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为什么说均值回归意味着股市将迎来苦日子

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。

    现在我们的预期是,到2024年CAPE将回到18倍的近期平均水平。按照上文中4.4%的增长率计算,每股收益将比现在高57%;然而,由于CAPE的下降,在这期间股票的资本收益只有8%。每年得到的分红带来的收益率约为16%,这样,总收益率就是24%,而每年的收益率只有2.15%。这个数字应该相当接近通胀率,而且仅此而已。

    经过推算,我们发现了一个重大意外情况。那就是在所有的股票分析中,最重要的指标实际上很正常。这个指标就是股票风险溢价,即投资者所要求的回报率中超过美国政府债券收益率的那部分超额回报,它补偿的是持有股票所带来的额外风险。目前,股票风险溢价高达3.5%,也就是4%的盈利收益率减去10年期美国国债剔除通胀因素后的收益率,后者约为0.5%。Research Affiliates为1600多亿美元的投资基金提供策略管理,这家公司的投资管理部门负责人克里斯•布莱特曼说:“我们面对的情况是,盈利收益率格外低,但受反常的货币政策影响,实际利率也格外低。用格外低的收益率减去低利率,就得到了看上去好得不能再好的股票风险溢价”。

    这都要怪美联储(Fed)。在“新的常态”下,也就是没有均值回归的情形下,总回报率就是3.5%的风险溢价加上0.5%的债券实际收益率,再加上通胀率。要让这个总回报率为6%的情形成为现实,债券实际收益率就得一直很低。一直很低就意味着基本不变,这样,收益率很低的债券就一直没什么竞争力,就算和昂贵的股票相比也是这样。因此,投资者只好勉强接受股票的低回报率,原因是另一种投资是如此的缺乏吸引力。

    布莱特曼指出,实际上,要让债券实际收益率处于那么低的水平,美国经济就得长期处于停滞状态,就像长期萎靡不振的日本经济那样。在这种情况下,我们预测的中等个位数回报率都很有可能显得过于乐观。

    在第二种情形中,所有指标都回归常态。但是,风险溢价已经处于正常水平。和平均值相去甚远,而且作势要回到常态的是实际利率。20年来,剔除通胀因素后的平均利率约为2%。如果利率回到这个水平,成为现实的就将是我们在上文中谈到的那个卑鄙的均值回归情形。要指出的一个要点是,这样的变化可能不会很快出现。但是,如果美国经济显露出任何活力,这种变化最终还是会到来。届时收益率就很难超过通胀率,而且随后的10年将是一个漫长而难熬的过程。

    造成实际利率处于异常低水平的是美联储。他们无法坚持很长时间。只要资金需求取代货币供给成为左右利率的主要力量——而且实际情况也一定会是这样——实际利率就会迅速反弹,进而重新呈现始于2013年中期的趋势。这就是为什么均值回归情形是最有可能,甚至是必然出现的结果。在上述两种情形中,一种很公平,另一种很糟糕,而这个糟糕的情形很可能成为现实。华尔街的专业人士没办法不感谢美联储,但他们应该重新考虑这个问题。(财富中文网)

    译者:Charlie

    Now we'll project that the CAPE reverts to recent average of 18 in by 2024. EPS will be 57% higher than today at our 4.4% growth rate, but because the multiple will drop, the stock will post a capital gain of only 8% over that entire period. Dividends, collected each year, will deliver another 16% or so, for a total return of 24%. That's an annual gain of just 2.15%, a number that should pretty much match inflation, and nothing more.

    Our exercise reveals a big surprise. The most important measure in all of equity analysis is actually normal. It's the equity risk premium, the extra return investors demand over and above the rate on U.S. government bonds -- it amounts to the compensation for the additional risk of holding stocks. Today, the ERP is a robust 3.5%. That's the 4% earnings yield, minus the inflation-adjusted rate on 10-year treasuries of around 0.5%. "We're in a situation where the level of earnings yield is extraordinarily low, but because of extraordinary monetary policy, the real rates are extraordinarily low," says Chris Brightman, head of investment management at Research Affiliates, which oversees strategies for more than $160 billion in investment funds. "Subtract the low real rate from the extra-low yield, and you have a perfectly good looking ERP."

    Blame it on the Fed. In the "new normal," no mean reversion scenario, the total return is the risk premium of 3.5% plus the real yield of 0.5% plus inflation. For that 6% scenario to triumph, the real yield needs to stay puny. Staying puny means more of the same, so that low-yielding bonds will continue providing weak competition even for expensive stocks. Hence, investors will make do with low returns on stocks because the alternatives are so unattractive.

    In fact, for real rates to remain that low, the U.S. would need to go into a prolonged period of economic stagnation such as the malaise that's long inflicted Japan, says Brightman. In that case, it's highly possible that the mid-single digit returns we forecast could be far too optimistic.

    In the second scenario, everything returns to normal. But the risk premium already is normal. What's far from the mean, and threatens to revert, is the real interest rate. Over the past two decades, inflation-adjusted rates have averaged around 2%. If they return to that level, then our mean, mean reversion scenario is the one that wins. It's important to point out that the change may not come quickly. But if the U.S. economy shows any kind of vitality, it will arrive eventually. Then returns will barely beat inflation. And 10 years in the wilderness is a long, parched journey.

    The abnormally low real rates are the work of the Fed. They cannot last. Once demand for capital supplants money supply creation as the principal force driving rates, as it must, real rates are bound to rise sharply, restoring the trend that began in mid-2013. That's why the mean-reversion scenario is the most likely, if not inevitable, outcome. One scenario is fair, the other is poor, and the poor one will probably reign. The Wall Street pundits can't stop thanking the Fed. They should reconsider.

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