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| <title>水涨船高看久期</title> | ||
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| <p><a href="https://mp.weixin.qq.com/s?timestamp=1504512284&src=3&ver=1&signature=7pqVgBGLzjb7*PI*8qu3K9mVpE8qgzeSgw*2meFsH9-R4NBvIKb6wLVVwAocadFXEezkF9PljxzOw4KzwgGGbI0CgqQPPBDJNJI5wWR4-hArlyp0jyL00ZIIWli62-JnwzrgMYgivPBnD4wu2mc2mxIAnqhTKfpqkEQyqR2rUQI=">原文</a></p> | ||
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| 水涨船高看久期 </h2> | ||
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| <span id="copyright_logo" class="rich_media_meta meta_original_tag">原创</span> | ||
| <em id="post-date" class="rich_media_meta rich_media_meta_text">2016-09-14</em> | ||
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| <em class="rich_media_meta rich_media_meta_text">贝乐斯</em> | ||
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| <span class="profile_meta_value">独立原创，财经分析。</span> | ||
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| <p><span style="font-size: 16px; line-height: 107%; font-family: 宋体; color: rgb(255, 0, 0);">旧文重发。从7月的低点到现在，美国10年国债大跌，收益率上升了27个基点。未来一段时间，所有长久期资产很可能都会受到影响。这种趋势最终会传导到中国。而房子是典型的超长久期，流动性极差的资产。在这个时点加杠杆持有房地产非常不明智的。</span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体"></span></p><hr><p><span style="font-size:16px;line-height:107%;font-family:宋体"></span><br></p><p><span style="font-size:16px;line-height:107%;font-family:宋体"><br></span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体"><br></span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体">最新一期的</span><span style="font-size:16px;line-height:107%;font-family:宋体">GMO Quarterly Letter值得一看。管理一千多亿美元的GMO坚信价值投资，但同时也运用很多量化的方式分析市场，预测各大类资产的未来长期回报率，帮助进行资产配置。他们的一个核心理念就是长期看，各种资产具有均值回归的特性，而泡沫则是投资中最重要的事，最高的风险，最佳的机会，往往蕴含其中。</span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体"> </span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体">GMO这封信的核心观点在于久期。过去6-7年，无论是股票还是债券，房地产还是PE股权投资，高风险资产还是低风险资产，流动性资产还是无流动性资产，表现的都非常好。他们之间的区别并不大。但是，最大的区别在于不同的久期。由于全球宽松，折现率一路下降，长久期的资产表现远远好过短久期的资产。因此，投资者在资产配置上也加大了长久期资产的配置，减少了短久期资产。但是，这种水涨船高的情况让长久期资产享受了太多超出历史均值的升值，未来很可能会均值回归，表现不佳。相反，未来短久期的“另类资产”很可能表现均值回归，超过长久期的资产。</span></p><p><br></p><p><img data-s="300,640" data-type="png" src="http://mmbiz.qpic.cn/mmbiz/lFxCGEXl0HQThrZ6iaFCm0Ng7yAYia2eiaZZqHsnVAiaz0MuWge0zZctKicesC7Bg9QRVvicAeEJvYHicRBydAMIdKytg/0?wx_fmt=png" data-ratio="0.6832797427652733" data-w="1244"><br></p><p><br></p><p><span style="font-size:16px;line-height:107%;font-family:宋体">折现率下降对于长久期资产的价格提高具有极高的作用。举个例子，一个零票息的债券，不支付利息，只是在</span><span style="font-size:16px;line-height:107%;font-family:宋体">10年后一次性支付一百万美元的总额。这种债券的未来现金流是确定的，就是10年后支付一百万美元。如果是1.625%的收益率，则这个债券折现后的现值应该是$851,127美元。但是，如果收益率降到0.625%，则这个债券折现后的现值就是$939,596。这样一来，未来十年的收益，通过降低折现率，一下子就透支到了现在，实现了本来10年才能实现的收益的一半。而这个债券的现金流并没有任何变化，还是10年后支付一百万美元，所不同的是宽松的环境下，折现率降低，提前透支了长久期资产的价值。这种水涨船高，实际上是央行主导下的寅吃卯粮游戏。</span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体"> </span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体">无论是长期债券、股票、房地产，还是需要长久期的</span><span style="font-size:16px;line-height:107%;font-family:宋体">PE股权投资，都受益于这种提前透支的游戏，水涨船高。但是那些短久期的资产，如现金、短期债券、对冲基金等则无法从折现率的下降中获得好处。</span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体"> </span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体">未来，如果经济回升，长久期资产未来的现金流提高，但是折现率如果上升则作用非常大，会抵消现金流改善对估值的提升，反而降低长久期资产的估值。而如果未来再次发生危机，但折现率已经低的不能再低了，恶化的未来现金流同样会降低长久期资产的估值。如果两者叠加，经济恶化但折现率上升，则长久期资产会受到现金流和折现率的双杀。因此，风水轮流转，无论如何，未来短久期资产的表现很可能在不同情况下都优于长久期资产。</span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体"> </span></p><p><span style="font-size:16px;line-height:107%;font-family:宋体">在现在这个时点，并不是一个加大风险资产配置，加大长久期资产配置的时候，尤其当你的长久期资产是用借债的方式获取的。资产的价格在未来可能是不确定的，而唯一确定的就是你的负债。</span></p> | ||
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| 2016-09-14 1000000020 水涨船高看久期 贝乐斯 https://mp.weixin.qq.com/s?timestamp=1504512284&src=3&ver=1&signature=7pqVgBGLzjb7*PI*8qu3K9mVpE8qgzeSgw*2meFsH9-R4NBvIKb6wLVVwAocadFXEezkF9PljxzOw4KzwgGGbI0CgqQPPBDJNJI5wWR4-hArlyp0jyL00ZIIWli62-JnwzrgMYgivPBnD4wu2mc2mxIAnqhTKfpqkEQyqR2rUQI= |
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