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投资理财

投资股市最要当心这四个字

Shawn Tully 2017年11月22日

华尔街对股市的看法有时很像一个哈哈镜,硬是将一个瘦小的孩子拉成一个NBA中锋的模样。

自从上次美国总统大选以来,美股总体表现出了强劲的增长势头。借助这股不可阻挡的复苏之力,早早下手的投资者也确实赚了不少钱。但是还有一股不可阻挡之力也是投资者必须考虑的,它比近来美股的这轮涨势更加可靠。从历史趋势来看,这股力量才是真正的不可阻挡,那就是四个字——“均值回归”。

美国各大银行的投资经理和证券策略师近来都在不遗余力地兜售证券。虽然这些证券的估值都不可谓不高,但他们都拿出了类似的数据断言股票还是值得买的。他们的理由听起来也相当充分——首先,目前上市公司的利润增长得很快;其次,美国当下的税改很可能助推股价达到新高;再次,特朗普钦定的这位美联储主席很可能会保持低利率;最后,新一波的解绑政策很可能释放被压抑已久的资本投资,和上市公司高管内心的狼性。

不过如果考虑到均值回归的因素,你会发现,华尔街对股市的看法则很像一个哈哈镜,硬是将一个瘦小的孩子拉成了一个NBA中锋的模样。

为了帮助大家了解什么是均值回归,你可以把标普500想象成一支大股票。如果与投资者从股票中获得的收益(比如红利或再投资收益)相比,这支股票的价格已经被拉得极高,那么它的价格最终会被收益拉回到它的长期均值,就像被万有引力控制着一样。

现在就让我们来看看,如果股价与收益之比(也就是所谓的市盈率)上涨到不寻常的高位时会发生什么——这也正是当前投资者所面临的局面。

衡量当前大盘估值最好的工具,是耶鲁大学经济学家罗伯特·席勒提出的“周期性调整市盈率”,简称CAPE。CAPE用为期10年的通胀调整后利润均值抹平了收益的震荡波动。这样做的原因也很简单,当收益快速上升时,未调整的市盈率就会显得低得不自然——有点像今天的情况。而在收益快速下降时,比如2009年,证券价格就会显得贵得不自然。而CAPE的应用则消除了这些畸变。

从1888年到1990年近一百年的时间里,标普500的CAPE均值大约是16上下。在20世纪最近的二十多年里,这个均值上升到了19左右。从20世纪60年代起至今,CAPE曾经有四个时期上升到极端值。研究一下CAPE远远偏离均值后发生了什么,对于指导当下的投资显然是有裨益的。

CAPE第一次飙升是1962年7月到1965年11月,在这段时期,CAPE从17上涨到了24。到70年代末,它又回落到了16的长期均值。第二次飙升是从1992年开始的,1992年初的CAPE还是19左右,还没有偏离那几十年的历史均值。而到了1999年7月,CAPE已经上涨到了它的史上最高点——44。物极必反,到了2003年2月,CAPE已经下跌了一半以上,回落到了21。

紧接着1999年至2003年的那次大回落,CAPE的第三次飙升又开始了,到2007年8月,CAPE已经上涨到28左右。这一次,均值回归又发挥了“看不见的手”的作用。到2010年末,CAPE已经滑落到20左右,此时的美国正在经济危机中艰难复苏。CAPE的第四次偏离均值就是现在了。从2010年末开始,CAPE再次出现飙升,在今年10月已达31.2,为近16年来的最高值。

回顾历史,我们发现了一个基本规律:CAPE从来没有哪一个时期稳定地保持在31以上过。历史上它只有两次超过了31这个值,第一次紧跟着1929年历史性的“大萧条”;第二次则是1997年至2001年持续四年的“.com”科技泡沫大崩盘。显而易见,CAPE的每次飙升,随后都会发生令财富大幅缩水的股灾。

所以目前的风险是不言而喻的:如果标普500的CAPE回归到20左右(这个值还略高于近几十年的历史均值),那就意味着股价需要暴跌36%左右。我并不是说这种程度的股灾已经迫在眉睫了,也不是说它一定会发生。此文只是提醒广大投资者,虽然近来股市的势头倾向于牛市一边,而历史却正指向熊市。(财富中文网)

译者:贾政景

The stock market has shown extraordinary momentum since the presidential election, and investors who placed bets on that irresistible force have garnered big gains. But folks should think hard about another force that’s a lot more reliable than momentum. According to history, it’s the real irresistible force, and it consists of four words: Reversion to the Mean.

The portfolio managers and equity strategists at America’s big banks are selling equities hard. Despite what look like super-rich valuations, they keep parading familiar bullet points to assert that stocks are still a bargain. They note that profits are growing fast and that sweeping tax reform could send them soaring to fresh heights, that President Trump’s pick for Federal Reserve chairman is likely to hold interest rates low, and that a new wave of deregulation is unshackling pent-up capital investing and unleashing animal spirits in corporate c-suites.

But when you consider reversion to the mean, Wall Street’s slant on the stock market seems as exaggerated as a funhouse mirror that elongates a scrawny kid to the height of an NBA center.

To best understand reversion, think of the S&P 500 as one big share of stock. The concept states that when the price of that share becomes extremely elevated compared with the earnings investors gain from that share, either in the form of dividends or reinvested earnings, the price relative to those earnings returns to the long-term average, as if governed by a gravitational force.

So let’s examine what happens to that ratio of price to earnings, or the market PE, after it rises to unusually high levels—precisely the scenario investors face today.

The best measure for current stock valuations is the CAPE, or cyclically adjusted price-to-earnings ratio, developed by Yale economist Robert Shiller. The CAPE smooths out volatile fluctuations in earnings by using a 10-year average of inflation-adjusted profits as the current reading. The reason is basic: When earnings spike, non-adjusted PEs look artificially low—the likely picture today—and when they dive as in 2009, equities look falsely expensive. The CAPE removes those distortions.

The CAPE for the S&P 500 averaged around 16 from 1888 to 1990, and a much higher 19 over the last quarter century. A graph of the CAPE since the late 1960s displays four periods when the measure rose to extremes. And it’s instructive to see what happened after the measure soared far above those benchmarks.

The first plateau: From July 1962 to November 1965, the CAPE rose sharply, from 17 to 24. By late 1970, it had fallen to its long-term average of 16. The second example: In early 1992, the CAPE stood at around 19, once again, near its normal level in recent decades. By July 1999, it had jumped to its highest point ever, 44. Then the customary fear of heights prevailed, and by February 2003, the CAPE had dropped by half to 21.

The third case: After the big fall from mid-1999 to early 2003, the CAPE rebounded to almost 28 in May 2007. Once again, gravity took hold, and it slipped to 20 in late 2010 as America emerged from the financial crisis. The fourth example applies today: Since late 2010, the CAPE has done a hockey stick, hitting a sixteen-year record of 31.2 in October.

The review of past spikes makes a basic point: The CAPE has never, ever stayed at 31 for a sustained period. It’s only exceeded that level twice, first briefly prior to the historic crash of 1929, and second, during a relatively long, four-year stretch during the tech bubble from mid-1997 to mid-2001. And as goes almost without saying, each past spike was followed by a wealth-zapping crash.

Here’s the danger: If the S&P 500 were to revert to a CAPE of 20, just above its average in recent decades, stock prices would need to fall by 36%. This isn’t a prediction that such a collapse is imminent, or will happen at all. It’s simply a reminder that while momentum is on the market’s side, history is not.

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