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20T22_44_20Z2020-11-20T23_19_23Z.pptx
13 January 2023 | 3:59PM EST
US Weekly Kickstart
Negative consensus earnings revisions and analyst expectations for a lackluster 4Q 2022 earnings season continue the trend of weakening
corporate profitability in recent quarters. S&P 500 trailing 4-quarter return on equity declined by 29 bp to 20.6% in 3Q 2022 driven by a contraction
in margins. At a sector level 7 of 11 S&P 500 sectors experienced declining ROE, with Info Tech suffering the largest drop and Energy expanding
the most. An upwards inflection in S&P 500 ROE will be difficult to achieve in 2023, as headwinds from a higher cost of capital and higher taxes
will place further strain on profitability. We rebalance our ROE Growth basket in this report, which outperformed the S&P 500 by 10 pp in 2022.
Table of Contents
Performance
The S&P 500 was up 4.6% this week. Real Estate was the bestperforming sector (+8.1%) while Health Care was the worstperforming sector (0.3%). We expect the S&P 500 will end 2023 at
4000 (+0.4%).
S&P 500 earnings and valuation
Goldman Sachs
Portfolio Strategy
Consensus
Bottom-Up
EPS
Growth
2023E
$224
0%
2024E
$237
5%
2023E
$228
3%
2024E
$253
11 %
P/E
NTM
17.7x
2023E
16.8x
NTM
17.5x
2023E
17.5x
Markets and money flow
8
Market performance
9
Sector performance
10
Style and size
15
Strategy baskets
16
Earnings, sales, and revisions
21
Valuation
22
Factors
24
Fund flows, fund performance, and short interest
25
Correlation, breadth, and dispersion
26
Economics
27
Goldman Sachs macro forecasts
28
Source: I/B/E/S, FirstCall, Goldman Sachs Investment Research
David J. Kostin
(212) 902-6781 |
david.kostin@gs.com
Goldman Sachs & Co. LLC
Ben Snider
(212) 357-1744 |
ben.snider@gs.com
Goldman Sachs & Co. LLC
Ryan Hammond
(212) 902-5625 |
ryan.hammond@gs.com
Goldman Sachs & Co. LLC
Cormac Conners
(212) 357-6308 |
cormac.x.conners@gs.com
Goldman Sachs & Co. LLC
Lily Calcagnini
(212) 357-5913 |
lily.calcagnini@gs.com
Goldman Sachs & Co. LLC
Jenny Ma
(212) 357-5775 |
jenny.ma@gs.com
Goldman Sachs & Co. LLC
Need access to view our baskets on GS Marquee? Email us.
Daniel Chavez
(212) 357-7657 |
daniel.chavez@gs.com
Goldman Sachs & Co. LLC
Investors should consider this report as only a single factor in making their investment decision. For Reg AC certification and other important disclosures, see
the Disclosure Appendix, or go to www.gs.com/research/hedge.html.
18ee3da7952d45efb4b53828771bcd9c
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Higher cost of capital and higher taxes present two challenges for S&P 500 ROE growth in 2023
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Goldman Sachs
US Weekly Kickstart
Conversations we are having with clients: Upwards inflection in ROE looks unlikely in 2023
Several large Financials companies kicked off 4Q 2022 earnings season this
week. Consensus expects the aggregate S&P 500 index will post -1% EPS growth in
4Q 2022 vs. 4Q 2021 and decline by 5% excluding the Energy sector. Earnings
revisions have recently been very negative (page 21), adding to many investors’
concerns about a potential recession on the horizon. This week we highlighted stocks
that should outperform in a soft landing, our economists’ base case, as well as a
screen for investors who expect a hard landing (see US Equity Views, January 2023).
Negative consensus earnings revisions and current analyst expectations for a
lackluster 4Q 2022 earnings season continue the trend of weakening corporate
profitability in recent quarters. S&P 500 trailing 4-quarter return on equity declined
by 29 bp to 20.6% in 3Q 2022. The decline in ROE represented the third consecutive
quarterly decline following the metric’s all time high of 22% in 4Q 2021 (Exhibit 1).
However, despite recent declines the latest figure still ranks in the 99th percentile of
S&P 500 ROE going back to 1975.
Contraction in profit margins was the main reason for the ROE decline last
quarter. We use a five-factor DuPont decomposition to analyze the drivers of ROE.
Falling EBIT margins drove 69 bp of ROE contraction (Exhibit 2). Margins had already
begun to decline in both 1Q and 2Q 2022 after a full year of expansion in 2021, and
the trend continued in 3Q 2022. Index-level LTM EBIT margins contracted q/q by 48
bp in 3Q (vs. -90 bp in 2Q and -47 bp in 1Q). Slightly higher interest and tax expenses
also weighed on ROE during 3Q (contributing -20 bp total). These headwinds were
offset by higher asset turnover, which contributed +62 bp to ROE.
Most sectors experienced falling ROE last quarter but also enjoy profitability
well above historical averages. 7 of 11 S&P 500 sectors experienced declining
ROE, with Info Tech suffering the largest drop (-237 bp) and Energy expanding the
most (+518 bp). The increase in Energy ROE was driven by margin expansion,
contrasting with contracting margins in every other sector except for Real Estate. In
addition to Energy, Consumer Discretionary, Industrials, and Utilities saw slight ROE
gains. Despite lackluster ROE growth over the past three quarters, 9 of 11 sectors’
levels of ROE still stand above their historical sector averages, and 6 have ROEs
currently in the top decile vs. their sector’s history.
Most sector P/B valuations are currently well-ordered based on ROE, except
Energy and Utilities (Exhibit 3). Energy remains below the P/B implied by its
expected ROE while Utilities’ valuation appears stretched. In the case of Energy, the
13 January 2023
lackluster valuation is likely due to consensus expectations for -15% EPS growth in
2023 (after +161% growth in 2022) and lower long-term growth expectations relative
to other sectors. Utilities valuations have benefitted in part due to the attractiveness of
the sector’s defensive attributes amid heightened recession concerns.
An upwards inflection in S&P 500 ROE will be difficult to achieve in 2023. We
expect margins for most sectors will contract and expect a cut in current consensus
EPS estimates to bring them closer to our baseline and recession scenarios (Exhibit
4). Taxes, leverage, and borrow costs represent additional ROE headwinds.
Historically, higher leverage and lower taxes have been the largest contributors
to ROE (Exhibit 5). Since 1975, declining interest rates and corporate tax rates have
been the strongest tailwinds to corporate profitability. Declining interest rates have
allowed firms to utilize higher leverage to bolster equity holder returns, resulting in a
cumulative contribution of +1463 bp to ROE while lower borrow costs have contributed
+476 bp to ROE over the period. Similarly, declining corporate tax rates have
contributed +900 bp. On the other hand, lower asset turnover has been the largest
detractor from ROE, shaving off -2522 bp over time.
Near-term improvements to ROE from higher leverage will be unlikely given
higher cost of capital. The weighted average cost of capital (WACC) for US firms
has spiked by 200 bp to 6%, the highest level in a decade and the largest 12-month
rise in 40 years (Exhibit 6). We expect the WACC in 2023 will remain near the current
level. The direct consequence of a higher WACC is costlier leverage, which will
ultimately disincentivize firms from boosting ROE through this channel in 2023.
Despite higher WACC, borrow costs will be less of a dramatic headwind, as most S&P
500 debt is fixed rate with long maturities. 75% of S&P 500 debt is fixed, and only 24%
of total debt is expected to mature between 2023 and 2025.
Higher taxes in 2023 will also be a headwind for ROE expansion. While we
estimate new corporate taxes from the Inflation Reduction Act (IRA) should reduce
S&P 500 EPS by less than 2% in 2023 (Exhibit 7), the direction of the change in tax
expense will now weigh on ROE instead of supporting it. This impact should be
pronounced for sectors with low effective tax rates such as Info Tech and Health Care
which will face a larger impact from minimum tax provisions. Sunsetting provisions
from the 2017 Tax Cuts and Jobs Act and the new 1% excise tax on buybacks
introduced in the IRA will place additional tax-related strain on ROE.
Given the challenging environment for ROE growth, stocks that were expected
to grow ROE outperformed the S&P 500 by 10 pp in 2022 (Exhibit 8). Our ROE
growth basket (GSTHGROE) which we rebalance in this report (Exhibit 9) is sectorneutral to the S&P 500 and contains 50 stocks with the highest consensus-expected
ROE growth during the next 12 months. The median stock in the basket is expected to
grow ROE in the next 12 months by 12% vs. -6% for the median S&P 500 company.
2
18ee3da7952d45efb4b53828771bcd9c
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
This week markets digested an in-line CPI print which served to solidify the
case for the Fed to step down to a 25bp rate hike in February. The print saw the
year/year December core CPI of 5.7%, in line with consensus and down from 6.6% in
September. Looking ahead, our economists expect year/year core CPI to decelerate
to 3.0% by year-end as goods deflation and services disinflation begin to materialize.
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Goldman Sachs
US Weekly Kickstart
Charts we are watching: Receding S&P 500 ROE, contracting margins, and sector valuation
Exhibit 1: S&P 500 LTM ROE declined q/q for the third time in 2022
Exhibit 2: Contracting margins and higher interest expense drove ROE lower
as of 3Q 2022
as of 3Q 2022; history since 1975
30
S&P 500
Trailing 4-Quarter ROE
24.7%
S&P 500
20.6%
15
ROE change
EBIT
Sector
(3Q vs. 2Q 2022)
margin
Energy
518 bp
10
Financials
10.7%
5
0
(5)
(10)
1975
1980
1985
1990
1995
2000
2005
2010
2015
2020
2025
2030
Exhibit 3: Energy appears undervalued relative to its ROE implied valuation
as of January 12, 2023
6x
5x
3x
2x
Comm. Services
Utilities
Materials
(5) bp
31 bp
0
15
31
25
94
Industrials
59
(5)
84
(4)
(15)
(1)
23
92
10 %
18
(36)
76
(2)
(2)
(17)
10
12
(23)
4
(8)
(5)
(18)
5
11
68
Materials
(55)
(97)
36
(8)
6
8
21
96
Financials
(86)
(124)
36
(32)
27
6
11
42
Comm. Svcs.
(105)
(132)
20
(3)
3
7
18
86
Staples
(117)
(132)
28
(0)
(13)
0
27
78
Health Care
(121)
(132)
31
(1)
(11)
(8)
26
92
Info Tech
(237)
(143)
12
(3)
(46)
(57)
35
98
S&P 500
(29) bp
(69) bp
62 bp
S&P 500 ex. Financials
(21)
(45)
56
Source: FactSet, Goldman Sachs Global Investment Research
13 January 2023
(12) bp
(1) bp
(2)
(8) bp
(16)
21 bp
(15)
25
99 %
100
Exhibit 4: Contracting profit margins will make further ROE growth difficult
as of January 12, 2023
S&P 500 ex. Financials and Utilities
Change from
2023 consensus
net margin
to Goldman Sachs
baseline and
recession
scenario
35 %
-153
Consumer Discretionary
40 %
Industrials
(300)bp
32
-15
-79
-203
-236
(200)bp
124
34
-9
-12
39
Baseline
-59
-123
Information Technology
R² = 0.88
47
Recession
-123
scenario
Materials
Comm Services
15 %
20 %
25 %
30 %
Consensus forward 12-month ROE
95 %
Real Estate
Consumer Staples
Energy
Financials
vs. history
71
Health Care
S&P 500
Real Estate
1x
0x
5%
Info Tech
Industrials
Health Care
4x
(59) bp
percentile
ROE
(25)
Energy
Cons. Staples
Cons.
Discretionary
7 bp
Tax
92
8x
S&P 500 sector
return on equity
vs. price/book valuation
218 bp
Leverage
Source: Compustat, Goldman Sachs Global Investment Research
Source: Compustat, Goldman Sachs Global Investment Research
7x
Interest
Discretionary
Utilities
358 bp
Turnover
Current ROE
Current
18ee3da7952d45efb4b53828771bcd9c
Return on Equity (LTM, %)
ex-Financials
20
NTM Price / book multiple
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
25
Attribution to LTM 3Q 2022 ROE change (q/q)
S&P 500
-10
-115
-118
(100)bp
0 bp
100 bp
200 bp
Source: FactSet, Goldman Sachs Global Investment Research
3
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Goldman Sachs
US Weekly Kickstart
Charts we are watching: Largest contributors to S&P 500 ROE and potential headwinds
Exhibit 5: Historically, leverage and tax have been largest contributors to ROE
Exhibit 6: Increasing leverage will be difficult given higher cost of capital
as of 3Q 2022
as of January 4, 2023
3 pp
2000 bp
1500 bp
12-month change in S&P 500 WACC
1463 bp
1000 bp
500 bp
308 bp
288 bp
538 bp
476 bp
208 bp
(500)bp
0 pp
(423)bp
DuPont Factor Cumulative Contribution
to S&P 500 ROE
(1500)bp
Total since 1975
(2000)bp
(1)pp
Past 10 years
(2)pp
(2500)bp
(2522)bp
(3000)bp
Leverage
Tax
EBIT margins
Borrow cost
(3)pp
1982
Asset turnover
1988
1994
2000
2006
2012
2018
2024
Source: Compustat, Bloomberg, Goldman Sachs Global Investment Research
Source: Compustat, Goldman Sachs Global Investment Research
Exhibit 7: Higher taxes will also pose risk to ROE growth in 2023
Exhibit 8: Stocks with high expected ROE growth outperformed the index in 2022
as of January 12, 2023
as of December 30, 2022
112
0.0%
-0.5%
110
-1.0%
108
-1.5%
106
-2.0%
Estimated impact of
potential tax provision
on 2023 S&P 500 EPS
-2.5%
-3.0%
Corporate
minimum tax
Buyback
Inflation Reduction Act (2022)
R&D
Interest
Tax Cuts and Jobs Act (2017)
Source: FactSet, Goldman Sachs Global Investment Research
13 January 2023
Capex
Indexed relative return:
ROE Growth basket
(ticker: GSTHGROE)
vs. S&P 500
18ee3da7952d45efb4b53828771bcd9c
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
1 pp
77 bp
0 bp
(1000)bp
2 pp
2 pp
900 bp
104
102
100
98
Dec-21
Mar-22
Jun-22
Sep-22
Dec-22
Source: Goldman Sachs Global Investment Research
4
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Goldman Sachs
US Weekly Kickstart
Constituents of our ROE Growth basket (GSTHGROE)
Exhibit 9: Constituents of GSTHGROE (new constituents in bold)
as of January 12, 2023
COMMUNICATION SERVICES
Take-Two Interactive Software
Walt Disney
Activision Blizzard
Ticker
TTWO
DIS
ATVI
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Sector Median
CONSUMER DISCRETIONARY
Target Corp.
Aptiv PLC
NIKE Inc.
Dollar General
Chipotle Mexican Grill
TGT
APTV
NKE
DG
CMG
Sector Median
CONSUMER STAPLES
Keurig Dr Pepper
PepsiCo Inc.
Mondelez Intl
Conagra Brands Inc.
KDP
PEP
MDLZ
CAG
Sector Median
ENERGY
EQT Corp.
Schlumberger
Halliburton
Sector Median
FINANCIALS
Wells Fargo & Co.
Bank of New York Mellon
M&T Bank Corp.
Progressive Corp.
American Intl Group
Arch Capital Group
MATERIALS
Corteva Inc.
9%
7
12
11 %
8
13
22 %
12
11
7%
2.5x
19 %
14 %
(6)%
7%
9
9
(6)
9
6.5x
3.3
10.5
8.6
18.8
27 %
11
29
42
39
39 %
14
38
48
44
49 %
30
29
14
12
9%
3.9x
27 %
28 %
(3)%
0%
(3)
0
4
2.0x
13.5
3.3
2.2
9%
49
15
14
10 %
51
15
14
3%
3
3
2
19 %
19 %
(0)%
10 %
17
24
14 %
21
26
43 %
19
12
29 %
24 %
(16)%
7%
7
9
15
8
12
11 %
10
12
21
10
15
48 %
40
39
37
28
17
14 %
13 %
2%
7%
9%
19 %
20 %
18 %
(6)%
3%
8
7
4%
6
3
3
1
0
5%
Sector Median
CTVA
Sector Median
Consensus
Forward
ROE
ROE
Growth
2.6x
2.0
3.3
4%
WFC
BK
MTB
PGR
AIG
ACGL
ROE
LTM
0%
15
0
(1)%
EQT
SLB
HAL
Price to
Book
6%
7%
4.6x
1.4x
5.2
5.4
2.7x
1.0x
1.1
1.3
4.9
0.9
2.0
1.6x
1.8x
3.3x
Company Name
Ticker
HEALTH CARE
Incyte Corp.
DexCom Inc.
Bio-Techne Corp.
Becton, Dickinson
Edwards Lifesciences
Baxter Intl
Boston Scientific
Universal Health Svc.
INCY
DXCM
TECH
BDX
EW
BAX
BSX
UHS
Sector Median
INDUSTRIALS
Verisk Analytics
CoStar Group Inc.
Equifax Inc.
Johnson Controls Intl
VRSK
CSGP
EFX
JCI
SEDG
CDAY
NVDA
JNPR
CRM
GLW
ROP
GPN
AVGO
PYPL
ADI
DXC
AMD
Sector Median
ROE Basket Median
S&P 500 Median
9%
4
13
(1)
13
14
5
9
4
12
3
9
9
6%
ESS
Sector Median
UTILITIES
Constellation Energy
PPL Corp.
4%
4
11
7
4%
Sector Median
REAL ESTATE
Essex Property Trust
0%
(5)
(1)
0
4
(12)
1
4
1%
Sector Median
INFORMATION TECHNOLOGY
SolarEdge Technologies
Ceridian HCM Holding
NVIDIA Corp.
Juniper Networks
Salesforce Inc.
Corning Inc.
Roper Technologies
Global Payments
Broadcom Inc.
PayPal Holdings
Analog Devices Inc.
DXC Technology
Advanced Micro Devices
YTD
Total
Return
4%
7%
CEG
PPL
Price to
Book
4.5x
19.4
7.5
2.9
8.1
2.8
3.9
1.6
ROE
LTM
Consensus
Forward
ROE
ROE
Growth
9%
15
22
13
24
16
14
12
12 %
18
27
14
25
16
14
12
39 %
24
19
5
4
3
3
2
4.1x
18 %
16 %
(5)%
11.7x
5.4
7.1
2.9
45 %
7
23
13
51 %
8
26
14
15 %
13
11
10
5.0x
24 %
23 %
(4)%
12 %
5
38
14
8
15
11
11
71
22
14
17
10
18 %
7
43
15
9
17
11
12
73
23
14
17
10
49 %
38
16
9
8
7
6
5
4
3
2
1
1
25 %
23 %
(6)%
6%
7%
29 %
7%
6%
(11)%
9.3x
4.8
16.8
2.4
2.5
2.6
3.6
1.2
10.8
4.4
2.4
1.4
2.6
6.4x
2.4x
2.3x
(2)%
5%
2.5x
1.6x
8%
7%
12 %
7%
49 %
10 %
2%
2.1x
11 %
11 %
1%
4%
4
3.1x
3.3
13 %
19
14 %
18
12 %
(6)
Source: FactSet, Goldman Sachs Global Investment Research.
13 January 2023
5
18ee3da7952d45efb4b53828771bcd9c
Company Name
YTD
Total
Return
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Goldman Sachs
US Weekly Kickstart
S&P 500 earnings season by week
Exhibit 10: Percent of S&P 500 market cap reporting 4Q earnings by week
60 %
Percent of S&P 500 market cap reporting by week
76% of S&P 500
equity cap will report by
50 %
Jan 9 Jan 13
February 10th
40 %
31%
30 %
26%
10 %
0%
10%
5%
Jan
13
5%
Jan
20
Jan
27
Feb
Feb
03
10
Week ending
7%
Feb
17
8%
Feb
24
5%
Mar
03
Feb 6 - Feb 13 Feb 10 Feb 17
S&P 500
5%
5%
26%
31%
10%
7%
Communication Services
0%
6%
21%
59%
12%
0%
Consumer Discretionary
0
0
13
40
7
3
Consumer Staples
0
15
9
14
19
12
Energy
0
7
28
42
1
7
28
19
16
12
9
2
Health Care
9
0
24
43
15
4
Industrials
1
2
39
36
7
8
Information Technology
0
0
39
29
6
7
Materials
0
3
29
20
29
11
Real Estate
0
12
10
7
16
20
Utilities
0
0
20
5
19
31
Financials
20 %
Jan 16 - Jan 23 - Jan 30 Jan 20 Jan 27
Feb 3
18ee3da7952d45efb4b53828771bcd9c
S&P 500 weight of companies to report
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
as of January 12, 2023
Source: FactSet, Goldman Sachs Global Investment Research.
13 January 2023
6
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Goldman Sachs
US Weekly Kickstart
4Q earnings calendar (week of January 16th)
Exhibit 11: Expected report dates for S&P 500 stocks reporting, week of January 16th
as of January 12, 2023
Tuesday, January 17, 2023
Financials
Industrials
Wednesday, January 18, 2023
Energy
Company name
Ticker
Citizens Financial Group
Morgan Stanley
Signature Bank
CFG
MS
SBNY
United Airlines Holdings
YTD
Return
Mkt Cap
($ bil)
EPS
Consensus 4Q 2022
Std. Dev.
3 Mo Revision
Yr/Yr Growth
6%
6
2
$ 21
153
7
$ 1.31
1.20
4.89
$ 0.04
0.11
0.28
2%
(23)
(14)
12 %
(40)
13
UAL
36 %
$ 17
$ 2.10
$ 0.13
116 %
NM
P/E
(NTM)
8.2 x
12.4
6.7
7.4 x
Kinder Morgan Inc.
KMI
4%
$ 42
$ 0.30
$ 0.02
(4)%
13 %
16.8 x
Financials
Charles Schwab
Discover Financial Svc.
PNC Financial Svc. Grp
SCHW
DFS
PNC
0%
8
7
$ 152
29
68
$ 1.09
3.63
3.95
$ 0.03
0.27
0.12
(3)%
2
(5)
27 %
(0)
38
17.2 x
7.4
10.7
Industrials
J.B. Hunt Transport Svc.
JBHT
3%
$ 19
$ 2.47
$ 0.09
(1)%
8%
19.1 x
Real Estate
Prologis Inc.
PLD
8%
$ 113
$ 0.57
$ 0.08
(5)%
(66)%
37.6 x
Netflix Inc.
NFLX
12 %
$ 147
$ 0.45
$ 0.15
(61)%
(66)%
31.2 x
Consumer Staples
Procter & Gamble
PG
(1)%
$ 355
$ 1.59
$ 0.02
(4)%
(4)%
24.7 x
Financials
Comerica Inc.
Fifth Third Bancorp
KeyCorp.
M&T Bank Corp.
Northern Trust
SVB Financial Group
Truist Financial
CMA
FITB
KEY
MTB
NTRS
SIVB
TFC
3%
6
5
3
10
10
10
$9
24
17
26
20
15
63
$ 2.55
0.99
0.54
4.39
1.81
5.26
1.28
$ 0.10
0.04
0.02
0.20
0.08
0.65
0.03
(6)%
(6)
(11)
(12)
(5)
(31)
(4)
54 %
11
(15)
30
(5)
(15)
(7)
6.9 x
8.9
8.1
8.2
13.3
12.1
9.3
Industrials
Fastenal Co.
FAST
4%
$ 28
$ 0.42
$ 0.01
0%
5%
25.4 x
Materials
PPG Industries Inc.
PPG
5%
$ 31
$ 1.13
$ 0.05
(15)%
(10)%
18.8 x
Schlumberger
SLB
8%
$ 82
$ 0.68
$ 0.02
8%
66 %
19.3 x
Huntington Bancshares
Regions Financial
HBAN
RF
4%
4
$ 21
21
$ 0.41
0.65
$ 0.02
0.03
4%
7
56 %
52
9.5 x
8.9
Thursday, January 19, 2023
Communication Services
Friday, January 20, 2023
Energy
Financials
Source: FactSet, Goldman Sachs Global Investment Research.
13 January 2023
7
18ee3da7952d45efb4b53828771bcd9c
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Sector
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Markets and Money Flow
10-yr. Treasury Yields
10-yr Real Treasury Yields
2032
2028
Volatility
40
1.2%
1.0 %
0.0
2024
0%
2020
1.0 %
VIX
1.5 %
0.5
30
0.5 %
(0.5)
(1.5)<SI<(1.0) = LIGHT positioning
(1.0)
(1.5)
0.0 %
SI<(1.5) = EXTREMELY LIGHT
(2.0)
(1.7)
20
(0.5)%
19
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Mar-23
Dec-22
Sep-22
Jun-22
10
Sep-21
As of December 17, 2021
Mar-22
(1.5)%
Dec-21
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
as of November 4, 2022
Sep-21
(1.0)%
(2.5)
(3.0)
1%
2.0 %
SI>1.0 = STRETCHED positioning
1.0
2.0 %
Note: Sentiment Indicator measures stock positioning across retail, institutional, and foreign
investors versus the past 12 months. Readings below -1.0 or above +1.0 indicate extreme positions
As of Aug. 20, 2021.
that are significant in predicting future returns.
Source: Haver, EPFR, FactSet, CFTC, and Goldman Sachs Global Investment Research.
13 January 2023
Pricing in this report as of January 12, 2023, unless otherwise indicated.
8
18ee3da7952d45efb4b53828771bcd9c
Sentiment Indicator
1.5
2%
2016
200
Dec-25
Dec-23
Dec-22
Dec-21
205
Futures
market
2012
S&P 500
Price
2024E:
4.4%
3%
Futures
market
Dec-25
210
3.0 %
GS forecast
4%
Dec-24
215
Current:
3.43%
Dec-23
220
2023E
4000
Fed Funds
Target Rate
5%
2024E:
4.00%
4.0 %
Dec-22
225
GS
forecast
2023E:
4.20%
Dec-21
4000
230
5.0 %
Fed Funds Target Rate
6%
US 10-Year
Treasury Yield
235
2023E
$224
Dec-24
S&P 500 Price
Current
3983
3750
Z-Score
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
4250
6.0 %
S&P 500 adjusted EPS
2022E
$224
4500
3500
2024E
$237
Goldman Sachs
Adjusted
EPS Forecast
4750
240
2008
S&P 500 level and EPS
5000
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Market Performance: YTD absolute and risk-adjusted returns
Risk Adjusted Return (Sharpe Ratio)
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Bitcoin
14
HY Credit
3.8
REAL ESTATE
8
COMM SERVICES
COMM SERVICES
8
MSCI Emerging Markets
2.9
2.9
MATERIALS
7
Bitcoin
CONSUMER DISCRETIONARY
7
IG Credit
3.6
2.7
Russell 2000
7
10-year US Treasury
MSCI Emerging Markets
7
Russell 2000
2.0
1.9
2.1
Nasdaq 100
5
CONSUMER DISCRETIONARY
FINANCIALS
5
Gold
1.7
MSCI Developed Markets
5
MATERIALS
1.7
INFORMATION TECHNOLOGY
5
MSCI Developed Markets
1.7
INDUSTRIALS
4
FINANCIALS
1.7
Russell 1000 Value
4
Russell 1000 Value
1.6
Gold
4
INDUSTRIALS
1.4
10-year US Treasury
4
REAL ESTATE
1.3
HY Credit
4
S&P 500
1.3
S&P 500
4
Nasdaq 100
1.3
Russell 1000 Growth
4
INFORMATION TECHNOLOGY
1.0
IG Credit
4
Russell 1000 Growth
1.0
ENERGY
3
UTILITIES
2
$/Euro
1
CONSUMER STAPLES
Crude Oil (S&P GSCI)
(1)
(2)
(6) (4) (2) 0
0.6
ENERGY
0.5
UTILITIES
0.4
CONSUMER STAPLES
(0)
HEALTH CARE
$/Euro
2
4
6
8
10 12 14 16 18
18ee3da7952d45efb4b53828771bcd9c
Total Return
(0.0)
Crude Oil (S&P GSCI)
(0.3)
HEALTH CARE
(0.3)
(3.0) (2.0) (1.0)
0.0
1.0
2.0
3.0
4.0
5.0
6.0
Note: Crude Oil (S&P GSCI) return represents S&P GSCI Crude Oil Index total return. Spot change equals (2)% YTD.
Source: Haver, FactSet, and Goldman Sachs Global Investment Research.
13 January 2023
9
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Sector Baskets Performance
Cyclicals vs. Defensives
104
100
94
92
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
DEFENSIVES
outperforming
90
GLOBAL
outperforming
Sep-21
92
Mar-23
94
Dec-22
96
Sep-22
96
Jun-22
98
Mar-22
98
Dec-21
100
Performance and fundamentals of our sector baskets
Basket
Bloomberg
Ticker
# of
<GSSBXXXX> Stocks
% of
S&P 500
Cap
Beta
Non-US
Sales
Earnings Growth Sales Growth
2023E 2024E 2023E 2024E
NTM
P/E
LTM
P/B
Div
Yield
1 Wk
Total Return
1 Mo 3 Mo
LTM
YTD
Cyclicals
Defensives
CYCL
DEFS
247
253
44 %
56
1.0
0.9
37%
22
0%
7
9%
13
(2)%
4
2%
6
15.2x
19.9
3.1x 1.8 %
4.9 1.6
5.6 %
3.8
0%
(0)
13 %
11
(16)%
(13)
5%
3
Domestic
Global
DOMS
GLBL
217
283
35 %
65
0.9
1.0
14%
45
11 %
(0)
12 %
10
4%
0
6%
4
16.9x
17.9
2.7x 1.9 %
5.3 1.6
4.1 %
4.9
1%
(1)
12 %
12
(12)%
(15)
4%
4
Global Cyclicals
Domestic Cyclicals
Domestic Defensives
Global Defensives
GCYC
DCYC
DDEF
GDEF
155
92
125
128
30 %
14
21
35
1.1
1.0
0.8
0.9
46%
20
12
43
(5)%
12
10
6
7%
11
12
13
(2)%
2
4
4
2%
3
6
7
16.3x
13.4
20.6
19.5
4.6x
1.9
3.8
5.9
1.7 %
1.9
1.9
1.4
6.4 %
3.9
4.3
3.5
(1)%
3
0
(1)
11 %
18
8
12
(18)%
(12)
(13)
(12)
5%
5
4
3
Services-providing
Goods-producing
SERV
GOOD
260
240
52 %
48
1.0
0.9
20%
42
13 %
(4)
14 %
7
5%
(2)
6%
2
17.8x
17.2
3.4x 1.5 %
4.7 1.9
5.3 %
3.9
1%
(1)
12 %
12
(18)%
(9)
5%
3
500
100 %
1.0
29%
3%
11 %
3%
5%
17.5x
3.9x 1.7 %
4.6 %
(0)%
12 %
(14)%
4%
S&P 500
18ee3da7952d45efb4b53828771bcd9c
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
DOMESTIC
outperforming
102
102
90
Domestic vs. Global
104
CYCLICALS
outperforming
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
10
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Sectors – Relative Performance vs. S&P 500
100%
4%
Dec-22
Mar-23
Dec-22
Mar-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
102
90
Communication Services
110
120
120
105
115
115
110
110
90
105
105
85
100
100
95
95
90
90
Utilities
140
130
100
95
120
110
80
75
100
Jun-22
Mar-22
Dec-21
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
90
Dec-21
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
65
Sep-21
70
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
11
18ee3da7952d45efb4b53828771bcd9c
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
95
Sep-21
Mar-23
Dec-22
Sep-22
98
Jun-22
80
Mar-22
100
Dec-21
100
Health Care
Mar-23
9
8
7
4
4
3
100
104
125
Dec-22
Underw eight
5
6
3
9
1
8
Jun-22
106
Mar-22
140
Consumer Staples
Sep-22
8
5
3
2
(27)
105
Dec-21
108
Sep-21
160
125
Jun-22
3
12
13
3
8
110
110
Sep-21
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
9%
7
3
(0)
(1)
115
112
120
Mar-22
YTD
114
180
Dec-21
1%
1
5
7
15
Neutral
Real Estate
116
200
Dec-21
Sep-21
Materials
220
Sep-21
116
114
112
110
108
106
104
102
100
98
96
94
Energy
Semiconductors & Semi Equipment
Media & Entertainment
Materials
Industrials
Automobiles & Components
Technology Hardw are & Equipment
S&P 500
S&P
500
Wgt
Sep-22
Industrials
Sep-21
Mar-22
90
Mar-23
92
Dec-22
75
Overw eight
Real Estate
Financials
Softw are & Services
Utilities
Cons. Discretionary ex. Autos & Durables
95
Sep-22
94
Jun-22
96
80
Consumer Durables & Apparel
Telecommunication Services
Energy
Consumer Staples
Health Care
100
Mar-22
85
Goldman
Sachs
Weighting
Sectors
105
Dec-21
98
110
Sep-21
100
90
Mar-23
95
Dec-22
102
Sep-22
100
Jun-22
104
Dec-21
105
Sep-21
106
Recommended Sector Positioning
Information Technology
Sep-22
Financials
110
Sep-21
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Consumer Discretionary
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Industry Groups – Relative Performance vs. S&P 500 and 3 largest stocks
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Mar-23
Dec-22
Mar-23
Dec-22
Sep-22
Jun-22
Dec-21
Sep-21
Mar-23
Dec-22
Sep-22
Mar-22
Jun-22
Jun-22
105
100
Mar-23
Dec-22
90
Sep-22
95
92
Jun-22
96
Mar-22
Mar-23
Jun-22
Mar-22
Dec-21
77%
8%
2%
110
Source: FactSet, compiled by Goldman Sachs Global Investment Research.
13 January 2023
12
18ee3da7952d45efb4b53828771bcd9c
100
115
Mar-23
100
15%
9%
9%
JNJ
MRK
LLY
120
Dec-22
104
22%
9%
6%
Sep-22
105
Pharma, Biotech, & Life Sciences
125
Jun-22
108
23%
13%
9%
Mar-22
110
UNH
ABT
CVS
NVDA
AVGO
TXN
Dec-21
112
Sep-21
Mar-23
Dec-22
12%
11%
10%
125
120
115
110
105
100
95
90
85
80
75
Health Care Equipment & Services
115
AAPL
CSCO
APH
Mar-22
Mar-23
Dec-22
90
116
95
Sep-22
Sep-22
Jun-22
Mar-22
Dec-21
95
120
90
CB
MMC
PGR
100
Dec-22
90
Jun-22
Mar-22
105
Sep-22
42%
9%
8%
95
Mar-22
Mar-23
110
Technology Hardware & Equipment
MSFT
V
MA
Dec-21
Dec-22
115
100
Software & Services
Sep-21
Sep-22
120
Sep-21
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
125
102
94
Semiconductors
130
96
105
85
32%
7%
7%
98
32%
19%
13%
75
Insurance
135
Dec-21
90
100
80
Dec-21
104
BRK.B
SCHW
SPGI
45%
18%
7%
85
Sep-21
100
70
90
Sep-21
106
JPM
BAC
WFC
95
Diversified Financials
108
80
95
Sep-21
Banks
110
100
100
85
AMZN
HD
LOW
105
90
Jun-22
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
65
Sep-21
70
Dec-21
60
52%
10%
8%
NKE
DHI
LEN
Mar-22
75
28%
18%
13%
Dec-21
80
Retailing
110
Sep-21
85
80
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
100
90
100
MCD
SBUX
BKNG
105
95
120
40
105
Dec-21
70%
11%
11%
Consumer Services
110
Sep-21
TSLA
GM
F
140
Consumer Durables & Apparel
110
Sep-22
Automobiles & Components
160
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Industry Groups – Relative Performance vs. S&P 500 and 3 largest stocks (continued)
90
100
120
100
80
90
110
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Jun-22
Mar-22
16%
8%
7%
100
90
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
70
Sep-21
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
Mar-23
Dec-22
Sep-22
Jun-22
60
Mar-22
Dec-21
90
43%
34%
22%
NEE
DUK
SO
Source: FactSet, compiled by Goldman Sachs Global Investment Research.
13 January 2023
13
18ee3da7952d45efb4b53828771bcd9c
105
VZ
T
TMUS
Mar-23
130
80
Mar-23
110
49%
15%
9%
Dec-22
100
GOOGL
META
DIS
Dec-22
110
70
Sep-22
140
12%
12%
7%
Sep-22
120
PLD
AMT
EQIX
Dec-21
Utilities
110
95
Sep-21
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Telecommunication Services
115
Jun-22
Media & Entertainment
90
63%
11%
11%
PG
CL
EL
95
Dec-21
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
100
Mar-22
Real Estate
Dec-21
Mar-23
Dec-22
Sep-22
Jun-22
95
Mar-22
98
Dec-21
100
Sep-21
100
Sep-21
105
102
Dec-21
104
105
Sep-21
110
110
Sep-21
106
115
Mar-23
115
27%
18%
9%
Household & Personal Products
Dec-22
108
80
20%
19%
13%
PEP
KO
PM
Sep-22
110
41%
40%
8%
XOM
CVX
COP
100
120
Jun-22
120
23%
22%
12%
Food Beverage & Tobacco
135
130
125
120
115
110
105
100
95
90
85
Mar-22
COST
WMT
SYY
125
Dec-21
Mar-23
Dec-22
Sep-22
95
Dec-21
112
120
UPS
UNP
CSX
Food & Staples Retailing
130
17%
7%
7%
LIN
APD
FCX
114
140
Sep-21
Materials
116
160
100
WM
20%
CTAS 14%
CSGP 12%
Jun-22
90
180
105
Mar-22
90
110
Dec-21
95
Mar-23
95
Dec-22
100
Sep-22
100
Jun-22
105
Mar-22
105
Dec-21
110
Sep-21
200
115
110
Sep-21
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
7%
7%
7%
Energy
220
115
Sep-21
RTX
HON
CAT
115
Transportation
Commercial & Professional Services
120
Sep-21
Capital Goods
120
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
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Goldman Sachs
US Weekly Kickstart
S&P 500 Sector and Industry Group Performance
1 Week
4.6 %
1 Month
(0.0)%
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
S
E
C
T
O
R
I
N
D
U
S
T
R
Y
G
R
O
U
P
3 Months
12 %
Last 12 Months
(14)%
YTD
4%
Real Estate
Information Technology
Consumer Discretionary
Materials
Communication Services
Industrials
Energy
Financials
Utilities
Consumer Staples
Health Care
3%
26
10
3
8
9
5
12
3
7
15
8.1 %
7.4
7.3
7.2
5.5
4.4
4.2
3.6
2.9
0.8
0.3
4.1 %
(2.6)
(0.6)
2.6
3.7
2.3
7.0
3.1
(0.3)
(2.3)
(2.9)
18 %
11
(2)
22
7
22
13
19
17
11
11
(16)%
(23)
(31)
(6)
(35)
(2)
49
(12)
6
(0)
0
8%
5
7
7
8
4
3
5
2
(0)
(1)
Automobiles & Components
Semiconductors & Semiconductor Equipment
Real Estate
Retailing
Materials
Software & Services
Transportation
Technology Hardware & Equipment
Media & Entertainment
Consumer Durables & Apparel
Diversified Financials
Consumer Services
Energy
Capital Goods
Food & Staples Retailing
Banks
Utilities
Telecommunication Services
Commercial & Professional Services
Insurance
Health Care Equipment & Services
Food Beverage & Tobacco
Pharmaceuticals Biotechnology & Life Sciences
Household & Personal Products
1%
5
3
6
3
13
2
8
6
1
5
2
5
6
2
4
3
1
1
2
6
4
9
2
10.9 %
10.4
8.1
7.7
7.2
6.8
6.7
6.4
6.1
5.5
4.8
4.4
4.2
4.0
4.0
3.1
2.9
2.6
2.4
1.8
0.9
(0.0)
(0.1)
(0.4)
(19.7)%
(0.7)
4.1
3.1
2.6
(1.1)
1.9
(6.0)
3.1
11.8
2.6
0.9
7.0
3.1
(2.3)
4.8
(0.3)
6.9
(2.9)
1.8
(4.1)
(2.9)
(2.0)
(0.9)
(32)%
29
18
(1)
22
12
18
1
4
34
21
19
13
25
7
18
17
22
9
16
9
9
13
20
(61)%
(28)
(16)
(27)
(6)
(20)
(11)
(22)
(38)
(17)
(10)
(5)
49
2
(4)
(23)
6
(5)
(3)
10
(5)
5
5
(7)
4%
9
8
8
7
3
7
3
8
9
5
7
3
4
4
5
2
7
1
3
(2)
(2)
(0)
(0)
Top quartile
Bottom quartile
Region
Cycle
Global
Cyclicals
Global
Cyclicals
Domestic
Defensives
Domestic
Defensives
Global
Cyclicals
Global
Defensives
Domestic
Cyclicals
Global
Cyclicals
Global
Defensives
Global
Cyclicals
Domestic
Cyclicals
Global
Defensives
Global
Cyclicals
Global
Cyclicals
Domestic
Defensives
Domestic
Cyclicals
Domestic
Defensives
Domestic
Defensives
Domestic
Cyclicals
Domestic
Cyclicals
Domestic
Defensives
Global
Defensives
Global
Defensives
Global
Defensives
18ee3da7952d45efb4b53828771bcd9c
Weight
100 %
S&P 500
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
14
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Style and Size
Growth vs. Value
110
Russell 1000 outperforming
Growth outperforming
105
115
100
95
110
90
105
85
80
100
75
YTD (% Return)
Growth Value ∆ (bps) Growth Value ∆ (bps)
Cons Discretionary
8
5
314
8
8
Financials
6
4
246
6
5
Energy
6
4
185
2
Industrials
6
5
102
5
Technology
8
7
55
3
8
(505)
Health Care
Consumer Staples
Materials
Utilities
Index
(2)
Russell Sector
Mar-23
Dec-22
Sep-22
1-Week (% Return)
YTD (% Return)
R1000 R2000 ∆ (bps)
R1000 R2000 ∆ (bps)
Cons Discretionary
7
8
(69)
8
10
(270)
158
Technology
7
8
(89)
4
7
(306)
2
(37)
Financials
4
5
(116)
5
5
49
5
9
Materials
8
9
(155)
8
10
(163)
Utilities
3
5
(186)
1
4
(261)
0
0
6
(1)
(0)
(91)
Industrials
5
7
(212)
5
7
(163)
(0)
1
(91)
(2)
(1)
(86)
Consumer Staples
0
4
(340)
(1)
4
(460)
7
8
(136)
5
9
(418)
Energy
5
9
(467)
2
4
(139)
(0)
3
(322)
(3)
2
(435)
Health Care
0
7
(615)
(0)
6
(595)
6
4
222
4
4
(38)
5
7
(222)
4
7
(256)
Index
18ee3da7952d45efb4b53828771bcd9c
Russell Sector
Mar-22
Sectors: Russell 1000 vs. Russell 2000
Sectors: Russell 1000 Growth vs. Value
1-Week (% Return)
Jun-22
Russell 2000 outperforming
Dec-21
Mar-23
Dec-22
Sep-22
Mar-22
Jun-22
95
Sep-21
Value outperforming
Dec-21
70
Sep-21
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Large-cap vs. Small-cap
120
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
15
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20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
US Portfolio Strategy Baskets are available on GS Marquee platform
Total Return
10
Low Liquidity
10
Dual Beta
9
Interest Rate Sensitive
8
Capex and R&D
Debt Reducers
8
Weak Balance Sheet
8
Geographic
Sales
8
Short Duration
8
Long Duration
BRICs Sales
7
International Sales
7
Low Tax
6
High Hedge Fund Concentration
6
Debt Issuers
6
High Sharpe Ratio
6
Fundamental
7
Western Europe Sales
6
High Revenue Growth
6
Dividend Growth
Hedge Fund "VIP" List
6
Buyback
6
High Labor Cost
6
High Growth Investment Ratio
6
5
ROE Growth
5
Uses of Cash
6
Low Operating Leverage
Total Cash Return to Shareholders
5
High Liquidity
Hedge Fund Very Important Shorts
5
Strong Balance Sheet
5
Low Labor Cost
4
High Operating Leverage
4
Risk &
Liquidity
4
High Quality Stock
4
S&P 500
4
Mutual Fund Underweight Positions
Low Hedge Fund Concentration
4
Stable Growers
3
Hedge Funds &
Mutual Funds
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Macroeconomic
Ticker
3
High Tax
3
Domestic Sales
3
Mutual Fund Overweight Positions
0
1
2
3
4
5
6
7
8
9
10
11
12
1 wk
1 mo
P/E
YTD
NTM
growth
19x
3.5x
3.4 %
Dual Beta
GSTHBETA
7.8 %
4%
Interest Rate Sensitive
GSTHUSTY
6.3
4
9
13
2.0
7.1
High Tax
GSTHHTAX
4.2
(1)
3
16
2.5
7.2
Low Tax
GSTHLTAX
5.3
2
6
18
3.9
4.7
High Labor Cost
GSTHHLAB
5.3
3
6
19
3.0
7.0
Low Labor Cost
GSTHLLAB
4.4
2
4
16
2.8
4.1
Domestic Sales
GSTHAINT
3.7 %
3%
16x
2.7x
6.8 %
International Sales
GSTHINTL
5.8
4
7
19
3.8
4.5
BRICs Sales
GSTHBRIC
5.6
4
7
16
3.4
4.4
Western Europe Sales
GSTHWEUR
5.5
5
7
16
2.6
(1)%
10 %
EV/Sales `23 EPS
NTM
High Revenue Growth
GSTHREVG
6.4 %
0%
6%
22x
4.1x
High Operating Leverage
GSTHOPHI
4.1
0
4
20
2.6
16.7 %
7.4
Low Operating Leverage
GSTHOPLO
5.0
2
6
17
4.0
(1.9)
Stable Growers
GSTHSTGR
3.6
0
3
20
3.6
6.8
ROE Growth
GSTHGROE
5.0
2
5
19
3.5
11.8
High Quality Stock
GSTHQUAL
4.9
1
4
22
3.8
7.1
Long Duration
GSTHLDUR
10.5
1
8
26
4.6
24.2
Short Duration
GSTHSDUR
5.7
5
8
10
1.5
(5.5)
Strong Balance Sheet
GSTHSBAL
5.5
(0)
5
26
5.1
8.3
Weak Balance Sheet
GSTHWBAL
5.4
3
8
14
2.6
7.0
Capex and R&D
GSTHCAPX
6.0 %
3%
8%
11x
2.2x
Total Cash Return to Shareholders
GSTHCASH
4.0
2
5
13
2.0
(1.3)%
3.2
Buyback
GSTHREPO
5.0
3
6
14
2.0
2.5
Dividend Growth
GSTHDIVG
4.4
3
6
13
2.6
1.3
High Growth Investment Ratio
GSTHHGIR
6.0
0
6
18
3.4
8.0
Debt Issuers
GSTHDISS
5.4
3
6
17
2.6
5.7
Debt Reducers
GSTHDRED
5.5
3
8
13
2.1
4.3
7.0 %
High Sharpe Ratio
GSTHSHRP
5.7 %
2%
6%
14x
2.5x
High Liquidity
GSTHHLIQ
3.9
2
5
19
3.3
5.6
Low Liquidity
GSTHLLIQ
9.4
5
10
18
3.2
19.2
Hedge Fund "VIP" List
GSTHHVIP
6.0 %
2%
6%
20x
4.5x
Hedge Fund Very Important Shorts
GSTHVISP
4.1
2
5
15
3.1
2.2
High Hedge Fund Concentration
GSTHHFHI
4.0
3
6
16
2.8
10.9
Low Hedge Fund Concentration
GSTHHFSL
3.3
1
4
16
4.0
7.0
Mutual Fund Overweight Positions
GSTHMFOW
3.7
0
3
17
3.2
12.7
Mutual Fund Underweight Positions
GSTHMFUW
4.3
(0)
4
21
3.7
4.9
18
3.0
6.0
S&P 500 Median
18ee3da7952d45efb4b53828771bcd9c
YTD Performance
For details and constituents of our baskets see Anatomy of our US Portfolio Strategy Thematic and Sector Baskets, March 30, 2022
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
16
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Goldman Sachs
US Weekly Kickstart
US Portfolio Strategy Baskets – Relative performance vs. S&P 500
Macroeconomics
Dual Beta
110
Interest Rate Sensitive
108
Bloomberg <ticker>
GSTHBETA
US Sales
112
GSTHUSTY
110
106
105
GSTHAINT
GSTHINTL
102
100
106
102
100
International Sales
104
108
104
104
98
102
96
100
98
96
High vs. Low Tax Rate
GSTHLLAB/
GSTHHLAB
GSTHBRIC
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
GSTHWEUR
100
98
100
104
96
100
98
102
94
96
94
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
88
Dec-21
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
92
90
Mar-22
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
96
Sep-21
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
98
Dec-21
96
92
Sep-21
100
Sep-21
98
94
Sep-21
Jun-23
Mar-23
Sep-22
Dec-22
Western Europe Sales
102
102
106
102
Jun-22
BRICs Sales
104
GSTHHTAX/
GSTHLTAX
108
104
90
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
17
18ee3da7952d45efb4b53828771bcd9c
110
Mar-22
92
Dec-21
Jun-23
Mar-23
Dec-22
Sep-22
94
Jun-22
92
Mar-22
96
Dec-21
94
Low vs. High Labor Cost
106
94
98
Sep-21
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
90
85
100
Sep-21
95
Sep-21
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Geographic Sales
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
US Portfolio Strategy Baskets – Relative performance vs. S&P 500 (continued)
Fundamentals
High vs. Low
Operating Leverage
Revenue Growth
106
104
104
100
90
100
80
98
96
96
Mar-23
Dec-22
Sep-22
Jun-22
Jun-23
Stable Growers
108
GSTHHACF/
GSTHLACF
106
120
105
115
100
110
104
102
102
100
100
98
Sep-22
Jun-22
Mar-22
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
94
Dec-21
96
Sep-21
Jun-23
Mar-23
Dec-22
Sep-22
95
Jun-22
85
Mar-22
100
Dec-21
90
Sep-21
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
98
105
Sep-21
95
96
GSTHSTGR
18ee3da7952d45efb4b53828771bcd9c
125
GSTHSBAL/
GSTHWBAL
110
104
High vs. Low Adjusted FCF
Jun-23
115
GSTHQUAL
50
Jun-23
Strong vs. Weak Balance Sheet
Mar-22
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
90
Mar-23
106
92
60
Mar-23
High Quality
92
Sep-21
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
90
94
Dec-21
94
92
70
94
Sep-21
96
Dec-22
98
Dec-22
98
Sep-22
100
Jun-22
100
GSTHLDUR/
GSTHSDUR
102
102
Sep-21
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
104
102
110
GSTHGROE
Mar-22
106
GSTHOPHI/
GSTHOPLO
Dec-21
Bloomberg <ticker>
GSTHREVG
ROE Growth
106
Sep-21
108
Long vs. Short
Duration
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
18
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Goldman Sachs
US Weekly Kickstart
US Portfolio Strategy Baskets – Relative performance vs. S&P 500 (continued)
Uses of Cash
Capex and R&D
106
High Growth Investment Ratio
Debt Reducers vs. Issuers
104
Bloomberg <ticker>
GSTHCAPX
104
Risk & Liquidity
114
GSTHHGIR
112
102
GSTHSHRP
110
108
106
108
100
104
106
102
104
102
110
106
GSTHCASH
120
GSTHREPO
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Jun-23
Mar-23
Low vs. High Liquidity
Dividend Growth
110
GSTHDIVG
GSTHLLIQ/
GSTHHLIQ
115
104
106
Dec-22
94
Sep-22
98
Jun-22
96
Mar-22
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
100
Buybacks
108
105
110
104
102
102
100
105
100
100
100
95
98
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
90
Sep-21
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
90
Mar-22
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
96
Sep-21
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
96
Dec-21
95
Sep-21
98
94
98
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
19
18ee3da7952d45efb4b53828771bcd9c
Total Cash Return
Mar-22
Dec-21
94
Sep-21
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
94
Dec-21
96
92
100
Dec-21
96
Sep-21
98
Sep-21
98
Sep-21
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
GSTHDRED/
GSTHDISS
110
102
100
High Sharpe Ratio
112
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
US Portfolio Strategy Baskets – Relative performance vs. S&P 500 (continued)
Hedge Fund Ownership
Hedge Fund VIP
105
Mutual Fund Ownership
Short Positions
104
Bloomberg <ticker>
GSTHHVIP
Overweight Positions
110
GSTHVISP
103
102
GSTHMFUW
108
106
101
106
104
100
90
102
104
99
100
98
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Jun-23
Dec-22
Sep-22
Jun-23
88
100
86
98
84
96
18ee3da7952d45efb4b53828771bcd9c
102
Dec-22
90
Sep-22
104
Jun-22
92
Mar-22
106
Dec-21
94
Jun-23
108
Mar-23
96
Dec-22
110
Sep-22
98
Jun-22
112
Mar-22
98
GSTHHFSL
114
100
Dec-21
Mar-23
116
GSTHHFHI
102
100
Low Concentration
Sep-21
104
Mar-23
High Concentration
Jun-22
94
Mar-22
95
Dec-21
96
Sep-21
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
Sep-21
96
Dec-21
97
80
75
102
98
Sep-21
85
Sep-21
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
GSTHMFOW
108
100
95
Underweight Positions
110
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
20
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
S&P 500 Earnings, Sales and Revisions
GS Top-Down EPS & Consensus Bottom-Up EPS
GS Top-Down
Contribution
EPS growth
2021A 2022E 2023E 2022E 2023E
$47
$47
$49
Health Care
35
36
35
5
Financials
39
33
35
Communication Services
23
19
Industrials
13
Consumer Discretionary
15
Consumer Staples
(2.1)
Communication Services
(0.0)
(0.9)
(5.2)
(11.1)
0.6
(0.1)
(0.8)
(2.4)
Health Care
(0.3)
(0.6)
(0.3)
(3.1)
0.1
(0.0)
0.3
(0.0)
Materials
(0.4)
(1.0)
(4.5)
(6.0)
(0.1)
(0.2)
(0.7)
(1.5)
S&P 500
(0.6)
(1.4)
(1.5)
(4.9)
0.2
(0.5)
(0.2)
(1.8)
S&P 500 ex. Energy
(0.7)
(1.4)
(2.0)
(5.2)
(0.0)
(0.4)
(0.3)
(1.6)
(9)
Information Technology
(0.8)
(1.5)
(2.3)
(6.2)
(0.0)
(0.1)
(0.7)
(2.7)
5
12
Consumer Discretionary
(0.9)
(3.1)
(4.3)
(8.9)
(0.5)
(1.0)
(1.0)
(3.7)
22
6
Utilities
(1.0)
(0.7)
(1.3)
(0.6)
NM
NM
NM
NM
5
Financials
(1.1)
(1.8)
(2.1)
(3.0)
NM
NM
NM
NM
Consumer Staples
(1.4)
0.0
(0.8)
(0.9)
(0.0)
0.3
0.5
0.7
Real Estate
(2.7)
(2.1)
8.3
(6.5)
NM
NM
NM
NM
32
36
(17)
12
19
(17)
(0)
19
20
(17)
5
16
16
23
(0)
16
18
27
10
15
14
(4)
(0)
15
18
(2)
18
12
12
13
2
3
13
13
4
5
Materials
7
8
7
9
(10)
7
7
5
Utilities
6
6
6
5
5
6
7
Real Estate
5
6
6
22
4
6
6
200
197
200
(1)
1
198
207
(1)
9
27
25
(8)
24
21
7%
0%
$222
$228
161
(15)
6%
3%
Earnings Growth (consensus bottom-up)
2023 Earnings Per Share Growth
Consumer Discretionary
Financials
Utilities
Industrials
Real Estate
Consumer Staples
S&P 500 ex. Energy
Communication Services
S&P 500
Information Technology
Health Care
Materials
Energy
1QE
13 %
3
(4)
22
11
(0)
(4)
(12)
(2)
(8)
(12)
(21)
23
2QE
19 %
11
12
4
4
6
2
(1)
(2)
(0)
(8)
(16)
(31)
3QE
17 %
19
17
12
2
7
8
18
4
4
(4)
4
(24)
4QE
24 %
15
28
6
8
9
13
18
11
15
7
6
(10)
(3.8)%
(0.1)
7
$224
0.1 %
(1.7)%
(15)
$224
23E
(1.3)
(5)
$209
22E
1.5 %
5
2.8 %
3 month
23E
0.1
3%
(1.9)%
22E
(2.2)%
35
S&P 500 EPS
0.1 %
23E
(3.8)
1%
Energy
22E
(1.0)
36
186
23E
1 month
(1.7)
(3)
Energy
22E
SALES REVISIONS
3 month
(0.0)
$49
S&P 500 ex-Energy
3%
1 month
Industrials
$47
Information Technology
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
1%
EPS REVISIONS
Adjusted EPS
Consensus Bottom-Up
Contribution
EPS growth
2022E 2023E 2022E 2023E
Sales Growth (consensus bottom-up)
Annual
2023E 2024E
18 % 21 %
10
12
8
12
13
10
6
6
8
5
5
13
18
5
3
11
16
3
9
(5)
4
(9)
(8)
(15)
2023E Sales Per Share Growth
Communication Services
Consumer Discretionary
Consumer Staples
S&P 500 ex. Energy
Information Technology
Health Care
Industrials
S&P 500
Materials
Energy
1QE
7%
7
7
4
1
3
6
5
(0)
7
2QE
9%
6
6
4
2
3
3
1
(1)
(18)
3QE
11 %
6
6
5
5
4
2
3
3
(10)
4QE
6%
5
4
5
8
4
2
4
0
(3)
Annual
2023E 2024E
8%
8%
6
8
6
3
5
4
4
9
4
5
3
5
3
5
1
(1)
(7)
(5)
18ee3da7952d45efb4b53828771bcd9c
Adjusted EPS
Earnings & Sales Revisions (Consensus)
Source: FirstCall, I/B/E/S, FactSet, and Goldman Sachs Global Investment Research.
13 January 2023
21
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Valuation: Absolute and Relative
S&P 500 NTM P/E
S&P 500 Cost of Equity = ERP + 10-yr UST
NTM P/E (x)
30
25
17.5
14
12
15
10
10
10-yr rolling avg
5
0
1980
1985
1990
1995
2000
2005
2010
2015
2020
2025
Cost of
Equity
8
6
S&P 500 LTM P/B
6
5
3.9
P/B
4
3
2
0
1980
2
0
1985
10-yr rolling avg
1
ERP
10 Year
UST
4
1990
1995
2000
2005
2010
2015
2020
2025
We estimate the equity risk premium (ERP) using our DDM framework to model expected future cash flows.
1985
1990
1995
2000
2005
2010
2015
2020
2025
We solve for the cost of equity that implies the market is at ‘fair value’ and then deduct the 10-year US treasury.
Current aggregate valuation metrics - absolute
Current relative valuation vs. historical average (Z-score)
30-year
10-year
EV/
EV/
Price/
Sales EBITDA Book
FCF
Yield
4.2 %
PEG
Ratio
NTM
P/E
EV/
Sales
1.7x 17.5x
S&P 500
0.4
Comm Services
EV/
Price/
EBITDA Book
S&P 500
2.5x
12.2x
3.9x
Energy
1.4
5.5
2.7
11.3
Financials
NM
NM
1.6
NM
2.7
12.8
Real Estate
NM
NM
Comm Services
2.8
8.0
2.6
6.0
2.1
15.1
Materials
(1.1)
(1.4)
10.1
FCF
Yield
PEG
Ratio
P/E
Median
Z-Score
Median
Z-Score
0.4
(0.2)
0.8
0.2
1.2
(0.1)
0.3
0.7
(3.1)
(3.1)
(2.3)
(2.2)
2.5
(2.9)
(2.6)
(1.8)
(2.1)
NM
(2.4)
(0.5)
(2.1)
(0.4)
(0.8)
(1.1)
1.0
0.1
(1.0)
(0.4)
Materials
2.2
8.9
3.0
5.2
2.3
16.9
Energy
(0.9)
(1.0)
0.8
(2.4)
0.2
(0.9)
(0.9)
(1.1)
Health Care
2.0
13.3
4.9
5.7
2.7
17.2
Financials
NM
NM
(0.1)
NM
1.0
(0.2)
(0.1)
(0.5)
Real Estate
NM
NM
3.4
NM
5.4
17.6
Cons Discr
(0.4)
0.7
(0.1)
2.7
(0.4)
(0.1)
(0.1)
0.9
(0.5)
0.5
(0.2)
(0.6)
1.8
0.6
0.2
(0.5)
0.4
1.5
(0.0)
1.5
(0.4)
0.1
0.3
0.4
Industrials
2.4
14.0
5.3
3.3
1.7
18.6
Health Care
Utilities
NM
13.2
2.3
(4.6)
2.9
19.0
Industrials
Cons Staples
1.8
15.6
6.4
3.7
3.2
20.7
Cons Staples
0.2
1.8
0.1
1.6
(0.1)
1.0
0.6
0.7
Info Tech
5.4
15.5
8.0
4.0
1.9
21.0
Info Tech
1.1
1.2
0.4
1.3
0.3
1.4
1.2
0.5
Cons Discr
2.1
15.2
8.0
1.0
1.3
22.4
Utilities
NM
1.6
(0.4)
3.0
(1.2)
2.0
1.6
1.6
18ee3da7952d45efb4b53828771bcd9c
LTM P/B (x)
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
P/E
20
Source: FactSet, I/B/E/S, FirstCall, and Goldman Sachs Global Investment Research.
13 January 2023
22
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Valuation: Sector baskets
1.9x
1.5x
1.4x
Relative NTM P/E
Cyclicals vs. Defensives
1.8x
Cyclicals more
expensive
1.6x
1.2x
1.5x
1.1x
1.4x
1.3x
1.0x
75th %ile
0.9x
1.2x
1.1x
0.8x
0.6x
1980
1.0x
25th %ile
0.7x
1985
1990
1995
2000
2005
0.9x
2010
2015
2020
0.8x
1980
1985
Cyclicals vs. S&P 500
1.4x
Cyclicals more
expensive
1.1x
1995
2000
2005
2010
2015
2020
Defensives vs. S&P 500
1.2x
Relative NTM P/E
Cyclicals vs. S&P 500
1990
1.3x
Relative NTM P/E
Defensives vs. S&P 500
Defensives more
expensive
1.2x
1.0x
18ee3da7952d45efb4b53828771bcd9c
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
1.3x
Relative NTM P/E
Global vs. Domestic
Global more
expensive
1.7x
1.1x
1.0x
0.9x
0.9x
0.8x
1980
1985
1990
1995
2000
2005
2010
2015
2020
0.8x
1980
1985
1990
1995
2000
2005
2010
2015
2020
Source: Compustat, FactSet, I/B/E/S, and Goldman Sachs Global Investment Research.
13 January 2023
23
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Factors: Performance and Valuation
Momentum
120
Growth vs. Value
130
125
115
120
Value Factor
<GSMEFVAL>
(low vs. high)
115
110
110
105
100
100
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
More expensive
Relative to last 35 years
0.0
18ee3da7952d45efb4b53828771bcd9c
Standard deviation of
current valuation vs. historical averages
Relative to last 10 years
80
Sep-21
85
1.0
0.5
Growth Factor
<GSMEFGRO>
(high vs. low)
90
Jun-23
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
95
90
95
Momentum Factor
<GSMEFMOM>
(leaders vs. laggards)
Sep-21
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
105
-0.5
-1.0
Factor valuation
-1.5
-2.0
P/E multiple z-scores
compared with history
Volatility
(low vs. high)
Momentum
Size
Valuation
(leaders vs. (small vs. large) (low vs. high)
laggards)
Growth
(high vs. low)
Returns
(high vs. low)
Margins
(high vs. low)
Dividend yield Balance sheet
(high vs. low)
(strong vs.
weak)
Source: Compustat, FactSet, I/B/E/S, and Goldman Sachs Global Investment Research.
13 January 2023
24
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20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Fund Flows, Fund Performance, and Short Interest
Mutual Fund Performance
60
% of Large-Cap Core Mutual Funds
Domestic equity fund flows
(4wk avg)
Mutual
funds
ETFs
50
Mutual Fund Style
Large-Cap Core
Large-Cap Growth
Large-Cap Value
40
Total
10
1.0
0.0
2.0
(9.4)
(8.0)
492
1.2
1.2
4,306
(0.1)
5.2
2,104
3.4
5.2
565
(1.6)
(1.8)
616
0.7
2.5
Int'l Equity
Global
ESG/SRI
980
0.9
2.8
314
0.3
0.6
All Bonds
4,734
(2.4)
1.6
1,783
5.6
22.3
3,933
(1.3)
1.9
1,242
3.1
14.9
All Taxable Bond
Gov't Treasury
363
0.5
1.2
432
2.2
5.9
Municipal Bond
438
(1.5)
(1.5)
108
0.4
1.5
ESG/SRI
388
0.5
1.1
65
0.4
0.6
7,064
19.2
121.3
65
(0.6)
(0.7)
Money Market
18ee3da7952d45efb4b53828771bcd9c
4,517
0.7
10.0
1.8%
1.7%
1.7%
1.6%
1.5%
1.4%
1.3%
Mar-23
(0.6)
0.3
9.0
Dec-22
(0.9)
671
8.0
Sep-22
3,565
U.S. Equity
Equity Income
7.0
Jun-22
(0.3)
6.0
Mar-22
(5.2)
Dec-21
7,237
5.0
Short interest % of market cap
S&P 500 median
1.9%
Sep-21
2.8
2.0%
Jun-21
(2.6)
4.0
Short Interest
Mar-21
8,435
3.0
YTD total return (%)
Dec-20
All Equity
Distribution of
Large-Cap Core
Mutual Fund
YTD returns
20
0
Short interest % of cap
($ billions)
EPFR ETF Fund Flows
Total
Total 4-Wk Avg Flows
Assets
Flows
YTD
Average
YTD return
4.0 %
52%
Weekly fund flows
EPFR Mutual Fund Flows
Total
Total 4-Wk Avg
Flows
Assets
Flows
YTD
% outperf
YTD
50%
74
34
30
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Net
flows
Dec-21
36
32
28
24
20
16
12
8
4
0
(4)
(8)
(12)
(16)
Sep-21
$ Billions
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Domestic equity fund flows
Source: FactSet, EPFR, and Goldman Sachs Global Investment Research.
13 January 2023
25
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20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Correlation, Breadth and Dispersion
S&P 500 3-month Return Dispersion
Sector and Stock Correlation
0.9
40pp
+/- 1 standard deviation (pp)
0.2
Average stock correlation
15pp
Sep-21
Mar-23
Dec-22
Sep-22
Jun-22
Sep-21
Dec-21
Mar-22
0.0
20pp
Goldman Sachs Breadth Index (GSBI)
100
30-yr avg = 35
σ = 28
90
Return Dispersion
+/- 1 Standard Deviation
1-Month Returns
3-Month Returns
GS Breadth Index
Current
Jan 12
80
70
S&P 500
60
Real Estate
50
Financials
9
40
Materials
14
Consumer Discretionary
30
Current
20
14
𝑅𝑅 2 ∗ ∑ 𝑤𝑤 2
𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵𝐵ℎ =
∑ 𝑤𝑤 2 𝑟𝑟 2
R = SPX return
w = individual constituent weights
r = individual constituent returns
2024
2022
2020
2018
2016
2014
2012
2010
2008
2006
2004
2002
2000
1998
1996
1992
1990
1988
0
1986
10
1994
<5 = Narrow breadth
30-Year Historical
Average
%ile
Current
Jan 12
30-Year Historical
Average
%ile
13 pp
16 pp
24 %
29 pp
28 pp
71 %
8 pp
9 pp
58 %
25 pp
15 pp
90 %
13
27
30
22
86
14
56
31
25
84
14
17
36
35
29
83
Health Care
16
15
68
32
26
83
Industrials
13
13
57
29
23
83
Energy
12
14
43
32
25
82
Communication Services
11
15
31
33
27
78
6
10
24
18
17
69
12
19
16
27
33
39
9
12
20
16
22
11
Utilities
Information Technology
Consumer Staples
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
26
18ee3da7952d45efb4b53828771bcd9c
0.1
25pp
Mar-23
0.3
29pp
Dec-22
0.41
0.4
30-year average:
28 pp
30pp
Sep-22
0.5
35pp
Jun-22
0.6
S&P 500 3-month
return dispersion
Mar-22
Average 3-Month Correlation
0.7
Goldman Sachs Breadth Index
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
0.75
Dec-21
Average sector correlation
0.8
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Economics
GDP
7.0
700
6.0
600
US Labor Market
Economic Surprise (MAP)
(right axis)
8
4
6
0
4
2
-4
0
-8
-2
Mar-23
99.0
0.0
98.0
(1.0)
97.0
Sep-22
Jun-22
Negative
Data Surprises
Mar-22
(2.0)
Dec-21
-12
Dec-22
100.0
Sep-21
Mar-23
Dec-22
Sep-22
Jun-22
Mar-22
Dec-21
(left axis)
Financial Conditions
Index
1.0
US CAI
Sep-21
-4
US-MAP Surprise Index
US CAI
8
China CAI
Tighter
101.0
2.0
12
10
Positive
Data Surprises
96.0
Looser
Mar-23
12
US MAP
Surprise
Index
Dec-22
14
Sep-22
16
Financial Conditions (FCI)
102.0
Our Current Activity Indicator (CAI) measures the growth signal in major high-frequency activity indicators for the US economy, expressed in GDP-equivalent units.
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
27
18ee3da7952d45efb4b53828771bcd9c
Current Activity (CAI)
Sep-22
16
3.0
2023
2022
100
Jun-22
1.0
Mar-22
Q4
Jun-22
Q3
Dec-21
Q2
Sep-21
Q1
Initial Jobless
Claims
Mar-22
Q4
200
Jun-21
Q3
4-Week Moving
Average
300
Sep-21
Q2
Core
PCE
Mar-23
Q1
2.0
400
Dec-21
(1.6)
500
Mar-21
Consensus
(1.4)%
Core
CPI
3.0
Dec-22
(0.6)
Initial Jobless Claims (thousands)
(0.4)%
4.0
Sep-26
0.6 %
5.0
Sep-25
1.2
Sep-24
1.2
Sep-23
1.0
Sep-21
0.8
Sep-22
Goldman Sachs
Economics
1.6 %
(2.4)%
Employment
2.6
2.6 %
Year over Year change (%)
GDP Growth (qoq annualized %)
3.2
China CAI
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
3.6 %
Core PCE and CPI
byercr\home\Desktop\BCB_0-SA_MAIN\BCB_2020-NOV20\REPOST-USKickstart\Kickstart2020-11-
20T22_44_20Z2020-11-20T23_19_23Z.pptx
Goldman Sachs
US Weekly Kickstart
Goldman Sachs Global Macro Forecasts
Goldman Sachs US Economics Forecasts
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Equities
TOPIX
MXAPJ
STOXX Europe 600
S&P 500
units
Current
3m
6m
12m
Change
to Target
level
level
level
level
1908
538
450
3983
2000
540
420
3600
2050
560
440
3900
2200
580
465
4000
15 %
8
3
0
Ten Year Rates
US
Euro Area (Germany)
Japan
%
%
%
3.4
2.1
0.5
3.7
2.8
0.5
4.1
2.8
0.5
4.2
2.8
0.5
77 bp
62
(1)
Corporate Bonds
High yield
Investment grade
bp
bp
419
125
410
120
400
117
390
115
(29)bp
(10)
Currencies
Euro / US Dollar
Sterling / US Dollar
US Dollar / Yen
EUR/$
£/$
$/¥
1.08
1.22
130
1.02
1.15
136
1.02
1.15
136
1.10
1.22
126
2%
1
(3)
Commodities
WTI Crude Oil
Brent Crude Oil
LME Copper
NYMEX Nat. Gas
COMEX Gold
ICE TTF Nat. Gas
$/bbl
$/bbl
$/mt
$/mmBtu
$/troy oz
$/mmBtu
79
84
9072
4
1899
20
89
95
9500
4
1850
25
95
100
10000
4
1950
35
99
105
11000
4
1950
NA
25 %
25
21
1
3
NA
EPS Forecast
2022
TOPIX
2023
2024
¥ 154 ¥ 158
¥ 168
EPS Growth
2023
3%
NTM P/E
2024
6%
Div
Current
YE 2023
Yield
12.0 x
13.1 x
2.7 %
MXAPJ
$ 38
$ 39
$ 45
4
14
13.7
12.9
3.0
STOXX
Europe 600
€ 35
€ 33
€ 35
(5)
5
13.5
13.3
3.4
$ 224 $ 224
$ 237
0
5
17.7
16.9
1.7
S&P 500
Share
of GDP
2021
100%
71
18
15
2
6
6
3
7
10
(6)
5.9%
8.3
7.4
6.4
(6.4)
10.3
9.7
10.7
2.3
(0.5)
(1,233)
2.1%
2.9
(0.1)
3.9
(7.4)
4.9
8.8
(10.6)
(3.1)
0.7
(1,363)
1.4%
2.1
(2.0)
3.0
(1.1)
3.2
4.9
(16.7)
(0.8)
1.5
(1,280)
1.6%
1.8
2.5
3.3
2.4
2.6
4.3
(0.1)
(0.1)
1.0
(1,324)
1,605
769
6,127
18.8
1,611
625
5,057
4.3
1,570
549
3,831
(7.5)
1,570
722
4,147
(2.2)
INFLATION
Core CPI
Core PCE
5.5
5.0
5.0
4.4
3.0
2.9
2.6
2.4
LABOR MARKET
Unemployment Rate
U6 Underemployment Rate
Payrolls (000s)
3.9
7.3
674
3.6
6.5
450
3.9
7.5
68
4.2
7.9
61
(2775)
98
(1375)
97
(1250)
96
(1350)
96
0.1
1.5
4.4
3.6
5.1
4.2
4.4
4.0
OUTPUT AND SPENDING
Real GDP
Consumer Spending
Total Fixed Investment
Business Fixed Investment
Structures
Equipment
IP Products
Residential Investment
Federal Government Spending
State and Local Government
Net Exports (Bil.)
HOUSING MARKET
Housing Starts (000s)
New Home Sales (000s)
Existing Home Sales (000s)
Case-Shiller Home Prices (%)
GOVERNMENT FINANCE
Federal Budget (FY, Bil.)
Federal debt-to-GDP ratio (FY, %)
FINANCIAL INDICATORS
Fed Funds Rate
10-year Treasury Rate
% Annual Change
2022E
2023E
2024E
18ee3da7952d45efb4b53828771bcd9c
Goldman Sachs Global Macro Forecasts
Real GDP
Spain
UK
Italy
Australia
Euro Area
Brazil
World
China
France
USA
Germany
Japan
Russia
2021A
5.5 %
7.6
6.7
5.2
5.3
5.3
6.2
8.6
6.8
5.9
2.6
2.2
4.7
2022E
5.3 %
4.1
3.8
3.6
3.4
3.1
2.9
2.7
2.6
2.1
1.7
1.2
(3.3)
2023E
1.3 %
(0.5)
0.5
1.9
0.6
1.2
2.2
5.0
0.7
1.4
0.1
1.4
(1.3)
2024E
1.9 %
1.0
1.2
1.7
1.6
2.2
2.8
5.3
1.4
1.6
1.7
1.4
1.8
Source: FactSet and Goldman Sachs Global Investment Research.
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Goldman Sachs
US Weekly Kickstart
Goldman Sachs Global Macro Forecasts
EURO
¥160
¥155
¥150
¥140
¥136
¥135
$100
¥130
$1.02
$1.02
¥126
¥120
$70
Investment Grade (IG) spread
Dec-24
Dec-23
Dec-22
Dec-21
Dec-24
Dec-23
Dec-22
Dec-21
¥110
Global Equity Market performance
650 bp
Investment Grade
(IG) spread
175 bp
Market
High-yield
(HY) spread
550 bp
USD
USD
150 bp
Dec-24
Dec-23
Dec-22
250 bp
390 bp
Dec-24
350 bp
Dec-23
410 bp
115 bp
Dec-22
100 bp
419 bp
400 bp
Dec-21
120 bp
75 bp
450 bp
125 bp
117 bp
125 bp
$60
High-Yield (HY) spread
200 bp
Futures
market
$81
$84
$80
¥115
$0.95
$100
$90
¥130
¥125
$95
Price Return (%) US Dollar
1-Wk 1-Mo 3-Mo
YTD
Local
Currency
Mexico (Bolsa)
8%
12 %
25 %
14 %
11 %
China (MSCI China)
3
11
30
10
10
Germany (Dax)
7
8
38
10
8
France (CAC 40)
6
8
34
9
8
Spain (IBEX 35)
5
10
35
9
7
Korea (KOSPI)
6
5
23
7
6
Europe (DJ Stoxx 600)
5
6
30
7
6
Australia (ASX 200)
6
4
21
6
3
UK (FTSE 100)
4
4
25
6
5
Brazil (Bovespa)
9
11
(1)
4
2
U.S. (S&P 500)
5
(0)
11
4
4
Japan (TOPIX)
5
3
15
3
1
Average
6%
7%
24 %
7%
6%
18ee3da7952d45efb4b53828771bcd9c
$1.05
$1.00
$110
¥136
GS
forecast
$105
Dec-24
$1.08
Dec-21
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
$1.10
$120
¥145
$1.10
Brent Crude
($/bbl)
$130
Dec-23
$1.15
$140
USD/JPY
Dec-22
EUR/USD
OIL
Dec-21
$1.20
YEN
Source: FactSet and Goldman Sachs Global Investment Research.
13 January 2023
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Goldman Sachs
US Weekly Kickstart
Politics and policies
Market-implied change in fed funds rate
350bp
250bp
Futures market expectation for
fed funds tightening/(easing)
in subsequent months
5.25
5.00
200bp
For the exclusive use of ALYKHAN.SOMANI@SUNLIFE.COM
Yield (%)
4.75
150bp
6 months:
58 bp
100bp
50bp
12 months:
5 bp
0bp
4.50
4.9%
4.25
4.3%
3.75
(100)bp
3.50
Jun-20
Dec-20
Jun-21
Dec-21
Jun-22
Dec-22
Jun-23
GS 2023E
4.2%
4.00
(50)bp
(150)bp
Dec-19
US Treasury yield curve
5.1%
Dec-23
3.25
Current
Fed
Funds
1
2
3
4
5
6
7
8
9
10
Years to Maturity
Economic Policy Uncertainty
Breakeven inflation
3.5 %
600
Economic Policy Uncertainty
US 10-year breakeven inflation rate
3.0 %
(Rolling 1-month average)
500
3.5%
3.4%
6-month
forward
2.5 %
400
2.0 %
300
1.5 %
200
Current:
131
1.0 %
100
0
Dec-18
YE 2023
Forward
0.5 %
Dec-19
Dec-20
Dec-21
Dec-22
Dec-23
0.0 %
Dec-18
Dec-19
Dec-20
Dec-21
Dec-22
Dec-23
Dec-24
Source: FactSet, PolicyUncertainty.com, Federal Reserve Bank, Haver Analytics, and Goldman Sachs Global Investment Research.
13 January 2023
30
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300bp
US Treasury yield curve
5.50
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Goldman Sachs
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Disclosure Appendix
Reg AC
We, David J. Kostin, Ben Snider, Ryan Hammond, Cormac Conners, Lily Calcagnini, Jenny Ma and Daniel Chavez, hereby certify that all of the views expressed in this report accurately reflect our personal views, which have not been
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