著名经济学家席勒提出衡量股票价值的新指标
罗伯特·席勒提出了判断股价是低、是高，还是介于两者之间的模范标准，也因此受到万人敬仰。这位耶鲁大学经济学家提出的著名指标，便是周期性调整市盈率，简称“CAPE”。该指标排除了利润大幅变动造成的影响，使即时的市盈率看起来不再高得不自然，或者低得不自然。
新冠肺炎暂时重创了盈利，但定会反弹，现在想想市盈率是怎么仅仅因此而一飞冲天的吧。席勒通过平均连续十年标普500指数呈现的盈利情况，拉平了波峰和波谷；之后，他又根据通货膨胀的情况调整了曲线。他的分子“P”，或者说价格，就仅仅是标普500指数的实时读数。他的分母“E”，则是每股收益调整后的数据。
作为预测大盘股走向的指标，CAPE没有对手。现在，它亮起了红灯。基于标普1月21日创纪录的3853点收盘价，它的实时读数为35.13。140年来，只在一个时期这么高过：2000年科技泡沫破灭之前，那一次破灭导致标普指数下跌了44%。在1929年金融危机前的几个月里，CAPE的最高值为33，在大萧条前为27。通常，CAPE在经济好的时候会上升到最高点。但这次尤其令人担忧的是，经济产出难以恢复到2019年末的水平，估值却节节攀升，而根据国会预算办公室（CBO）的预测，经济到2022年才能恢复。
超过35的CAPE似乎太高了，即使是牛市也会尽量让那些股票看起来便宜。但最近席勒提出了新标准，给看多的人们一个新的解释框架，而他们也正在津津有味地挖掘。这就是所谓的“超额周期性市盈率收益率”（Excess CAPE Yield）。这种算法取CAPE（即席勒真正的收益率）的倒数——那是他衡量标普为投资者每一美元所带来利润的标准。然后他减去10年期国债的“实际”或“通胀调整”收益率。得出的数字表示股票利润率超过债券的部分。
之所以“超额CAPE收益率”乃至股票能在面上变得好看，是因为现在国债的实际收益率竟然是负的，这极其罕见。截至1月21日，常规CAPE收益率仅为2.85%（CAPE值为35.13时的倒数）。这看起来很糟糕，但席勒认为通胀率为1.68%，比长债利率1.12%高0.56%。所以10年期债券的“实际”收益率是负0.56%，而超额CAPE收益率为3.41%。这意味着价格极高的股票仍然比债券好得多，主要是从长远看来债券的回报非常糟糕，不赚反亏。
但是，超额CAPE收益率真能像常规CAPE那样预测走势吗？诚然，前段时间，投资者在3.5%左右的超额收益率买入时大赚了一笔。2008年6月和1988年8月也都是这个水平，在接下来的10年里，股东的实际年回报率分别为8.2%和14.5%。但是也有反例。1973年10月，在超额收益率3.5%关口买入的人亏损了2%，1971年10月买入的人堪堪保住本钱。五六十年代在该收益率时进场的人也收获平平。
同样重要的是，最近几个月的超额收益率显示，未来的收益率会越来越低，从去年3月的4.88%一路下降到现在的3.41%，而与此同时标准普尔指数飙升。最近它还受到长债飙升的冲击——随着固定收益的回报增多，以超额收益率衡量的股票优势缩小。
支持使用原有的CAPE，而不用新出现的超额收益率的原因分三层：首先，超额收益率确实表示股价极高，而债券的价格更是高得离谱，甚至高到甩开了通胀。“说股票贵，债券更差，并不是出手买股票的理由。”锐联资产管理公司的主管罗布·阿诺特说道，该公司负责监督交易型开放式指数基金和共同基金的投资策略。
其次，欧洲和日本股市的超额收益率甚至比基于标普的超额收益率还要高。这是因为它们的价格都便宜得多（席勒市盈率要高很多），而且它们的实际利率更低。“这就是要买入日本和欧洲股票而不是美国股票的一个论据，”阿诺特说。“如果这个标准真能影响市场，那这两个国家的股市将远远好过美国。”长久以来也是如此，然而，尽管日本和欧洲的超额收益率居高不下，两国股票的表现实际看来却并不理想。
再次，实际负利率并不正常，我们也没有理由认为一段时间内还会保持负利率。我们来看看利率“回归均值”甚至达到更高的情况。假设长债的实际收益率上升到3%，常规CAPE收益率跌到6%。这意味着债券会下跌20%，股票会下跌50%（因为CAPE会从35降到16.6，之前多次出现这种情况）。那么，超额收益率仍然是3%，只是低于现在的位置（6%的常规CAPE收益率减去3%的长债实际收益率）。换句话说，超额收益率几乎没有变化，但股价却腰斩。现在的预测和股价高一倍的时候一样，这样准吗？
超额收益率会误导我们，而常规的CAPE则正确展示了真实的“CAPE恐惧”。精明的投资者们应该坚持原来的做法。（财富中文网）
译者：李洙扬
罗伯特·席勒提出了判断股价是低、是高，还是介于两者之间的模范标准，也因此受到万人敬仰。这位耶鲁大学经济学家提出的著名指标，便是周期性调整市盈率，简称“CAPE”。该指标排除了利润大幅变动造成的影响，使即时的市盈率看起来不再高得不自然，或者低得不自然。
新冠肺炎暂时重创了盈利，但定会反弹，现在想想市盈率是怎么仅仅因此而一飞冲天的吧。席勒通过平均连续十年标普500指数呈现的盈利情况，拉平了波峰和波谷；之后，他又根据通货膨胀的情况调整了曲线。他的分子“P”，或者说价格，就仅仅是标普500指数的实时读数。他的分母“E”，则是每股收益调整后的数据。
作为预测大盘股走向的指标，CAPE没有对手。现在，它亮起了红灯。基于标普1月21日创纪录的3853点收盘价，它的实时读数为35.13。140年来，只在一个时期这么高过：2000年科技泡沫破灭之前，那一次破灭导致标普指数下跌了44%。在1929年金融危机前的几个月里，CAPE的最高值为33，在大萧条前为27。通常，CAPE在经济好的时候会上升到最高点。但这次尤其令人担忧的是，经济产出难以恢复到2019年末的水平，估值却节节攀升，而根据国会预算办公室（CBO）的预测，经济到2022年才能恢复。
超过35的CAPE似乎太高了，即使是牛市也会尽量让那些股票看起来便宜。但最近席勒提出了新标准，给看多的人们一个新的解释框架，而他们也正在津津有味地挖掘。这就是所谓的“超额周期性市盈率收益率”（Excess CAPE Yield）。这种算法取CAPE（即席勒真正的收益率）的倒数——那是他衡量标普为投资者每一美元所带来利润的标准。然后他减去10年期国债的“实际”或“通胀调整”收益率。得出的数字表示股票利润率超过债券的部分。
之所以“超额CAPE收益率”乃至股票能在面上变得好看，是因为现在国债的实际收益率竟然是负的，这极其罕见。截至1月21日，常规CAPE收益率仅为2.85%（CAPE值为35.13时的倒数）。这看起来很糟糕，但席勒认为通胀率为1.68%，比长债利率1.12%高0.56%。所以10年期债券的“实际”收益率是负0.56%，而超额CAPE收益率为3.41%。这意味着价格极高的股票仍然比债券好得多，主要是从长远看来债券的回报非常糟糕，不赚反亏。
但是，超额CAPE收益率真能像常规CAPE那样预测走势吗？诚然，前段时间，投资者在3.5%左右的超额收益率买入时大赚了一笔。2008年6月和1988年8月也都是这个水平，在接下来的10年里，股东的实际年回报率分别为8.2%和14.5%。但是也有反例。1973年10月，在超额收益率3.5%关口买入的人亏损了2%，1971年10月买入的人堪堪保住本钱。五六十年代在该收益率时进场的人也收获平平。
同样重要的是，最近几个月的超额收益率显示，未来的收益率会越来越低，从去年3月的4.88%一路下降到现在的3.41%，而与此同时标准普尔指数飙升。最近它还受到长债飙升的冲击——随着固定收益的回报增多，以超额收益率衡量的股票优势缩小。
支持使用原有的CAPE，而不用新出现的超额收益率的原因分三层：首先，超额收益率确实表示股价极高，而债券的价格更是高得离谱，甚至高到甩开了通胀。“说股票贵，债券更差，并不是出手买股票的理由。”锐联资产管理公司的主管罗布·阿诺特说道，该公司负责监督交易型开放式指数基金和共同基金的投资策略。
其次，欧洲和日本股市的超额收益率甚至比基于标普的超额收益率还要高。这是因为它们的价格都便宜得多（席勒市盈率要高很多），而且它们的实际利率更低。“这就是要买入日本和欧洲股票而不是美国股票的一个论据，”阿诺特说。“如果这个标准真能影响市场，那这两个国家的股市将远远好过美国。”长久以来也是如此，然而，尽管日本和欧洲的超额收益率居高不下，两国股票的表现实际看来却并不理想。
再次，实际负利率并不正常，我们也没有理由认为一段时间内还会保持负利率。我们来看看利率“回归均值”甚至达到更高的情况。假设长债的实际收益率上升到3%，常规CAPE收益率跌到6%。这意味着债券会下跌20%，股票会下跌50%（因为CAPE会从35降到16.6，之前多次出现这种情况）。那么，超额收益率仍然是3%，只是低于现在的位置（6%的常规CAPE收益率减去3%的长债实际收益率）。换句话说，超额收益率几乎没有变化，但股价却腰斩。现在的预测和股价高一倍的时候一样，这样准吗？
超额收益率会误导我们，而常规的CAPE则正确展示了真实的“CAPE恐惧”。精明的投资者们应该坚持原来的做法。（财富中文网）
译者：李洙扬
Robert Shiller is rightly revered for developing what's arguably the gold standard for gauging if stocks are cheap, pricey, or somewhere in-between. The Yale University's economist's celebrated measure is the Cyclically-adjusted price-earnings ratio, or CAPE. The CAPE eliminates the distortions caused by big swings in profits that can make P/Es at any moment look artificially inflated or depressed. Think right now how P/Es appear outrageously high simply because the COVID has temporarily crushed earnings that are sure to rebound. Shiller smooths those peaks and valleys by averaging S&P 500 profits over the trailing ten years; he then adjusts that stream for inflation. His numerator, the "P" or price is simply the current reading for S&P 500 index. The "E," the denominator, is that adjusted figure for earnings per share.
The CAPE has no peers as a predictor of where big cap shares are headed. And right now, it's flashing bright red. The current reading, based on the S&P's record close of 3853 on January 21, is 35.13. It's only been that high in one period over the 140 years: in the run-up to the tech bubble that burst in 2000, sending the S&P down 44%. In the months before the 1929 meltdown, the CAPE peaked at 33, and stood at 27 prior to the collapse in the Great Financial Crisis. Usually, the CAPE ascends to its highest points when the economy is great. It's especially worrisome this time that valuations keep planting the flag at higher and higher peaks when the economy is struggling to regain its output at the end of 2019, and according to the CBO's projections, won't get there until 2022.
A CAPE of 35-plus seems so high that even the bulls would strain to portray that equities as a bargain. But Shiller recently introduced a new yardstick that give the optimists a fresh narrative, and they're mining it with relish. It's called the Excess CAPE Yield. The formula takes the inverse of the CAPE, which is really Shiller's earnings yield––his measure of the profits the S&P is delivering for each dollar investors are paying. He then subtracts the "real" or "inflation-adjusted" yield on the 10-year Treasury. That number represents the margin that stocks are paying over bonds.
What puts the gloss on the Excess CAPE yield, and hence on equities, is that the real yield on Treasuries is now famously negative, an extremely rare occurrence. As of January 21, the regular CAPE yield was a paltry 2.85% (the inverse of the CAPE at 35.13). That looks pretty bad. But Shiller puts inflation at 1.68%, which is 0.56% higher than the long bond rate of 1.12%. So the "real" yield on the 10-year is a negative 0.56%. The Excess CAPE stands at 3.41%. That means stocks, which are extremely pricey, still beat bonds by a wide margin, mainly because bonds are offering lousy, less-than-zero returns far into the future.
But does the Excess CAPE really have anything like the predictive power of the regular CAPE? It's true that in previous periods, investors have done fairly well when buying in at an Excess CAPE of around 3.5%. It stood at that level in June of 2008 and August of 1988, and shareholders got 8.2% and 14.5% real annual returns over the next decade. But the evidence is muddled. Those who purchased at the 3.5% mark in October of 1973 lost 2%, and buyers in October of 1971 barely broke even. Folks reaped mediocre gains buying at 3.5% in the 50's and 60's.
It's also significant that in recent months, the Excess CAPE has been pointing to lower and lower future returns. It's dropped steadily from 4.88% in March of last year to today's 3.41% as the S&P has soared, and it's also been hit more recently by the spike in the long bond––as fixed income pays more, equities' edge, as measured by the Excess CAPE, shrinks.
The argument for using the original CAPE, and ignoring the newcomer, the Excess CAPE, is three-fold. First, the Excess CAPE is really signaling that stocks are extremely expensive, and bonds are even more outrageously overpriced––so much so that they won't even keep pace with inflation. "Saying that stocks are pricey and bonds are worse is not a reason to go out and buy stocks," says Rob Arnott, chief of Research Affiliates, a firm that oversees investment strategies for ETFs and mutual funds.
Second, the Excess CAPE is even higher for European and Japanese stocks than for the S&P. That's because they're both much cheaper––the Shiller P/E is a lot higher––and their real rates are even lower. "That's an argument for buying Japanese and European stocks instead of U.S. equities," says Arnott. "If that measure really moves markets, those two will way outperform the U.S." It's also been that way for a long time, yet Japanese and European shares have proven poor performers despite their elevated Excess CAPEs.
Third, there's nothing normal about negative real rates, and little reason to think they'll stay negative for a period of years. Let's look at a scenario where rates "revert to the mean" or go even higher. Say the real yield on the long bond rises to 3%, and regular CAPE yield waxes to 6%. That means bonds would drop 20%, and stock fall by 50% (because the CAPE would drop from 35 to 16.6, where it's been many times before). Then, the Excess CAPE would still be 3%, just below where it is now (the 6% regular CAPE yield minus the 3% real yield on the long bond). In other words, the Excess CAPE barely changed, but stocks lost half of their value. It's sending the same prediction now as when stocks were twice as pricey. How's that for a forecast?
The Excess CAPE would have misled us, while the regular CAPE was right in displaying the real "CAPE fear." Smart investors should stick with the original.
