[转帖] [2011.10.15] I wouldn’t start from here 我不要以此为起点

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http://www.ecocn.org/bbs.php?mod=viewthread&tid=59163
Asset returns
资产回报

I wouldn’t start from here
我不要以此为起点

Low yields leave investors with difficult choices
低获利让投资者面临困难选择

Oct 15th 2011 | from the print edition



IT IS better to travel hopefully than to arrive. For investors, the hopeful journey started in the 1980s as inflation came under control around the world. Yields came down, prices went up, a simple “buy and hold” strategy could often provide decent returns. Even boring old Treasury bonds returned 9.1% annually between 1982 and 2007, according to a Deutsche Bank study of long-term returns.

满怀希望地旅行比到达目的地更有意思。对于投资者来说，希望之旅开始于20世纪80年代。当时世界各地的通货膨胀得到了控制。获利率下降[注1]，价格上升，简单的“买入持有”策略通常可以产生足够的回报。根据德意志银行的长期回报研究，即使枯燥的美国国库券在1982年到2007年之间也有年均9.1%的回报。

At the end of such a journey, though, yields must reach a point where they can fall little if any further. And that explains much of the sorry pass at which investors have now arrived. Almost every asset class seems to be fraught with danger. Equities have suffered two bear markets in just over a decade and remain vulnerable to a rich-world recession; government bonds offer little protection against a resurgence of inflation; commodities are volatile and hostage to a possible drop in Chinese demand; property is still suffering from indigestion after the past decade’s boom.

但是，在这个旅程的尽头，获利率必然跌到降无可降。这就是现在投资者陷入可悲关卡的主要原因。几乎所有的资产类项都充满危机。股票在十年多一点的时间内两次熊市，现在还处于会被发达国家经济衰退拖累的危险之下；政府债券毫无办法对抗通货膨胀的重新飙升；农矿产品波动性很大，且暴露在中国需求有可能下跌这一风险中；地产仍然处于过去十年旺市带来的消化不良中。

Savers have to put their money somewhere. But if they make the wrong choice the results could be disastrous for them. History is well stocked with bear markets that wiped out wealth on a vast scale (see table). When British government bond yields were last down to 2.5% (their current level), in 1946, the subsequent 28 years saw them lose three-quarters of their value in real terms. Investors who piled into gold at the last peak in 1980 saw the price fall by two-thirds in the 20 years that followed.

储蓄者必须要把钱存在某处。如果选择错误，后果可能不堪设想。历史上充满了熊市大规模将财富清零的例子（见表）。1946年是英国政府债券利率上一次跌到2.5%（现在的水平）的时候。接下来的28年中该债券四分之三的实质价值[注2]化为乌有。1980年上一次黄金价格攀顶时大量购入黄金的投资者在接下来的20年里目睹了金价跳水了三分之二。


最差和最好时期的实质股市回报百分率

The long bull market in financial assets that brought yields down was due in part to robust fundamentals—steady economic growth and rising profits—and in part to sentiment. As investors grew more optimistic they paid higher valuations for equities and bonds, generating higher returns and thus attracting even more buyers.

金融资产的长期牛市将获利率拉低。这种牛市有一部分原因是坚固的基本面－稳定的经济增长，上升的利润，另一部分原因是情绪作祟。随着投资者变得越来越乐观，他们也原意支付对于股票和债券越来越高的估价，从而产生更高的回报，吸引更多的买家。

But that positive feedback could not last forever. Eventually investors had to face an inexorable logic; the lower the yield on an asset to begin with, the lower the likely long-term return. The first asset class to feel the crunch was equities. By 2000, amid all the enthusiasm for the internet, the dividend yield on American equities was just 1%, an historical nadir. Sure enough, the annual real equity return over the next ten years was just 0.8%.

但是这种正反馈不可能永久持续。最终投资者必须面对残酷的现实逻辑：资产的获利率越低，也就意味着可能的长期回报越低。最先感受到这种压力的资产类项是股票。到2000年，在各界对互联网的巨大热情中，美国股票的股息利率只有1%，达到历史最低点。确实，之后十年的股本实质回报率只有0.8%。

How low can you go?
你能走多久？

It should have been no surprise. If you rank the 75 years on the American stock market from 1925 to 2000 by yield, investors who bought in the lowest-yielding quintile received a subsequent average real return over ten years of 3.1%; those who bought in the highest-yielding quintile got 10.7% (see chart 1).

这应该没什么好奇怪的。如果你把从1925年到2000年的75年按美国股票获利率排列，在获利率最低的十五年内买入股票的投资者在买入后十年的平均实质回报只有平平的3.1%，而在获利率最高的十五年内买入股票的投资者在之后十年拿到了10.7%的回报。（见图１）


1926-2000年美国股市股票分成15年一组的五组，根据每一组在15年开始时的年股息百分率(浅蓝)排列高低，以及之后十年的年均实质回报百分率（深蓝）

Now investors are facing low yields across the board. Short-term interest rates are close to zero, except in the euro zone, where they are 1.5%—still a negative return in real (after inflation) terms. Ten-year government bonds in America, Britain, Germany and Japan range between 1% and 2.5%; bonds of shorter maturities yield even less. Even Wall Street, despite its recent weakness, is not offering much of an income; the dividend yield is just 2.1%, well down into that bottom quintile.

现在投资者面对的是清一色的低获利资产。短期利率接近于零，只有欧元区除外，在那里还有1.5%，但实质获利（算上通膨）还是负的。美国，英国，德国和日本的十年政府债券利率介于1%到2.5%之间，更短期的债券利率就更少了。即使华尔街，在面对最近的疲软时，仍然拿不出什么像样的数字，现在股息只有2.1%，很明显的落在获利率最低的十五年范围内。

Why does the yield matter so much? It is a truism that the long-term return for equities equals the starting dividend yield plus dividend growth (plus or minus any change in the market’s rating). If we assume that American dividends grow in line with GDP, that suggests a real growth rate of perhaps 2.5%, and thus a likely total real return of around 4.5%.

为什么获利率这么低？确实股票的长期回报等于初始的股息率加上股息之后的增长（加减市场打分的变化）。如果我们假设美国股息会和GDP同样速度增加，那么实质增长率可能达到2.5%，因此总体实质回报会在4.5%左右。

That might be a little optimistic. Profit margins are close to a 50-year high, relative to GDP, and thus seem likely to shrink. Furthermore, the long-term real growth rate of American dividends, according to Elroy Dimson, Paul Marsh and Mike Staunton at the London Business School, has been less than GDP growth: just 1.4%. Adding that figure to the starting dividend yield gives a real return of around 3.5%, well below the historic average.

这可能有点乐观了。销售利润率[注3]相对于GDP已接近了50年最高值，因此似乎很有可能下跌。此外，根据伦敦商学院的Elroy Dimson, Paul Marsh和Mike Staunton，美国股息的长期实质增长率已经比GDP增长要慢了，只有1.4%。把这个数字加到初始股息上，得到的长期回报率只有大约3.5%，比历史平均值要低得多。

Furthermore, a rise in yields (assuming no change in dividend payments) implies a fall in share prices. So if the dividend yield were to rise closer to the historic average, real returns for investors would be sent even lower. Deutsche Bank’s long-term asset-return study calculates that if valuations return to the mean, the real return from American equities over the next ten years will be just 0.6%. At the beginning of the great bull markets for equities, such as those that started in 1948 or 1982, yields were much higher than current levels. To buy at today’s low yields, investors need to believe dividends will grow very strongly.

再有，获利率的上升（假设股息支付进度不变）意味着股价下跌[注4]。因此如果获利率上升到更接近历史平均值，投资者的实质回报可能会降到更低。德意志银行的长期资产回报研究算出如果估价回归到平均值，美国股票在接下来十年的实质回报率仅为0.6%。在过去的股票大规模牛市，例如1948年或1992的牛市开始时，获利率比现在的水平要高得多。要在今天这么低的获利率下购买，，投资者必须要相信未来股息会有很大幅度的增长。

Nor can American investors take much comfort in valuations based on profits or asset values; they too look high. On the cyclically adjusted price-earnings (p/e) measure, which smooths profits over ten years, Wall Street is trading on a multiple of 19.4, well above the historic average of 16.4. According to Smithers & Co, a research firm, the Q ratio, which compares share prices with the replacement cost of net assets, shows the American market trading 44% above its long-term average valuation.

根据公司利润或资产价值对股票进行估价[注5]对美国投资者来说也没有太多安慰，它们看上去正处在高位。季节性调整后的市盈率将十年的利润进行平滑化，发现华尔街目前市盈率[注6]正处于19.4倍，比历史平均的16.4倍要高得多。根据史密瑟斯研究公司计算，比较股价和净资产重置成本的Q比例[注6]表明美国股市目前价格正处于比其长期平均估计值高44%的位置。

Things look a little better in Europe. Worries about the debt crisis have caused European shares to underperform Wall Street this year, making valuations look rather more attractive. Euro-zone equities trade on a dividend yield of 4.2% and the cyclically-adjusted p/e for the zone is 11, according to Absolute Strategy Research.

欧洲看上去要好一点。对于债务危机的担忧造成欧洲股票今年表现不如华尔街，使得当前的股票估价值看上去更诱人。根据绝对策略研究公司，欧洲股票目前的股息率为4.2%，而该地区季节性调整后的市盈率为11。

Emerging markets have been a disappointment in 2011. Many investors hoped that the superior growth record of developing economies would allow them to outperform markets in America and Europe. But although China and India are still growing strongly, that strength has not translated into share prices; emerging equity markets fell 23% in the third quarter. The result of this decline is that emerging-market shares now trade on a discounted valuation compared with their developed-market counterparts. That ought to be of some comfort to investors, especially given their superior growth prospects.

新兴市场在2011年表现令人失望。许多投资者希望发展中经济一流的增长速度可以让市场表现超过美国和欧洲。但是虽然中国和印度经济增长仍然强劲，这种势头却没有带动股价。新兴股票市场在第三季下跌了23%。这种下跌的结果就是新兴市场股票现在估价和其它发达市场股票相比偏低。考虑到它们未来的强劲增长潜力，这对于投资者来说某种程度上是个安慰。

Should gentlemen prefer bonds?
绅士应该偏好债券吗？[注7]

Government-bond investors seem to be betting on a combination of recession and deflation. In previous recessions, American equities have delivered an average negative return of 15.3% while ten-year Treasury bonds have delivered a positive return of 10.4%. Although government bond yields in America, Britain and Germany may look low, they can go lower; in Japan, which has a higher government debt-to-GDP ratio than the others, ten-year yields are just 1%. Concerns about Greece, Spain and Italy may have pushed investors into the perceived safety of German and American government bonds.

政府债券投资者似乎赌的就是经济衰退和通货萎缩[注8]。在以前的经济衰退期，美国股票的平均回报率是负15.3%而国库券平均回报率是正10.4%。虽然美国，英国和德国的政府债券利率看上去已经很低了，它们还能降得更低。而债务对GDP比例比它们都高的日本十年利率才仅仅1%。对于希腊，西班牙和意大利的担忧将投资者推向感觉安全的德国和美国政府债券。

These yields do not give much of a margin for error. The yield on conventional government bonds can be compared with that on inflation-linked debt to get a rough idea of the market’s expectations for inflationary pressure. In America, such calculations produce an expected inflation rate over the next 30 years of just over 2%. The current American inflation rate is 3.8%; the average since 1900 has been 3.1%. As Dylan Grice, a strategist at Société Générale, points out, it looks as if investors are betting on lower inflation than history would suggest despite the fact that central banks are printing money.

万一出现问题，这样的利率意味着没有太多的缓冲空间。普通的政府债券利率可以通过和跟通膨挂钩的债务作比较来大致估计市场对于通膨压力的期望。在美国，这样的计算指出市场期望接下来30年的通膨率只有2%多一点。现在美国通膨率就已经是3.8%了，1900年以来的平均值也有3.1%。法国兴业银行的策略分析师狄伦·格莱斯指出，这似乎表示尽管中央银行还在印新钱，投资者还是在赌通膨会低于历史水平。

Is it possible that something other than sentiment about inflation is pushing yields down? There are three things that might be doing so. At the shorter end of the yield curve, government bond yields are determined by investors’ expectations of the likely level of official interest rates, and the Federal Reserve has all but committed to keeping rates at their current ultra-low levels until 2013.

除了关于通膨的感情用事外有没有可能其他因素在压低利率呢？有三个这样的可能因素。第一，利率曲线上靠近短期那一端的政府债券率是由投资者对于官方利率可能水平的期望值决定的，而美联储几乎已经承诺利率在2013年之前会保持在现在的超低位上。

The use of quantitative easing (QE) to buy government bonds may have been a factor in pushing down longer-term yields. The Bank of England launched a second round of QE in early October, and the Fed has hinted that it might undertake a third round of its programme.

其次，使用定量易化（QE）来购买政府债券可能在推低长期利率上也是个因素。英格兰银行在十月初启动了第二轮QE，而美联储也暗示也暗示它可能进行第三轮QE。

Thirdly, Asian central banks hold government bonds as a way of managing their currencies. To the extent that they see a stable exchange rate as the top priority they may be relatively relaxed about yields and future returns.

第三，亚洲的中央银行借持有政府债券来管理它们自己的货币。只要它们认为稳定的汇率优先，利率和未来回报率相对可能就没那么重要了。

It is hard to know whether these factors are temporary or permanent. What will happen when central banks dispose of the bonds they bought through QE, for example? But they add to the uncertainty involved in buying government bonds.

这些因素到底是暂时的还是永久的很难决定。例如，如果中央银行要脱手它们通过QE买下的债券会发生什么？不管怎么说它们购买政府债券都让本来就不清楚的局面越发迷离。

Deutsche Bank’s study suggests that, if yields revert to the mean, investors in 30-year Treasury bonds will suffer an annualised loss of 3.3% over the next five years and 1.3% over the next ten; investors in ten-year bonds will suffer annualised losses of 4.3% and 2% respectively.

德意志银行的研究表示，如果利率回归平均值，30年国库券的投资者在接下来五年中会年均损失3.3%，接下来十年中年均损失1.3%；十年债券的投资者则会分别承受4.3%和2%的年均损失。

Corporate bonds look rather more promising. In normal times companies get higher yields on their debts than governments because they are more risky. But default rates on corporate debt are very low at the moment; in the 12 months to September just 1.9% of issues defaulted, according to Standard & Poor’s. Fears of a recession mean that the spread (or excess interest rate) over government bonds has risen sharply; European high-yield bonds now offer 10 percentage points more than government bonds, according to James Tomlins at M&G, a fund-management group. This suggests rather more of a margin of safety for investors.

企业债券看上去有希望多了。正常情况下因为公司比政府风险更大，公司借贷所支付的利率也比政府要高。但是现在企业债务违约率是非常低的，根据标准普尔，九月前的十二个月内只有1.9%的发行债务违约了。对于经济衰退的恐惧意味着企业利率和政府利率之间的差额已经显著扩大了。根据基金管理集团M&G的詹姆斯·汤姆林，欧洲高利率的企业债券现在利率已比政府债券高10个百分点了。这对于投资者来说安全界限[注9]要高很多。

Get real
面对现实

Those worried about inflation and looking for a hedge may be more interested in real assets (property or commodities) than in paper ones. Until recently, gold has been a very strong performer; it has been easily the best asset to own since the start of the credit crisis in 2007 (see chart 2).

那些担心通货膨胀而在寻找对冲[注10]的人可能对于硬资产（地产或农矿产品）比纸资产更感兴趣。直到最近，黄金表现都非常强劲。它已经很轻松的拿下了2007年借贷危机开始之后最高回报资产的宝座（见图2）。


美国各种资产在两个时期的年均实质回报百分率

The problem with gold, and other commodities, is that with no yield or earnings they are hard to value. Demand from Asian countries has certainly pushed up prices; non-oil commodities have trebled over the past decade. But if the economy does start to slip into recession, commodity prices could fall very sharply; they almost halved between March and December 2008. This year they have dropped by around a fifth since February.

黄金，和其他农矿产品的问题在于它们不存在获利率或盈利性，所以很难估价。亚洲市场的需求当然把价格推高了，非石油产品的价格过去十年翻了三倍。但如果经济真的跌入衰退，农矿产品价格可能会急剧下跌。2008年三月和十二月之间它们跌了将近一半。今年它们从二月以来已下跌了大约五分之一。

Property remains the favourite asset of the retail investor. Ultra-low interest rates have eased the pressure on many homeowners. As a result, our rent-based measure of house prices shows most markets looking overvalued (America is one of the exceptions). But lenders have tightened their standards since the slapdash days of the subprime boom; borrowers need much larger deposits than they used to.

散户投资者最喜欢的资产还是地产。超低的利率减轻了许多有房者的压力。因此，我们的以租金为基础计算的房价指数表明大多数市场的房价还是估价过高（美国是少数的例外之一）。但是在次贷热潮中草率仓促批款的借贷商已缩紧其借贷标准，借贷者需要的首期比以前要高得多了。

That is making it harder for young people to get on to the property ladder, cutting off demand at the bottom of the market. As the baby boomers retire and seek to realise the value tied up in their homes, supply may start to weigh on the market. Again, the boom conditions of the 1980s and 1990s are unwinding.

这使得年轻人更难爬上地产阶梯，也将市场底部的需求切断。随着婴儿潮时期出生的一代[注11]步入退休年龄，开始寻求出售他们的房屋兑现其价值，供应可能会开始压迫市场。这再一次表明二十世纪八九十年代的繁荣条件开始消失。

There is a good reason why no obvious winner emerges from this Cook’s tour of the asset markets. The developed world can grow out of its debt burden, inflate the debt away or fall back into recession, marked by occasional defaults. Each of those outcomes leads to a different portfolio selection.

本文带你走马观花[注12]看了一遍整个资产市场，这里面之所以不会有一个明显的赢家有一个很重要的原因。发达国家可以通过增长经济来摆脱债务，或通货膨胀来萎缩债务，或干脆跌入偶尔对债务违约的经济衰退。这三种可能情况下你应该投资的资产组合也各不相同。

Renewed growth would obviously be best, and would favour equities, but at the moment looks difficult to pull off. An unavoidably hazardous attempt to go down the inflation route would be good for commodities and property but disastrous for government bonds. Those bonds would do best if the developed world slumps into recession after all. Savers will have to pay their money and take their choice.

新一轮的增长很明显是最好的结果，这将会使股票受益，但现在看来要实现的难度很大。企图通货膨胀这条路显然风险很大，这将会推高农矿产品和地产，但对于政府债券来说是灾难性的。而债券会在政府陷入经济衰退时表现最好。储蓄者看来必须掏钱押注，生死由天了。