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这位市场预测大师断言,今明两年美股市场陷入熊市的概率高达50%

SHAWN TULLY
2025-01-29

我们正置身于另一个泡沫之中。

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2020年,一名交易员在纽约证券交易所大厅工作。有人预测今年或明年将出现新熊市。

1月16日,笔者与罗伯·阿诺特(Rob Arnott)进行了Zoom电话访谈,以了解这位股市专家对某一关键指标的看法,该指标目前正对美国大盘股发出警示信号。对于笔者而言,阿诺特无疑是评估股票估值何时何地被严重低估或高估的最可靠信息来源。作为Research Affiliates的创始人和董事长,该公司管理着1560亿美元的RAFI共同基金和交易所交易基金的投资策略,阿诺特在为大型机构客户和散户投资者制定超越基准回报率的投资策略的实战中证明自己是赢家。此外,从担任《金融分析师杂志》(Financial Analysts Journal)主编到如今主持由Research Affiliates众多博士参与的头脑风暴会议,阿诺特从学术界顶尖人才中汲取灵感,从而创造了这一投资业绩。

将源于研究的概念转化为持久实用的投资者财富增长蓝图的典范:他是“基本面指数”之父,这种方法在RAFI基金中分配股票份额时,不是依据市值,而是依据构成指数的公司在整体经济中的规模。Research Affiliates根据营业额、净资产和股息等指标来确定这些权重,这一公式实现了资金从热门高价股向不受青睐低价股的优化配置。

罗布从拉斯维加斯打来电话,他刚刚在那里迎来了第二个孙子——这位身材魁梧、蓄着胡子、总是精力充沛的基金经理正沉浸在喜悦之中。

然而,当我向阿诺特求证,是否我所理解的“股权风险溢价”——这一经济学家们常用于评估股票价格是否过低或估值是否过高的指标,正预示着巨大的风险时,罗伯的观点一点也不乐观。他解释道:“以历史标准衡量,股票相对于债券所提供的额外收益已缩减至极低水平。这正是股权风险溢价所揭示的现状,它是预测未来回报的重要风向标,其当前水平表明我们正置身于另一个泡沫之中。与2000年那场因股票被盲目哄抬而引发的狂热不同,当前的高风险在于股票定价相对激进。”尽管阿诺特认为股市不会立即遭遇断崖式下跌,但股权风险溢价这一关键指标的显著恶化,无疑大幅提升了熊市很快到来(相对而言)的可能性。尽管华尔街的乐观情绪空前高涨,尤其是特朗普胜选预示着一个以企业减税、个人减税及全面监管放松为特征的新亲商时代的到来,这种乐观情绪如今更是愈演愈烈。

什么是股权风险溢价?

简而言之,股权风险溢价是市场对股票经通胀调整后的长期预期收益与无风险替代品(政府债券)预期收益之间的差额,再扣除预期通胀的影响。预测股票“实际”收益的一个可靠指标是“收益率”,即标准普尔500指数每100美元投资为投资者带来的按美国通用会计准则(GAAP)计算的净利润。(这一指标与市盈率呈反比关系;市盈率越高,意味着投资者为获得每一单位的利润所支付的价格越高,即“买到的玉米片越少”。)由于公司利润主要受消费者物价指数保护,因此收益率考虑了通胀上升因素:公司会定期提价,以抵消工资和原材料成本的增长,而食品杂货、租金和汽油价格的上涨是通胀的主要构成部分。

债券的预期“实际”收益率等于10年期通胀保值债券(TIPs)的收益率。该数字代表了在当前利率水平下,10年期国债在未来十年内承诺提供的超出消费者物价指数预期涨幅的额外百分点。简而言之,股权风险溢价是指,在剔除通货膨胀因素后,股票所提供的收益率与10年期通胀保值债券收益率(即长期国债在扣除通货膨胀后的收益)的差额。

比较“真实”数字之所以如此重要,是因为它们代表了投资者对未来几年购买力增长的预期。如果你所获得的收益仅仅与十年间总体物价涨幅持平,那么十年后,这笔资金所能购买的商品和服务数量将与今日无异。10年期国债支付的收益率超出预期通胀率的幅度越大,你就能用债券购置更多的电器、餐厅用餐体验和汽车——这才是“真正的”交易,即超出消费者物价指数的那部分收益,它能让你的年度消费能力持续攀升。如果你持有政府债券至到期日,不仅能享受其带来的跑赢通胀的优势,还能确保资金安全无虞。

相比之下,股票的波动性很大,因此,只有当股票经通胀调整后的未来收益率远超10年期国债(例如,显著高于消费者物价指数预期涨幅)时,股票才会比国债更具吸引力。

正如沃伦·巴菲特(Warren Buffett)所指出的那样,股票与政府债券一直在争夺投资者的资金。股市正在这场争夺战中渐显劣势。如今,股权风险溢价——股票相对于国债所提供的额外收益——已降至自2000年科技泡沫破裂以来的最低水平。从历史上看,股权风险溢价收窄对股市来说是一个极为不利的信号。然而,这一重要信号似乎并未引起华尔街的警觉。总体而言,分析师和策略师预测,标准普尔500指数将在2025年底达到6666点,年涨幅为12.5%。在电视财经节目中,你鲜少听到银行和券商的嘉宾提及股权风险溢价,或许是因为这与他们的乐观预测相悖。又或许是因为它听起来像是学者们提出的晦涩概念,作为预测工具似乎无关紧要,因为即使股权风险溢价变得越来越糟糕,股市仍在飙升。

但正如阿诺特解释的那样,“这合乎情理。当能提供保证收益的国债与价格极高、风险极大的股票的收益几乎相同时,人们最终会抛售股票,直至其价格回落到恢复其优势的程度。” 尽管这种调整往往存在滞后,但基本的市场数学计算表明这是不可避免的。因此,让我们来看看巨大的股权风险溢价是如何为近年来的股市大涨推波助澜的,以及其大幅下跌是如何预示未来前景黯淡的。这里所说的前景黯淡,并非针对所有美国大盘股,而是整个标准普尔指数,尤其是引领巨大涨幅的科技股中的明星公司。

由于利率飙升,标准普尔指数持续飙升,股权风险溢价遭受了严重挤压

在大金融危机之后,乃至更久远的时间里,股权风险溢价所处的市场环境极为有利。主要原因在于:美联储主席本·伯南克(Ben Bernanke)最初为将美国从全球金融危机中拯救出来而设计的超低实际利率,以及其继任者杰罗姆·鲍威尔(Jerome Powell)为应对2019年特朗普政府的关税政策冲击以及次年新冠疫情引发的经济下行而接连推出的流动性大放水举措。从2012年到2022年初,经通胀调整后的10年期国债平均利率仅为0.25%,而上世纪90年代约为3%,2004年至2008年约为2.5%。在截至2022年2月的10年里,市盈率在大多数情况下也相对合理。标准普尔市盈率虽呈上升趋势,但平均约为20倍,收益率为5%。结果是:股票的预期收益率相较于10年期国债收益率有巨大的优势,高达4.75%(5%的收益率减去0.25%的实际利率)。造成如此巨大的股权风险溢价的最大因素是惊人的低利率。

巨大的股权风险溢价为股市带来了强劲的推动力,在那黄金十年里,标准普尔500指数上涨了250%。经济过热的迹象在2022年初愈发显著,当时两股力量交织在一起,开始压缩股权风险溢价。首先,标普股价的增速持续快于利润增速,这一趋势不断推高市盈率,进而对股票的收益率造成了冲击。其次,实际利率则经历了史上最快、最陡峭的上升。2022年2月初,美联储的扩张性政策达到顶峰,经通胀调整后的10年期国债收益率为-0.61%。截至1月17日,该收益率已升至2.17%。

当然,你在电视屏幕上看到的、引起广泛关注的基准或“名义”10年期国债收益率只是预期通胀率与实际利率之和。在这近三年的时间里,基准利率从1.8%跃升至4.58%。但截至今日,美联储已将预期通胀率降至与2022年初疫情爆发前大致相当的温和水平。因此,10年期国债收益率不会出现大幅飙升的情况,原因是市场认为,由于美联储的限制性政策,未来的通胀形势将比投资者在2022年初所认为的更为严峻。促使基准利率从1.8%上升到4.58%的原因是实际利率飙升了278个基点,接近3%。这是近期股市历史上最大的单一事件,令人不寒而栗。

随着实际利率的飙升,收益率不断下降。截至1月21日午盘,标准普尔500指数在6035点这一历史高位附近徘徊。按照美国通用会计准则计算,该指数过去12个月的收益为200.27美元,市盈率高达30.13倍。这是过去25年中除全球金融危机和疫情导致盈利暴跌期间外的最高水平。当前,市盈率略高于30,收益率为3.33%。因此,当前的股权风险溢价(即股票收益率与债券收益率之间的差额)仅为1.16%(3.33%的股票收益率减去10年期通胀保值债券2.17%的实际收益率)。投资者和基金每投资100美元,每年可以从无风险的通胀保值债券中获得2.17美元的收益,或是从高风险的大盘股中获得3.33美元的收益。正如阿诺特所说,“他们为什么要为多赚一美元而选择风险如此之大的股票呢?”

Arnott & Co.认为,如果市盈率从当前30倍的超高水平回落,那么标准普尔指数在未来十年的实际年回报率将降至约0.9%,远低于10年期国债2.17%的可比收益率。这将导致股权风险溢价跌入负值区间。换言之,高估值加上多年来最具吸引力的经通胀调整后的债券收益率,形成一种典型的挤压效应,使得极难预测的股票相对于超安全债券的优势变得微乎其微。根据阿诺特的计算,长期国债将为投资者提供比标准普尔500指数高出近1.3个百分点的年购买力。

阿诺特强调,标准普尔指数的股权风险溢价之所以处于如此低的水平,主要是由于美股七巨头和其他一些高价科技股在指数中占据了过大的权重。他说:“标准普尔指数的估值有超过35%都集中在这七只顶级股票上。这是自19世纪少数几家大型铁路和石油公司主导市场以来的最高集中度。这些科技巨头虽然仅占美国经济的18%或19%,但在标准普尔指数中的市值占比却接近40%。它们的估值是其经济规模的两倍多。”这也就不难理解为何罗布会青睐基本面指数了,因为它能避免让那些巨头操纵指数。”

阿诺特认为,在新兴市场和欧洲股市等领域存在巨大机遇,这些市场当前的市盈率较低,而且由于股权风险溢价较高,股价拥有充足的上涨空间。他认为,美国价值型股票价格仍处于相对合理的水平。但他认为,标准普尔500指数整体而言是全球前景最为黯淡的股票组合。阿诺特指出,在大多数长达十年的经济周期中,每五到七年就会出现一次熊市。他说:“因此,任何一年都有约20%的几率面临经济急剧下滑的风险。但如今,我认为2025年和2026年出现熊市的几率要高得多,分别为50%左右。原因在于股权风险溢价极低,甚至可能滑入负值区间。”

这是华尔街不愿听到的消息,而经常将股市表现作为衡量其政策经济成效标准的特朗普总统也不愿听到这样的消息。(财富中文网)

译者:中慧言-王芳

2020年,一名交易员在纽约证券交易所大厅工作。有人预测今年或明年将出现新熊市。

1月16日,笔者与罗伯·阿诺特(Rob Arnott)进行了Zoom电话访谈,以了解这位股市专家对某一关键指标的看法,该指标目前正对美国大盘股发出警示信号。对于笔者而言,阿诺特无疑是评估股票估值何时何地被严重低估或高估的最可靠信息来源。作为Research Affiliates的创始人和董事长,该公司管理着1560亿美元的RAFI共同基金和交易所交易基金的投资策略,阿诺特在为大型机构客户和散户投资者制定超越基准回报率的投资策略的实战中证明自己是赢家。此外,从担任《金融分析师杂志》(Financial Analysts Journal)主编到如今主持由Research Affiliates众多博士参与的头脑风暴会议,阿诺特从学术界顶尖人才中汲取灵感,从而创造了这一投资业绩。

将源于研究的概念转化为持久实用的投资者财富增长蓝图的典范:他是“基本面指数”之父,这种方法在RAFI基金中分配股票份额时,不是依据市值,而是依据构成指数的公司在整体经济中的规模。Research Affiliates根据营业额、净资产和股息等指标来确定这些权重,这一公式实现了资金从热门高价股向不受青睐低价股的优化配置。

罗布从拉斯维加斯打来电话,他刚刚在那里迎来了第二个孙子——这位身材魁梧、蓄着胡子、总是精力充沛的基金经理正沉浸在喜悦之中。

然而,当我向阿诺特求证,是否我所理解的“股权风险溢价”——这一经济学家们常用于评估股票价格是否过低或估值是否过高的指标,正预示着巨大的风险时,罗伯的观点一点也不乐观。他解释道:“以历史标准衡量,股票相对于债券所提供的额外收益已缩减至极低水平。这正是股权风险溢价所揭示的现状,它是预测未来回报的重要风向标,其当前水平表明我们正置身于另一个泡沫之中。与2000年那场因股票被盲目哄抬而引发的狂热不同,当前的高风险在于股票定价相对激进。”尽管阿诺特认为股市不会立即遭遇断崖式下跌,但股权风险溢价这一关键指标的显著恶化,无疑大幅提升了熊市很快到来(相对而言)的可能性。尽管华尔街的乐观情绪空前高涨,尤其是特朗普胜选预示着一个以企业减税、个人减税及全面监管放松为特征的新亲商时代的到来,这种乐观情绪如今更是愈演愈烈。

什么是股权风险溢价?

简而言之,股权风险溢价是市场对股票经通胀调整后的长期预期收益与无风险替代品(政府债券)预期收益之间的差额,再扣除预期通胀的影响。预测股票“实际”收益的一个可靠指标是“收益率”,即标准普尔500指数每100美元投资为投资者带来的按美国通用会计准则(GAAP)计算的净利润。(这一指标与市盈率呈反比关系;市盈率越高,意味着投资者为获得每一单位的利润所支付的价格越高,即“买到的玉米片越少”。)由于公司利润主要受消费者物价指数保护,因此收益率考虑了通胀上升因素:公司会定期提价,以抵消工资和原材料成本的增长,而食品杂货、租金和汽油价格的上涨是通胀的主要构成部分。

债券的预期“实际”收益率等于10年期通胀保值债券(TIPs)的收益率。该数字代表了在当前利率水平下,10年期国债在未来十年内承诺提供的超出消费者物价指数预期涨幅的额外百分点。简而言之,股权风险溢价是指,在剔除通货膨胀因素后,股票所提供的收益率与10年期通胀保值债券收益率(即长期国债在扣除通货膨胀后的收益)的差额。

比较“真实”数字之所以如此重要,是因为它们代表了投资者对未来几年购买力增长的预期。如果你所获得的收益仅仅与十年间总体物价涨幅持平,那么十年后,这笔资金所能购买的商品和服务数量将与今日无异。10年期国债支付的收益率超出预期通胀率的幅度越大,你就能用债券购置更多的电器、餐厅用餐体验和汽车——这才是“真正的”交易,即超出消费者物价指数的那部分收益,它能让你的年度消费能力持续攀升。如果你持有政府债券至到期日,不仅能享受其带来的跑赢通胀的优势,还能确保资金安全无虞。

相比之下,股票的波动性很大,因此,只有当股票经通胀调整后的未来收益率远超10年期国债(例如,显著高于消费者物价指数预期涨幅)时,股票才会比国债更具吸引力。

正如沃伦·巴菲特(Warren Buffett)所指出的那样,股票与政府债券一直在争夺投资者的资金。股市正在这场争夺战中渐显劣势。如今,股权风险溢价——股票相对于国债所提供的额外收益——已降至自2000年科技泡沫破裂以来的最低水平。从历史上看,股权风险溢价收窄对股市来说是一个极为不利的信号。然而,这一重要信号似乎并未引起华尔街的警觉。总体而言,分析师和策略师预测,标准普尔500指数将在2025年底达到6666点,年涨幅为12.5%。在电视财经节目中,你鲜少听到银行和券商的嘉宾提及股权风险溢价,或许是因为这与他们的乐观预测相悖。又或许是因为它听起来像是学者们提出的晦涩概念,作为预测工具似乎无关紧要,因为即使股权风险溢价变得越来越糟糕,股市仍在飙升。

但正如阿诺特解释的那样,“这合乎情理。当能提供保证收益的国债与价格极高、风险极大的股票的收益几乎相同时,人们最终会抛售股票,直至其价格回落到恢复其优势的程度。” 尽管这种调整往往存在滞后,但基本的市场数学计算表明这是不可避免的。因此,让我们来看看巨大的股权风险溢价是如何为近年来的股市大涨推波助澜的,以及其大幅下跌是如何预示未来前景黯淡的。这里所说的前景黯淡,并非针对所有美国大盘股,而是整个标准普尔指数,尤其是引领巨大涨幅的科技股中的明星公司。

由于利率飙升,标准普尔指数持续飙升,股权风险溢价遭受了严重挤压

在大金融危机之后,乃至更久远的时间里,股权风险溢价所处的市场环境极为有利。主要原因在于:美联储主席本·伯南克(Ben Bernanke)最初为将美国从全球金融危机中拯救出来而设计的超低实际利率,以及其继任者杰罗姆·鲍威尔(Jerome Powell)为应对2019年特朗普政府的关税政策冲击以及次年新冠疫情引发的经济下行而接连推出的流动性大放水举措。从2012年到2022年初,经通胀调整后的10年期国债平均利率仅为0.25%,而上世纪90年代约为3%,2004年至2008年约为2.5%。在截至2022年2月的10年里,市盈率在大多数情况下也相对合理。标准普尔市盈率虽呈上升趋势,但平均约为20倍,收益率为5%。结果是:股票的预期收益率相较于10年期国债收益率有巨大的优势,高达4.75%(5%的收益率减去0.25%的实际利率)。造成如此巨大的股权风险溢价的最大因素是惊人的低利率。

巨大的股权风险溢价为股市带来了强劲的推动力,在那黄金十年里,标准普尔500指数上涨了250%。经济过热的迹象在2022年初愈发显著,当时两股力量交织在一起,开始压缩股权风险溢价。首先,标普股价的增速持续快于利润增速,这一趋势不断推高市盈率,进而对股票的收益率造成了冲击。其次,实际利率则经历了史上最快、最陡峭的上升。2022年2月初,美联储的扩张性政策达到顶峰,经通胀调整后的10年期国债收益率为-0.61%。截至1月17日,该收益率已升至2.17%。

当然,你在电视屏幕上看到的、引起广泛关注的基准或“名义”10年期国债收益率只是预期通胀率与实际利率之和。在这近三年的时间里,基准利率从1.8%跃升至4.58%。但截至今日,美联储已将预期通胀率降至与2022年初疫情爆发前大致相当的温和水平。因此,10年期国债收益率不会出现大幅飙升的情况,原因是市场认为,由于美联储的限制性政策,未来的通胀形势将比投资者在2022年初所认为的更为严峻。促使基准利率从1.8%上升到4.58%的原因是实际利率飙升了278个基点,接近3%。这是近期股市历史上最大的单一事件,令人不寒而栗。

随着实际利率的飙升,收益率不断下降。截至1月21日午盘,标准普尔500指数在6035点这一历史高位附近徘徊。按照美国通用会计准则计算,该指数过去12个月的收益为200.27美元,市盈率高达30.13倍。这是过去25年中除全球金融危机和疫情导致盈利暴跌期间外的最高水平。当前,市盈率略高于30,收益率为3.33%。因此,当前的股权风险溢价(即股票收益率与债券收益率之间的差额)仅为1.16%(3.33%的股票收益率减去10年期通胀保值债券2.17%的实际收益率)。投资者和基金每投资100美元,每年可以从无风险的通胀保值债券中获得2.17美元的收益,或是从高风险的大盘股中获得3.33美元的收益。正如阿诺特所说,“他们为什么要为多赚一美元而选择风险如此之大的股票呢?”

Arnott & Co.认为,如果市盈率从当前30倍的超高水平回落,那么标准普尔指数在未来十年的实际年回报率将降至约0.9%,远低于10年期国债2.17%的可比收益率。这将导致股权风险溢价跌入负值区间。换言之,高估值加上多年来最具吸引力的经通胀调整后的债券收益率,形成一种典型的挤压效应,使得极难预测的股票相对于超安全债券的优势变得微乎其微。根据阿诺特的计算,长期国债将为投资者提供比标准普尔500指数高出近1.3个百分点的年购买力。

阿诺特强调,标准普尔指数的股权风险溢价之所以处于如此低的水平,主要是由于美股七巨头和其他一些高价科技股在指数中占据了过大的权重。他说:“标准普尔指数的估值有超过35%都集中在这七只顶级股票上。这是自19世纪少数几家大型铁路和石油公司主导市场以来的最高集中度。这些科技巨头虽然仅占美国经济的18%或19%,但在标准普尔指数中的市值占比却接近40%。它们的估值是其经济规模的两倍多。”这也就不难理解为何罗布会青睐基本面指数了,因为它能避免让那些巨头操纵指数。”

阿诺特认为,在新兴市场和欧洲股市等领域存在巨大机遇,这些市场当前的市盈率较低,而且由于股权风险溢价较高,股价拥有充足的上涨空间。他认为,美国价值型股票价格仍处于相对合理的水平。但他认为,标准普尔500指数整体而言是全球前景最为黯淡的股票组合。阿诺特指出,在大多数长达十年的经济周期中,每五到七年就会出现一次熊市。他说:“因此,任何一年都有约20%的几率面临经济急剧下滑的风险。但如今,我认为2025年和2026年出现熊市的几率要高得多,分别为50%左右。原因在于股权风险溢价极低,甚至可能滑入负值区间。”

这是华尔街不愿听到的消息,而经常将股市表现作为衡量其政策经济成效标准的特朗普总统也不愿听到这样的消息。(财富中文网)

译者:中慧言-王芳

On January 16, this writer held a Zoom call with Rob Arnott to get the equity market savant’s take on a reliable metric that’s flashing red for U.S. big cap stocks. For this writer, Arnott’s the best go-to source for assessing when and where equities are way under or overvalued. As founder and chairman of Research Affiliates, a firm that oversees investment strategies for $156 billion in RAFI mutual funds and ETFs, Arnott’s proven a winner in the real-world contest of developing strategies that deliver benchmark-beating returns for big institutions and retail customers alike. Plus, he’s assembled that record by harvesting ideas from the best minds in academia, from his time as editor-in-chief of the Financial Analysts Journal to today’s brainstorming sessions enlivened by RA’s long roster of PhDs.

A prime example of turning a concept born of research into a durable, practical blueprint for enriching investors: His role as father of “fundamental indexing,” an approach that allocates the shares in a RAFI fund not by market cap, but by the size of the companies comprising the index in the overall economy. RA assigns those weights based by such metrics as revenues, net worth and dividends—a formula that drives dollars away from what’s hot and expensive towards the cheap and unloved.

Rob called in from Las Vegas, where he just welcomed the arrival of his second grandchild—and the burly, bearded, always exuberant money manager was in a celebratory mood.

But when I asked Arnott whether I was right in thinking that a favorite measure among economists for tagging times when stocks are radically cheap or too richly valued called the Equity Risk Premium was pointing to deep danger, Rob’s view was anything but cheery. “The extra return stocks offer versus bonds has shrunk to the point where it’s extremely low by historical standards,” he explained. “That’s what the ERP shows, and it’s a key guide to future returns. At these levels, the ERP suggests that we’re in another bubble, not one where stocks are as recklessly priced as during the 2000 frenzy, but a high-risk scenario where they’re pretty aggressively priced.” Though he believes that a steep fall isn’t necessarily imminent, the ERP’s big shift in the wrong direction greatly increases the odds a bear market will strike relatively soon—despite the overwhelmingly bullish sentiment reigning on Wall Street that’s only intensified now that Trump’s victory promises a new pro-profits era of corporate and personal tax cuts and sweeping deregulation.

What is the Equity Risk Premium?

In basic terms, the ERP is the difference between the long-term, inflation-adjusted returns the market expects for stocks versus the expected returns for the risk-free alternative, government bonds, again, minus anticipated inflation. A good figure for the projected “real” gains on equities is the “earnings yield,” the dollars in GAAP net earnings that the S&P 500 delivers for every $100 investors pay for their shares. (That’s also the inverse of the price-earnings ratio; the higher the PE goes, the fewer Corn Flakes you’re getting in the box.) The earnings yield takes account of rises in inflation because corporate profits are mainly CPI-protected: Companies regularly lift their prices to offset the increases in wages and materials costs—it’s the rise in what they charge for groceries, rent and gasoline that constitute inflation.

The expected “real” return on bonds equals the yield on 10-year Treasury Inflation-Protected Securities or TIPs. That number represents the extra percentage points, over and above projected increases in the CPI, that 10-year Treasuries, at their current rates, are promising over the next decade. So the ERP is simply the earnings yield, what stock are promising after inflation, minus the yield on 10-year TIPs, what long-term Treasuries are offering over inflation.

Comparing the “real” numbers is so essential because they represent how much investors can anticipate their purchasing power will grow in the years ahead. If the dollars you’re getting simply match the overall increase in prices over a decade, you can’t buy any more goods and services with that money ten years from now than you do today. The bigger the premium over forecast inflation a 10-year Treasury is paying, the more appliances, restaurant meals, and cars you can purchase with the coupons—that’s the “real” deal, the spread over the CPI that grows your annual spending power year after year. And government bonds are offering that inflation-beating edge with no risk of losing your capital, if you hold them to maturity.

By contrast, equities are highly volatile, so they only become much more attractive than Treasuries when their inflation-adjusted future returns far exceed the edge that the 10-year, say, is offering over and above the projected increase in the CPI.

As Warren Buffett points out, stocks and especially government bonds are locked in constant competition for investors’ money. And stocks are losing the contest. Today, the ERP—the extra margin offered by stocks over Treasuries—has reached its lowest level since the tech bubble of 2000. Historically, a narrow ERP’s been an extremely negative signal for stocks. But Wall Street isn’t paying attention. Overall, analysts and strategists predict that the S&P 500 will reach 6,666 at the end of 2025 for an annual gain of 12.5%. You’ll seldom hear the ERP mentioned by guests from the banks and brokerages on the TV business shows, maybe because it contradicts their upbeat scenario. Or perhaps because it sounds like a wonky concept advanced by academics that seems irrelevant as a forecasting tool since even as the ERP gets worse and worse, stocks keep soaring.

But as Arnott explains, “It just makes sense. When Treasuries that provide guaranteed income are offering you almost the same return as stocks that are extremely pricey and have loads of risk, people will eventually dump stocks until their prices fall to the point where they regain their edge.” That adjustment often happens after a lag, but the basic market math dictates that it’s inevitable. So let’s examine how a big ERP opened the gates for the giant rally in recent years, and how the great shrink foreshadows a dim future not for all big cap U.S. stocks, but the S&P overall, and especially the glamor names in tech that led the immense rally.

The ERP’s suffered a big squeeze as rates spiked while the S&P kept soaring

In the aftermath of the Great Financial Crisis and beyond, the environment proved highly favorable for the Equity Risk Premium. The main reason: The super-low real rates engineered initially by Fed Chairman Ben Bernanke to rescue America from the Global Financial Crisis followed by successive new floods of liquidity designed by his successor Jerome Powell to combat the Trump tariffs in 2019, then counter the downdraft from the COVID crisis the following year. From 2012 to early 2022, the inflation-adjusted rate on the 10-year Treasury averaged a puny 0.25%, compared to around 3% in the 1990s and around 2.5% from 2004 to 2008. Over the decade ending in February of 2022, the PE also cooperated for the most part. The S&P multiple rose gradually, but averaged roughly 20, for an earnings yield of 5%. Result: The expected return on stocks boasted a gigantic margin over the ten-year of 4.75% (the 5% earnings yield minus the 0.25% real rate). The biggest factor in creating that fat ERP: those astonishingly low rates.

The sumptuous ERP created a strong tailwind for stocks, and the S&P 500 climbed 250% over that golden decade. The signs of overheating got serious in early 2022 when two forces converged to start compressing the ERP. First, S&P prices kept rising faster than profits, swelling the PE and pounding the earnings yield. Second, real rates went on one of the fastest, steepest ramps in history. In early February of 2022, the Fed’s expansionary policies at their apex, the inflation-adjusted yield on the 10-year sat at a minus 0.61%. As of January 17, it’s vaulted to 2.17%.

Of course, the headline or “nominal” 10-year yield you see that flashes on your TV screen and gets all the attention is just the sum of expected inflation plus the real rate. In that nearly three year timeframe, the headline rate jumped from 1.8% to 4.58%. But as of today, the Fed’s brought expected inflation down to around the same modest level as before the outbreak that started in early 2022. As a result, the jump in the 10-year Treasury yield isn’t coming because the market thinks future inflation will be worse today than investors believed in early 2022, due to the Fed’s restrictive policies. What’s driven the entire increase from 1.8% to 4.58% is a jump in the real rate of 278 basis points or almost 3%. That’s the biggest single story in the recent history of equity markets. And it’s scary.

As the real rate spiked, the earnings yield kept falling. As of mid-day on January 21, the S&P 500 was hovering near an all-time record at 6,035. Based on GAAP trailing 12 month earnings of $200.27, the PE towered at 30.13. That’s its highest reading at any period in the past quarter century, except when earnings collapsed during the GFC and pandemic. The PE of just over 30 puts the earnings yield at 3.33%. So the current ERP, the lead of stocks over bonds, is a mere 1.16% (the 3.33% earnings yield less the 2.17% real rate on the 10-year). For every $100 they invest, folks and funds can now either collect $2.17 a year on TIPs risk free plus inflation or $3.33 on dicey big caps plus inflation. As Arnott puts it, “Why would they choose stocks posing all that risk for just an extra dollar?”

Arnott & Co. are positing that a fall in the multiple from today’s super-high of 30 will lower the S&P’s real return over the next decade to around 0.9% per year, well below the 2.17% comparable rate on the 10-year. That puts the ERP in negative territory. In other words, the combination of huge valuations and the most alluring sustained inflation-adjusted yield in many years is exercising a classic squeeze that’s driven the the advantage of extremely unpredictable stocks over ultra-safe bonds to less than nothing. By Arnott’s math, long-term Treasuries will give investors almost 1.3 points more in annual purchasing power in the years ahead than the S&P 500.

Arnott stresses that it’s the excessive sway of the Mag Seven and other highly expensive tech stocks that’s mainly responsible for the index’s paltry ERP. “Over thirty-five percent of the S&P’s valuation rests in just the seven top names,” he says. “That’s the highest concentration since the 19th century when a few giant railroads and oil companies dominated the market. Those tech giants account for only 18% or 19% of the U.S. economy but are nearly 40% of the S&P’s market cap. Their valuation is over twice the size of their economic footprint.” You can see why Rob loves fundamental indexing that avoids empowering high-flyers to wag the index.

Arnott sees big opportunities in such areas as emerging markets and European equities that are offering bargain PEs and as a result of higher ERPs that provide plenty of space for prices to advance. And he thinks that sundry U.S value stocks remain reasonably priced. But he believes that the S&P 500 as a whole features just about the world’s least promising basket of equities right now. Arnott notes that in most decade-long economic cycles, bear markets hit every five to seven years. “So there’s about a 20% chance you’ll get a sharp downturn in any one year,” he says. “But now, I’d put the chances much higher for both 2025 and 2026, at about 50% each. And the reason is the extremely low or maybe below zero equity risk premium.”

It’s a message Wall Street doesn’t want to hear, and President Trump—who often measures his policies’ economic success by the stock market’s performance—won’t want to hear, either.

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