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为什么说均值回归意味着股市将迎来苦日子

Shawn Tully 2014年03月31日

如果美国经济显露出任何活力,股市最终就会出现均值回归的情形。届时股票的收益率就很难超过通胀率,而且随后的10年将变成一个漫长而难熬的过程。

    眼下,和我们认为是“常态”的长期趋势相比,这么多影响股价的指标都处于如此偏离的状态,这种情况很少见。公司盈利远高于历史正常水平,利率在美联储(Fed)的干预之下远低于正常值,会随着债券收益率下降而上涨的债券价格似乎也处在不正常的高点上。普通投资者也许会想到,面对这样的情况,棒球明星约吉•贝拉可能会说:“‘新的常态’这么不正常,让我感到困惑。”

    由于如此之多的影响因素都处于如此不寻常的水平,投资者很难判断股票是真的便宜,或者至少定价合理,还是极为昂贵。华尔街的内行们一般都会说股票很廉价,而且会催促大家更多地买进;与此同时,通常具有预见作用的量化基准指标都会表明,股票的估值已经特别高,因而要小心谨慎。到底应该相信谁呢?

    为了消除这种困惑,我们不妨来比较一下股票在两种情形下可能实现的未来回报率。在第一种情形中,我们假设当前指标将保持不变,这样“新的常态”将在今后几年延续下去。在第二种情形中,我们假设50年来在大部分时间里都很流行的指标将再次成为主导。第二种情况也就是所谓的“均值回归”,是指市场各项指标向历史正常水平靠拢的趋势,牵动它们的则是类似于重力的经济力量。

    要搭建这样的框架,要点就在于估算盈利、分红、股价和未来回报率的决定因素目前都处于什么样的水平。然后,我们将按照上面这两种情形考察一下它们在今后10年中的可能动向。CAPE,或者说经过周期性调整的市盈率,是个绝佳的切入点。建立这项指标的是2013年诺贝尔经济学奖得主、耶鲁(Yale)大学教授席勒。他采用的不是当前利润,而是剔除了通胀因素的10年平均每股收益。这个项数据熨平了一直起伏不定的高点和低点——而现在,我们正处于历史高点。席勒用标普(S&P)指数目前的平均股价除以这个10年平均每股收益后得到了CAPE。

    为什么要相信CAPE?来自投资策略机构Research Affiliates的罗勃•阿诺特和投资管理公司AQR Capital的克里夫•阿斯尼斯都是投资领域最聪明的人之一。和席勒一样,他们也认为CAPE是衡量股票贵贱的最佳指标,或者最佳指标之一,也是预测未来回报率的优秀向导。简单地说,CAPE越低,今后10年的收益就越高,预期就是这样。

    目前CAPE为25.4倍。和几乎所有市场指标一样,现在的CAPE远高于正常水平。过去20年中,CAPE平均为18倍左右,100年来的平均CAPE还要更低一些。

    按照上述第一种情形,或者说“现在即将来”的假设,我们预计今后10年CAPE将保持现有水平。也就是说,剔除通胀因素后,投资者获得的回报率相当于1除以CAPE,或者说他们的“盈利收益率”为3.93%,就算是4%吧(如果一只股票的市盈率或者CAPE是25倍,它的盈利回报率就一定是4%)。

    此时的总回报率就是4%加上2%左右的通胀率,即6%。它来自两个方面。第一个是每年约1.6%的股息收益率(目前大公司将40%的利润用于分红),第二个是每股收益每年增长4.4%。要知道,每股收益的增长速度远低于公司的整体盈利水平——长期来看,公司整体盈利都随着GDP波动。出现这种情况的原因是,一般来说公司每年都会发行大量新股,规模会超过它们回购的股票,目的是为扩张计划提供资金。

    这很难称得上是一种美妙的展望,而且和华尔街预计的富裕未来相比,它也有很长的一段路要走。然而,第二种情况要让人气馁得多,从中可以看出均值回归所隐藏的卑鄙之处。

    Seldom have so many of the metrics that influence stock prices strayed so far from the long-term trends we've come to consider "normal." Corporate earnings are far above what's normal historically, interest rates are way below normal because of Fed intervention, and bond prices that wax when rates wane are hovering at seemingly unnatural heights. The typical investor might echo something Yogi Berra could have said: "I'm confused by the 'new normal' because it's so unusual."

    Because so many influential factors are so unusual, investors struggle to determine if stocks are really cheap or at least reasonably priced, or extremely expensive. Wall Street mavens generally argue that equities are a bargain, and urge you to buy more, while usually prescient, quantitative benchmarks show extra-rich valuations, and urge caution. What to believe?

    To clear the confusion, let's compare the likely future equity returns from two scenarios. In the first, we assume that the current metrics will remain in place, so that the "new normal" persists for years to come. In the second, we predict that the metrics that have prevailed during most of the past half-century return in force. That's called "mean reversion," the tendency for market rates and ratios to go back to their historic norms, tugged by a kind of gravitational economic force.

    To set the framework, it's important to gauge where earnings, dividends, and prices, the determinants of future returns, sit right now. Then we'll examine where they're likely to go in 10 years under the two sets of assumptions. An excellent starting point is the CAPE, or cyclically adjusted price-earnings ratio, developed by 2013 Nobel laureate Robert Shiller of Yale. Instead of using current profits, a highly erratic measure, Shiller employs a 10-year average of inflation-adjusted earnings per share that smoothes the constantly-shifting peaks and valleys -- right now we're at a historic peak. He divides that adjusted earnings number into the current S&P average to arrive at the CAPE.

    Why trust the CAPE? Two of the best minds investing, Rob Arnott of Research Affiliates and Cliff Asness of AQR Capital agree with Shiller that it's either the best, or one of the best, measures of whether stocks are cheap or dear, and an excellent guide to future returns. Put simply, the lower the CAPE, the better the gains in the decade to come, WI.

    Today, the CAPE stands at 25.4. Like almost every market metric out there, the current CAPE is way out of the ordinary -- on the high side. The average CAPE over the last two decades is around 18, and for the past century, a couple of points lower.

    For our first, "now is our future" assumption, we'll project that the CAPE stays at its current level for the next decade. That means investors will get an inflation-adjusted return equal to the inverse of the CAPE, or the "earnings yield," of 3.93%, let's call it 4%. (If a company's PE or CAPE is 25, its earnings yield must be 4%.)

    The total expected return is that 4% plus inflation of around 2%, or a total of 6%. That return comes in two parts. The first is the dividend yield of around 1.6% a year (large companies today pay out about 40% of their profits), and the second is earnings-per-share growth of 4.4% annually. Keep in mind that earnings per share increase at a far slower rate than overall corporate earnings that over long periods track GDP, because companies typically issue large numbers of shares each year, in excess of buybacks, to fund their plans for expansion.

    That's hardly a wonderful outlook, and it's a long way from bountiful future Wall Street expects. But the second scenario is far more daunting. It demonstrates the dastardly meanness in mean reversion.

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