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投资理财

科技股去年飙升,今年可以让投资受伤

Shawn Tully 2018年01月10日

对于数千万投资指数基金的美国人来说,科技股的爆发式增长的结果很有可能会适得其反。

在回顾2017年股市的强劲表现时,投机商们不约而同地为科技巨头们拍手称赞。标普500和纳斯达克之所以能够不断地再创新高,这股力量所做的贡献比其他任何股票都要大。华尔街的各大机构预测,也正是因为有这些世界级的牛股作为支撑,股东们在2018年将再次斩获两位数的收益增长。

然而,对于数千万投资指数基金的美国人来说,科技股的爆发式增长的结果很有可能会适得其反,并成为其实现未来回报的重大障碍。

原因何在?大多数指数基金,不管是ETF(交易型开放式指数基金)还是共同基金,都是所谓的“市值加权型”产品。在标普500基金中,如果一只股票或同一行业的一组股票的表现远超整个指数,投资者所持有某一公司或某一行业的股份在其股票中的比例会突然大增。随着高波动股票价格的一路高歌,其市值也会水涨船高,而且指数基金会自动与这些热股挂钩。你的股票组合会严重偏向股价最高的公司,并抛弃那些毫无起色的股票。

问题在于,随着时间的推移,对最高股价公司加大投资通常会有损未来的业绩。Research Affiliates(为2000亿美元共同基金和ETF提供投资策略)维塔利·卡尔斯尼克说:“数十年的研究显示,要实现最大回报,投资者应减少对最高股价股票的敞口,选择价格较低的股票。”本杰明·格拉汉姆与沃伦·巴菲特也奉行类似的“价值”策略。作为对比,市值加权型方法看重的是拥有高市盈率倍数的增长型股票(这类股票反应了对未来收益的强烈预期),同时避开仅凭平庸表现便能够带来不俗回报的低价股(这些股票在长期内的回报则要好得多)。

指数基金如何成为科技股基金

要了解指数基金如何大量增持热门高价股票,最好的研究案例莫过于2017年的科技股热潮。Facebook、苹果、亚马逊、微软和Alphabet子公司谷歌(我们将其统称为FAAMG公司)去年平均收益为47.3%。仅这5家公司便为标普全年23.7%的增幅贡献了5.2个百分点。

我们不妨将FAAMG看作是一个大公司,并看看其合并市值的巨大飞跃如何提升其在某一标普指数基金中的权重。

在2017年初,FAAMG的总市值为2.09万亿美元,iShares Core S&P 500 ETF(由黑石管理)投资额的11.06%流向了这些公司。在去年年末,其市值已升至3.01万亿美元,增长了44%,使其在该ETF中的权重增至13.36%。换句话说,人们在FAAMG的投资在去年增长了20%,而FAAMG占总ETF资产组合的比重则增加了2.3个百分点。

如果FAAMG的收益能够拥有其股价那样或接近股价的强劲表现,问题就不会那么严重。据《财富》杂志测算,FAAMG在2016年的营收达到了939亿美元,其当年的市盈率倍数为22。2017年,其合并利润增长了21.8%,但其“股价”却翻了一番多,将其市盈率倍数推至27,最终让FAAMG比之前贵了两成多。其市盈率比标普500年底的整个市盈率高出了4个点。值得注意的是,FAAMG中收益最高的公司苹果,到目前为止还没有释放任何收益增长的信号。

将股票组合中一个企业的持股比例从11.1%增至13.4%看起来并不是很大的增幅。但是,考虑到“均值回归”现象(某一趋势在经历了一段时间的特定走向之后会回归其正常值),此举可能会对未来回报造成重大影响。我们不妨将标普指数基金来年的目标收益率定为10%。那么试想一下,一旦FAAMG回归其2017年11%的权重值,那么FAAMG股价将下降10.3%,相当于放弃2017年1个季度的收益。因此,要实现10%的目标,标普其余股票的价格则需要上涨近13%。

换句话说,如果FAAMG热股的表现回归常态,那么股票组合的剩余股票需要上涨FAAMG股票下降的幅度。

投资指数的更好方式?

幸运的是,这里还有一个更好的选择方案。Research Affiliates首创了一种名为基本面指数化的方法。这种方法并没有按照公司的市值来加权,而是根据其经济印迹来确立其在指数中的比例。这一重要性由四大因素综合决定:销售、派息与回购、账面价值和现金流。因此,如果一家公司的股价增幅要远超其经济权重,意味着其股价相对高昂,那么基金将减持这支高价股,并增持那些价格未能反映公司整体规模的股票。

Research Affiliates的RAFI U.S. Index使用了四大原则来衡量经济重要性而不是市值。它被广泛运用于不同的基金,覆盖各种类型的股票,包括PowerShares FTSE RAFI U.S. 1000,它基本上涵盖所有的标普500股票和其他使用RAFI指数的其他基金。结果,它衡量这些大市值股票的方法与标普指数基金的衡量方式截然不同。

年末,RAFI U.S.指数持有FAAMG股票的比例仅有6%,不到iShare Core S&P 500的一半。苹果公司在该指数基金中的比例为2.3%,但占到了iShares基金比例的3.8%。

RAFI指数所持有的低市值股票的比重更高,高波动股票的比重则要小的多。例如,技术和医疗这两个价格最高的板块,在2017年末仅占RAFI U.S.持股比重的25.7%,较iShares Core S&P 35%的持股比重低了近10个百分点。

最后的业绩如何?正是因为这一小部分股票成为了2017年股市恢复的生力军,RAFI U.S.指数在过去一年中落后标普500指数3.7个百分点(18.1%对比23.8%,包括派息)。然而,在过去5年中,这两者之间基本上没有什么差距。而且通过回测RAFI方法,人们会发现在过去20年中,它比标普平均高出2.24个百分点(9.44%对比7.20%)。这些额外的百分比累积起来不可小觑:20年后,从理论上来讲,RAFI投资者的资产组合的价值要比使用市值加权型标普基金的投资者高出约50%。

指数基金,包括ETF和共同基金,对于投资者来说一个不错的低成本选择。但是追逐高价股,抛售低价股的理念会带来问题。适用于长线投资者的解决方案在于:逆势投资。基本面指数化方法的内涵便是避开热股,追逐冷门股,它刚好能够满足这一需求。(财富中文网)

译者:Charlie

In recapping the stock market’s strong performance in 2017, the bulls invariably laud the tech titans as the force that, more than any other, propelled the S&P 500 and the Nasdaq to record after record. It’s chiefly the power of these world champions, the Wall Street crowd crows, that will make 2018 another double-digit winner for shareholders.

For the tens of millions of Americans who rely on index funds, however, the tech explosion may well prove the just the opposite—a heavy drag on their future returns.

Here’s why. Most index funds, whether ETFs or mutual funds, are what’s called “cap weighted.” In an S&P 500 fund, if a stock or group of stocks in the same industry way outpaces the overall index, you as an investor will suddenly own far more of that company, or that industry, as a share of your holdings. As the prices of high flyers soar—and with them, their market capitalization—the index fund automatically gorges on those hot stocks. Your portfolio gets heavily weighted in the priciest companies, while sloughing off the laggards.

The problem is that, over time, doubling down on the most expensive companies generally hammers future performance. “Decades of research shows that a methodology that lowers exposure to the most expensive stocks, and favors cheaper shares, produces the best returns,” says Vitali Kalesnik of Research Affiliates, a firm that oversees investment strategies for $200 billion in mutual funds and ETFs. That’s the familiar “value” strategy pioneered by Benjamin Graham and championed by Warren Buffett. By contrast, the cap-weighted approach tilts heavily towards growth stocks sporting high PE multiples that reflect big expectations for future earnings, and shuns the “dogs” that can produce strong returns just by being mediocre—and over long periods, do a lot better.

How your index fund became a tech fund

It’s hard to find a better case study on how index funds load up on hot, expensive stocks than the tech bonanza of 2017. What we’ll call the FAAMG companies, Facebook (FB, +1.40%), Apple (AAPL, +1.13%), Amazon (AMZN, +1.67%), Microsoft (MSFT, +1.25%), and Google (owned by Alphabet)(GOOG, +1.46%), posted average gains of 47.3% last year. Those five players alone accounted for 5.2 percentage points of the S&P’s total gain of 23.7%.

Let’s look at the FAAMGs as one big company, and examine how the gigantic jump in their combined value raised their weight in one S&P index fund.

At the start of 2017, FAAMG Inc.’s total market cap was $2.09 trillion, and it accounted for 11.06% of the iShares Core S&P 500 ETF managed by Blackrock. By the close of last year, its value had surged to $3.01 trillion, or 44%, raising its weight in the ETF to 13.36%. In other words, your investment in FAAMG rose by one-fifth last year, and the portion of your total ETF portfolio sitting in FAAMG increased by 2.3 percentage points.

That wouldn’t be so troublesome if FAAMG’s earnings had risen as much, or almost as much, as the astounding spike in its price. But that didn’t happen. By Fortune‘s reckoning, FAAMG earned a total of $93.9 billion in 2016, and finished the year with a PE multiple of 22. In 2017, its combined profits rose 21.8%, but its “stock price” more than doubled, raising its PE to 27, effectively making FAAMG more than one-fifth more expensive. That PE was four points higher than the S&P 500’s overall multiple at year end. It’s important to note that FAAMG’s biggest earning unit by far, Apple, is showing no pattern of growing earnings.

Raising the holding in one enterprise from 11.1% to 13.4% of a portfolio may not sound like much. But it can have a significant impact on future returns because of the phenomenon of “mean reversion,” or the tendency of trends, after they veer off in one direction, to return to normal. Let’s say our goal is a gain of 10% next year for our S&P index fund. Now imagine that FAAMG returns to its 2017 weight of 11%. In that case, FAAMG would drop 10.3%, giving back one-quarter of its gain for 2017. So to reach our 10% target, the rest of the S&P would need to rise almost 13%.

Put another way, if the performance of the FAAMG hotshots ever returns to something like normal, the rest of your portfolio will have to work that much harder.

A better way to index?

Fortunately, a better option exists. Research Affiliates has pioneered an approach known as “fundamental indexing.” Instead of weighting companies by their market cap, fundamental indexing establishes their share of the index based on their economic footprint. That heft is determined by a combination of four factors: sales; dividends plus buybacks; book value; and cash flows. Hence, if a company’s stock-market value soars far above its economic weight, indicating that it’s relatively expensive, the fund will lower its holdings in the pricey stock and boost its holdings in stocks whose value lags their overall size.

Research Affiliates’ RAFI U.S. Index uses the four-point criteria for economic heft rather than market cap. It’s used in a variety of funds covering different universes of stocks, including the PowerShares FTSE RAFI U.S. 1000, Almost all of the S&P 500 stocks would be included in that and other funds using the RAFI index. And as a result, the way it weights those big caps stocks is starkly different than that of a typical S&P index fund.

At year end, the share of the RAFI U.S. index in FAAMG was just 6%, less than half the proportion in the iShare Core S&P 500. Its Apple holding was 2.3%, versus 3.8% in the iShares fund.

The RAFI index features a far bigger proportion of low market cap stocks, and a lot less of the high-flyers. For example, tech and healthcare, the two priciest sectors, accounted for just 25.7% of the RAFI U.S. at the close of 2017, almost ten points below the 35% share for the iShares Core S&P.

So how has it performed? Precisely because such a small number of stocks accounted for so much of the 2017 rally, the RAFI U.S. index lagged the S&P 500 over the past year, by 3.7 points (18.1% to 21.8%, including dividends). Over the past five years, though, the two were roughly even. And backtesting the RAFI method, you’ll find that it would have beaten the S&P by an average of 2.24 pts, 9.44% to 7.20%, over the past 20 years. Those extra percentage points would add up to a lot: After 20 years, a theoretical RAFI investor would have had about 50% more money in her portfolio than someone who stuck with a cap-weighted S&P fund.

Index funds, including ETFs and mutual funds, are a great, low-cost choice for investors. But the chase-the-pricey stuff, sell-what’s-cheap mechanics present a challenge. The solution for someone with a long time horizon: Go contrarian. Fundamental indexing, which by its very nature dumps what’s hot and buys what’s unloved, fits that bill.

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