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这一指标显示,美股正在牛转熊

这一指标显示,美股正在牛转熊

Shawn Tully 2021年03月17日
购买股票的最佳时机是利率超高而市盈率倍数极低的情景,但今天的情况却截然相反。

本周,华尔街投资者为标普500指数(S&P 500)创历史新高欢呼雀跃。美国正在大规模复工,而美国总统乔·拜登刚刚签署通过的1.9万亿美元纾困法案有望大幅刺激消费者支出。在这两个因素的推动下,美国即将迎来经济繁荣,这让标普500指数的上涨显得合情合理。但这些乐观主义者的想法根本不切实际,因为这些人忽视了他们解释为什么能够长时间维持当前的股价时经常用到的一个指标,出现了大幅度的负面转变。

这个指标就是耶鲁大学(Yale University)的著名经济学家罗伯特·席勒提出的“超额周期调整性市盈率收益率”。这个指标是席勒对经典的周期调整性市盈率(CAPE)的扩展。CAPE衡量了按照历史标准股票估值过高还是过低。席勒采用过去十年的通胀调整后平均利润作为分母,拉平了波峰和波谷。因为这种极端行情会在收益增长时让股票显得定价过低,而在收益下跌但必然会反弹时可能让股票显得定价过高。(分子是标普指数。)

乐观的投资者并不会过多谈论常规CAPE,因为它早已亮起了红灯。现在CAPE为35.65倍。这已经超过了1929年的33倍和2007年的28倍。所以常规CAPE意味着股市出现大幅回调的可能性远高于持续上涨的可能性。

然而,超额CAPE收益率将牛市支持者们解释大盘股为什么总体上依旧值得买入的理由考虑在内。超额CAPE收益率将长期债券利率作为一个因素。直到最近,长期债券利率始终维持在极低的水平。

这种超低债券收益率给一种观点奠定了基础,那就是只要股票价格看上去远低于债券,投资者的资金就会继续涌入股市。(债券价格的走势与其收益率呈负相关的关系,收益率下跌时债券价格上涨。)换一种更理性的说法就是,从2018年末开始大幅下跌的美国国债收益率大大降低了未来公司利润的“贴现率”。通过简单的计算,贴现率减低会提高一个特定利润流的“现值”,并大幅提高股价。似乎很有道理。

问题在于,支撑乐观投资者的理由的超低利率必须始终维持在较低水平,才可以证明他们是正确的。而这种情况几乎从未发生过。现在,我们正在从头见证一种可能的趋势:债券收益率反弹到更正常的水平,尤其是在乐观投资者们眼中的经济繁荣即将到来的情况下。这两种观点一方面认为复工的公司会渴望在经济繁荣时期大举扩张,另一方面却认为虽然资本需求旺盛,但利率能够维持在历史最低点。这实际上似乎是自相矛盾的。

3月12日,标普指数达到3,939点的最高点一天之后,10年期美国国债(长期债券)收益率达到1.62%。这比年初上涨了0.69个百分点,自去年8月以来上涨了1.11个百分点。在去年11月4日,10年期国债收益率还只有0.78%。目前的长期债券收益率处在2020年1月末以来的最高水平。

为什么直到最近债券收益率似乎一直有利于短线投资者?这是因为长期债券利率远远落后于通胀率,这意味着“实际收益率”处在较深的负区间,这在历史上是极其罕见的。这种现象使席勒的超额CAPE明显有利于股票,让它深受华尔街投资者的喜爱,虽然他们对常规CAPE避而不谈。超额CAPE收益率是标普指数收益率减去10年期国债通胀调整收益率的差。标普指数收益率与通胀调整市盈率呈负相关的关系,代表公司在股票中投资每一美元可以实现的收益。因此,该指数测量的是股票收益与超级安全的债券收益的差额。

在9月末,超额CAPE收益率为4.33%。按照席勒的市盈率倍数约31倍,股票的收益率只有3.25%。但10年国债的收益率却低至0.68%,远低于1.76%的通胀率。两者的差额所代表的10年期国债“实际”收益率为负1.08%。股票收益率领先于债券4.33%,看起来确实幅度很大。

但值得注意的是,股票之所以看起来有利于投资,是因为当时债券的收益不足以支付你的租金和食品杂货账单。虽然股票的收益似乎远高于债券,但它们能够承诺的“实际”收益率只有3.25%。考虑到未来约2%的通胀率,股票收益率也只有5.35%,与大部分市场策略师预测的两位数的未来收益率相去甚远。

华尔街所看重的基准面现在表现如何?目前的通胀率为1.61%。突然之间,它与10年期国债1.62%的收益率相差无几。实际利率摆脱了负区间,与通胀率持平。与此同时,标普500指数虽然度过了紧张不安的几天,但却再创新高,根本没有受到10年期国债收益率大幅上涨的影响。当然,在实际收益率上涨超过1个百分点的同时,标普500指数的上涨降低了席勒的收益率。截至3月11日,席勒的收益率从9月的3.25%下降到只有2.81%(与35.6倍的CAPE呈负相关的关系)。

由于实际利率为零,因此超额CAPE与CAPE收益率完全相同,均为2.81%。股市无法在负实际利率中获得任何帮助。根据席勒的数据,最有可能的结果是股市的年收益率只有4.8%,即2.81%的收益率加2%的通胀率。接下来就是致命一击:标普指数的收益率领先于长期债券的比例要恢复到9月的4.3%,席勒市盈率需要从35.6倍下降到23倍,而标普指数将从3,939点下跌到2,544点。

当然,更高利率可能比快速经济增长更早到来。在这种情况下,更高的收益可以抵消利率上行带来的下行压力。但分析师们已经提出了不切实际的利润预测,试图为超高估值寻找合理的理由。谨慎的观点是,实际利率将恢复正常,利润不会像人们普遍以为的那样超过2019年的最高水平,而且标普指数将进入回调区间。

购买股票的最佳时机是利率超高而市盈率倍数极低的情景。但今天的情况却截然相反。经济会恢复正常。这对乐观的投资者而言似乎是好消息。但事实上并非如此。股市也会恢复正常。不过这肯定会让投资者大失所望。(财富中文网)

翻译:刘进龙

审校:汪皓

本周,华尔街投资者为标普500指数(S&P 500)创历史新高欢呼雀跃。美国正在大规模复工,而美国总统乔·拜登刚刚签署通过的1.9万亿美元纾困法案有望大幅刺激消费者支出。在这两个因素的推动下,美国即将迎来经济繁荣,这让标普500指数的上涨显得合情合理。但这些乐观主义者的想法根本不切实际,因为这些人忽视了他们解释为什么能够长时间维持当前的股价时经常用到的一个指标,出现了大幅度的负面转变。

这个指标就是耶鲁大学(Yale University)的著名经济学家罗伯特·席勒提出的“超额周期调整性市盈率收益率”。这个指标是席勒对经典的周期调整性市盈率(CAPE)的扩展。CAPE衡量了按照历史标准股票估值过高还是过低。席勒采用过去十年的通胀调整后平均利润作为分母,拉平了波峰和波谷。因为这种极端行情会在收益增长时让股票显得定价过低,而在收益下跌但必然会反弹时可能让股票显得定价过高。(分子是标普指数。)

乐观的投资者并不会过多谈论常规CAPE,因为它早已亮起了红灯。现在CAPE为35.65倍。这已经超过了1929年的33倍和2007年的28倍。所以常规CAPE意味着股市出现大幅回调的可能性远高于持续上涨的可能性。

然而,超额CAPE收益率将牛市支持者们解释大盘股为什么总体上依旧值得买入的理由考虑在内。超额CAPE收益率将长期债券利率作为一个因素。直到最近,长期债券利率始终维持在极低的水平。

这种超低债券收益率给一种观点奠定了基础,那就是只要股票价格看上去远低于债券,投资者的资金就会继续涌入股市。(债券价格的走势与其收益率呈负相关的关系,收益率下跌时债券价格上涨。)换一种更理性的说法就是,从2018年末开始大幅下跌的美国国债收益率大大降低了未来公司利润的“贴现率”。通过简单的计算,贴现率减低会提高一个特定利润流的“现值”,并大幅提高股价。似乎很有道理。

问题在于,支撑乐观投资者的理由的超低利率必须始终维持在较低水平,才可以证明他们是正确的。而这种情况几乎从未发生过。现在,我们正在从头见证一种可能的趋势:债券收益率反弹到更正常的水平,尤其是在乐观投资者们眼中的经济繁荣即将到来的情况下。这两种观点一方面认为复工的公司会渴望在经济繁荣时期大举扩张,另一方面却认为虽然资本需求旺盛,但利率能够维持在历史最低点。这实际上似乎是自相矛盾的。

3月12日,标普指数达到3,939点的最高点一天之后,10年期美国国债(长期债券)收益率达到1.62%。这比年初上涨了0.69个百分点,自去年8月以来上涨了1.11个百分点。在去年11月4日,10年期国债收益率还只有0.78%。目前的长期债券收益率处在2020年1月末以来的最高水平。

为什么直到最近债券收益率似乎一直有利于短线投资者?这是因为长期债券利率远远落后于通胀率,这意味着“实际收益率”处在较深的负区间,这在历史上是极其罕见的。这种现象使席勒的超额CAPE明显有利于股票,让它深受华尔街投资者的喜爱,虽然他们对常规CAPE避而不谈。超额CAPE收益率是标普指数收益率减去10年期国债通胀调整收益率的差。标普指数收益率与通胀调整市盈率呈负相关的关系,代表公司在股票中投资每一美元可以实现的收益。因此,该指数测量的是股票收益与超级安全的债券收益的差额。

在9月末,超额CAPE收益率为4.33%。按照席勒的市盈率倍数约31倍,股票的收益率只有3.25%。但10年国债的收益率却低至0.68%,远低于1.76%的通胀率。两者的差额所代表的10年期国债“实际”收益率为负1.08%。股票收益率领先于债券4.33%,看起来确实幅度很大。

但值得注意的是,股票之所以看起来有利于投资,是因为当时债券的收益不足以支付你的租金和食品杂货账单。虽然股票的收益似乎远高于债券,但它们能够承诺的“实际”收益率只有3.25%。考虑到未来约2%的通胀率,股票收益率也只有5.35%,与大部分市场策略师预测的两位数的未来收益率相去甚远。

华尔街所看重的基准面现在表现如何?目前的通胀率为1.61%。突然之间,它与10年期国债1.62%的收益率相差无几。实际利率摆脱了负区间,与通胀率持平。与此同时,标普500指数虽然度过了紧张不安的几天,但却再创新高,根本没有受到10年期国债收益率大幅上涨的影响。当然,在实际收益率上涨超过1个百分点的同时,标普500指数的上涨降低了席勒的收益率。截至3月11日,席勒的收益率从9月的3.25%下降到只有2.81%(与35.6倍的CAPE呈负相关的关系)。

由于实际利率为零,因此超额CAPE与CAPE收益率完全相同,均为2.81%。股市无法在负实际利率中获得任何帮助。根据席勒的数据,最有可能的结果是股市的年收益率只有4.8%,即2.81%的收益率加2%的通胀率。接下来就是致命一击:标普指数的收益率领先于长期债券的比例要恢复到9月的4.3%,席勒市盈率需要从35.6倍下降到23倍,而标普指数将从3,939点下跌到2,544点。

当然,更高利率可能比快速经济增长更早到来。在这种情况下,更高的收益可以抵消利率上行带来的下行压力。但分析师们已经提出了不切实际的利润预测,试图为超高估值寻找合理的理由。谨慎的观点是,实际利率将恢复正常,利润不会像人们普遍以为的那样超过2019年的最高水平,而且标普指数将进入回调区间。

购买股票的最佳时机是利率超高而市盈率倍数极低的情景。但今天的情况却截然相反。经济会恢复正常。这对乐观的投资者而言似乎是好消息。但事实上并非如此。股市也会恢复正常。不过这肯定会让投资者大失所望。(财富中文网)

翻译:刘进龙

审校:汪皓

The Wall Street cheerleaders view the S&P 500's jump to an all-time record high this week as fully justified by an economic boom-in-the making, driven by the Great Reopening and reinforced by a looming surge in consumer spending courtesy of the $1.9 trillion relief package just signed by President Biden. But the optimists are cockeyed indeed, because they're ignoring a big, negative shift in one of their most-cited metrics for why stock prices have a long way to run.

The measure was developed by the great Yale economist Robert Shiller, who calls it the "Excess CAPE Yield." It's an extension of Shiller's legendary CAPE, or cyclically-adjusted price-earnings ratio, which measures whether stocks are under or overvalued by historical standards. To eliminate the peaks and valleys that can make equities appear cheap when earnings are inflated, or pricey when earnings crater but are bound to rebound, Shiller uses average profits over the past decade, adjusted for inflation, as the denominator. (The numerator is the S&P index.)

The bulls don't talk much about the regular CAPE, because it has long been flashing red. Right now, it stands at 35.65. That figure exceeds the peaks of 33 in 1929 and 28 in 2007. So the traditional CAPE is signaling that a big correction is far more likely than a durable uptrend.

The Excess CAPE Yield, however, incorporates the enthusiasts' favorite argument for why big cap stocks are by and large still a great buy. It factors in long bond interest rates, which until lately have hovered at incredibly low levels.

Those ultra-slender yields provide ballast for the position that as long as stocks look much less pricey than bonds, investor money is bound to keep pouring into equities. (Bonds' prices move inversely to their yields, rising when yields fall.) In its more intellectual form, the argument holds that the plunge in Treasury yields starting in late 2018 substantially lowered the "discount rate" applied to future corporate profits. By basic math, a lower discount rate raises the "present value" of a given stream of profits, and greatly boosts stock prices. Seems to make perfect sense.

The rub is that the incredibly low rates essential to the bulls' rationale have to stay low to prove them right. And that scenario has hardly ever happened. Now, we're witnessing the trend that was likely from the start: a rebound in yields to much more normal levels, especially given the roaring economy the bulls see building. Indeed, the two views—that resurgent companies will be thirsting to expand in flush times ahead, and that despite strong demand for capital, rates can keep sitting at historic lows—seem to contradict one another.

On March 12, the day after the S&P hit its historic peak of 3,939, the 10-year Treasury (long bond) yield reached 1.62%. That's a jump of 0.69 percentage points since the start of the year, and 1.11 points since August. As recently as Nov. 4, the yield stood at just 0.78%. The long bond hasn't been paying this much since late January of 2020.

Here's what made the yields until recently look so favorable for the go-go crowd: The long bond rates were sitting well below the course of inflation, meaning that "real yields" were steeply negative, a rarity in the past. This phenomenon strongly tilted Shiller's Excess CAPE in favor of stocks, making it a favorite of the Wall Streeters who shun the standard CAPE. The Excess CAPE number is the difference between the S&P earnings yield, expressed as the the inverse of the CAPE––the adjusted cents in earnings companies are delivering for every dollar invested in their shares––minus the inflation-adjusted yield on the 10-year. Hence, it measures the margin by which what stocks are earning beats what super-safe bonds are paying.

At the close of September, the Excess CAPE stood at 4.33%. Sure, stocks were yielding just 3.25% at a Shiller P/E of almost 31. But the 10-year was yielding a minuscule 0.68%, way below the inflation rate of 1.76%. That difference put the "real" rate at a negative 1.08%. That 4.33% represented stocks' edge over bonds, and it sure looked big.

It's worth noting, however, that it only appeared so favorable because bonds at the time didn't come close to keeping you even with your rent and grocery bills. Though stocks looked better than that, they were only promising a "real" return of 3.25%. Including future inflation of around 2%, that's a paltry 5.35%, not at all the double-digit future forecast by most market strategists.

How does Wall Street's prized benchmark look today? Inflation is now running at 1.61%. In a seismic shift, that's a hair below the 10-year yield of 1.62%. Suddenly, real rates aren't negative anymore, they're flat. In the meantime, the S&P 500, despite some jittery days, has ignored the surge in the 10-year to reach fresh highs. That rise, of course, has lowered the Shiller earnings yield at the same time real rates rose by over a point. As of March 11, that earnings-yield number had declined from 3.25% in September to just 2.81% (the inverse of the CAPE of 35.6).

Since real rates went to zero, the Excess CAPE is precisely the same as the CAPE, at 2.81%. It's no longer getting any help from negative real rates. Based on the Shiller numbers, the most likely outcome has stocks paying just 4.8% a year—that 2.81% earnings yield, plus 2% inflation. Here's the haymaker: For the S&P to go back to its 4.3% edge over the long bond in September, the Shiller PE would need to drop from 35.6 to 23, and fall from 3,939 to 2,544.

Of course, it could be that the higher rates are heralding faster economic growth. In that case, higher earnings could offset the downward pull of rising rates. But analysts were already forecasting fantastic, probably unrealistic profits ahead to justify extremely high valuations. The cautious view is that real rates will normalize, profits won't zoom past 2019 records as widely believed, and the S&P will correct.

The best time to buy stocks is when rates are unusually high, and PEs are unusually low. The current picture is the opposite. The economy will get back to normal. That would seem to be good news for the bulls. But it's not. Stocks will go back to normal, too. And that will be a bummer.

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