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美联储加息后股市会怎么走?凶多吉少

Shawn Tully
2022-05-09

投资者应该引起重视,并系好安全带,迎接未来可能爆发的风暴。

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如果你想根据可靠的学术研究以及对美联储(Federal Reserve)历史政策和宏观经济趋势对物价的影响的分析,预测股市的未来走向,不妨听一听克里斯·布赖特曼的观点。布赖特曼现任Research Affiliates公司的首席执行官兼首席投资官。该公司为嘉信理财(Charles Schwab)和太平洋投资管理公司(PIMCO)等发行的1690亿美元的共同基金和交易所交易基金(ETF)设计投资策略。自从2000年年中标准普尔(S&P)和纳斯达克(NASDAQ)指数开始屡创新高以来,布赖特曼和Research Affiliates的创始人罗布·阿诺特就不断发出警告,认为在经典的股市过热的大背景下,膨胀的市盈率倍数和利润泡沫,导致股价被严重高估。在2021年9月与方舟投资管理公司(Ark Invest)首席执行官凯西·伍德的辩论中,阿诺特指责对方投资估值泡沫化的热门股票,并从市场过热中获利,但热度终究会消退,必将导致股价暴跌。现在我们已经知道谁是这场辩论的获胜者。

我在采访布赖特曼时,询问了他对未来股价和整体经济的前景展望。总体而言,他认为未来发生经济衰退的概率“并不是50对50,而是在60%左右。”

他预测了未来两年可能出现的四种情境。在每一种情境下,股票价格都会有不同走向。请系好安全带,或者喝杯苏格兰威士忌。因为他所预测的情境之糟糕,可能让你感到震惊。

情境1:美联储成功实现软着陆

这是美联储承诺的结果。布赖特曼说:“美联储称,通过调查美联储官员后决定在2023年年初将联邦基金利率上调至约3%,此举将抑制通货膨胀。”5月4日下午,美联储加快收紧货币政策,将基准利率提高了50个基点,是今年3月加息幅度的两倍,而且美联储官员预测今年还将多次加息50个基点。布赖特曼表示:“美联储预计通过加息将在2023年和2024年将通胀率降低到3%以下,之后将控制在2%。”

事实上,这也是债券市场预测的结果:五年期国债平衡通胀率略高于3%。该比率代表了市场对于未来五年平均年度通胀率的预期。目前,通胀率已经接近高一位数,市场显然预期未来几年,通胀率将回落到美联储的2%目标区间。布赖特曼称:“美联储正在尝试管理市场预期,到目前为止它已经取得了成功。美联储称:我们说会有好事发生就一定会有好事发生。珍妮特·耶伦和杰罗姆·鲍威尔正在兜售通胀下降的预期,但他们并没有说这些措施会导致经济衰退。”

布赖特曼认为,如果“完美无缺的货币紧缩政策”取得成功,这确实是买入的良机。他说:“市盈率倍数较高但并未过高的科技股,未来会有较好的表现。价格下跌的股票市盈率倍数将会反弹。你的‘股权风险溢价’不会增加,因为通货膨胀将会回落并得到控制。‘股权风险溢价’是指投资者预期的股票收益和滞胀情况下安全的国债收益的差额。因此,利率不会出现波动。”市场依旧存在“实际”利率上浮的可能性,这将导致未来的收益远低于近期市场暴跌之前三年的丰厚收益。但在“乐观的”情境下,目前暴跌的股票收益增长和市盈率提高,将带来适度的总体回报率。虽然布赖特曼依旧认为发生这种乐观情境的概率有20%,但他日益怀疑发生这种情境的可能性。他警告道:“目前的通胀率超过8%,我看不出仅将联邦基金利率提高到3%,如何能够在2023年年底之前将通胀率下降到2%。”

情境2:美联储以经济衰退为代价控制通货膨胀

在这种情境下,美联储加息刺激了经济衰退。但此举也成功控制住了物价暴涨。布赖特曼说:“在这种情境下,到2024年,失业率将从3%上升到5%,通胀率将回落到2%。经济衰退会持续几个季度。然后美联储将再次拥有执行货币宽松政策的空间。”他认为这对股市而言并不是好消息,因为经济衰退将减少收益。投资者依旧会继续接受持有股票相对于持有国债适度的溢价,因为投资者不需要再面对伴随严重通胀出现的利率大幅波动。但一个重要的问题是“实际”利率的情况。如果布赖特曼的预测成真,由于从中国流入美国的储蓄减少以及大批新投资项目对稀缺资本的需求激增,导致通胀调整后收益率上涨,市盈率倍数需要下降。由于降低通胀率将使市场变得更安全,因此与滞胀环境下的损失相比,这种状况造成的损失较少。但据《财富》杂志预测,在“实际利率”上涨的压力下,随着市盈率倍数下降,未来两年标准普尔指数将依旧低于目前的水平。

情境3:美国躲过了经济衰退,但通胀率持续飙升

在这种情境下,美联储放弃其宣称的将通胀率恢复到当前目标区间的目标。布赖特曼称:“政策的转变并不是由于美联储面临的政治压力,而是源自美国财政部和美联储一种共同的心态,即失业率上升的成本远高于高通胀的成本。但这是无法避免的。更高通胀意味着股价下跌。”这依旧是由于投资者希望承受高通胀所导致的利率波动风险,从而获得额外的丰厚收益。这种波动只是表明,市场认为美联储和美国财政部继续采取优柔寡断的政策,用更多低息货币控制通货膨胀。布赖特曼、阿诺特和杜克大学(Duke University)的经济学教授兼Research Affiliates公司研究总监卡姆·哈维担心,历届政府遗留的巨额联邦支出会迫使美联储让步。联邦负债的GDP占比已经超过了120%。他们认为,偿还联邦负债的潜在成本可能让美联储放弃以足够程度的加息来控制通胀。

布赖特曼指出:“4%至5%的通胀率将成为新常态。到2023年年底,通胀依旧没有得到控制。这只是推迟了必定会发生的后果,让不可避免的补救措施变得更加糟糕。美联储会开始收紧货币政策,只是会采取激烈的手段。经济衰退只是被推迟到2024年或2025年发生。”在这个高通胀但近期未发生衰退的情境下,随着利率意外上浮,市盈率倍数下降。实际收益可能继续增长,因为公司最近可以将上涨的价格转嫁给消费者。由于投资者希望股票价格更低,以保证更高的未来收益,并在波动的环境下保证安全,因此股价会继续下跌。

情境4:半个世纪后滞胀卷土重来

美国上一次发生滞胀是在20世纪70年代。当时的阿拉伯石油禁运导致油价上涨了两倍,而美联储采取了超级宽松的货币政策,导致通胀率升至高一位数甚至两位数。听起来很熟悉吗?布赖特曼认为,自新冠疫情爆发以来,美联储大肆印钞,创造了大量新“直升机货币”,即使美联储按照其目前的承诺大幅收紧货币政策,未来两年,通胀率可能依旧会维持在一位数中段的水平。每个月CPI的大幅上涨和利率快速上浮将抑制经济发展,这意味着滞胀的发生。

滞胀对股价而言意味着什么?请做好准备。布赖特曼表示,过去几年帮助股票市盈率倍数维持在远高于历史正常水平的一个因素,将会因为滞胀受到严重影响。这个因素就是“股权风险溢价”,即相对于持有政府债券的安全回报,投资者希望从选择高风险股票的不可预测性中获得的额外回报。这个因素与国债的“实际”长期利率是计算未来收益贴现率的两个因素。将股权风险溢价与10年期国债的通胀调整收益率相加,就可以得出贴现率。股权风险溢价越低,利润的“现值”越高,就有越多投资者和基金愿意为一揽子股票生成的每一美元收益支付溢价。布赖特曼指出:“多年来,股权风险溢价一直低于平均水平,原因是我们的通货膨胀始终保持适中和稳定。然而在高通胀的同时,发生了高通胀波动。每个季度的通胀率都在发生变化。通胀水平较高同时保持稳定的情况从未发生。”

通胀波动又导致了利率波动。布赖特曼说:“高通胀引发了高利率波动。五年期国债收益率为2.9%左右,因此债券市场预计通胀将很快恢复稳定。但这已经是一个较高的数字,而且目前正在发生变化。这个数字中考虑的是‘暂时性通胀’,目前看来这绝不是一种暂时现象。”他表示,这种趋势正在动摇投资者对美联储和政府经济政策的信心。“高通胀导致的利率波动并不是问题所在,它只是代表了一个读数,就像是检测疾病影响的体温计上的读数一样。它在提醒我们,美联储执行的政策非常糟糕。投资者看到美联储采取补救措施避免滞胀的可能性越来越低。”此外,公司无法预测用于新项目的未来借款成本,因此会减少开支、放弃扩张,结果将导致经济增长放缓。总体而言,当前的市场如同一场风平浪静的航行,在这种情况下投资者愿意接受相对适度的股权风险溢价,但未来投资者将要面临的是暴风骤雨。只有在安全系数更高的情况下,投资者才会上船。

这种安全保障可能仅来自更高的股权风险溢价降低股价,使投资者在投资组合中投入的每一美元都有更大的收益缓冲。但布赖特曼提到第二个因素即国债的实际长期利率即将发生的变化,以及适度的股权风险溢价,使市盈率屡创新高,达到只有1998年至2000年科技泡沫时期才有的高度。这种变化就是超低的“实际”或通胀调整后长期利率。布赖特曼称:“从2020年年中到2022年年底,10年期国债的收益率比预期通胀率低一个百分点。因此我们有一个百分点的负‘实际利率’。这个因素与较低的股权风险溢价,大幅提高了股价。”

现在他预测实际利率会大幅上涨。他说:“对实际利率波动的预测取决于能够用于投资的储蓄供应,以及公司和政府对新投资的需求。以中国为主的亚洲国家严重的储蓄过剩,已经令美国受益。尤其是轻资产的科技公司利用‘金融工程’构建的‘护城河’,带来了接近垄断企业的利润,因此对投资资金的需求较少。”目前,随着中国人增加消费和减少储蓄,从中国流入的资金减少,而美国需要开展一长串的基建项目。他表示:“显而易见,美国的公共基础设施投资严重不足,这种状况必须有所改变。此外,美国需要大幅增加支出应对气候变化,包括用于发展可再生能源、安装充电站和扩建电网等。”从半导体到稀有矿物的在岸生产趋势已经如火如荼地展开,似乎将会持续下去。

简而言之,布赖特曼认为,实际利率很有可能会恢复到更正常的正值水平。他说:“实际利率不会出现大幅波动,只是恢复到正常水平。长期利率可能从不到一年前的负1%,大幅提高到2%。”长期利率上涨的冲击对于股市而言是坏消息。但在滞胀环境下,还有另外两个负面因素。首先,高通胀会提高股权风险溢价,或投资者要求股票收益高于国债收益的溢价。将高股权风险溢价与更高的实际利率相加,可以预见未来收益的贴现率会大幅提高。其次,严重衰退会大幅减少贴现收益。利润下滑和贴现率上涨是一对危险的组合。

情况会变得多糟糕?让我们回顾一下从1973年1月开始发生了什么。在那之后的油价暴涨和通货膨胀使美国陷入了滞胀。当时标准普尔指数的市盈率倍数超过18。然后,“实际利率”和股权风险溢价大幅上涨,美国经济陷入了严重衰退。到1974年12月,标准普尔指数暴跌了超过40%,市盈率倍数下降到10。当然,标准普尔指数已经从2021年年底的历史最高点下跌了12%。布赖特曼称:“到目前为止,我们所做的是抹去了过去一年的收益。这并非熊市,甚至不是一次股市回调。”如果股市出现与上一次滞胀一样的趋势,标准普尔指数会继续下跌25%左右,到2024年下跌到约2300点。布赖特曼指出,滞胀对股票市场有巨大的破坏力。鉴于股价到目前为止的下跌幅度相对较小,显然投资者认为股市发生重大风险的可能性极低。但布赖特曼并不认同这种观点,他认为风险降临的可能性有四成,股市比投资者所预期的更加危险。

布赖特曼提供的一个关键信息是,在四个情境中的其中三个情境下,股市的表现极其糟糕。这意味着股市将从当前水平继续大幅下跌,尽管它们目前已经远远低于历史最高点。在滞胀的情境下,根据《财富》杂志的预测和历史数据,我们认为股市将额外下跌25%。在另外两种情境下,股市将额外出现两位数下跌。

当然,他依旧认为美联储有五分之一的概率实现顺利着陆。换言之,他认为未来股市出现大幅下跌的可能性有八成。对我而言,布赖特曼预测的概率很有道理。投资者应该引起重视,并系好安全带,迎接未来可能爆发的风暴。(财富中文网)

译者:刘进龙

审校:汪皓

如果你想根据可靠的学术研究以及对美联储(Federal Reserve)历史政策和宏观经济趋势对物价的影响的分析,预测股市的未来走向,不妨听一听克里斯·布赖特曼的观点。布赖特曼现任Research Affiliates公司的首席执行官兼首席投资官。该公司为嘉信理财(Charles Schwab)和太平洋投资管理公司(PIMCO)等发行的1690亿美元的共同基金和交易所交易基金(ETF)设计投资策略。自从2000年年中标准普尔(S&P)和纳斯达克(NASDAQ)指数开始屡创新高以来,布赖特曼和Research Affiliates的创始人罗布·阿诺特就不断发出警告,认为在经典的股市过热的大背景下,膨胀的市盈率倍数和利润泡沫,导致股价被严重高估。在2021年9月与方舟投资管理公司(Ark Invest)首席执行官凯西·伍德的辩论中,阿诺特指责对方投资估值泡沫化的热门股票,并从市场过热中获利,但热度终究会消退,必将导致股价暴跌。现在我们已经知道谁是这场辩论的获胜者。

我在采访布赖特曼时,询问了他对未来股价和整体经济的前景展望。总体而言,他认为未来发生经济衰退的概率“并不是50对50,而是在60%左右。”

他预测了未来两年可能出现的四种情境。在每一种情境下,股票价格都会有不同走向。请系好安全带,或者喝杯苏格兰威士忌。因为他所预测的情境之糟糕,可能让你感到震惊。

情境1:美联储成功实现软着陆

这是美联储承诺的结果。布赖特曼说:“美联储称,通过调查美联储官员后决定在2023年年初将联邦基金利率上调至约3%,此举将抑制通货膨胀。”5月4日下午,美联储加快收紧货币政策,将基准利率提高了50个基点,是今年3月加息幅度的两倍,而且美联储官员预测今年还将多次加息50个基点。布赖特曼表示:“美联储预计通过加息将在2023年和2024年将通胀率降低到3%以下,之后将控制在2%。”

事实上,这也是债券市场预测的结果:五年期国债平衡通胀率略高于3%。该比率代表了市场对于未来五年平均年度通胀率的预期。目前,通胀率已经接近高一位数,市场显然预期未来几年,通胀率将回落到美联储的2%目标区间。布赖特曼称:“美联储正在尝试管理市场预期,到目前为止它已经取得了成功。美联储称:我们说会有好事发生就一定会有好事发生。珍妮特·耶伦和杰罗姆·鲍威尔正在兜售通胀下降的预期,但他们并没有说这些措施会导致经济衰退。”

布赖特曼认为,如果“完美无缺的货币紧缩政策”取得成功,这确实是买入的良机。他说:“市盈率倍数较高但并未过高的科技股,未来会有较好的表现。价格下跌的股票市盈率倍数将会反弹。你的‘股权风险溢价’不会增加,因为通货膨胀将会回落并得到控制。‘股权风险溢价’是指投资者预期的股票收益和滞胀情况下安全的国债收益的差额。因此,利率不会出现波动。”市场依旧存在“实际”利率上浮的可能性,这将导致未来的收益远低于近期市场暴跌之前三年的丰厚收益。但在“乐观的”情境下,目前暴跌的股票收益增长和市盈率提高,将带来适度的总体回报率。虽然布赖特曼依旧认为发生这种乐观情境的概率有20%,但他日益怀疑发生这种情境的可能性。他警告道:“目前的通胀率超过8%,我看不出仅将联邦基金利率提高到3%,如何能够在2023年年底之前将通胀率下降到2%。”

情境2:美联储以经济衰退为代价控制通货膨胀

在这种情境下,美联储加息刺激了经济衰退。但此举也成功控制住了物价暴涨。布赖特曼说:“在这种情境下,到2024年,失业率将从3%上升到5%,通胀率将回落到2%。经济衰退会持续几个季度。然后美联储将再次拥有执行货币宽松政策的空间。”他认为这对股市而言并不是好消息,因为经济衰退将减少收益。投资者依旧会继续接受持有股票相对于持有国债适度的溢价,因为投资者不需要再面对伴随严重通胀出现的利率大幅波动。但一个重要的问题是“实际”利率的情况。如果布赖特曼的预测成真,由于从中国流入美国的储蓄减少以及大批新投资项目对稀缺资本的需求激增,导致通胀调整后收益率上涨,市盈率倍数需要下降。由于降低通胀率将使市场变得更安全,因此与滞胀环境下的损失相比,这种状况造成的损失较少。但据《财富》杂志预测,在“实际利率”上涨的压力下,随着市盈率倍数下降,未来两年标准普尔指数将依旧低于目前的水平。

情境3:美国躲过了经济衰退,但通胀率持续飙升

在这种情境下,美联储放弃其宣称的将通胀率恢复到当前目标区间的目标。布赖特曼称:“政策的转变并不是由于美联储面临的政治压力,而是源自美国财政部和美联储一种共同的心态,即失业率上升的成本远高于高通胀的成本。但这是无法避免的。更高通胀意味着股价下跌。”这依旧是由于投资者希望承受高通胀所导致的利率波动风险,从而获得额外的丰厚收益。这种波动只是表明,市场认为美联储和美国财政部继续采取优柔寡断的政策,用更多低息货币控制通货膨胀。布赖特曼、阿诺特和杜克大学(Duke University)的经济学教授兼Research Affiliates公司研究总监卡姆·哈维担心,历届政府遗留的巨额联邦支出会迫使美联储让步。联邦负债的GDP占比已经超过了120%。他们认为,偿还联邦负债的潜在成本可能让美联储放弃以足够程度的加息来控制通胀。

布赖特曼指出:“4%至5%的通胀率将成为新常态。到2023年年底,通胀依旧没有得到控制。这只是推迟了必定会发生的后果,让不可避免的补救措施变得更加糟糕。美联储会开始收紧货币政策,只是会采取激烈的手段。经济衰退只是被推迟到2024年或2025年发生。”在这个高通胀但近期未发生衰退的情境下,随着利率意外上浮,市盈率倍数下降。实际收益可能继续增长,因为公司最近可以将上涨的价格转嫁给消费者。由于投资者希望股票价格更低,以保证更高的未来收益,并在波动的环境下保证安全,因此股价会继续下跌。

情境4:半个世纪后滞胀卷土重来

美国上一次发生滞胀是在20世纪70年代。当时的阿拉伯石油禁运导致油价上涨了两倍,而美联储采取了超级宽松的货币政策,导致通胀率升至高一位数甚至两位数。听起来很熟悉吗?布赖特曼认为,自新冠疫情爆发以来,美联储大肆印钞,创造了大量新“直升机货币”,即使美联储按照其目前的承诺大幅收紧货币政策,未来两年,通胀率可能依旧会维持在一位数中段的水平。每个月CPI的大幅上涨和利率快速上浮将抑制经济发展,这意味着滞胀的发生。

滞胀对股价而言意味着什么?请做好准备。布赖特曼表示,过去几年帮助股票市盈率倍数维持在远高于历史正常水平的一个因素,将会因为滞胀受到严重影响。这个因素就是“股权风险溢价”,即相对于持有政府债券的安全回报,投资者希望从选择高风险股票的不可预测性中获得的额外回报。这个因素与国债的“实际”长期利率是计算未来收益贴现率的两个因素。将股权风险溢价与10年期国债的通胀调整收益率相加,就可以得出贴现率。股权风险溢价越低,利润的“现值”越高,就有越多投资者和基金愿意为一揽子股票生成的每一美元收益支付溢价。布赖特曼指出:“多年来,股权风险溢价一直低于平均水平,原因是我们的通货膨胀始终保持适中和稳定。然而在高通胀的同时,发生了高通胀波动。每个季度的通胀率都在发生变化。通胀水平较高同时保持稳定的情况从未发生。”

通胀波动又导致了利率波动。布赖特曼说:“高通胀引发了高利率波动。五年期国债收益率为2.9%左右,因此债券市场预计通胀将很快恢复稳定。但这已经是一个较高的数字,而且目前正在发生变化。这个数字中考虑的是‘暂时性通胀’,目前看来这绝不是一种暂时现象。”他表示,这种趋势正在动摇投资者对美联储和政府经济政策的信心。“高通胀导致的利率波动并不是问题所在,它只是代表了一个读数,就像是检测疾病影响的体温计上的读数一样。它在提醒我们,美联储执行的政策非常糟糕。投资者看到美联储采取补救措施避免滞胀的可能性越来越低。”此外,公司无法预测用于新项目的未来借款成本,因此会减少开支、放弃扩张,结果将导致经济增长放缓。总体而言,当前的市场如同一场风平浪静的航行,在这种情况下投资者愿意接受相对适度的股权风险溢价,但未来投资者将要面临的是暴风骤雨。只有在安全系数更高的情况下,投资者才会上船。

这种安全保障可能仅来自更高的股权风险溢价降低股价,使投资者在投资组合中投入的每一美元都有更大的收益缓冲。但布赖特曼提到第二个因素即国债的实际长期利率即将发生的变化,以及适度的股权风险溢价,使市盈率屡创新高,达到只有1998年至2000年科技泡沫时期才有的高度。这种变化就是超低的“实际”或通胀调整后长期利率。布赖特曼称:“从2020年年中到2022年年底,10年期国债的收益率比预期通胀率低一个百分点。因此我们有一个百分点的负‘实际利率’。这个因素与较低的股权风险溢价,大幅提高了股价。”

现在他预测实际利率会大幅上涨。他说:“对实际利率波动的预测取决于能够用于投资的储蓄供应,以及公司和政府对新投资的需求。以中国为主的亚洲国家严重的储蓄过剩,已经令美国受益。尤其是轻资产的科技公司利用‘金融工程’构建的‘护城河’,带来了接近垄断企业的利润,因此对投资资金的需求较少。”目前,随着中国人增加消费和减少储蓄,从中国流入的资金减少,而美国需要开展一长串的基建项目。他表示:“显而易见,美国的公共基础设施投资严重不足,这种状况必须有所改变。此外,美国需要大幅增加支出应对气候变化,包括用于发展可再生能源、安装充电站和扩建电网等。”从半导体到稀有矿物的在岸生产趋势已经如火如荼地展开,似乎将会持续下去。

简而言之,布赖特曼认为,实际利率很有可能会恢复到更正常的正值水平。他说:“实际利率不会出现大幅波动,只是恢复到正常水平。长期利率可能从不到一年前的负1%,大幅提高到2%。”长期利率上涨的冲击对于股市而言是坏消息。但在滞胀环境下,还有另外两个负面因素。首先,高通胀会提高股权风险溢价,或投资者要求股票收益高于国债收益的溢价。将高股权风险溢价与更高的实际利率相加,可以预见未来收益的贴现率会大幅提高。其次,严重衰退会大幅减少贴现收益。利润下滑和贴现率上涨是一对危险的组合。

情况会变得多糟糕?让我们回顾一下从1973年1月开始发生了什么。在那之后的油价暴涨和通货膨胀使美国陷入了滞胀。当时标准普尔指数的市盈率倍数超过18。然后,“实际利率”和股权风险溢价大幅上涨,美国经济陷入了严重衰退。到1974年12月,标准普尔指数暴跌了超过40%,市盈率倍数下降到10。当然,标准普尔指数已经从2021年年底的历史最高点下跌了12%。布赖特曼称:“到目前为止,我们所做的是抹去了过去一年的收益。这并非熊市,甚至不是一次股市回调。”如果股市出现与上一次滞胀一样的趋势,标准普尔指数会继续下跌25%左右,到2024年下跌到约2300点。布赖特曼指出,滞胀对股票市场有巨大的破坏力。鉴于股价到目前为止的下跌幅度相对较小,显然投资者认为股市发生重大风险的可能性极低。但布赖特曼并不认同这种观点,他认为风险降临的可能性有四成,股市比投资者所预期的更加危险。

布赖特曼提供的一个关键信息是,在四个情境中的其中三个情境下,股市的表现极其糟糕。这意味着股市将从当前水平继续大幅下跌,尽管它们目前已经远远低于历史最高点。在滞胀的情境下,根据《财富》杂志的预测和历史数据,我们认为股市将额外下跌25%。在另外两种情境下,股市将额外出现两位数下跌。

当然,他依旧认为美联储有五分之一的概率实现顺利着陆。换言之,他认为未来股市出现大幅下跌的可能性有八成。对我而言,布赖特曼预测的概率很有道理。投资者应该引起重视,并系好安全带,迎接未来可能爆发的风暴。(财富中文网)

译者:刘进龙

审校:汪皓

If you're looking for a view of where equity markets are headed based on a blend of strong academic research and study of how past Federal Reserve policy and macro trends historically influence prices, you can't do better than listening to Chris Brightman. He's CEO and chief investment officer at Research Affiliates, a firm that designs investment strategies for $169 billion in mutual funds and ETFs offered by such firms as Charles Schwab and PIMCO. Ever since the S&P and NASDAQ started setting fresh records in mid-2000, Brightman and Research Affiliates founder Rob Arnott have been warning that inflated price-to-earnings multiples on top of a profit bubble, against the backdrop of a classic frenzy, made stocks substantially overpriced. In a debate with Cathie Wood last September, Arnott charged that the Ark Invest chief was amassing hot players at bubble valuations, and profiting from runaway momentum that would eventually ebb, causing steep declines. We now know who won that duel.

I interviewed Brightman at length on his outlook for equity prices and the economy. In summary, he believes the chances of a recession are "better than 50-50. We could round those odds to about 60%."

He foresees four possible scenarios for the next couple of years. Each promises a different course for stock prices. Fasten your seatbelt or a take a belt of scotch. You may be shocked at how bad it could get.

Scenario one: the Fed engineers a soft landing

This is the outcome the central bank promises. "The Fed is saying, via the surveys of its officials, that it will raise the Fed Funds rate to about 3% in early 2023, and that move will cure inflation," says Brightman. On the afternoon of May 4, the central bank hastened the tightening process by raising its benchmark rate by 50 basis points, double the increase in March, and Fed officials forecast several more half-point increases this year. "The Fed expects its campaign will lower inflation to under 3% in 2023 and 2024, to 2% after that," says Brightman.

In fact, that's just what the bond market is forecasting: The five-year treasury breakeven rate, representing market expectations for average annual inflation over the next half decade, stands at just over 3%. Since prices are already waxing in the high-single digits now, markets clearly expect a drop to the Fed's 2% target range in the out years. "The Fed is trying to manage market expectations, and so far it's been successful," says Brightman. "It's saying good things will happen because we say good things will happen. Janet Yellen and Jerome Powell are selling expectations that inflation comes down, but they're not saying the effort will cause a recession."

If the "immaculate tightening" is en route to success, says Brightman, this is a buying opportunity. "Tech stocks that have high, but not excessively high multiples could do well from here," says Brightman. "Multiples on beaten down stocks could rebound. You wouldn't have an increase in the "equity risk premium," the margin investors demand for returns on stocks versus safe Treasuries you'd get with stagflation, because inflation would come back under control. As a result, interest rates wouldn't be volatile." The markets would still face the probability of higher "real" rates that would hold future gains far below the huge winnings in three years preceding the recent selloff. But rising earnings, and PE expansion by some of today's hard-hit players, could provide modest overall returns if the "optimistic" scenario plays out. Though Brightman still gives this sunny outcome a 20% chance of occurring, he's increasingly skeptical. "I just don't see how you get to 2% inflation by the end of 2023 with raising the Fed Funds rate only at 3%, with inflation now running at over 8%," he cautions.

Scenario two: Fed tames inflation, but at the cost of a recession

In this outcome, the Fed's rate increases indeed spur a recession. But the campaign also succeeds in curbing rampant price increases. "If this happens, unemployment goes from 3% to, say, 5%, and inflation falls back to 2% by 2024," says Brightman. "The downturn lasts a few quarters. Then, the Fed would have room to loosen monetary policy once again." He observes that this isn't a great picture for stocks, since the recession would lower earnings. Still, investors would continue to accept a modest premium for owning equities over treasuries, since they'd no longer face the wildly swinging interest rates that accompany heavy inflation. Then, the big question is what happens to "real" interest rates. If Brightman's right and the confluence of lower savings provided by China and surging demand for scarce capital from an abundance of new investment projects causes inflation-adjusted yields to spike, PE multiples would need to fall. The damage wouldn't be nearly as great as under stagflation since slaying inflation would make markets much safer. But by Fortune's reckoning, the S&P would still sit well below today's levels two years hence as PE multiples shrink, pressured by rising "real rates."

Scenario three: The U.S. ducks a recession, but inflation keeps raging

In this plotline, the Fed shifts course from its avowed goal of returning the inflation trajectory to its current target range. "That change wouldn't be caused by political pressure on the Fed," says Brightman. "It would come from a common mindset at both the Treasury and the central bank that the cost of increased unemployment is greater than the cost of high inflation. But there's no getting around it. Higher inflation means stocks have to fall." Once again, that's because investors would want that extra juice for weathering the risk of the jackrabbit interest rates that are a byproduct of big inflation. That volatility would simply reflect the market's view that the Fed and Treasury were continuing to pursue a badly waffling policy that just traded attacking inflation for adopting still more easy money. Brightman, Arnott, and Cam Harvey a Duke economics professor who doubles as head of research at Research Affiliates, worry that the legacy of gigantic federal spending could force the Fed to retreat. The potential cost of servicing federal debt that's risen to over 120% of GDP, they reckon, could inhibit the central bank from raising rates sufficiently to tame inflation.

"You'd get to a new normal of 4% to 5% inflation," says Brightman. "You get to the end of 2023, and inflation still isn't under control. That just delays the inevitable, and makes the inevitable remedy even worse. The tightening will come, and it will have to be severe. The recession's simply being put off until 2024 or 2025." In this high-inflation-no nearby recession outcome, PE multiples contract as interest rates careen unpredictably. Real earnings growth might continue, since companies have recently been able to pass price increases on to consumers. Still, equities prices would still fall as investors demand lower prices that promise higher future returns, and hence greater safety in volatile environment.

Scenario four: Stagflation returns after half-a-century

The U.S. last suffered stagflation in the 1970s, starting when the Arab oil embargo tripled prices at the pump, and the Fed pursued an ultra-easy money policy that sent inflation into high-single and even double digits. Sound familiar? For Brightman, the central bank created so much new "helicopter" money since the start of the pandemic that inflation is likely to remain in the mid-single digit levels for a couple of years, even if it tightens hard, the path it's now promising to pursue. The combination of big, month-after-month jumps in the CPI, and rising fast-rising interest rates that throttle the economy, would spell stagflation.

What would stagflation mean for stock prices? Hold on tight. Brightman notes that a bout would severely undermine a factor that's helped boost price-to-earnings multiples far above historic norms for the past several years. It's that "equity risk premium," or the extra return investors demand for the unpredictability of choosing risky stocks over the secure returns on government bonds. Along with the "real" long-term rate on Treasuries, it's one of the two components of the discount rate applied to future earnings. Add the ERP to the inflation-adjusted yield on the 10-year Treasury, and you get that discount rate. The lower the ERP, the higher the "present value" of those profits, and the more folks and funds are willing to pay for each dollar in income that a basket of stocks is generating. "The ERP has been low to average for years mainly because we've had modest, stable inflation," notes Brightman. "But high inflation coincides with high volatility of inflation. It varies all over the place from quarter to quarter. There's no such thing as inflation that's both stable and high."

Zig-zagging prices also cause hopscotching interest rates. "High inflation then brings high volatility in interest rates," says Brightman. "With the five-year Treasury yield at around 2.9%, the bond market is expecting a quick return to stable inflation. But that number is already way up, and it's changing as we speak. It's pricing in 'transitory inflation' that's now looking like it's anything but transitory by the day." That trend, he says, is undermining investors' faith in the Fed's and the government's economic policies. "The volatility in interest rates caused by high inflation isn't the problem, it's the reading, like the reading on a thermometer that detects the effect of an illness. It's flashing that the Fed's enacted very bad policies. Investors are seeing less and less probability those policies will be remedied in a way that can prevent stagflation." In addition, companies can't predict the future expense on borrowings to fund new projects, so they retrench instead of reaching for expansion, slowing the economy. In general, the course shifts from a serene sail where investors were happy with a relatively modest cushion for equity returns over the security of Treasuries to a storm-tossed voyage. They'll only board if offered a far larger margin of safety.

That protection can only come from a much higher ERP that drives down stock prices, and gives investors a bigger cushion of earnings for each dollar parked in their portfolios. But Brightman points to a looming change in the second component that, along with a modest ERP, has boosted PEs to heights only seen in the tech bubble of 1998 to 2000: That's the extraordinarily low level of "real," or inflation adjusted, long-term interest rates. "From mid-2020 to the end of 2022, the yield on the 10 year treasury was one point below the projected rate of inflation," says Brightman. "So we had one percent negative 'real rates.' Coupled with the low ERP, that greatly boosted stock prices."

Now, he foresees a big jump in real rates. "They're determined by the supply of savings available for investment, and the demand by companies and the government to make new investments," he says. "The U.S. has benefited from a huge savings glut provided by Asian nations, but primarily from China. Companies, especially asset-light tech champions, were using 'financial engineering' to create moats that led to near-monopoly profits, so demand for investment dollars was weak." Now, the inflows from China are waning as its citizens spend more and save less, and the U.S. needs to undertake a long roster of capital projects. "It's obvious that we've way underinvested in public infrastructure, and that has to change," he says. "In addition, the U.S. will need a dramatic increase in expenditures to address climate change, including spending on renewables, installing charging stations, and expanding the electric grid." The trend towards on-shoring production of everything from semiconductors to rare minerals is well underway, and looking like a lasting trend.

Put simply, Brightman says a return to more normally positive levels of real rates is probably in the cards. "It wouldn't be an upheaval, it would simply be a return to normal," he observes. "Getting to a 2% long-term interest rate is likely, and that's a big shift from negative 1% less than a year ago." That shock alone is bad for stocks. But in stagflation add two more negative forces. First, heavy inflation would increase the ERP or premium investors demand for stock over Treasuries. Piling a fatter ERP on top of a much higher real rate, and the discount rate on future earnings soars. Second, the deep recession would hammer the earnings getting discounted at that much higher number. Falling profits and a rising discount rate are a dangerous cocktail.

How bad could it get? Let's look at what happened starting in January 1973, just before surging oil prices and inflation saddled America with stagflation. At that point, the S&P's multiple sat at over 18. Then, both "real rates" and the ERP exploded, and the economy slid into a steep recession. By December of 1974, the index had shed over 40% of its value, and the P/E had fallen to 10. Of course, the S&P has already lost 12% from its record high at the close of 2021. "So far," says Brightman, "all we've done is erase the gains for the past year. That's not a bear market, and it's not even much of a correction." If stocks follow the same course as in the last period of stagflation, the S&P could dive another 25% or so, reaching around 2300 this time in 2024. As Brightman points out, the destructive power wrought on equities by stagflation is immense. Given the relatively mild fall in stock prices so far, it's clear that investors view anything that grave as a fairly remote possibility. Brightman disagrees, putting the odds at four in ten––putting the markets in far more potential peril than investors recognize.

A key Brightman message is that in three of the four scenarios, stocks fare poorly from here. That means they'd need to fall a lot more from the current levels that are already well off their peak. In the case of stagflation, we're talking––in Fortune's estimation and based on history––an additional fall of 25%. For two other cases, the additional retreat would still likely run in the double-digits.

Of course, he's still giving a one-fifth probability to the smooth landing promoted by the Fed. So he sees an eighty-percent chance that a story line arises that's bad for stocks, maybe really bad. For this writer, Brightman's odds make a lot of sense. Investors should take note, and tighten their seatbelts another notch for the likely storm head.

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