主题：我觉得很好的一篇分析 -- aokrayd
家园 我觉得很好的一篇分析 http://www.hussmanfunds.com/wmc/wmc090223.htm
讨论价值投资的人很多，但实际上大多不过是投机或赌博而已。看过GRAHAM的书的人应该记得他在前几章里谈的什么吧。
央行可以印钞票，但不能解决制度所带来的经济问题，也就解决不了企业的长期收益问题。
家园 【整理】Things I believe http://hussmanfunds.com/wmc/wmc101220.htm
我觉得很有意思，有兴趣和耐心的朋友可以读一读。
John P. Hussman, Ph.D.
All rights reserved and actively enforced.
Reprint Policy
1) Investors dangerously underestimate the risk of an abrupt and possibly severe equity market plunge
Look back over history at points in time where stocks were trading at a rich multiple to normalized earnings (the Shiller multiple is a useful gauge here, as forward operating and price/peak earnings are both corrupted by profit margins that are about 50% above their historic norms). Combine that with overbought, overbullish conditions and rising interest rates. What you will get is a list of most historical pre-crash peaks. Depending on precisely how you define your classifier, you may pick up one or two benign outcomes, such as April 1999 (which I noted in the Hazardous Ovoboby piece in early 2007), but ask whether, on average, you would have knowingly chosen to take market risk at those points.
2) Agreement among "experts" is not your friend
“Tarnished! Nobody expects gold prices to turn up soon: It's difficult to find any positive news in the depressed gold market. At around $260 an ounce, the metal continues to trade near its cost of production, and almost no one believes it will rally soon. ‘Financing is tough to come by these days' in the unpopular gold-mining sector, says Ferdi Dippenaar, Harmony's director of marketing. ‘Unfortunately, there is nothing positive on the horizon.'”
Barron's Magazine, Commodities Corner: February 12, 2001
"Not a Bear Among Them"
Barron's Investment Roundtable, December 1972 (at the beginning of a 50% market plunge - No intent to pick on Barron's - they've just been around the longest, so we have lots of back-issues)
"Wall Street Heavyweights Agree: Time to Get Back Into Stocks!"
USA Today Investment Roundtable, December 2010
3) Downside risk tends to be elevated precisely when risk premiums and volatility indices reflect the most complacency
I could go on, but nobody cares.
4) We did not avoid a second Great Depression because we bailed out financial institutions. Rather, the collapse in the economy and the surge in unemployment were the direct result of a gaping hole in the U.S. regulatory structure that prevented the rapid restructuring of insolvent non-bank financials. Policy makers then inappropriately extended the "too big to fail" doctrine to ordinary banks. Following a striking loss of public confidence that resulted from arbitrary policy responses, coupled with fear-mongering by exactly those who stood to benefit from public handouts, the self-fulfilling crisis was contained by a change in accounting rules that effectively disabled capital requirements for all financial companies. We are now left with a Ponzi scheme.
While it's clear that the four-second tape in Ben Bernanke's head is an endless loop saying "We let the banks fail in the Great Depression, and look what happened," any disruption caused by the "failure" of a financial institution is not due to financial losses to bondholders, but is instead due to the necessity of liquidating the assets in a disorganized, piecemeal way, as was the case with Lehman Brothers. Large, sometimes major banks fail every year without a material effect on the economy. The key is to have regulations that allow these failures to occur with the minimal amount of disruptive liquidation.
It is important to recognize that nearly every financial institution has enough debt to its own bondholders on the balance sheet to absorb all of its losses without any damage to depositors or customers. These bondholders lend at a spread, and they knowingly take a risk.
Bank regulations intelligently allow the FDIC to cut away the "operating" portion of a financial institution from the obligations to its bondholders and stockholders. Consider a bank with $100 billion of assets, against which it owes $60 billion of customer deposits, $30 billion of debt to its own bondholders, and $10 billion in shareholder equity. Now suppose those assets decline in value to just $80 billion, creating an insolvent institution ($80 billion in assets, $60 billion in deposit liabilities, $30 billion in debt to bondholders, and -$10 billion in equity). The "operating portion" is the $80 billion in assets, along with the $60 billion of customer deposits, which can be sold as a "whole bank" transaction for $20 billion to another institution. The stockholders are wiped out, while the bondholders get the $20 billion residual and take a loss on the rest. Depositors and customers now get statements with a different logo at the top. The seamless "failure" of Washington Mutual is a good example of this in action.
The problem with Bear Stearns and Lehman was that no equivalent set of regulations was in place to allow "cutting away" the operating portion of a non-bank institution. Instead, the Fed illegally expanded the definition of the word "discount" in Section 13(3) of the Federal Reserve Act and created a shell company to buy $30 billion of Bear Stearns' questionable long-term assets without recourse. The remaining entity was sold to JP Morgan, where Bear Stearns bondholders still stand to get 100 cents on the dollar plus interest. Lehman was allowed to "fail," but because there was still no set of regulations that allowed cutting away the operating entity, it had to be liquidated piecemeal.
Importantly, and even urgently, it was not this "failure" that produced the economic downturn. If you carefully observe what happened in 2008, the large-scale collapse of the financial markets and the U.S. economy started literally sixty seconds after TARP was passed by Congress on October 3, 2008. At that moment, the world was told not that the smooth operation of the global financial system would be ensured by taking receivership of failing financial institutions; not that the focus of policy would be the protection of depositors, customers, and U.S. fiscal stability; but instead that insolvent private balance sheets would now be defended, subject to the arbitrary decisions of policy makers in which nobody had confidence. Lehman's failure simply told investors that these decisions could be completely arbitrary, since there was really no operative distinction between Bear Stearns, which was saved, and Lehman, which was not. Moreover, in order to pass TARP, the public had to be convinced that a global meltdown would result if financial institutions weren't preserved in their existing form. In this way, policy makers created a crisis of confidence.
Skip forward and carefully observe what happened in 2009, and you'll see that the crisis was suspended once the FASB threw out rules requiring financial companies to report their assets at market value, while at the same time, the Federal Reserve illegally broadened the definition of "government agency" in Section 14(b) of the Federal Reserve Act in order to purchase $1.5 trillion of Fannie Mae and Freddie Mac obligations. These actions replaced the arbitrary discretion of policy makers with confidence that no major institution would be at risk of failing because, in effect, meaningful capital standards would no longer apply.
Thus, our policy makers first created a crisis of confidence, and then resolved it by legalizing a global Ponzi scheme.
As David Einhorn at Greenlight Capital has noted, "We learned the wrong lesson." We should have learned that existing capital standards were insufficient and that there was a large, gaping hole in our regulatory structure that failed to provide "resolution authority" for non-bank financial companies. Instead, we've learned the dangerously misguided notion that some institutions are simply too big to fail. This inevitably creates a situation where reckless misallocation of capital continues to be subsidized at increasing public cost, while bondholders go unscathed and insiders take bonuses with the same alacrity as Bernie Madoff's early investors.
In short, the downturn in the real economy occurred because regulators refused to take receivership of insolvent institutions, while pushing a story line that the entire global economy would crumble if bondholders had to take losses. This created a fear among depositors and consumers that the entire system was arbitrary and unstable, fueled periodic runs on various financial institutions, tightened the availability of credit to companies having nothing to do with real estate, and created a self-fulfilling prophecy of global economic weakness. Had our policy makers said "depositors and customers will be protected, we will immediately exercise resolution authority over insolvent institutions, and bondholders will not be spared" we could have simply had a "writeoff recession" in paper assets, rather than an implosion of the real economy and an explosion in public debt.
The facts simply do not support the idea that taking receivership of insolvent financials leads to economic distress. Rather, it properly rests losses on the bondholders, and preserves the operation of the financial system by bolstering its solvency. One might argue that we could not possibly let bondholders take the trillions of dollars of losses that would have been required in order to restructure debt and get the bad obligations off the books. This is absurd. A 20% stock market decline wipes out about $3 trillion in market value. Indeed, given the size and average maturity of the U.S. bond market, just the increase in interest rates that we've observed over the past 6 weeks has knocked off trillions in market value.
The financial markets are perfectly capable of taking losses. They don't do well with disorganized piecemeal liquidation - where perfectly good loans are called in and countless positions have to be unwound - but that isn't required if your regulatory structure allows receivership/conservatorship that can cut away and gradually transfer the operating portion of an institution. What the global economy is not capable of taking is the uncertainty that results when policy makers apply arbitrary rules, leaving all other decision makers in the economy frozen at the edge of their seats to discover what the results of those arbitrary decisions will be. We have learned the wrong lesson, and we continue to pay for it.
5) The U.S. economy is recovering, but that recovery is vulnerable to even modest shocks.
As I noted a couple of weeks ago, in the ideal case where the economy grows continuously without further credit strains, the "mean-reversion benchmark" scenario would be for GDP growth to approach an average rate of 3.8% annually for about 4 years, followed by about 2.3% annual growth thereafter. The corresponding mean-reversion benchmark for employment growth would be an average of about 200,000 new jobs per month on a sustained basis.
There has certainly been some improvement in various indicators of economic activity. As strange as this may sound, given my criticism of the Fed, I would attribute much of this improvement to a sentiment effect in response Fed's policy of quantitative easing. While long-term Treasury yields are significantly higher than before QE2 was announced, and though I continue to believe that the main effect of QE2 has been to encourage ultimately short-sighted speculation, the Emperor's-clothes enthusiasm about QE2 has had at least the short-term effect of buoying short-term spending and hiring plans. Unfortunately, this sort of sentiment-dependent bounce in activity is not very robust to shocks.
So while the surface activity of the U.S. economy has observably improved, it is in the context of an overvalued, overbought, overbullish, rising-yields market that is vulnerable to abrupt losses, a global financial system that remains subject to strains from sovereign default, a housing market where one-in-seven mortgages is delinquent or in foreclosure, and nearly one-in-four is already underwater with a huge overhang of unliquidated foreclosure inventory still in the pipeline, and a domestic financial system that lacks transparency and may still be slouching toward insolvency. The U.S. economy is progressing on the surface, but it remains a house built on a ledge of ice.
6) The U.S. fiscal position is far worse than our present $1.3 trillion deficit and nearly 100% debt/GDP ratio would suggest.
On the deficit side, there is certainly a "counter-cyclical" pattern to the U.S. federal deficit. As I noted a few weeks ago, every 1% shortfall of real GDP from potential (as estimated by the CBO) tends to be associated with a roughly 0.67% increase in the deficit as a percentage of potential GDP. So it is certainly true that part of the existing deficit reflects normal "automatic stabilizers." Unfortunately, this only explains about half the present deficit. Moreover, in order to adequately evaluate the existing deficit, it is essential to recognize that this figure reflects interest costs that are dramatically less than we can expect as a long-term norm. Consider the chart below. The blue line represents interest on the gross Federal debt at the average of prevailing 10-year Treasury yields and 3-month Treasury yields. Presently, this figure is comfortably low, thanks to the depressed level of interest rates. In contrast, the red line shows what the interest service would be at a 5.2% interest rate, which is the post-war norm.
Even if we restrict the analysis to publicly-held debt, the interest service at a 5.2% rate would still easily approach $500 billion annually. Investors and policy-makers risk an unpleasant surprise if they do not factor the unusually low level of interest rates into their evaluation of present fiscal conditions.
7) A long period of generally rising interest rates will not negate the ability of flexible investment strategies to achieve returns, provided that the increase in rates is not diagonal, and the strategy has the ability to vary its exposure to interest rate risk.
One of the most frequent questions received by shareholder services is what investors should expect if the "great bond bull" is now over. From my perspective, the answer is straightforward - we can't squeeze water from a stone if interest rates advance diagonally and persistently, but they rarely do. Provided that we observe natural cyclical fluctuation in yields, I expect that we'll have sufficient opportunities to vary our exposure in the event that yields advance over time.
Without detailing our own investment approach, which classifies Market Climates based on the level and pressure on bond yields, even a very simple model will suffice to demonstrate the point. Below, I've charted the total return of buy-and-hold strategy using 10-year Treasury debt, compared with the total return from a variant of a simple switching method described by Mark Boucher. The model is long when the 10-year Treasury yield is below its 10-week average and either the Dow Utility average is above its 10-week average or the 3-month Treasury yield is below its 50-week average.
The chart shows the period from 1963 to 1983 which captures the steepest interest rate increase in U.S. history. It isn't a performance claim, and the model is overly simplistic to follow in practice - it's too binary (i.e. either in or out) and trades too frequently to be effective as a stand-alone strategy. Still, the signal itself is clearly a useful indicator. Again, the basic point is that as long as yields don't rise in a perpetual diagonal line, strategies with the flexibility to vary interest rate exposure can perform admirably over time.
家园 他想的是几年以后的事情, 华尔街想的是几个月以后的事情 时间尺度不一样.
家园 【整理】Things I believe II 8) Stocks are a poor inflation hedge until high and persistent inflation becomes fully priced into investor expectations. At the same time, short-dated money market debt has historically been a very effective inflation hedge.
Investors sometimes make the mistake of believing that since nominal earnings can be expected to grow during periods of inflation, stocks should be a good inflation hedge. Straightforward reasoning, but unfortunately, it's not true. Sustained periods of inflation are disruptive, so even during the period between 1960 and 1980, S&P 500 nominal earnings still did not accelerate from their normal 6% peak-to-peak long-term growth rate. Moreover, stocks only behave as a good inflation hedge after high inflation is already fully anticipated. During the transition from low inflation to high inflation, stock prices have historically provided awful returns.
In contrast, short-term Treasury securities have historically been quite good inflation hedges. This is because short-term interest rates quickly adjust to reflect prevailing inflation rates, so unless you get a period of persistently negative real interest rates, the strategy of staying relatively liquid in interest-bearing securities has been fairly effective. It is certainly true that non-interest bearing cash is ineffective in preserving real purchasing power during a period of inflation, but the same is not true for short-dated money market securities.
9) It will be harder to inflate our way out of the Federal debt than investors seem to believe.
This is a corollary to 8). A significant portion of the U.S. Treasury debt is represented by short-duration paper, which makes the U.S. far more sensitive to rollover risk, and also makes the value of the debt less sensitive to inflation. See, if you borrow funds for 30 years, you can turn around and create a massive inflation to diminish the real value of that debt. But if you've borrowed funds for a year and then create a massive inflation, you'll find that investors will require a higher interest rate on the debt next year, which prevents the obligation from being diminished over time. This is good for the investors, but bad for the Federal government.
10) It will be harder to grow our way out of the Federal debt than investors seem to believe
This is simple algebra. A reduction in the ratio of debt to GDP - even assuming a balanced budget - requires the growth rate of nominal GDP to exceed the interest rate on the debt. Equivalently, real GDP growth has to exceed the real interest rate on the debt. Historically, 10-year Treasury yields have exceeded inflation in the GDP deflator by about 2.6% annually, while 3-month Treasury yields have averaged about 1.2% over inflation in the GDP deflator. The CBO estimates the probable growth of potential GDP to be about 2.3% over the coming 20 years. At best, and even assuming immediate budget balance, this economic growth would bring down the ratio of debt to GDP by no more than 1% annually.
11) Based on a variety of valuation methods that have a strong historical correlation with subsequent long-term market returns, we estimate that the S&P 500 is presently priced to achieve a total return averaging just 3.6% annually over the coming decade.
We would have a different expectation if other competing methods (such as the Fed model) had a better record of accuracy, but we do not observe this. The decade of negative returns following the market peak in 2000 was entirely predictable. Presently, we have a market that is priced to achieve the weakest 10-year return of any period prior to the late 1990's market bubble. Still, stocks were more overvalued at the 2007 peak than they are today, and were certainly more overvalued in 2000. Both of those peaks were followed by declines that cut prices in half. The current overvalued, overbought, overbullish, rising yields combination compounds the headwinds for the market here, but nothing is certain, and we can't rule out further speculation on hopes of ever larger government distortions.
Despite these valuations, we are willing to adopt moderate, periodic exposure to market fluctuations at points that we clear overbought and overbullish conditions, provided that market internals do not clearly break down in the process. We may see this opportunity in a few weeks, or a few months, but we do not observe it here. For now, we remain tightly defensive.
12) The specific features of a given economic cycle don't change the mathematics of long-term returns - they simply affect the level of valuation that investors demand or are willing to temporarily tolerate.
At the 2000 bubble peak, and again at the 2007 peak, and again today, we received notes asking whether factors such as the internet, or the emergence of China, or the level of interest rates, or Fed intervention somehow had created a world that was "different this time" in a way that made historical analysis inapplicable. From my perspective, the answer in each case is "no."
It's certainly true that the enthusiasm about the internet and other new technologies, coupled with years of uninterrupted, low-volatility economic growth, encouraged investors to tolerate far higher valuations in 2000 than history had ever witnessed. Yet this still did not change the longer-term algebra, which indicated correctly that stocks were likely to produce negative returns over the following decade. Likewise, the emergence of China as a major economic power did not prevent the market from losing well over half of its value from 2007 to 2009.
Indeed, even in early 2009, the valuation mathematics briefly suggested that stocks were priced to achieve 10-year total returns averaging just over 10%. My concern at that time was not that stocks were overvalued. Rather, history indicated that following periods of major credit strains in the U.S. and internationally, investors had typically demanded far greater prospective returns as compensation for the risk. On that assessment, I was clearly wrong, as the actions of the FASB, Fed and Treasury encouraged a quick resumption of speculation. Still, none of this threw the mathematics of long-term returns out the window. It simply compressed a good portion of those prospective 10-year returns into a 2-year window, so that we would estimate the probable total returns for the S&P 500 over the coming 8 years at roughly 3% annually.
In short, it's not impossible that specific features of the current market could make investors more tolerant of rich valuations, or more careful to demand conservative ones. Regardless, my impression is that a decade from today, investors will view the present time as a relatively undesirable moment to put investment capital at risk.
Market Climate
As of last week, the Market Climate for stocks was characterized by an overvalued, overbought, overbullish, rising-yields syndrome that has rarely been resolved well. The Strategic Growth Fund and Strategic International Equity Fund are both fully hedged, with a "staggered strike" hedge in Strategic Growth that brings the put option strikes closer to "at-the-money" levels, representing additional time premium of about 1% of net assets. In bonds, the Market Climate was characterized by neutral yield levels and unfavorable yield pressures, and on the slight deterioration in the Market Climate, we used a bit of price strength to clip our duration back under 2 years, and liquidated the majority of our utility positions. The Strategic Total Return Fund presently has a fraction of 1% of assets in utility shares, about 1% in precious metals shares, and about 1% in foreign currencies. Suffice it to say, we do not view risk as appropriately priced in stocks, bonds, or even precious metals at present.
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A final thought is a bit more personal, but is hopefully appropriate - I believe that God doesn't take sides among his children, and that if he wishes anything for them, it is for them to work toward peace with each other. Wishing you a Merry Christmas, hoping you had a bright Hanukkah, and whatever way you feel connected to something larger in the universe, wishing you peace. Have a wonderful holiday. - John
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Prospectuses for the Hussman Strategic Growth Fund and the Hussman Strategic Total Return Fund, as well as Fund reports and other information, are available by clicking "The Funds" menu button from any page of this website.
家园 he is always bearish for last 3-4 years completely, actually.
He bottom fished at 2008 Oct, then were underwater completely for half of year. After broken even in 2009 rally, he went short too soon, and became underwater again till now..
he is definitely a genius, and I really believe he is one of the few who understand how serious the problem is. However, he under-estimated how powerful the uncle Sam can become right now.
家园 Totally agree... The government manipulation is making the market very unpredictable. But I'm afraid from long term, he will be proved right again.
One thing is particularly interesting though is recently the letter on Fed legal issue of QE. I expect this likely is going to draw more and more attention, especially if negative impact of Fed policy begin to raise its head. I suspect after this financial crisis, we'll see a worldwide confidence shaking on center banks, just like 1931.
His weekly letter is a must read for me.
家园 新一轮的金融危机在蕴量中吗？ 大家看看这篇BLOG：
http://www.nakedcapitalism.com/2010/10/foreclosure-crisis-finally-hitting-banks-where-it-hurts-their-stock-prices.html
家园 这个问题不大 内部人应该早就知道了，问题要是大，联储的危机应急机制就会启动
- 复 这个问题不大
家园 您太乐观了，MORTGAGE CRISIS 内部人不知道吗？FED 不知道吗？但是还是一样暴发了。
相信政府和央行能解决经济危机我觉得是目前最常见的一个危险的想法。
BOA以经重新开始FORECLOSURE。事实上我认为如果此事如此轻易地解决，反而只能说明美国的政治体制以经到了一个极危险的地步。
家园 能过的了今天，就今天，明天有问题明天再说 联储的做法基本上就是这样，华尔街也是这样。反正都是赌，赌对了当然好，就算赌错了，以后的人自己想办法。
家园 从08年到现在 各国始终没有试图去解决产生危机的真正源头。国际和国内的供需失衡。
大家都在试图用印钞票的方法来回避艰难的税收与债务问题。所以经济危机只会进一步加剧，金融危机随时会再爆发，这是我的基本看法。
经济规律是无情的，赌是不可能解决问题的。至多延迟一下而已，但每一次延迟，恐怕只是使问题变得更严重。
- 复 从08年到现在
家园 的确是这样，而且可能从根本上也没法改变了 曾经看到一个comments，说，看看中国的领导人，都是engineer 出身，再来看看我们的总统，律师出身，就可以明白为什么美国会这样，中国会这样了。记不得是关于什么方面的内容了。
还看到一些说法，美国最赚钱的人，都集中在华尔街，而原来的美国梦，越来越远。最好学校的MBA也都大部分集中在华尔街，还怎么指望工业制造等等。接下去，在美国的职业大概都是在金融和服务行业了。
家园 我写的？ http://www.tianya.cn/publicforum/content/develop/1/464969.shtml
那孩子现在被我说服了。
家园 要变了哦 下一届可都是学法的哦，还北大清华呢
家园 这是一种非常流行的观点 但是我个人深不以为然。产能错置与过剩和金融资本的错置是同样的严重的。比如说二十世纪初期资本主义国家的经济危机，都是过剩产能造成的。它们的破坏性较之于今天一点也不为小。而且事实上这两者始终是相互关联的。
更进一步说，当今的产业竞争主要就是在制造业与金融业上。尤其是在产能过剩的情况下，金融业的竞争就更为重要。日本德国都是产业大国，但他们在于美国的竞争上并不占上风，这与他们金融业的疲软有很大关系。因为出口导向性的国家，都在以金融业补贴制造业。金融业始终没有一个质的提高。中国的情况更是如此。
现在中国的情况其实一点也不乐观。今年的PPI我注意到的几乎与信贷完全同步，这就说明国内没有有机的需求。产能严重依赖于信贷。而且出口依赖一点也没有降低。美国的消费其实还没有真正开始收缩。QE1和FISCA STIMULUS起了很大的作用。但QE2不能起到QE1在实质上FISCAL的作用。所以美国的收缩可能很快会真正开始。到时我们才能真正看到中国的经济是否健康。我很担心大幅度地收缩只怕是难以避免的。