别被股市骗了，不过是熊市里的反弹
在投资者眼里，5月中旬的大跌似乎突然让股票变便宜了，基本面却显示这种想法大错特错。
5月19日，标准普尔500指数跌至3901点，达到年内低点，较新年前夜收盘点位下跌 18.1%。自2020年年中疫情高峰以来，大盘股股指标普500的市盈率首次跌破20至19.6，与2022年初昂贵的24相比大幅缩水。散户和机构显然感觉股市已经重新进入了低价区间，发起了一场小型买入潮，将标普指数在7个交易日内推高了近6%，彻底抹去了月中大幅下跌的痕迹，最终5月收盘4132点，与月初点位完全一致。那些一度大跌的知名公司中，出现反弹的包括奈飞(Netflix，涨幅7.7%)、苹果(Apple，涨幅8.3%)、英伟达(Nvidia，涨幅9.4%)和亚马逊(Amazon，涨幅12.2%)。
正如我上周文章中讲到的(《从这些指标看，标普500指数还会大跌》)，就在本轮最强劲的一波上涨之前，大盘股已经非常贵了。本轮反弹并未改变上述分析。这只是一个信号，预示着今后一段时间我们将看到大量类似的突然拉升，同时不断听到股市已经触底的呼声，但从更长的时间维度看，最终决定股市价格“均值回归”的引力作用将不可避免地占据上风。
当前市场的乐观情绪出现复苏，因此有必要回顾一下数据。大盘股仍然非常贵，因此注定要么下跌，要么在扣除通胀后回馈低得可怜的收益率，根本原因在于：疫情恢复期的消费狂潮推动企业盈利迅速飙升，已经达到了泡沫的水平。如今，随着沃尔玛(Walmart)、塔吉特(Target)、亚马逊、奈飞、英伟达和Snap等大公司纷纷公布令人失望的业绩和/或预测，气球开始漏气了。
不过，在华尔街买方分析师的安抚下，一些投资者仍坚持认为，去年的巨额利润或多或少为未来奠定了一个新的超高基础。因此，他们没有等到价格大幅降低至更加稳定的收益水平，事实上，收益水平的下降已经开始了，而且还将加速。我们在下文将介绍，今天严重的通胀率将在很大程度上帮助股价和收益恢复到值得一买的水平。
如果投资者试图为今天的标普500指数计算出一个“合理的价值”，或者估算出该指数在六个月或一年后可能会稳定在什么位置，关键是要确定标普的收益何时会达到可以持续的稳定平台期。在下文的分析中，笔者使用了若干经过了验证的指标来计算这个数字。标普目前的估值与按照底层基本面计算出的价值之间的差距可能会让你大吃一惊。
收益预期
从2017年底到2021年底，企业利润经历了一个多世纪以来最大幅度的四年增长——而且是从一个已经相当高的起点算起。标普500指数的每股收益从109.88美元跃升至197.87美元，涨幅达80%，年化收益为17%。而差不多同一时期，美国经济增长了17.7%，这意味着，从本质上讲，标普500指数成份股公司的利润增速，是其销售的商品和服务总量增长速度的4.5倍。值得注意的是，2021年的每股收益几乎比疫情前2019年创下的纪录再高出一半，而2019年本身就是一个超高收益的年份。去年第四季度，营业毛利达到了令人难以置信的13.4%，远高于过去11年大约9.5%的中位数。
刚刚发布的《财富》500强榜单生动地说明了这一趋势：2021年，上榜企业盈利1.8万亿美元，比2019年大幅增长50%以上。
可以想象，美国企业不可能保持这种超级丰厚的盈利水平。收益显然需要调整，但它们会在哪里落地呢？耶鲁大学经济学家、诺贝尔奖得主罗伯特•希勒提出的周期调整市盈率(CAPE)是衡量每股收益是否“回归均值”正常水平的一个很好的指标，“均值回归”是公司利润能够与经济同步增长的基础。CAPE通过使用通胀调整后的5年平均每股收益来衡量股票的价格是偏低、偏高还是合理。这一公式会在盈利短暂激增（就像最近）、市盈率被人为压低时提高其市盈率，也会将利润短暂下滑时不可靠的虚高市盈率考虑在内。
按照CAPE修匀公式计算，截至5月底，标普500指数的10年平均收益为128.43美元。不过，这个数字需要调整才能和今天的每股收益做比较。CAPE会根据通胀标高过去的利润，但不会计入超出消费者物价指数变化轨迹的“实际”增长。某学术背景深厚的知名投资公司的经验做法是将席勒指数调高约10%，用以把“实际”因素计算在内。以8.75%的中间值计算，CAPE的“可持续”收益约为141美元。
这一数字仍比第四季度的198美元低26%。这意味着，每股收益在2019年底达到139美元的历史高点时就已经有点过热，本应趋于平缓，却因为新冠经济再创新高。
2021年，标普500指数的每股收益膨胀得过于明显，就连几乎总是过度乐观的华尔街分析师也预测，第二季度的年度每股收益奖会下降。
2022年股市预测
2017年底，随着公司利润起飞，标普指数的市盈率达到24.3。接下来的四年见证了一个惊人的现象：每股收益上涨了90%，标普指数也呈现几乎相同的涨幅。到去年新年前夜，市盈率几乎没有变化，为24.1。不过，即使分子代表的是平均利润而不是较高的利润，这也是一个相当高的数字。自1988年以来，标普500指数的市盈率中值为21.8，远高于该基准指数一个多世纪以来16左右的平均水平。
5月31日，标普500指数收于4132点，随着今年以来该指数跌幅超过13.3%，官方市盈率已降至21。这个略低于平均市盈率的数字可能会让股票看起来有些便宜。但需要再次强调，因为分母代表的利润过高，这个数字是有水分的。
我们可以用席勒收益数据(在对“实际”收益进行向上调整后)和过去33年的平均市盈率，对标普指数的公允价值做出合理预测。如果用21.8倍的市盈率乘以141美元的每股收益，那么标普500的合理点位应该为3080。这个数字比5月31日的收盘价低了25%。情况很清楚了：标普指数仍盘旋在一个大气阱上方。
每股收益减少近四分之一(最重要的原因是确立了远低于当前水平的公允价值)看上去似乎有些极端。但事实并非如此。按141美元计算，每股收益仍将比2017年底高出28%，相当于年均增长6%。而2017年底的营业利润率已经提高到了10.3%。
按照约3100点的公允价值计算，标普指数仍将接近2019年度大幅上涨数年后打破纪录的水平，较2017年初上涨38%。
降低25%甚至也不算特别悲观。在这种情况下，市盈率将稳定在接近22，以历史标准衡量，这是一个很高的数字。只有当市场继续受益于极低的实际利率时，这个数字才会这么高。过去10年，正是超低的实际利率推动了市盈率增长。如果美联储无法迅速遏制通胀，市盈率也会低很多。快速上涨且不稳定的CPI会令投资者感到不安，担心美联储需要更严厉地打压物价，从而导致严重的经济衰退。为求安慰，他们会要求超高的“股票风险溢价”，即股票相对于无风险债券的额外预期回报，作为对股市未来坎坷走势的补偿。只有当股价下跌时，风险溢价缓冲才会更大。无论是持续的高通胀还是实际利率恢复至2%以上，都将对市盈率造成冲击，使股市跳水来得更快更陡。
再一次地，我们在很大程度上需要通胀来重塑股票估值，带来买入筹码。根据笔者的计算，如果未来两年CPI年化增长率为7%，而官方公布的美元利润保持不变，按标普指数目前的水平计算，到2024年年中，股市仍将被高估10%。因此，很有可能，如果挤掉所有的水分，未来两年的收益将停滞不前，到2024年年中，标普指数将降至3720左右，比今天的点位低10%。
我们甚至没有算上可能会出现的经济衰退，衰退将使企业利润远远低于已经大幅削减的可靠数据。股市为数不多的确定性之一是，其驱动因素最终会回归或接近传统均值，受制于整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。但计算结果显示，股价还需要大幅下跌，投资者才能真正拥有买入机会。（财富中文网）
译者：Agatha
在投资者眼里，5月中旬的大跌似乎突然让股票变便宜了，基本面却显示这种想法大错特错。
5月19日，标准普尔500指数跌至3901点，达到年内低点，较新年前夜收盘点位下跌 18.1%。自2020年年中疫情高峰以来，大盘股股指标普500的市盈率首次跌破20至19.6，与2022年初昂贵的24相比大幅缩水。散户和机构显然感觉股市已经重新进入了低价区间，发起了一场小型买入潮，将标普指数在7个交易日内推高了近6%，彻底抹去了月中大幅下跌的痕迹，最终5月收盘4132点，与月初点位完全一致。那些一度大跌的知名公司中，出现反弹的包括奈飞(Netflix，涨幅7.7%)、苹果(Apple，涨幅8.3%)、英伟达(Nvidia，涨幅9.4%)和亚马逊(Amazon，涨幅12.2%)。
正如我上周文章中讲到的(《从这些指标看，标普500指数还会大跌》)，就在本轮最强劲的一波上涨之前，大盘股已经非常贵了。本轮反弹并未改变上述分析。这只是一个信号，预示着今后一段时间我们将看到大量类似的突然拉升，同时不断听到股市已经触底的呼声，但从更长的时间维度看，最终决定股市价格“均值回归”的引力作用将不可避免地占据上风。
当前市场的乐观情绪出现复苏，因此有必要回顾一下数据。大盘股仍然非常贵，因此注定要么下跌，要么在扣除通胀后回馈低得可怜的收益率，根本原因在于：疫情恢复期的消费狂潮推动企业盈利迅速飙升，已经达到了泡沫的水平。如今，随着沃尔玛(Walmart)、塔吉特(Target)、亚马逊、奈飞、英伟达和Snap等大公司纷纷公布令人失望的业绩和/或预测，气球开始漏气了。
不过，在华尔街买方分析师的安抚下，一些投资者仍坚持认为，去年的巨额利润或多或少为未来奠定了一个新的超高基础。因此，他们没有等到价格大幅降低至更加稳定的收益水平，事实上，收益水平的下降已经开始了，而且还将加速。我们在下文将介绍，今天严重的通胀率将在很大程度上帮助股价和收益恢复到值得一买的水平。
如果投资者试图为今天的标普500指数计算出一个“合理的价值”，或者估算出该指数在六个月或一年后可能会稳定在什么位置，关键是要确定标普的收益何时会达到可以持续的稳定平台期。在下文的分析中，笔者使用了若干经过了验证的指标来计算这个数字。标普目前的估值与按照底层基本面计算出的价值之间的差距可能会让你大吃一惊。
收益预期
从2017年底到2021年底，企业利润经历了一个多世纪以来最大幅度的四年增长——而且是从一个已经相当高的起点算起。标普500指数的每股收益从109.88美元跃升至197.87美元，涨幅达80%，年化收益为17%。而差不多同一时期，美国经济增长了17.7%，这意味着，从本质上讲，标普500指数成份股公司的利润增速，是其销售的商品和服务总量增长速度的4.5倍。值得注意的是，2021年的每股收益几乎比疫情前2019年创下的纪录再高出一半，而2019年本身就是一个超高收益的年份。去年第四季度，营业毛利达到了令人难以置信的13.4%，远高于过去11年大约9.5%的中位数。
刚刚发布的《财富》500强榜单生动地说明了这一趋势：2021年，上榜企业盈利1.8万亿美元，比2019年大幅增长50%以上。
可以想象，美国企业不可能保持这种超级丰厚的盈利水平。收益显然需要调整，但它们会在哪里落地呢？耶鲁大学经济学家、诺贝尔奖得主罗伯特•希勒提出的周期调整市盈率(CAPE)是衡量每股收益是否“回归均值”正常水平的一个很好的指标，“均值回归”是公司利润能够与经济同步增长的基础。CAPE通过使用通胀调整后的5年平均每股收益来衡量股票的价格是偏低、偏高还是合理。这一公式会在盈利短暂激增（就像最近）、市盈率被人为压低时提高其市盈率，也会将利润短暂下滑时不可靠的虚高市盈率考虑在内。
按照CAPE修匀公式计算，截至5月底，标普500指数的10年平均收益为128.43美元。不过，这个数字需要调整才能和今天的每股收益做比较。CAPE会根据通胀标高过去的利润，但不会计入超出消费者物价指数变化轨迹的“实际”增长。某学术背景深厚的知名投资公司的经验做法是将席勒指数调高约10%，用以把“实际”因素计算在内。以8.75%的中间值计算，CAPE的“可持续”收益约为141美元。
这一数字仍比第四季度的198美元低26%。这意味着，每股收益在2019年底达到139美元的历史高点时就已经有点过热，本应趋于平缓，却因为新冠经济再创新高。
2021年，标普500指数的每股收益膨胀得过于明显，就连几乎总是过度乐观的华尔街分析师也预测，第二季度的年度每股收益奖会下降。
2022年股市预测
2017年底，随着公司利润起飞，标普指数的市盈率达到24.3。接下来的四年见证了一个惊人的现象：每股收益上涨了90%，标普指数也呈现几乎相同的涨幅。到去年新年前夜，市盈率几乎没有变化，为24.1。不过，即使分子代表的是平均利润而不是较高的利润，这也是一个相当高的数字。自1988年以来，标普500指数的市盈率中值为21.8，远高于该基准指数一个多世纪以来16左右的平均水平。
5月31日，标普500指数收于4132点，随着今年以来该指数跌幅超过13.3%，官方市盈率已降至21。这个略低于平均市盈率的数字可能会让股票看起来有些便宜。但需要再次强调，因为分母代表的利润过高，这个数字是有水分的。
我们可以用席勒收益数据(在对“实际”收益进行向上调整后)和过去33年的平均市盈率，对标普指数的公允价值做出合理预测。如果用21.8倍的市盈率乘以141美元的每股收益，那么标普500的合理点位应该为3080。这个数字比5月31日的收盘价低了25%。情况很清楚了：标普指数仍盘旋在一个大气阱上方。
每股收益减少近四分之一(最重要的原因是确立了远低于当前水平的公允价值)看上去似乎有些极端。但事实并非如此。按141美元计算，每股收益仍将比2017年底高出28%，相当于年均增长6%。而2017年底的营业利润率已经提高到了10.3%。
按照约3100点的公允价值计算，标普指数仍将接近2019年度大幅上涨数年后打破纪录的水平，较2017年初上涨38%。
降低25%甚至也不算特别悲观。在这种情况下，市盈率将稳定在接近22，以历史标准衡量，这是一个很高的数字。只有当市场继续受益于极低的实际利率时，这个数字才会这么高。过去10年，正是超低的实际利率推动了市盈率增长。如果美联储无法迅速遏制通胀，市盈率也会低很多。快速上涨且不稳定的CPI会令投资者感到不安，担心美联储需要更严厉地打压物价，从而导致严重的经济衰退。为求安慰，他们会要求超高的“股票风险溢价”，即股票相对于无风险债券的额外预期回报，作为对股市未来坎坷走势的补偿。只有当股价下跌时，风险溢价缓冲才会更大。无论是持续的高通胀还是实际利率恢复至2%以上，都将对市盈率造成冲击，使股市跳水来得更快更陡。
再一次地，我们在很大程度上需要通胀来重塑股票估值，带来买入筹码。根据笔者的计算，如果未来两年CPI年化增长率为7%，而官方公布的美元利润保持不变，按标普指数目前的水平计算，到2024年年中，股市仍将被高估10%。因此，很有可能，如果挤掉所有的水分，未来两年的收益将停滞不前，到2024年年中，标普指数将降至3720左右，比今天的点位低10%。
我们甚至没有算上可能会出现的经济衰退，衰退将使企业利润远远低于已经大幅削减的可靠数据。股市为数不多的确定性之一是，其驱动因素最终会回归或接近传统均值，受制于整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。但计算结果显示，股价还需要大幅下跌，投资者才能真正拥有买入机会。（财富中文网）
译者：Agatha
Investors are acting as if the selloff through mid-May suddenly made stocks cheap again. The fundamentals are screaming that they couldn’t be more wrong.
On May 19, the S&P 500 hit a low for the year of 3901, marking a drop since the New Year’s Eve close of 18.1%. For the first time since the COVID-ravaged days of mid-2020, the big cap index’s P/E fell below 20 to 19.6, a big shrink versus its rich reading of 24 at the start of 2022. Apparently sensing that equities had re-entered bargain territory, folks and funds embarked on a mini-buying spree, sending the S&P up by nearly 6% in seven trading days, and erasing the big mid-month drop to finish May at precisely the 4132 level where it started. Among the famous, beaten-down names that rebounded were Neflix (+7.7%), Apple (+8.3%), Nvidia (+9.4%), and Amazon (+12.2%).
As I reported last week (How much lower will the S&P fall? A lot according to these metrics), just before the strongest leg in the rally, big cap stocks were substantially overpriced. The snapback does little to change that assessment. It’s simply a sign that we’ll see plenty of these sudden spikes, along with calls that we’ve reached a bottom, while the gravitational force of “reversion to the mean” that always dictates prices in the longer horizon inevitably take charge.
Given the resurgence in optimism, it’s worth reviewing numbers. Big cap stocks are still extremely expensive, and hence destined to either fall or deliver poor inflation-adjusted returns, for a basic reason: Corporate earnings mushroomed to bubble proportions via the spending frenzy that raged in the comeback 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, 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. As we’ll see, today’s heavy inflation will do a much of the work in restoring both prices and earnings to levels where they have room to rise.
For investors 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 assures staying power. In this analysis, I use a few tried-and-true metrics to establish that number. The distance between the current S&P valuation and what the underlying fundamentals say it's worth may shock you.
The earnings outlook
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 roughly four year 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 11 years.
The just-published Fortune 500 ranking vividly illustrates the trend: For 2021, the members posted $1.8 trillion in earnings, a huge gain of over 50% in the total versus 2019.
Corporate America can't conceivably maintain that super-sumptuous 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 (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).
At the end of May, the CAPE-smoothing formula puts 10-year earnings for the S&P 500, on average, at $128.43. 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 the Shiller number by about 10% to account for the "real" component. Taking the midpoint 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 notched an all-time high of $139 at the end of 2019, and was poised to flatten before the COVID economy launched the moonshot.
In 2021, the S&P 500's earnings-per-share were so obviously inflated that even the almost-always overly optimistic Wall Street analysts are now predicting an annualized a decline in the annualized number for Q2.
2022 stock market predictions
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 an almost 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 represented 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 is measured for more than a century.
At the market close of 4132 on May 31, the official P/E had fallen to 21, compressed by the year-to-date fall of over 13.3% for the S&P. That slightly below average multiple might make stocks look somewhat cheap. But once again, it's swelled by a denominator of super-pumped 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 33 years. A multiple of 21.8 applied to earnings per share of $141 would make the S&P reasonably priced at 3080. That's 25% below its close of on May 31. 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 25% 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 boosted PEs 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 to tame raging prices, 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 rough ride ahead for 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 hammer multiples, making stocks dive much faster and steeper.
Once again, look for inflation to do much of the work in restoring valuations to levels that once again make equities a good deal. According to my calculations, if the CPI rises at an annualized rate of 7% for the next two years, and official dollar profits stay the same, stocks would still be overpriced by 10% in mid-2024 at the S&P’s current level. So it’s highly possible that to ring out all the excesses, we’ll be looking at earnings that go nowhere for the next two years, and an S&P that by mid-2024 falls to around 3720 to stand 10% below to today’s levels.
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 traditional norms and ratios, or close to them, governed by such 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.
