GS 高盛：9月份 中国策略报告(39页) 09.01

August 31, 2007 39页

China: Portfolio Strategy: China Stance-at-a-Glance China: Portfolio Strategy China Stance-at-a-Glance

September 2007: Managing delta exposure

We reiterate our bullish view on H-shares but expect the
market to stay volatile near term as the tug-of-war between
credit contagion concerns and DII remains in place. We advise
investors to actively manage their portfolio exposure to
negative delta by switching positions from sectors sensitive to
US exports and global growth to domestic consumption.
H-share market: Volatility may persist
We believe the long-term outlook for the H-share market continues to look
bright, given its robust fundamentals. But we think the excessive volatility is
likely to persist near term as lingering credit-related concerns & incremental
liquidity flow through DII continue to work in conflicting directions.
A-share market: Valuations remain stretched
The A-share market continued to make new record highs in August on the
back of impressive 1H07 EPS growth (67%) and strong liquidity from newlylaunched
funds. Despite sanguine investors’ sentiment and ample liquidity,
we think current multiples are strained in both absolute and relative terms.
Strategies: Managing delta exposure
It seems sensible for investors to proactively manage their portfolio
exposure to negative delta amid a potentially volatile market. We advise
investors to tilt exposure from investment-sensitive/export sectors to
domestic consumption to possibly optimize near-term risk/reward tradeoff.
Performance
In August 2007, our buy stocks gained 8.6% and our funding stocks rose
0.5%, resulting in a positive spread of 819 basis points (bp) in local currency
total return terms. Ytd, our buy/funding spread is 46.9 pp.