译者 王为
Kathy A Jones
Key Points
要点
The Federal Reserve suggested it may pause its interest rate hikes and markets rallied—but we’re still cautious.
在美联储暗示将暂停加息后市场出现大涨,但我们仍持谨慎态度
Fed patience should keep bond yields steady while avoiding an inverted yield curve.
联储在加息立场上的暂时止步应能让美国国债收益率暂时持稳,避免国债收益率曲线出现倒挂
Credit risk is still a concern.
但美国企业的信用风险仍让人放心不下
We ended 2018 with a cautious outlook. Our concerns centered on the effect of the Federal Reserve’s policy tightening on the economy and the market’s appetite for risk, at a time when valuations for bonds were high. We suggested a cautious approach to riskier areas of the fixed income markets and moving up in credit quality, a strategy that worked well late last year as low-credit-quality bonds declined sharply in the fourth quarter on concerns about slowing economic growth and trade disputes.
在已成为过去的2018年里我们所做的预测分析均以谨慎作为主线,关注的重点在于联储收紧货币政策给经济带来了何种后果以及在债券估值水平已高的情况下市场的风险偏好如何。我们在2018年里建议对于高风险的固定收益品种应保持警惕,并建议将投资重点确立为高信用评级的债券,该策略在2018年末表现良好,因低信用评级的债券品种在2018年四季度因市场担心美国经济放缓和贸易争端升级而遭受重创。
However, markets have rebounded in early 2019 in response to indications from the Federal Reserve that the central bank would “pause” its interest rate hikes. The shift in tone by the Fed helped spur a steep rally in the riskier areas of the market, including high-yield bonds and bank loans, relative to Treasury bond prices. We expect the revival in risk appetite will continue for a while, but we’re not ready to throw all caution to the wind. We still see plenty of reasons for investors to remain cautious in 2019.
但2019年初以来,债券市场因美联储暗示将暂停加息而出现反弹。联储立场的转变引爆包括高收益债和银行杠杆贷款在内的高风险债券品种的行情大幅飙升,回报表现超过美国国债。我们认为这种风险偏好方面的情绪回转将持续一段时间,但仍不能掉以轻心,我们仍认为有太多的理由足以让美国债市投资者在2019年继续谨慎从事。
联储的暂停加息应能让美国国债收益率水平保持稳定
Despite the shift in the Fed’s tone, our outlook for intermediate- to longer-term rates hasn’t changed. We continue to believe that the peak in 10-year Treasury bond yields for this cycle was passed last fall at 3.25%, and that yields are likely to trade in a range of about 2.5% to 3% in the first half of this year. Because longer-term yields are driven more by prospects for economic growth and inflation than by Fed policy, current 10-year yields near 2.8% appear to be reasonably valued. Inflation expectations have been edging lower over the past few months as last year’s fiscal stimulus wears off and trade conflicts weigh on global growth. Based on a measure of inflation expectations that the Fed monitors—the five-year, five-year forward rate—the market is expecting inflation to remain near 2%, about 80 basis points lower than 10-year Treasury yields. The difference between current yields and expected inflation is near the high end of the five-year average. It would likely take a surprising burst of strong growth or inflation to send yields significantly higher.
尽管联储立场有变,但我们对中期和长期利率走势的预期没有变化。我们仍坚持认为10年期美国国债收益率已经在2018年秋季触及到了本轮周期的最高位,2019年一季度将在2.5-3%之间波动。因为长期限国债收益率更多地是受到对未来经济增长前景以及联储货币政策走向的预期影响,当前约2.8%的10年期美国国债收益率看上去估值比较合理。在过去几个月里,因2018年美国减税带来的刺激效应在消退,同时贸易争端升级也给全球经济成长前景带来下行压力,市场对美国通胀的预期水平在逐步下行。对于联储重点关注的通胀预期指标——从现在开始5年后起息至第10年的远期通胀率预期值,市场在报价中隐含的通胀预期水平仍低于2%,比当前2.8%的10年期美国国债收益率水平低了约80个基点,该差值已接近过去5年均值波动区间的上轨。如果美国经济增速或通胀增速强劲上扬,那么该差值有可能会来个惊天大涨,大幅推高美国国债收益率水平。
5-Year, 5-Year Forward Inflation Expectation Rate——从现在开始5年后起息至第10年的远期通胀率预期值的计算公式为:
(((((1+((DGS10-DFII10)/100))^10)/((1+((DGS5-DFII5)/100))^5))^0.2)-1)*100,
其中,DGS10为10年期普通美国国债的收益率;DFII10为10年期经通胀率调整过的美国国债收益率;DGS5为5年期普通美国国债的收益率;DFII5为5年期经通胀率调整过的美国国债收益率;
所有代码和数据均来自圣路易斯联邦储备银行,https://fred.stlouisfed.org/series/T5YIFR/#0
The market expects average inflation of 1.9% in January 2024, while the current 10-year Treasury yield is 2.8%
市场预期2024年1月美国通胀率的均值为1.9%,而当前10年期美国国债收益率水平为2.8%
Notes: A measure of the average expected inflation over the five-year period that begins five years from the date data are reported. The rates are comprised of generic United States breakeven forward rates: nominal forward 5 years minus U.S. inflation-linked bonds forward 5 years.
Source: Bloomberg 5-Year 5-Year Forward Inflation Expectation Rate (USGG5Y5Y Index) and 10-year Treasury yields (USGG10Y INDEX). Daily data as of 1/17/2019.
Moreover, 10-year Treasury yields also appear in line with market expectations for Fed policy. Historically, 10-year Treasury yields and the federal funds rate have converged at cyclical peaks. Current 10-year yields are already at levels consistent with one to two more rate hikes by the Fed, while market expectations for further rate hikes have fallen to near zero.
此外,10年期美国国债收益率的水平似乎也与市场对美联储货币政策的预期保持一致。在历史上的利率波动周期里,10年期美国国债收益率和联邦基金利率的高点位置通常会出现重合。当前10年期美国国债收益率的水平已经相当于联储再加一两次息,而市场已经预期美联储未来的加息次数为零。
国债收益率曲线看上去不太可能倒挂
A more patient approach to rate hikes by the Fed will likely help avoid an inversion of the yield curve in the first half of 2019. The spread between 3-month Treasury bill yields and 10-year Treasury bond yields has narrowed significantly over the past few years as the Fed has moved short-term interest rates higher. So far, the narrowing is consistent with the normal pattern during cycles of monetary policy tightening. However, there were concerns that if the Fed proceeded to hike rates as rapidly as last year, it could cause short-term rates to move higher than long-term rates. Slowing down or halting rate hikes should ease those concerns.
联储对加息持更加谨慎的态度将可能有助于避免美国国债收益率曲线在2019年上半年出现倒挂。10年期和3个月期美国国债收益率之间的利差因联储提升短期利率的水平而在过去几年里明显收窄。到目前为止,该利差的收窄还属于货币政策变动周期中的正常形态。但也有担心认为,如果联储今年的加息步伐像去年一样快,有可能导致短期利率的水平超过长期利率,而经济增速放缓或停止加息有可能会缓解这些忧虑。
The gap between 3-month and 10-year Treasury yields has narrowed during the past few years
10年期和3个月期美国国债收益率之间的利差在过去几年里出现了明显收窄
Source: Market Matrix US Sell 3 Month & Buy 10 Year Bond Yield Spread (USYC3M10 Index). Daily data as of 1/18/2019.
Note: This spread is a calculated Bloomberg yield spread that replicates selling the current three-month U.S. Treasury Note and buying the current 10-year U.S. Treasury Note, then factoring the differences by 100. A basis point is one one-hundredth of one percent, or 0.01% (100 basis points is equivalent to 1%).
Also, an easier stance by the Fed sends the signal that it is not trying to curb growth or inflation, which should keep longer-term bond yields from falling significantly. In the past, the yield curve has flattened when the Fed was hiking rates, but inversions have been infrequent—and usually associated with a surprising slowdown in economic growth and/or very aggressive tightening by the Fed due to high inflation. Investors worry about yield curve inversions because they result in tight credit conditions and have preceded recessions in the past. By holding off on more rate hikes, the yield curve should stay positively sloped, although still quite flat. Given the shape of the yield curve and our outlook for 10-year Treasury yields to remain in a range, we suggest investors consider adding some duration to portfolios. We suggest aiming for an average duration in the five- to seven-year area. However, as five-year yields are relatively low compared to other maturities, investors could consider a “barbell” approach, splitting the allocation between short-term maturities of one to two years and longer-term maturities of seven to 10 years.
联储的立场软化也在向市场发出这样的信号:联储的目标并不是要遏制经济或通胀的增速,这一表态应能防止长期限美国国债的收益率水平出现大幅下滑。以往在美联储加息的时候美国国债收益率曲线也会出现平坦化,但倒挂的情况并不常见,倒挂通常与经济增速的突然放缓以及联储为对抗高通胀而不得不采取的激进加息行动有关。投资者之所以担心美国国债收益率曲线的倒挂是因为根据以往的经验,倒挂会导致融资状况收紧,紧随而来的将是经济衰退。暂停加息后,美国国债收益率曲线应能保持正常的短低长高形态,尽管曲线仍很平坦。鉴于当前国债收益率曲线的形态以及我们预期10年期美国国债收益率仍将处于区间波动,我们建议投资者应考虑增加债券投资的久期,可将美国国债投资组合的平均久期调整目标设在5-7年之间。但是由于5年期美国国债的收益率水平与其他期限相比相对较低,投资者可以考虑采取“杠铃式”投资,将投资集中于1-2年期的短期限和7-10年期的长期限。
“杠铃式”投资作为一种债券投资策略颇受美籍黎巴嫩裔交易大师Nassim Taleb的推崇,在他的书《The Black Swan黑天鹅》中认为一个债券投资组合中绝大部分的资金,比如85-90%,应投资于风险最低、短久期、收益低的债券品种;剩余部分投资高风险、高回报的债券。看起来很像下图中的杠铃。这样在黑天鹅事件袭来的时候,最多只损失高风险的部分,投资组合中的大部分资金将是安全的。
该理论还认为风险和收益均处于中性的债券看上去很美,但其实是最危险的,因为在黑天鹅事件中这部分投资既无法逃离风险,也无法获得由此产生的极高的获利空间。
The Treasury yield curve is still positively sloped
美国国债收益率曲线仍保持短低长高
Source: Bloomberg. Data as of 1/23/2019.
信用利差风险仍成为隐忧
Our concerns about the riskier segments of the bond market have not abated, despite the rebound in corporate bond and bank loan prices since the Fed’s recent shift to a more lenient policy stance. Easier financial conditions are helpful for companies looking to borrow money, but the fundamental problems of too much debt on corporate balance sheets, a slowing economy and deteriorating lending standards are still intact. Yet valuations aren’t providing a lot of extra yield to compensate for the elevated risks. Credit spreads—the yield difference between corporate bonds and Treasuries of similar maturity—have increased from the lowest levels of 2018, but are only near the longer-term average.
尽管在联储近期的政策立场转向宽松后美国公司债和银行杠杆贷款的行情出现反弹,我们对美国债券市场中高风险品种的担忧程度并未减退。融资条件的放松对想借钱的公司企业来说是个利好,但是企业债务负担过高,经济增速放缓以及借贷条件提高等基本面方面的问题依然严峻。但当前的估值水平并没有对这些升高的风险因素给予足够的补偿,当前的信用利差,即美国公司债和同期限美国国债收益率之间的利差已经自2018年的最低点出现了上升,但只是回到了历史长期均值水平的附近。
Investment-grade credit spreads are increasing with rising risks
投资级公司债的信用利差水平随着风险的提高而上扬
Note: Option-adjusted spreads (OAS) are quoted as a fixed spread, or differential, over U.S. Treasury issues. OAS is a method used in calculating the relative value of a fixed income security containing an embedded option, such as a borrower's option to prepay a loan. An excess return is calculated for each security in the index as the difference between the security’s total return and the total return on Treasuries in the corresponding duration cell. These excess returns are aggregated to the index level.
Source: Bloomberg. Bloomberg Barclays U.S. Corporate Bond Index, Average OAS. Monthly data as of 1/19/2019.
High-yield bond spreads are near the long-term average
高收益债的信用利差水平接近历史长期均值
Note: Option-adjusted spreads (OAS) are quoted as a fixed spread, or differential, over U.S. Treasury issues. OAS is a method used in calculating the relative value of a fixed income security containing an embedded option, such as a borrower's option to prepay a loan. An excess return is calculated for each security in the index as the difference between the security’s total return and the total return on Treasuries in the corresponding duration cell. These excess returns are aggregated to the index level.
Source: Bloomberg. Bloomberg Barclays U.S. Corporate High-Yield Bond Index, Average OAS using monthly data as of 1/19/2019.
For investors who have significant
exposure to credit risk, we would suggest using the rally in these
markets as an opportunity to reassess how much exposure is appropriate.
We would make sure you’re not overly exposed to the higher-risk asset
classes, such as high-yield bonds and bank loans, because they tend to
be sensitive to changes in the economic outlook. Our general guidance is
to stay in the higher-credit-quality tiers of the corporate bond market.
对于存在大量信用债风险敞口的投资者,我们的建议是应充分利用这些品种近期出现上涨的时机重新评估一下持仓情况是否恰当。我们是想确保投资者没有过多地持有高收益债和银行杠杆贷款等高风险资产,因为此类资产往往对经济前景的变化高度敏感。我们的基本投资建议是将投资目标仍放在公司债市场中的高信用评级标的上。
敏感时期如何构建投资组合
Finding the right mix of bonds for a portfolio depends on several factors—your goals, your investing time frame and how much tolerance you have for market volatility. Most investors will want to hold some low-risk fixed income for capital preservation. If you have a shorter time horizon and/or your goal is primarily capital preservation, then you should aim for short-term, relatively low-risk investments such as Treasuries, certificates of deposit (CDs) and short-term bond funds for the majority of your portfolio.
要想为债券投资找到正确的组合方式需要考虑几个因素:投资的目标,投资的期限以及投资者对市场波动的风险承担能力。大多数投资者为确保投资本金的安全想持仓一些低风险的固定收益资产。如果投资期限较短并且投资目标主要是本金保值,那么投资组合中的大部分资金应配置于短期限、相对低风险的品种,如美国国债、银行可转让存单以及专门投资短期债券的基金。
If you have an intermediate (four to 10 years) investment horizon, then you may be willing to take a bit more risk to get more income. Investment-grade corporate, municipal and international bonds might be appropriate to add to core Treasury holdings.
如果投资期限够长,比如4-10年,那么投资者应愿意多承担一些风险以赚取高一些的收益,那么在作为持仓核心的美国国债基础之上配置一些投资级的公司债、市政债和其他发达国家债券的做法应属恰当。
For a more aggressive investor who has a long investing time horizon and a higher tolerance for risk, emerging-market, high-yield bonds, and bank loans usually offer higher yields for the added risk of downgrades or defaults, while interest rate risk can make long-term Treasuries volatile. Meanwhile, preferred securities have elevated credit risk and interest rate risk.
对于投资期限较长、作风更激进、风险承受能力更强的投资者来说,新兴市场债券、高收益债和银行杠杆贷款通常会因其违约或被降级的风险很高而带来高收益,利率风险会让长期限国债的价格更具波动性。与此同时,优先股等资产的信用风险和利率风险也很高。
Source: Schwab Center for Financial Research, as of 1/23/2019.
Diversification is also a factor to take into consideration. While most bonds offer some diversification from stocks, some do not. Historically, long-term Treasuries have provided the most diversification, as their prices will tend to move in the opposite direction of stocks, especially when the stock market falls. However, high-yield bonds and other aggressive income investments provide little benefit because their prices tend to move in the same direction as stocks most of the time, an effect known as “positive correlation.”
还有一个值得考虑的因素是多元化投资。大多数债券能够为股票投资带来一些分散风险的作用,但也有一些债券品种做不到这一点。在历史上,长期限美国国债对冲股票投资风险的作用最明显,因长期限美国国债的价格与股票价格的走势正好相反,尤其是在股市下跌的时候。但是,高收益债和其他激进型固定收益品种几乎起不到分散风险的作用,因为此类资产的价格在大多数情况下往往与股市同涨同跌,这种效应被称为“正相关”。
在下图中,
与标准普尔500指数走势的负相关系数从高到低的是:
彭博巴克莱美国长期国债指数>彭博巴克莱美国市政债指数>彭博巴克莱美国投资级债市综合回报指数
与标准普尔500指数走势的正相关系数从高到低的是:
彭博巴克莱美国高收益债指数>彭博巴克莱美元新兴市场债券指数>
彭博巴克莱美国公司债指数>洲际交易所美国银行美林优先股固定利率回报指数>彭博巴克莱通胀保值美国国债指数
Note: Correlation is a statistical measure of how two investments have historically moved in relation to each other, and ranges from -1 to +1. A correlation of 1 indicates a perfect positive correlation, while a correlation of -1 indicates a perfect negative correlation. A correlation of zero means the assets are not correlated. Correlations shown represent an equal-weighted average of the correlations of each asset class with the S&P 500 during the 5-year period between April 2013 and March 2018. Indexes representing the investment types are: Bloomberg Barclays U.S. Aggregate Bond Index (U.S. Agg), Bloomberg Barclays U.S. Treasury Inflation-Protected Securities Index (TIPS), Bloomberg Barclays Municipal Bond Index (Municipals), Bloomberg Barclays U.S. Corporate Bond Index (IG Corporates), Bloomberg Barclays Emerging Market USD Index (USD EM), ICE BofA Merrill Lynch Fixed Rate Preferred Stock Index (Preferreds), Bloomberg Barclays U.S. Corporate High-Yield Bond Index (High-Yield), and the Bloomberg Barclays U.S. Treasury Long Bond Index (Long Treasuries). Diversification strategies do not ensure a profit and do not protect against losses in declining markets. Source: Bloomberg.
It has been a good start to the year for fixed income investors, but the concerns that drove us to a cautious stance last year remain. We expect slowing economic growth due to the lagged effect of Fed tightening, the waning influence of tax cuts, a slowing global economy and trade conflicts. Slower growth can lead to a decline in credit quality, which could trigger ratings downgrades or defaults. The Fed’s apparent shift toward pausing interest rate hikes is positive, but doesn’t offset these concerns, in our view. We continue to suggest a cautious stance in the fixed income markets.
对于美国固定收益投资者来讲2019年开局不错,但是在2018年促使我们持谨慎态度的市场隐忧如今尚存。我们预期美国经济的增速会因联储前期一系列加息的滞后效应,税改效果消散,全球经济放缓和贸易争端升级等因素而放缓。经济增速放缓会导致公司债的信用质量下降,并导致信用评级下降或出现违约。联储暂停加息这一明显的政策立场转向是个利好因素,但这并没有让以上提到的隐忧消散。我们仍建议2019年对美国固定收益市场投资时应继续保持谨慎。