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商业 - 金融

华尔街应回归简单

Daryl G. Jones 2012年03月22日

分析师们倾向于简单问题复杂化,比如估值问题。但是,耽于分析可能导致难以决断。

    尽量简单——听起来很容易,但在华尔街很少有人能做到。

    过度复杂化对投资流程的侵蚀体现在很多方面,其中就包括耽于分析。无疑,我们都曾与有此类嫌疑的分析师们合作过。这类分析师会给出75页的电子表格,分析细致到清洁工总管行政助理的资本回报率,但却无力预测股价涨跌。他们迷失在了过量的信息里,无法做出决定。

    投资复杂化的另一罪状是:分析师将简单事情复杂化,比方说估值。我老家的一位朋友说,当气温为40摄氏度时,不需问天有多冷,因为你知道外面*绝对不*冷。估值也一样。如果股票或资产便宜,无需力证这一点。估值便足以说明问题了。

    上周晚些时候,我写了一篇关于标准普尔500指数的估值研究报告。目前很多股市专家认为,根据未来的普遍收益预期判断,目前的标准普尔500指数价格很便宜。不幸的是,这项分析真的没那么简单,根本原因在于,普遍预期通常都并不正确。实际上,据麦肯锡(McKinsey)对1985年至2009年数据的研究,92%的情况下标准普尔500指数的预期收益都要高于实际公布的收益。

    因此,显然,简单的估值判断也要取决于收益预期的复杂性。就标准普尔500指数的估值来看,我们倾向于使用“周期调整市盈率”(CAPE)。CAPE是耶鲁大学(Yale)教授罗伯特•席勒倡导的一个指标,即剔除通胀和经济周期因素的市盈率。当前,标准普尔500指数的CAPE指标为21.9倍,是2011年7月以来的最高值,位于自1880年(远在我出生之前)以来市场估值的前20%。

    CAPE在2009年3月创下了13.4倍这个35年来的最低值,与其他股市估值指标以及市场见底的时间一致。当时的股票价格便宜,这么说既简单又明了。而现在看来,它既不简单,也不明了。

    最近,我们开始为股票市场的另一简单指标——芝加哥期权交易所的VIX指数创下峰值而欢呼雀跃。下图显示的是,自2009年3月见底至今整整三年时间里,标准普尔500指数与VIX指数的对比走势。正如图标所示,VIX指数达到15左右的时候,也正好是标准普尔500指数出现短期高点的时候,屡试不爽。头脑简单的人可能会觉得这是一个值得重视的危险信号。更简单来说,当VIX指数达到这一水平时,表明股市已经触顶。

 

    Keep it simple – it sounds so easy and yet very few people on Wall Street are capable of it.

    Complexity negatively infiltrates the investment process in a number of ways. One way is analysis paralysis. Undoubtedly, we've all worked with analysts that are guilty of this crime. The guilty analyst will have a 75-page spreadsheet analyzing a company down to the return on capital of the administrative assistant to the head janitor, but won't be able to make a call on whether the stock is going up or down. The analyst knows so much, he or she is in fact paralyzed and unable to make a decision.

    The other crime of investing complexity is when an analyst complicates simple things, like say valuation. A friend of mine from home says that when it is – 40 degrees Celsius out, you don't need to ask how cold it is, you just know it is *expletive* cold. The same could be said for valuation. If a stock or asset is cheap, you shouldn't have to argue it's cheap, or justify that it is cheap. The valuation will be plainly obvious.

    Late last week I wrote a research note on the valuation of the S&P 500 index. Many stock market pundits are making the case that the SP500 is cheap based on future consensus earnings. Unfortunately, that analysis is not really all that simple, for the basic reason that consensus estimates are usually wrong. In fact, according to a McKinsey study from 1985 to 2009, S&P 500 earnings estimates were higher than the actual reported number 92% of the time.

    So, obviously when making the simple valuation call, it depends on the complexity of the underlying estimates. When looking at the valuation of the S&P 500, we prefer to use CAPE, or cyclically adjusted price to earnings. CAPE is a metric popularized by Yale Professor Robert Shiller that looks at a market P/E that is adjusted for inflation and normalized for cycles. Currently, CAPE is showing that the S&P 500 is trading 21.9 times earnings, which is the highest level since July 2011 and in the top quintile of market valuations going back to 1880 (before even I was born).

    CAPE hit a 35-year low in March of 2009 at 13.4x. This also coincided with a low in other stock market valuation metrics and the bottoming of the market. Stocks were, simply, and obviously, cheap. As for now, it is neither simple, nor obvious.

    As of late, we've been flagging and harping on another simple indicator of the equity markets peaking, which is the VIX. The chart below goes back exactly three years to the bottom in March 2009 and compares the S&P 500 to the VIX over that period. As the chart shows, a VIX level of 15-ish has coincided consistently with a short-term top. To the simpletons at Hedgeye, that is a red flag worth emphasizing. More simply, the VIX at this level signals that complacency is setting in.

 

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