从这些指标看，标普500指数还会大跌
自2022年年初以来，标普500指数下跌了超过16%，你或许认为这是一次买入的好机会。不要上当。
大盘股的估值依旧严重过高，基本原因是：疫情后的经济反弹中的消费热，导致公司收入膨胀到泡沫的程度。现在，由于沃尔玛（Walmart）、塔吉特（Target）、亚马逊（Amazon）、Meta Platforms、奈飞（Netflix）、英伟达（Nvidia）和Snap等许多大公司公布的业绩和/或预测令人失望，被吹大的气球正在漏气。依旧有一些投资者相信华尔街投资机构分析师的观点，坚持认为去年的高额收益或多或少为未来奠定了一个新的、更高的基础。因此，他们并没有将价格降低到足以解释收益大幅下降到更稳定水平的原因。收益水平下降的趋势已经开始，并且可能加速。
投资者想要确定标普500指数目前的“公允价值”，以及预估该指数未来半年或一年的水平，关键在于确定标普500指数的收益何时达到一个有一定持久力的平台期。笔者在分析中使用了多个经检验有效的指标来确定这个数字。标普指数当前的估值与基本面所呈现的价值之间的差异，可能让你感到震惊。
跟踪收益激增的过程
从2017年年末到2021年，公司利润从一个已经相对较高的高起点，创下一个多世纪以来最大的四年涨幅。标普500指数的每股收益从109.88美元增长到197.87美元，上涨了80%，年度涨幅达到17%。同期美国经济增长17.7%，这意味着标普500指数公司的利润增长速度，比其出售的商品和服务的生产速度快了4.5倍。值得注意的是，2021年是收益激增的一年，每股收益几乎比疫情之前创下的最高纪录高1.5倍。去年第4季度，营业利润率高达13.4%，远高于过去11年的中位数9.5%左右。
刚刚公布的《财富》美国500强排名生动体现了这种趋势：2021年，《财富》美国500强公司收益1.8万亿美元，总收益比2019年增长了超过50%。
不难想象，美国公司不可能维持这种超高的盈利能力。公司收益显然需要重置，但它最终将达到什么水平？在确定正常的每股收益“均值回归”水平时，一个很好的指标是耶鲁大学经济学家、诺贝尔奖得主罗伯特·席勒开发的周期调整后市盈率，简称CAPE。“均值回归”水平代表了公司利润可以随着经济增长合理增长的基础。CAPE使用通胀调整后五年平均每股收益，确定哪些股票价格过低、价格过高或定价合理。如果市盈率因为我们最近看到的临时收益激增被人为压低，该公式会提高市盈率（还会考虑当利润短期下滑时不可靠的市盈率增长）。
到目前为止，CAPE修匀公式计算的标普500指数10年平均收益为128.50美元。但需要对这个数字进行调整之后才能与已公布的每股收益进行对比。CAPE根据通货膨胀标高以往的利润，但并不会考虑超出消费物价指数变化轨迹的“实际”物价上涨。根据有强大学术基础的优秀投资公司的经验，可将席勒的周期调整后市盈率提高10%，以体现“实际”收益。按照中间水平8.75%计算，CAPE的“可持续收益”约为141美元。
这个数字依旧比第4季度的198美元低26%。这表明每股收益在2019年底达到史上最高的139美元时已经有些过热，即将趋于平缓，结果新冠经济却导致其大幅上涨。
几乎总是过度乐观的华尔街分析师们预测，第2季度的年度每股收益将下降到186美元。请记住，今天的高通胀将在“实际”收益下降中扮演重要的角色。分析师们预测的2%的降幅，在通胀调整后可能是负10%，因为CPI的年上涨速度超过8%。
收益下降时恰当的市盈率倍数
2017年底，随着公司利润大幅增长，标普指数的市盈率倍数为24.3。之后四年出现了一种惊人的现象：每股收益增长90%，标普指数也经历了几乎相同幅度的上涨。到去年新年前夜，市盈率倍数为24.1，几乎没有变化。这可能依旧是一个很高的数字，尽管分子是平均数，而不是大盘股公司的利润。自1988年以来，标普指数的中位数市盈率倍数为21.8，远高于一个多世纪以来该基准指数的平均市盈率倍数16左右。
在5月25日收盘时，标普指数年初至今下跌超过16%，导致市盈率倍数进一步降至20.1。略低于平均水平的市盈率倍数，可能让股票看起来价格较低。但需要再次强调的是，依旧虚高的利润这个分母夸大了市盈率倍数。
我们可以使用席勒的收益数据（在向上调整“实际”收益后）和过去33年的平均市盈率，得出一个合理的标普指数公允价值预测。每股收益140美元，市盈率倍数21.8，意味着标普指数的合理点位为3080点。这比5月25日收盘时的3970点低22%。基本面很清楚：标普指数依旧在一个巨大的“气穴”上方盘旋，可能出现短期震荡。
每股收益减少近四分之一，最重要的是确定远低于当前水平的公允价值，这似乎有些极端。但事实并非如此。收益141美元依旧比2017年底高28%，相当于每年增长6%。以此为起点计算，营业利润率已经高达10.3%。
按照约3100点的公允价值计算，标普指数依旧接近2019年底经过多年大幅上涨之后的最高纪录，而且比2017年年初上涨了38%。
标普指数下跌22%甚至也算不上悲观。这种情景预测市场市盈率倍数达到约22，按照历史标准来看，这依旧是一个很高的数字。过去十年，美国的超低实际利率使股市大涨。只有股市能继续从超低实际利率中受益，市盈率倍数才有可能达到这个水平。如果美联储快速控制通货膨胀的计划失败，市盈率倍数还可能更低。快速上涨且不稳定的CPI，让投资者担心美联储需要采取更强有力的措施，这可能引发严重经济衰退。为了寻求安慰，投资者需要用超丰厚的“股权风险溢价”，即与无风险债券相比持有股票带来的额外预期收益，补偿持有股票所承担的更高风险。股票成本越低，风险溢价缓冲只会变得越大。无论是持续的高通胀还是实际利率恢复到2%以上，都会降低市盈率倍数，使股价更快、更大幅度下跌。
我们甚至没有谈到可能发生的经济衰退，将使公司利润低于已经大幅下降的可靠水平。在股市中少有的可以确定的一点是，其驱动因素最终将回归均值，受制于总体经济增长和竞争等因素。这些因素决定了公司盈利能力的上限。股市会再次繁荣。但数学计算显示，股市首先需要在目前的基础上大幅下跌，然后投资者才能迎来买入的真正良机。（财富中文网）
译者：刘进龙
审校：汪皓
自2022年年初以来，标普500指数下跌了超过16%，你或许认为这是一次买入的好机会。不要上当。
大盘股的估值依旧严重过高，基本原因是：疫情后的经济反弹中的消费热，导致公司收入膨胀到泡沫的程度。现在，由于沃尔玛（Walmart）、塔吉特（Target）、亚马逊（Amazon）、Meta Platforms、奈飞（Netflix）、英伟达（Nvidia）和Snap等许多大公司公布的业绩和/或预测令人失望，被吹大的气球正在漏气。依旧有一些投资者相信华尔街投资机构分析师的观点，坚持认为去年的高额收益或多或少为未来奠定了一个新的、更高的基础。因此，他们并没有将价格降低到足以解释收益大幅下降到更稳定水平的原因。收益水平下降的趋势已经开始，并且可能加速。
投资者想要确定标普500指数目前的“公允价值”，以及预估该指数未来半年或一年的水平，关键在于确定标普500指数的收益何时达到一个有一定持久力的平台期。笔者在分析中使用了多个经检验有效的指标来确定这个数字。标普指数当前的估值与基本面所呈现的价值之间的差异，可能让你感到震惊。
跟踪收益激增的过程
从2017年年末到2021年，公司利润从一个已经相对较高的高起点，创下一个多世纪以来最大的四年涨幅。标普500指数的每股收益从109.88美元增长到197.87美元，上涨了80%，年度涨幅达到17%。同期美国经济增长17.7%，这意味着标普500指数公司的利润增长速度，比其出售的商品和服务的生产速度快了4.5倍。值得注意的是，2021年是收益激增的一年，每股收益几乎比疫情之前创下的最高纪录高1.5倍。去年第4季度，营业利润率高达13.4%，远高于过去11年的中位数9.5%左右。
刚刚公布的《财富》美国500强排名生动体现了这种趋势：2021年，《财富》美国500强公司收益1.8万亿美元，总收益比2019年增长了超过50%。
不难想象，美国公司不可能维持这种超高的盈利能力。公司收益显然需要重置，但它最终将达到什么水平？在确定正常的每股收益“均值回归”水平时，一个很好的指标是耶鲁大学经济学家、诺贝尔奖得主罗伯特·席勒开发的周期调整后市盈率，简称CAPE。“均值回归”水平代表了公司利润可以随着经济增长合理增长的基础。CAPE使用通胀调整后五年平均每股收益，确定哪些股票价格过低、价格过高或定价合理。如果市盈率因为我们最近看到的临时收益激增被人为压低，该公式会提高市盈率（还会考虑当利润短期下滑时不可靠的市盈率增长）。
到目前为止，CAPE修匀公式计算的标普500指数10年平均收益为128.50美元。但需要对这个数字进行调整之后才能与已公布的每股收益进行对比。CAPE根据通货膨胀标高以往的利润，但并不会考虑超出消费物价指数变化轨迹的“实际”物价上涨。根据有强大学术基础的优秀投资公司的经验，可将席勒的周期调整后市盈率提高10%，以体现“实际”收益。按照中间水平8.75%计算，CAPE的“可持续收益”约为141美元。
这个数字依旧比第4季度的198美元低26%。这表明每股收益在2019年底达到史上最高的139美元时已经有些过热，即将趋于平缓，结果新冠经济却导致其大幅上涨。
几乎总是过度乐观的华尔街分析师们预测，第2季度的年度每股收益将下降到186美元。请记住，今天的高通胀将在“实际”收益下降中扮演重要的角色。分析师们预测的2%的降幅，在通胀调整后可能是负10%，因为CPI的年上涨速度超过8%。
收益下降时恰当的市盈率倍数
2017年底，随着公司利润大幅增长，标普指数的市盈率倍数为24.3。之后四年出现了一种惊人的现象：每股收益增长90%，标普指数也经历了几乎相同幅度的上涨。到去年新年前夜，市盈率倍数为24.1，几乎没有变化。这可能依旧是一个很高的数字，尽管分子是平均数，而不是大盘股公司的利润。自1988年以来，标普指数的中位数市盈率倍数为21.8，远高于一个多世纪以来该基准指数的平均市盈率倍数16左右。
在5月25日收盘时，标普指数年初至今下跌超过16%，导致市盈率倍数进一步降至20.1。略低于平均水平的市盈率倍数，可能让股票看起来价格较低。但需要再次强调的是，依旧虚高的利润这个分母夸大了市盈率倍数。
我们可以使用席勒的收益数据（在向上调整“实际”收益后）和过去33年的平均市盈率，得出一个合理的标普指数公允价值预测。每股收益140美元，市盈率倍数21.8，意味着标普指数的合理点位为3080点。这比5月25日收盘时的3970点低22%。基本面很清楚：标普指数依旧在一个巨大的“气穴”上方盘旋，可能出现短期震荡。
每股收益减少近四分之一，最重要的是确定远低于当前水平的公允价值，这似乎有些极端。但事实并非如此。收益141美元依旧比2017年底高28%，相当于每年增长6%。以此为起点计算，营业利润率已经高达10.3%。
按照约3100点的公允价值计算，标普指数依旧接近2019年底经过多年大幅上涨之后的最高纪录，而且比2017年年初上涨了38%。
标普指数下跌22%甚至也算不上悲观。这种情景预测市场市盈率倍数达到约22，按照历史标准来看，这依旧是一个很高的数字。过去十年，美国的超低实际利率使股市大涨。只有股市能继续从超低实际利率中受益，市盈率倍数才有可能达到这个水平。如果美联储快速控制通货膨胀的计划失败，市盈率倍数还可能更低。快速上涨且不稳定的CPI，让投资者担心美联储需要采取更强有力的措施，这可能引发严重经济衰退。为了寻求安慰，投资者需要用超丰厚的“股权风险溢价”，即与无风险债券相比持有股票带来的额外预期收益，补偿持有股票所承担的更高风险。股票成本越低，风险溢价缓冲只会变得越大。无论是持续的高通胀还是实际利率恢复到2%以上，都会降低市盈率倍数，使股价更快、更大幅度下跌。
我们甚至没有谈到可能发生的经济衰退，将使公司利润低于已经大幅下降的可靠水平。在股市中少有的可以确定的一点是，其驱动因素最终将回归均值，受制于总体经济增长和竞争等因素。这些因素决定了公司盈利能力的上限。股市会再次繁荣。但数学计算显示，股市首先需要在目前的基础上大幅下跌，然后投资者才能迎来买入的真正良机。（财富中文网）
译者：刘进龙
审校：汪皓
Given the S&P 500's over 16% decline since the start of 2022, you might think this is a buying opportunity. Don't be fooled.
Big cap stocks are still substantially overpriced for a basic reason: Corporate earnings mushroomed to bubble proportions because of the spending frenzy that raged in the rebound from the pandemic. Now, the balloon is leaking air as a parade of big names announce disappointing results and/or forecasts, among them Walmart, Target, Amazon, Meta Platforms, Netflix, Nvidia, and Snap. Still, some investors, reassured by Wall Street's buy-side analysts, are clinging to the view that last year's gigantic earnings have more or less set a new, super-elevated base for the future. Hence, they're not slicing prices nearly enough to account for the sharp descent to much more stable earnings levels that's already underway, and set to gather speed.
For investors who are trying to figure out a "fair value" for today's S&P 500, and to estimate where the index is likely to settle in six months or a year, it's crucial to determine when S&P earnings will reach a plateau that will have some staying power. In this analysis, I use a few tried-and-true metrics to establish that number. The distance between the S&P current valuation, and what the underlying fundamentals say it's worth, may shock you.
Tracking the earnings explosion
From the close of 2017 through the end of 2021, corporate profits enjoyed their biggest four-year rise—measured from an already reasonably high start—in more than a century. S&P 500 earnings-per-share jumped from $109.88 to $197.87, or 80%, garnering annualized gains of 17%. In the same period, the U.S. economy expanded by 17.7%, meaning, in essence, that S&P 500 companies' profits outpaced the production of goods and services they were selling by four-and-a-half times. It's notable that the 2021 EPS number was almost half-again higher than the record set in pre-COVID 2019, itself a banner year for earnings. In Q4 of last year, operating margins hit an incredible 13.4%, far above the median of around 9.5% over the past eleven years.
The just-published Fortune 500 rankings vividly illustrates the trend: For 2021, the members posted $1.8 trillion in earnings, a huge gain of over 50% in total earnings versus 2019.
Corporate America can't conceivably maintain that super-rich level of profitability. Earnings clearly need to reset, but where will they land? An excellent yardstick for determining a normal, "reversion to the mean" level for earnings-per-share—a footing from which profits can reasonably grow in tandem with the economy–is the cyclically adjusted price-earnings ratio or CAPE developed by Yale economist and Nobel laureate Robert Shiller. The CAPE measures whether stocks are cheap, expensive or reasonably priced by using a five-year average of earnings-per-share, adjusted for inflation. That formula raises PEs when they're artificially depressed by the kind of temporary earnings explosions we've seen recently (as well as accounting for unreliably inflated multiples when profits hit a short-lived slump).
As of today, the CAPE smoothing formula puts ten-year earnings for the S&P 500, on average, at $128.50 That figure, however, requires an adjustment before it's compared with today's reported EPS. The CAPE marks up past profits to account for inflation, but not for "real" increases that exceed the trajectory for the Consumer Price Index. A rule of thumb used by a prominent investment firm that has strong academic grounding raises Shiller number by 10% to account for the "real" component. Taking the mid-point of 8.75%, the CAPE's "sustainable" earnings come to around $141.
That figure is still 26% lower than the Q4 reading of $198. It implies that EPS was already a bit overheated when it reached an all-time high of $139 at the end of 2019, and was poised to flatten before the COVID economy launched the moonshot.
The almost-always overly optimistic Wall Street analysts are predicting an annualized a decline to $186 for Q2. Keep in mind that today's heavy inflation will play a big part to hammering "real" earnings. The 2% decrease the analysts' forecast is more like a negative 10% in inflation-adjusted numbers, given that the CPI is advancing at an annual rate of over 8%.
The right multiple for lower earnings
At the end of 2017, just as profits took off, the S&P's price-to-earnings multiple stood at 24.3. The next four years witnessed an amazing phenomenon: EPS jumped 90%, and the S&P increased by almost an identical amount. By New Year's Eve of last year, the multiple had barely budged, to 24.1. Still, that would be a pretty high number, even if the numerator were average rather than Brobdingnagian profits. The S&P's median P/E since 1988 is 21.8, which in turn is well above the average of around 16 when the benchmark index measured for more than a century.
At the market close on May 25, the P/E had fallen to 20.1, driven lower by the year-to-date fall of over 16%. That slightly-below-average multiple might make stocks look somewhat cheap. But once again, it's swelled by a denominator of still-highly-inflated profits.
We can arrive at a reasonable forecast of fair value for the S&P by deploying the Shiller earnings number (after our upward adjustment for "real" gains), and the average P/E over the past thirty-three years. A multiple of 21.8 applied to earnings-per-share of $140 would make the S&P reasonably priced at 3080. That's 22% below its close of 3970 on May 25. The basics are clear: The S&P is still hovering over a big air pocket.
A markdown in EPS by nearly one-quarter, the top factor is establishing a fair value well below today's levels, might seem extreme. But that's not the case. At $141, earnings would still be 28%, or 6% a year, higher than they were at the end of 2017. At that starting point, operating margins were already elevated at 10.3%.
At a fair value of around 3100, the S&P would still stand close to its then-record following years of outsized gains at the end of 2019, and up 38% from the beginning of 2017.
A fall of 22% isn't even particularly pessimistic. That scenario still projects that the market P/E will settle at almost 22, a high number by historic standards. It will only be that high if the markets continue to benefit from the extremely low real interest rates that have provided a big boost in the last decade. Multiples will also be far lower if the Federal Reserve fails in its campaign to quickly tame inflation. A fast-rising and volatile CPI vexes investors who fear the Fed will need to crack down even harder, causing a severe recession. For comfort, they demand a super-fat "equity risk premium," the extra expected returns on stocks versus risk-free bonds, as compensation for the heightened risk of holding equities. The risk-premium cushion only gets bigger when stocks get cheaper. Either persistently high inflation or a return to 2%-plus real rates would compress multiples, making stocks' dive much faster and steeper.
And we're not even talking about a possible recession that would push corporate profits well below the already much reduced number that's reliable. One of the stock market's few certainties is that its drivers eventually revert to the mean, governed by such gravitational forces as overall economic growth and competition that imposes a cap on profitability. Equities can thrive again. But the math shows that they'll have to fall a long way from here before investors will get a genuine buying opportunity.
