.3	7.2	25.8
EM (Local)	10.3	1.5	3.4	31.2	13.3	9.0	11.0
EM (USD)				29.4	14.1	8.9	11.1

*Earnings growth based on consensus estimates in local currency

25%								MSCI EM							2017
								MSCI EM							2017
20%					(Consensus EPS growth revisions in USD)
15%																2018
15%
10%																2019
													2016			2019
5%		2011						2013					2016
0%		2011						2013
0%						2012
-5%						2012
-5%										2014
-10%										2014
-10%												2015
												2015
-15%
Jun-10	Dec-10	Jun-11	Dec-11	Jun-12	Dec-12	Jun-13	Dec-13	Jun-14	Dec-14	Jun-15	Dec-15	Jun-16	Dec-16	Jun-17	Dec-17	Jun-18	Dec-18

EM cross asset valuation

										Average Valuation
	0.30					Z-Scores across Equity, FX, Credit, and local Bonds
	0.10
	(0.10)
	(0.30)
	(0.50)
	(0.70)
	(0.90)
	(1.10)	+ive z-score = overvaluation, -ive z-score = undervaluation
	(1.30)	+ive z-score = overvaluation, -ive z-score = undervaluation
	(1.50)	Equity valuation includes P/E, P/B, D/Y in z-score
	(1.50)	Real bond yields using forward inflation expectations
		HUF	PLN	BRL	THB	CZK	PHP	PEN	KRW	INR	CLP	TWD	CNY	IDR	COP	TRY	RUB	MYR	ZAR	MXN	EM
Equity	PE (NTM)	9.3x	10.7x	11.1x	14.0x	14.0x	15.3x	13.4x	7.2x	17.0x	14.9x	12.6x	9.9x	13.8x	10.0x	5.7x	5.3x	15.3x	12.1x	13.5x	10.2x
FX	GS DEER	(19%)	(24%)	(10%)	+0%	(7%)	(7%)	(11%)	+10%	(7%)	(19%)	(3%)	(22%)	(8%)	(24%)	(71%)	(10%)	(19%)	(41%)	(26%)	(17%)
Credit	Spread	88bp	71bp	214bp	-	-	100bp	88bp	-	145bp	55bp	-	74bp	151bp	144bp	393bp	162bp	119bp	239bp	161bp	399bp
Bonds	Real Rates	0.5%	0.9%	5.9%	1.5%	-0.2%	2.9%	3.6%	0.3%	3.2%	-1.5%	-	1.2%	4.5%	4.1%	-2.8%	4.5%	2.5%	4.6%	5.7%	2.3%
	Z-Score																				(0.79)
Equity	Z-Score	(0.10)	(0.20)	0.33	0.46	(0.23)	(0.07)	0.03	(1.71)	(0.19)	(0.83)	(0.47)	(0.44)	(0.26)	(0.66)	(2.27)	(1.05)	(0.34)	(0.67)	(1.36)	(0.79)
FX	Z-Score	(1.54)	(1.58)	(0.92)	(0.34)	(0.65)	(0.06)	(1.23)	(0.02)	(1.29)	(2.33)	(0.41)	(1.74)	(1.43)	(1.94)	(2.77)	(1.50)	(1.54)	(1.48)	(2.39)	(1.32)
Credit	Z-Score	1.09	0.60	(0.20)	-	-	0.52	0.76	-	0.63	0.86	-	0.48	0.38	0.15	(2.05)	0.46	(0.10)	(0.53)	(0.40)	(0.22)
Bonds	Z-Score	1.36	1.95	0.58	(0.31)	0.53	(1.25)	(0.44)	0.98	(0.50)	0.76	-	(0.25)	(0.75)	0.05	3.68	(1.45)	(1.84)	(1.64)	(1.67)	0.12
AVG	Z-Score	0.20	0.19	(0.05)	(0.07)	(0.11)	(0.21)	(0.22)	(0.25)	(0.34)	(0.38)	(0.44)	(0.49)	(0.52)	(0.60)	(0.85)	(0.89)	(0.95)	(1.08)	(1.46)	(0.55)

Source: FactSet, Datastream, Goldman Sachs Global Investment Research

26 November 2018

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Goldman Sachs

EM Strategy Views

Flows and Positioning

EM portfolio investment and exchange-reported foreign ﬂows

Foreign Inflows

Bil USD

Balance of Payments

250

EM exchange-reported foreign inflows

(Portfolio Inflows, last 4Q)

($Bil, Cumulative)

200

Bond

150

Equity

100

-5

-10

-15

-50

Mexico

Peru

Chile

Brazil

Colombia

Poland

Thailand

Jan-15

Mar-15 May-15 Jul-15 Sep-15 Nov-15 Jan-16 Mar-16 May-16 Jul-16 Sep-16 Nov-16 Jan-17 Mar-17 May-17 Jul-17 Sep-17

Nov-17

Jan-18 Mar-18 May-18 Jul-18

Sep-18

Nov-18

China

India

SouthAfrica

Korea

Indonesia

Turkey

Russia

Philippines

Hungary

CzechRep

Taiwan

Bond: India, Indonesia, Korea, Mexico, S. Africa, Thailand, Turkey

Jan19-

Equity: Brazil, India, Indonesia, Korea, Philippines, S. Africa, Taiwan, Thailand, Turkey

Source: Haver Analytics, Bloomberg, Goldman Sachs Global Investment Research

Cumulative ﬂows into EM mutual funds

140

$bn

Cumulative flows into EM funds

2.5

Bil USD

Inflows by country over the past month

(reported by exchanges)

120

EM equity

1.5

Flows

100

funds

Debt Inflows

EM credit funds

0.5

(hard currency

Fund

bond funds)

EM bond funds

-0.5

(local currency

-1

Equity Inflows

bond funds)

-1.5

16-Mar

16-May 16-Jul

16-Sep 16-Nov 17-Jan

17-Mar 17-May 17-Jul

17-Sep 17-Nov 18-Jan 18-Mar

18-May

18-Jul

18-Sep

18-Nov

19-Jan

19-Mar

-2

Indonesia

Korea

Taiwan

India

Philippines

Thailand

Turkey

SouthAfrica

Mexico

Brazil

16-Jan

-20

Source: EPFR, Goldman Sachs Global Investment Research

Cross-asset mutual fund positioning

5%						Cross-Asset Country Allocation
4%						relative to MSCI EM, EMBI Sov., GBI-EM
4%						relative to MSCI EM, EMBI Sov., GBI-EM

Equity Funds

Positioning

Credit Funds

Loc. Bond Funds

Average

-1%

-2%

Fund

-3%

-6%

-4%

-5%

Brazil

India

Argentina

Mexico

Russia

Indonesia

South Africa

Chile

Turkey

Colombia

Peru

China

Korea

Thailand

Taiwan

Czech Rep.

Hungary

Malaysia

Philippines

Poland

Thailand
Mexico
Brazil
Colombia
Indonesia
Hungary
Czech Rep.
Poland
India
Korea
Malaysia
Philippines
Taiwan
Peru
Chile
South Africa
China
Russia		Chg in average
Argentina		positioning
Turkey		from 6-mo ago
-1.5%	-0.5%	0.5%	1.5%

Source: EPFR, Goldman Sachs Global Investment Research

26 November 2018

vk.com/id446425943

Goldman Sachs

EM Strategy Views

FX Performance

														Return vs USD									Forecasts				GS Fair Value			FX Carry (%)
														Spot		1w%		3m%		YTD%			3m	6m	12m		DEER	FEER	% overval		1yr fwd	real 1y
								South Africa				ZAR		13.86		1.5		-5.8		-11.95			14.25	13.75	13.50	10.43		14.90	-14.0		4.5	1.7
								India				INR		70.94		1.3		-3.4		-11.14			74.00	74.00	71.00	69.33		80.97	3.2		4.0	1.5
								Turkey				TRY		5.29		1.0		-7.7		-39.47			5.50	6.00	6.50	3.28		4.66	-29.3		20.1	3.4
								Philippines				PHP		52.46		0.5		1.2		-5.08			53.00	52.00	50.00	50.05		58.01	0.5		2.8	0.6
								Indonesia				IDR		14540		0.5		-0.8		-7.17			15000	14800	14400	14085		15776	0.7		5.5	4.1
								Egypt				EGP		17.89		0.1		0.0		-0.62			--	--	--	--		--	--		11.1	--
								China				CNY		6.94		0.1		-1.7		-6.60			7.00	7.10	6.90	5.73		7.40	-9.4		-0.4	-0.4
								Poland				PLN		3.78		0.0		-3.5		-8.88			3.79	3.59	3.46	3.10		4.22	-8.1		-1.1	-1.1
								Malaysia				MYR		4.19		0.0		-3.2		-3.63			4.20	4.25	4.20	3.53		4.45	-8.6		0.2	0.5
								Peru				PEN		3.38		-0.1		-3.2		-4.23			3.30	3.27	3.25	3.04		3.51	-5.4		1.3	1.2
								Czech Rep				CZK		22.85		-0.1		-4.5		-7.48			22.77	21.71	21.04	21.48		25.31	-0.4		-1.4	-1.3
								Taiwan				TWD		30.90		-0.1		-0.9		-3.84			31.50	31.50	31.00	30.14		31.01	-1.5		-3.3	-2.4
								Korea				KRW		1130		-0.2		-1.1		-5.60			1140	1160	1170	1265		1202	10.0		-1.8	-1.2
								Thailand				THB		33.05		-0.2		0.7		-1.42			34.00	34.50	33.50	33.17		34.14	1.3		-1.5	-0.5
								Romania				RON		4.11		-0.3		-3.9		-5.63			4.20	4.06	4.00	--		--	--		0.7	--
								Chile				CLP		674		-0.6		-5.4		-9.64			650	640	630	586		731	-5.9		-0.2	-1.0
								Hungary				HUF		284		-0.6		-3.7		-9.98			284	272	263	242		308	-7.1		-2.5	-3.3
								Russia				RUB		66.29		-0.6		-6.2		-15.14			70.00	68.00	65.00	59.63		60.72	-9.5		4.9	2.8
								Mexico				MXN		20.37		-0.9		-9.2		-4.12			19.75	19.50	19.25	16.16		19.11	-15.8		6.2	4.7
								Brazil				BRL		3.82		-1.8		-1.6		-15.08			3.70	3.60	3.60	3.39		3.71	-8.4		2.9	1.0
								Colombia				COP		3229		-1.9		-11.7		-8.18			3050	3000	2950	2605		3297	-12.2		1.6	0.6
								Argentina				ARS		36.73		-2.0		-34.2		-95.11			38.00	45.00	48.00	--		--	--		42.3	--
7%							Real FX Carry (12mo)														100%			20%		Current Level vs GS Fair Value Metrics
7%							Real FX Carry (12mo)														100%			20%
6%																					90%			% overvalued vs										Expensive
5%																					90%			15%	FEER							INR
																									FEER							INR
																					80%
4%														%-ile vs History							80%								PLN		CZK	PHP
3%																								10%							CZK
																					70%										CLP
																(RHS, Dots)					70%								HUF		CLP
2%																(RHS, Dots)													HUF
2%																					60%								ZAR	MYR		IDR		KRW
1%																					60%			5%					CNY	MYR				KRW
1%																								5%					CNY		PEN		THB
0%																						50%							COP		PEN
0%		Current																				50%
-1%																								0%
																					40%
		(Bars)

-2%
-2%																					30%										BRL
-3%																															BRL
-3%																								-5%					MXN
-4%																					20%								MXN
-4%																					20%										RUB
-5%																							-10%								RUB
-5%																					10%
-6%
																											TRY							% overvalued vs
																											TRY
-7%																					0%		-15% Inexpensive
-7%	MXN	IDR	TRY	RUB	ZAR	INR		PEN	BRL	COP	PHP	MYR	CNY	THB	CLP	PLN	KRW	CZK	TWD		0%		-15% Inexpensive											DEER
	MXN	IDR	TRY	RUB	ZAR	INR		PEN	BRL	COP	PHP	MYR	CNY	THB	CLP	PLN	KRW	CZK	TWD	HUF				-50%	-40%			-30%	-20%		-10%	0%		10%	20%
																								-50%	-40%			-30%	-20%		-10%	0%		10%	20%

% Appreciation Forecasted

12%
10%
8%
6%
4%
2%	3mo	12mo
0%
0%
-2%
-4%
-6%

-8%

COP

CLP

BRL

MXN

PEN

CZK

HUF

MYR

PLN

CNY

KRW

PHP

TWD

RON

ZAR

THB

IDR

ARS

TRY

INR

RUB

3mo Return vs USD (%)

PHP

THB

EGP IDR TWD KRW BRL CNY

PEN

MYR

INR

PLN

HUF

RON

CZK CLP ZAR RUB

TRY MXN

COP

ARS

-36%

-32%

-28%

-24%

-20%

-16%

-12%

-8%

-4%

Source: FactSet, Goldman Sachs Global Investment Research

26 November 2018

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Goldman Sachs

EM Strategy Views

Equities Performance

		Equities Performance (%)															EPS (NTM %ch)
			Local				USD			P/E		P/B		D/Y			Local				USD			EPS Growth
	wgt	1w	3m	ytd		1w	3m	ytd		NTM		LTM		NTM		1m	3m	12m		1m	3m	12m		2018E 2019E
Philippines	1.1%	4.0	-4.3	-14.8	4.5		-3.1	-19.9	15.6		2.1		1.9		1.0		2.1	6.5	2.0		1.3	2.7	6.3		12.7
Poland	1.2%	2.9	-3.7	-9.6	2.9		-7.2	-18.5	11.1		1.4		3.3		-0.3		0.5	1.2	-4.1		-4.1	-3.8	0.6		8.1
Hungary	0.3%	-0.2	11.3	0.0	-0.8		7.7	-10.0	9.9		1.6		3.2		1.5		4.9	10.7	-1.5		0.3	3.2	--		--
Indonesia	2.2%	-0.3	6.7	-7.2	0.2		5.9	-14.4	14.5		2.8		3.2		0.6		1.8	9.9	-1.4		-3.5	-1.9	8.5		12.4
Malaysia	2.4%	-0.4	-5.7	-6.2	-0.4		-8.9	-9.8	15.3		1.7		3.4		0.1		-0.6	-0.8	-1.0		-3.5	0.3	9.5		3.7
Thailand	2.4%	-0.8	-5.5	-5.3	-1.0		-4.9	-6.7	13.7		2.0		3.1		0.6		1.7	11.1	-1.9		2.0	11.3	6.9		5.1
Turkey	0.7%	-0.8	-1.9	-19.7	0.2		-9.6	-59.2	5.8		1.0		5.8		-1.5		1.5	17.4	5.6		-11.1	-20.5	13.3		7.2
Chile	1.1%	-0.9	-5.9	-9.5	-1.4		-11.3	-19.1	15.0		1.8		3.0		2.7		5.6	20.6	-2.7		-3.0	10.1	25.3		15.2
Czech Rep	0.2%	-1.3	-3.6	1.4	-1.4		-8.1	-6.1	14.2		1.6		5.8		0.8		3.4	10.0	-2.3		-1.3	5.8	--		--
India	9.0%	-1.7	-7.5	-3.1	-0.4		-10.9	-14.2	17.2		2.9		1.7		1.4		1.5	8.7	-0.6		-5.8	-4.8	8.0		18.7
Russia	3.8%	-1.7	0.4	12.3	-2.3		-5.8	-2.9	5.3		0.9		7.3		2.7		11.2	42.2	2.3		5.5	26.2	58.8		2.7
South Africa	6.3%	-1.7	-11.4	-17.8	-0.3		-17.2	-29.8	12.3		2.0		3.8		1.6		4.9	12.8	-2.7		-7.0	8.0	23.2		16.7
China	30.7%	-1.8	-12.0	-13.0	-1.7		-13.7	-19.6	10.2		1.6		3.0		0.3		1.1	18.6	-1.0		-1.1	12.7	4.0		13.2
Taiwan	11.3%	-2.1	-13.3	-9.5	-2.2		-14.3	-13.4	12.2		1.7		4.7		-1.8		-1.7	2.2	-3.1		-2.7	-0.4	1.3		1.2
Korea	13.9%	-2.4	-11.0	-17.8	-2.5		-12.0	-23.4	7.2		0.9		2.8		0.1		-0.6	2.5	-2.6		-2.5	0.8	12.4		1.1
Brazil	7.5%	-2.7	7.8	11.0	-4.5		6.2	-4.1	10.9		1.9		3.9		2.8		6.6	35.4	10.6		7.8	19.2	48.4		20.6
Mexico	2.6%	-2.9	-17.6	-17.9	-3.8		-26.7	-22.0	12.6		2.0		2.9		2.1		1.7	7.1	-5.7		-6.3	1.2	12.4		17.3
Colombia	0.4%	-4.3	-6.9	-2.6	-6.2		-18.6	-10.8	9.9		1.3		4.0		2.9		5.4	42.2	-5.1		-5.5	34.3	--		--
Peru	0.4%	-5.3	-6.6	1.5	-5.3		-9.8	-2.8	12.7		2.4		2.8		1.9		1.0	14.0	-0.2		-1.8	9.9	--		--
MSCI EM	--	-1.7	-9.4	-11.9	-1.7		-10.9	-16.3	10.3		1.5		3.4		0.4		1.3	11.1	-0.7		-1.3	6.7	14.1		8.9

PE Ratios

20
20
19		17.2
19
18
18
17	15.6		15.3
16	15.6		15.3	15.0		14.5	14.2
16				15.0
15								13.7
15								13.7
14					12.7 12.6 12.3 12.2										Current
14
13
13
12											11.1 10.9			(Diamonds)
12											11.1 10.9			(Diamonds)
11										10.2		9.9	9.9
11										10.2		9.9	9.9
10
9														7.2
9
8
7													5.8
7							10th-90th percentile						5.8			5.3
6									(Bars)
5									(Bars)
5
4
4
3	India Philippines Malaysia Chile Indonesia Czech Rep Thailand Peru Mexico South Africa Taiwan Poland Brazil China											Hungary	Colombia Korea Turkey			Russia
3

MSCI Sector Performance and Earnings

	12%		3mo
		Performance						Energy
	10%		(LOC)
	8%
	6%
	4%				Materials
10.3	4%				Materials
	2%				Health
	2%				EM	Indu
					EM
					Con Stap
	0%				Con Stap	Finls
	0%		Con Disc			Utilities
			Con Disc
	-2%
	-2%		Info Tech			Telecom
						Telecom

EM	-4%				EPS 3mo Chg
EM					EPS 3mo Chg
MSCI	-6%					(LOC)
	-6%					(LOC)
	-20%		-16%	-12%	-8%	-4%	0%	4%

Combined Valuation Metrics

Russia
Malaysia
Brazil
Indonesia
Hungary
Thailand
Czech Rep
India
Mexico
South Africa
Turkey
Taiwan
Chile
Philippines
Korea		Average Z-Score of PBK, PE
China		and Div Yld
Peru
Poland
Colombia
-0.5	0	0.5

3mo Change in EPS (Local Currency, %)

12 11.2

6.6

65.6 5.4 4.9 4.9

43.4

2		2.1 1.8 1.7 1.7 1.5 1.5	1.1 1.0 0.5
			1.1 1.0 0.5
0
0			-0.6-0.6
-2			-0.6-0.6
-2			-1.7
			-1.7
-4	Russia Brazil	Chile Colombia Hungary South Africa Czech Rep Philippines Indonesia Mexico Thailand India Turkey China Peru Poland Korea Malaysia Taiwan
	Russia Brazil

Source: FactSet, I/B/E/S, Goldman Sachs Global Investment Research

26 November 2018

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Goldman Sachs

Performance of Select EMBI Countries

EM Strategy Views

		Returns (%)						Spread				Returns (%)							Spread
	Wgt	1wk	3m	YTD		1wk	3m	YTD	Level	%ile/hist		1wk		3m	YTD	Wgt	1wk	3m	YTD	Level	%ile/hist
India	2.3%	0.3	-0.3	-1.4	-1		19	63	173	66%	Asia	-0.1		-1.9	-3.6	19.3%	6	32	66	229	52%
Philippines	3.4%	0.2	-1.4	-3.4	2		5	19	118	13%	Europe	-0.6		-0.2	-4.0	25.9%	17	14	98	308	54%
Malaysia	2.7%	0.1	-0.7	-2.2	5		13	39	153	43%	Latam	-0.8		-3.2	-7.6	38.2%	16	42	109	452	60%
China	4.3%	0.0	-0.3	-0.9	3		7	40	195	90%	Mid. East	-0.8		-2.5	-6.0	6.1%	19	62	150	530	82%
Uruguay	1.7%	0.0	-5.3	-8.0	3		33	58	206	33%	Africa	-1.6		-3.8	-8.7	10.5%	31	71	193	533	76%
Hungary	2.9%	0.0	-0.3	-2.0	4		18	62	153	54%
Croatia	0.8%	-0.0	0.3	-0.1	5		6	36	141	5%	A	0.0		-0.6	-1.9	12.4%	4	11	33	125	32%
Peru	3.1%	-0.0	-2.6	-4.9	4		15	28	167	27%	BBB	-0.3		-2.9	-5.2	35.7%	8	29	59	235	75%
Indonesia	4.3%	-0.0	-3.5	-5.9	5		34	61	232	42%	BB	-0.7		-0.7	-5.5	23.3%	16	13	108	349	76%
Russia	3.7%	-0.1	0.2	-3.9	6		-8	61	244	43%	B	-1.5		-2.8	-9.1	24.6%	33	69	219	601	71%
Poland	2.7%	-0.1	0.1	-0.8	6		5	27	75	24%
Panama	2.9%	-0.2	-2.9	-5.0	6		27	46	167	20%	IG	-0.2		-2.4	-4.4	51.9%	8	25	61	217	74%
Chile	2.8%	-0.2	-2.1	-5.1	6		15	36	160	61%	HY	-1.2		-2.1	-7.7	48.1%	28	52	207	609	86%
Colombia	3.0%	-0.4	-4.0	-4.9	8		34	40	218	45%
South Africa	2.7%	-0.4	-2.9	-5.2	11		43	106	363	89%	EMBI Composites
Brazil	3.4%	-0.4	3.4	-1.9	11		-34	36	271	37%	Plus	-0.6		-1.4	-7.2	---	14	17	108	432	68%
Dominican Rep.	2.4%	-0.9	-2.2	-5.4	16		24	81	359	37%	Global Div	-0.7		-2.2	-6.0	---	17	39	122	398	63%
Mexico	5.2%	-0.9	-6.6	-8.9	15		71	102	347	92%	Global	-0.7		-2.2	-6.4	---	16	37	118	423	66%
Lebanon	2.7%	-1.1	-3.3	-9.6	30		106	304	783	95%
Ukraine	2.6%	-1.2	-3.2	-5.6	35		94	226	678	55%
Turkey	3.9%	-1.4	3.9	-10.6	27		-62	177	471	75%
Egypt	2.0%	-1.5	-3.1	-7.0	28		40	136	529	91%
Argentina	3.4%	-1.6	1.1	-18.5	32		1	335	680	56%
Kazakhstan	2.7%	-1.7	-2.8	-4.2	24		24	56	252	24%
Ecuador	1.9%	-1.9	-3.6	-11.0	54		106	362	816	52%
Venezuela	1.5%	-2.7	-11.5	-18.9	263		832	1362	6185	100%			Green = Cheap, Red = Expensive as %ile vs history

800	EMBI Spread by Country	100%
	Current	90%
700		90%
700
600	Percentile Rank	80%
600	Percentile Rank	70%
	vs. History	70%
500	(RHS)	60%
		60%
400		50%
300		40%
300
200		30%
200		20%
		20%
100		10%
		10%
0		0%

Ecuador

Lebanon

Argentina

Ukraine

Egypt

Turkey

South Africa

Dominican Rep.

Mexico

Brazil

Kazakhstan

Russia

Indonesia

Colombia

Uruguay

China

India

Panama

Peru

Chile

Hungary

Malaysia

Croatia

Philippines

Poland

104	Regional Relative Performance vs EMBI	104

103		103

102	Europe	102

	Mid East 101
101	Asia	100
	Africa
		99
100

Spread (bps)	Spreads vs Avg Sovereign Ratings
900	Spreads vs Avg Sovereign Ratings
	ECU
800	LBP
700	LKR ARS

UAH

600

500

TRY

EGP

400

MXN

ZAR

DOP

BRL

300

KZT

RUB

COP

200

CNY

PEN

IDR

PAB

UYU

INR

HRK

CLP

MYR

HUF

100

PLN

PHP

BBB+

BBB-

CCC+

A-

BBB

BB+

BB-

B+

B-

CCC

Ratings Relative Performance vs EMBI

BBB

99														98													B
99													Latam	97
98													Latam	97
98														96
														96
97														95	17	18	18	18	18	18	18	18	18	18	18	18	18
7	7	8	8	8	8	8	8	8	8	8	8	8	8	17	17	18	18	18	18	18	18	18	18	18	18	18	18

Source: Datastream, Goldman Sachs Global Investment Research

26 November 2018

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