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现在是不是投资股票的好时机?这一指标指说明一切

现在是不是投资股票的好时机?这一指标指说明一切

SHAWN TULLY 2021年04月12日
目前,CAPE比率超过37,预示着将会出现暴跌,就像25年前一样。

《雅各书》(Epistle of James)中的圣经传说是对现今股市的寓言。这个道德寓言故事讲的是,从前,在巴格达,有个商人派他的仆人去市场采购货物。叙述者“死神”也在货摊前闲逛,并且推了这个仆人一把。死神一边后退,一边举起双臂,好像是要攻击仆人,仆人吓坏了,跑去和商人借马,准备马上逃离。“请你把马借给我,我要离开这座城市,躲过我的命运,”他告诉商人,然后以最快的速度纵马奔向萨马拉。当日晚些时候,商人也去了市场,并见到了死神。“你为什么要对我的仆人作出威胁的手势?”商人问道。“那不是威胁的手势,那只是吃惊的表示!”死神答道。“我只不过看他那时还在巴格达,大为吃惊。因为,我预定今晚要在萨马拉和他碰面。”

大盘股可能也注定会在“萨马拉”有自己的命运。这是著名周期性调整市盈率(CAPE)发出的危险信号。CAPE由耶鲁大学经济学家罗伯特•希勒提出。这一指标深受市场上众多精英人士的青睐,包括Research Affiliates的罗伯•阿诺特以及AQR Capital的克里夫•阿斯尼斯。

相对于标准市盈率,CAPE比率能更加可靠地衡量股价何时低或何时超高。由于收益极不稳定,因此,像我们去年看到的那种暴跌会让倍数看起来虚高,而暂时的、不可持续的飙升会让人产生一种错觉,认为标普500指数成分股价格极低,即2019年底出现的情况。而希勒则使用十年盈利平均值来削平波峰和波谷的影响。

截至4月8日中午收盘,标普500指数再创历史新高,涨至4094点,CAPE比率达36.8。在希勒所追踪的139年历史中,只有一个时期达到如此之高。即使在1929年股市大崩盘之际,CAPE比率仍一直徘徊在33以下。CAPE比率达到37的情况,包括世纪之交互联网泡沫期间价格膨胀最严重的时期。就在23年前,即1998年4月,CAPE比率达到37.4,创下当时的历史新高。因此,投资者首先要考虑的问题是:过去的价格走势如何,而重新调整1998年里程碑数字又会表明未来的价格走势如何?

互联网热潮的有趣之处在于,即使CAPE比率开始发出危险信号,股市仍在很长一段时间内狂飙。自CAPE比率几乎触及37起的28个月里,标普500指数从1112点起一路高涨,到2000年8月升至1485点的峰值。因此,该指数在触及37这个倍数之后上涨了33.5%,回想起来,这应该会让投资者感到震惊。

最终,CAPE比率于1998年4月达到37,已经预示着股价将会暴跌。在接下来的两年多时间里,股价越高,未来跌幅可能就越大。一波跌势随之而来。到2001年9月,该指数出现了波动,当CAPE比率首次达到37时,标普500指数跌破1112点。但跌势并未就此停止。在2002年2月的低点,价格比1998年5月的基准值下降了23%,直到2004年8月才填平亏损。因此,自CAPE比率触及37以来的六年多时间里,标普实现的资本收益为零。投资者确实每年获得了1.4%的股息回报,但其甚至未能跟上通胀率。

自CAPE比率达到37起的整整十年里,股东们的处境如何?到2008年4月,标普实现的年股价升值率为2.0%,股息回报率为1.4%,总回报仅为微不足道的3.4%。如果你在1998年春季买入股票,但从未卖出,那么到今天为止,年资本收益率将达到6%。再加上股息,年总回报率仅为平庸的7.4%。

但如果你打算继续持有, 7.4%也可能是虚幻的。在我们的假设中,你在1998年买入该指数股票,你只会获得些平庸的个位数回报,因为标普指数再次过度虚高。目前,CAPE比率超过37,预示着将会出现暴跌,就像25年前一样。

那么你现在应该卖出了吗?

这一问题比看上去更难。事实上,股票热潮可能会持续很长一段时间,使股价从极端高估走向疯狂高估。我们在互联网繁荣时期看到过这种现象,当时CAPE比率达到37,且标普指数持续上涨,涨幅超过30%。这种情况有可能再次发生。问题是,当CAPE比率显示股价异常高时,股价通常不会在未来很长一段时间内持续走高。互联网爆炸的持久情况实属例外。由于CAPE在20世纪20年代中期过高,2008年5月,股价在六个月暴跌三分之一以上。请注意:如果你认为你能选择进场时机,并能预测已被高估的股票最终何时会见顶,你就有可能遭遇股市暴跌。

股市何时会暴跌,谁也无法预料。但有一件事可以肯定:死神正在“萨马拉”等着呢。(财富中文网)

翻译:郝秀

审校:汪皓

《雅各书》(Epistle of James)中的圣经传说是对现今股市的寓言。这个道德寓言故事讲的是,从前,在巴格达,有个商人派他的仆人去市场采购货物。叙述者“死神”也在货摊前闲逛,并且推了这个仆人一把。死神一边后退,一边举起双臂,好像是要攻击仆人,仆人吓坏了,跑去和商人借马,准备马上逃离。“请你把马借给我,我要离开这座城市,躲过我的命运,”他告诉商人,然后以最快的速度纵马奔向萨马拉。当日晚些时候,商人也去了市场,并见到了死神。“你为什么要对我的仆人作出威胁的手势?”商人问道。“那不是威胁的手势,那只是吃惊的表示!”死神答道。“我只不过看他那时还在巴格达,大为吃惊。因为,我预定今晚要在萨马拉和他碰面。”

大盘股可能也注定会在“萨马拉”有自己的命运。这是著名周期性调整市盈率(CAPE)发出的危险信号。CAPE由耶鲁大学经济学家罗伯特•希勒提出。这一指标深受市场上众多精英人士的青睐,包括Research Affiliates的罗伯•阿诺特以及AQR Capital的克里夫•阿斯尼斯。

相对于标准市盈率,CAPE比率能更加可靠地衡量股价何时低或何时超高。由于收益极不稳定,因此,像我们去年看到的那种暴跌会让倍数看起来虚高,而暂时的、不可持续的飙升会让人产生一种错觉,认为标普500指数成分股价格极低,即2019年底出现的情况。而希勒则使用十年盈利平均值来削平波峰和波谷的影响。

截至4月8日中午收盘,标普500指数再创历史新高,涨至4094点,CAPE比率达36.8。在希勒所追踪的139年历史中,只有一个时期达到如此之高。即使在1929年股市大崩盘之际,CAPE比率仍一直徘徊在33以下。CAPE比率达到37的情况,包括世纪之交互联网泡沫期间价格膨胀最严重的时期。就在23年前,即1998年4月,CAPE比率达到37.4,创下当时的历史新高。因此,投资者首先要考虑的问题是:过去的价格走势如何,而重新调整1998年里程碑数字又会表明未来的价格走势如何?

互联网热潮的有趣之处在于,即使CAPE比率开始发出危险信号,股市仍在很长一段时间内狂飙。自CAPE比率几乎触及37起的28个月里,标普500指数从1112点起一路高涨,到2000年8月升至1485点的峰值。因此,该指数在触及37这个倍数之后上涨了33.5%,回想起来,这应该会让投资者感到震惊。

最终,CAPE比率于1998年4月达到37,已经预示着股价将会暴跌。在接下来的两年多时间里,股价越高,未来跌幅可能就越大。一波跌势随之而来。到2001年9月,该指数出现了波动,当CAPE比率首次达到37时,标普500指数跌破1112点。但跌势并未就此停止。在2002年2月的低点,价格比1998年5月的基准值下降了23%,直到2004年8月才填平亏损。因此,自CAPE比率触及37以来的六年多时间里,标普实现的资本收益为零。投资者确实每年获得了1.4%的股息回报,但其甚至未能跟上通胀率。

自CAPE比率达到37起的整整十年里,股东们的处境如何?到2008年4月,标普实现的年股价升值率为2.0%,股息回报率为1.4%,总回报仅为微不足道的3.4%。如果你在1998年春季买入股票,但从未卖出,那么到今天为止,年资本收益率将达到6%。再加上股息,年总回报率仅为平庸的7.4%。

但如果你打算继续持有, 7.4%也可能是虚幻的。在我们的假设中,你在1998年买入该指数股票,你只会获得些平庸的个位数回报,因为标普指数再次过度虚高。目前,CAPE比率超过37,预示着将会出现暴跌,就像25年前一样。

那么你现在应该卖出了吗?

这一问题比看上去更难。事实上,股票热潮可能会持续很长一段时间,使股价从极端高估走向疯狂高估。我们在互联网繁荣时期看到过这种现象,当时CAPE比率达到37,且标普指数持续上涨,涨幅超过30%。这种情况有可能再次发生。问题是,当CAPE比率显示股价异常高时,股价通常不会在未来很长一段时间内持续走高。互联网爆炸的持久情况实属例外。由于CAPE在20世纪20年代中期过高,2008年5月,股价在六个月暴跌三分之一以上。请注意:如果你认为你能选择进场时机,并能预测已被高估的股票最终何时会见顶,你就有可能遭遇股市暴跌。

股市何时会暴跌,谁也无法预料。但有一件事可以肯定:死神正在“萨马拉”等着呢。(财富中文网)

翻译:郝秀

审校:汪皓

A biblical legend in the Epistle of James provides an allegory for today's stock market. In that moral fable, a merchant sends his servant to the Baghdad market for provisions. "Death," the narrator, is roaming the stalls as well, and jostles the servant. Death recoils and throws up his arms as if to strike, terrifying the servant, who flees to borrow the merchant's horse for a quick getaway. "I will ride away from the city to avoid my fate," he tells the merchant, then gallops for Samarra. Later that day, the merchant sees Death in the marketplace. “Why did you threaten my servant?” demands the merchant. "That wasn't a threatening gesture, it was a gesture of surprise!" Death replies. "I was surprised to see him in the city, because I had an appointment with him tonight in Samarra."

Big-cap stocks may well face their own appointment in Samarra. That's the menacing signal coming from the famous cyclically adjusted price/earnings ratio, or CAPE, developed by Yale economist Robert Shiller. The metric is favored by many of the best minds in the markets, from Research Affiliates’ Rob Arnott to AQR Capital’s Cliff Asness.

The CAPE is a much more reliable measure of when equities are cheap or superexpensive than using the standard P/E. That's because earnings are extremely volatile, so that a sharp drop like the one we witnessed last year makes multiples look inflated, while a temporary, unsustainable surge gives the illusion that the S&P 500 is a bargain, the situation in late 2019. Instead, Shiller averages profits over the previous decade to smooth the peaks and valleys.

As of midday on April 8, as the S&P hit a record 4094, the CAPE stood at 36.8. It's been that high during only one period in the 139-year history tracked by Shiller. Even at the verge of the 1929 crash, it hovered below 33. That CAPE-at-37 span bracketed the interlude when prices were most inflated during the turn-of-the-century Internet bubble. Exactly 23 years ago, in April 1998, the CAPE hit 37.4, a record high at the time. So here's the question that should be foremost in investors' minds: Where did prices go from there, and what does rescaling that 1998 milestone tell us about where they'll go from here?

What's interesting about the dotcom craze is that even when the CAPE started signaling danger, stocks roared for a long time. Over the 28 months starting when the CAPE nearly hit 37, the S&P jumped from 1112 to the frenzy's peak of 1485, reached in August 2000. Hence, the index gained 33.5% after notching a multiple that in retrospect should have petrified investors.

As it turned out, the 37 CAPE in April 1998 already foretold a steep fall in prices. The higher stocks climbed from there over the next two-plus years, the sharper the eventual fall ahead was likely to be. A wipeout ensued. By September 2001, the index had made a roundtrip, dropping below the 1112 mark when the CAPE first reached 37. The descent didn't stop there. At the low point in February 2002, prices sank 23% under the benchmark in May 1998, and they didn't get back to even until August 2004. So for over six years from the month the CAPE hit 37, the S&P delivered zero capital gains. Investors did collect 1.4% annually from dividends, a return that didn't even match inflation.

How did shareholders fare over the full decade that started with a CAPE of 37? By April 2008, the S&P had returned 2.0% a year in price appreciation, and another 1.4% in dividends, for a paltry 3.4%. If you had bought back in the spring of 1998 and never sold, as of today you'd have 6% in annual capital gains. Add dividends, and the total return would be an unimpressive 7.4% a year.

But that 7.4% number is probably illusory, if you're planning to hold. In our scenario, in which you bought into the index in 1998, you would only have achieved even those mediocre, single-digit returns because the S&P is once again highly inflated. Today's CAPE of over 37 is forecasting a big fall, just as it was almost a quarter of a century ago.

So should you sell now?

That's a tougher question than it appears. The truth is, these fevers can last a long time and send shares from extremely to wildly overpriced. We saw that phenomenon in the Internet boom, when the CAPE started at 37, and the S&P proceeded to climb over 30%. It could happen again. The problem is that when the CAPE shows that prices are extra rich, they usually don't keep getting richer for an extended period. The longevity of the dotcom explosion was the exception. In May 2008, with the CAPE looking pricey in the mid-20s, stocks dropped in six months by over one-third. Message: If you think you can time the market and predict when already overpriced stocks will eventually peak, you risk getting caught in the deluge.

It impossible to say when the deluge will come. But one thing is certain: The grim reaper is waiting in Samarra.

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