投資股市最要當心這四個字

自從上次美國總統大選以來，美股總體表現出了強勁的增長勢頭。借助這股不可阻擋的復蘇之力，早早下手的投資者也確實賺了不少錢。但是還有一股不可阻擋之力也是投資者必須考慮的，它比近來美股的這輪漲勢更加可靠。從歷史趨勢來看，這股力量才是真正的不可阻擋，那就是四個字——“均值回歸”。

美國各大銀行的投資經理和證券策略師近來都在不遺余力地兜售證券。雖然這些證券的估值都不可謂不高，但他們都拿出了類似的數據斷言股票還是值得買的。他們的理由聽起來也相當充分——首先，目前上市公司的利潤增長得很快；其次，美國當下的稅改很可能助推股價達到新高；再次，特朗普欽定的這位美聯儲主席很可能會保持低利率；最后，新一波的解綁政策很可能釋放被壓抑已久的資本投資，和上市公司高管內心的狼性。

不過如果考慮到均值回歸的因素，你會發現，華爾街對股市的看法則很像一個哈哈鏡，硬是將一個瘦小的孩子拉成了一個NBA中鋒的模樣。

為了幫助大家了解什么是均值回歸，你可以把標普500想象成一支大股票。如果與投資者從股票中獲得的收益（比如紅利或再投資收益）相比，這支股票的價格已經被拉得極高，那么它的價格最終會被收益拉回到它的長期均值，就像被萬有引力控制著一樣。

現在就讓我們來看看，如果股價與收益之比（也就是所謂的市盈率）上漲到不尋常的高位時會發生什么——這也正是當前投資者所面臨的局面。

衡量當前大盤估值最好的工具，是耶魯大學經濟學家羅伯特·席勒提出的“周期性調整市盈率”，簡稱CAPE。CAPE用為期10年的通脹調整后利潤均值抹平了收益的震蕩波動。這樣做的原因也很簡單，當收益快速上升時，未調整的市盈率就會顯得低得不自然——有點像今天的情況。而在收益快速下降時，比如2009年，證券價格就會顯得貴得不自然。而CAPE的應用則消除了這些畸變。

從1888年到1990年近一百年的時間里，標普500的CAPE均值大約是16上下。在20世紀最近的二十多年里，這個均值上升到了19左右。從20世紀60年代起至今，CAPE曾經有四個時期上升到極端值。研究一下CAPE遠遠偏離均值后發生了什么，對于指導當下的投資顯然是有裨益的。

CAPE第一次飆升是1962年7月到1965年11月，在這段時期，CAPE從17上漲到了24。到70年代末，它又回落到了16的長期均值。第二次飆升是從1992年開始的，1992年初的CAPE還是19左右，還沒有偏離那幾十年的歷史均值。而到了1999年7月，CAPE已經上漲到了它的史上最高點——44。物極必反，到了2003年2月，CAPE已經下跌了一半以上，回落到了21。

緊接著1999年至2003年的那次大回落，CAPE的第三次飆升又開始了，到2007年8月，CAPE已經上漲到28左右。這一次，均值回歸又發揮了“看不見的手”的作用。到2010年末，CAPE已經滑落到20左右，此時的美國正在經濟危機中艱難復蘇。CAPE的第四次偏離均值就是現在了。從2010年末開始，CAPE再次出現飆升，在今年10月已達31.2，為近16年來的最高值。

回顧歷史，我們發現了一個基本規律：CAPE從來沒有哪一個時期穩定地保持在31以上過。歷史上它只有兩次超過了31這個值，第一次緊跟著1929年歷史性的“大蕭條”；第二次則是1997年至2001年持續四年的“.com”科技泡沫大崩盤。顯而易見，CAPE的每次飆升，隨后都會發生令財富大幅縮水的股災。

所以目前的風險是不言而喻的：如果標普500的CAPE回歸到20左右（這個值還略高于近幾十年的歷史均值），那就意味著股價需要暴跌36%左右。我并不是說這種程度的股災已經迫在眉睫了，也不是說它一定會發生。此文只是提醒廣大投資者，雖然近來股市的勢頭傾向于牛市一邊，而歷史卻正指向熊市。（財富中文網）

譯者：賈政景

The stock market has shown extraordinary momentum since the presidential election, and investors who placed bets on that irresistible force have garnered big gains. But folks should think hard about another force that’s a lot more reliable than momentum. According to history, it’s the real irresistible force, and it consists of four words: Reversion to the Mean.

The portfolio managers and equity strategists at America’s big banks are selling equities hard. Despite what look like super-rich valuations, they keep parading familiar bullet points to assert that stocks are still a bargain. They note that profits are growing fast and that sweeping tax reform could send them soaring to fresh heights, that President Trump’s pick for Federal Reserve chairman is likely to hold interest rates low, and that a new wave of deregulation is unshackling pent-up capital investing and unleashing animal spirits in corporate c-suites.

But when you consider reversion to the mean, Wall Street’s slant on the stock market seems as exaggerated as a funhouse mirror that elongates a scrawny kid to the height of an NBA center.

To best understand reversion, think of the S&P 500 as one big share of stock. The concept states that when the price of that share becomes extremely elevated compared with the earnings investors gain from that share, either in the form of dividends or reinvested earnings, the price relative to those earnings returns to the long-term average, as if governed by a gravitational force.

So let’s examine what happens to that ratio of price to earnings, or the market PE, after it rises to unusually high levels—precisely the scenario investors face today.

The best measure for current stock valuations is the CAPE, or cyclically adjusted price-to-earnings ratio, developed by Yale economist Robert Shiller. The CAPE smooths out volatile fluctuations in earnings by using a 10-year average of inflation-adjusted profits as the current reading. The reason is basic: When earnings spike, non-adjusted PEs look artificially low—the likely picture today—and when they dive as in 2009, equities look falsely expensive. The CAPE removes those distortions.

The CAPE for the S&P 500 averaged around 16 from 1888 to 1990, and a much higher 19 over the last quarter century. A graph of the CAPE since the late 1960s displays four periods when the measure rose to extremes. And it’s instructive to see what happened after the measure soared far above those benchmarks.

The first plateau: From July 1962 to November 1965, the CAPE rose sharply, from 17 to 24. By late 1970, it had fallen to its long-term average of 16. The second example: In early 1992, the CAPE stood at around 19, once again, near its normal level in recent decades. By July 1999, it had jumped to its highest point ever, 44. Then the customary fear of heights prevailed, and by February 2003, the CAPE had dropped by half to 21.

The third case: After the big fall from mid-1999 to early 2003, the CAPE rebounded to almost 28 in May 2007. Once again, gravity took hold, and it slipped to 20 in late 2010 as America emerged from the financial crisis. The fourth example applies today: Since late 2010, the CAPE has done a hockey stick, hitting a sixteen-year record of 31.2 in October.

The review of past spikes makes a basic point: The CAPE has never, ever stayed at 31 for a sustained period. It’s only exceeded that level twice, first briefly prior to the historic crash of 1929, and second, during a relatively long, four-year stretch during the tech bubble from mid-1997 to mid-2001. And as goes almost without saying, each past spike was followed by a wealth-zapping crash.

Here’s the danger: If the S&P 500 were to revert to a CAPE of 20, just above its average in recent decades, stock prices would need to fall by 36%. This isn’t a prediction that such a collapse is imminent, or will happen at all. It’s simply a reminder that while momentum is on the market’s side, history is not.