经济学人官方译文 | 尝试把握市场时机有其风险

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Buttonwood
梧桐
Sooner or later?
不是太早,就是太迟?
The perils of trying to time the market
尝试把握市场时机有其风险

Jesse livermore earned his reputation as a talented speculator by pocketing a tidy sum during the Panic of 1907. Mindful that a scarcity of credit and a giddy stockmarket were a dangerous mix, he began to sell stocks short that autumn. When share prices crashed on October 24th, Livermore was up by $1m ($27m in today’s money). He then changed course. He started to buy stocks, which were now a lot cheaper. The market rallied. By the end of the year Livermore had made $3m.
杰西·利弗莫尔(Jesse Livermore)在1907年大恐慌期间大赚一笔,由此赢得了投机天才的名声。当时利弗莫尔注意到,信贷短缺加之股市狂热正在酝酿危险,于是开始在那年秋天做空股票。10月24日股价暴跌,利弗莫尔赚了100万美元(相当于今天的2700万美元)。之后他改变策略,转而买进当时价格已大幅下跌的股票。股市回升。到年底,他赚到了300万美元。

Anyone who has ever invested in stocks has at one time fancied that they can time the market as exquisitely as Livermore did. Very often, they hope that a benchmark of fair value, such as the cyclically-adjusted price-earnings ratio, or CAPE, will be their guide. History shows that when stock prices rise a lot faster than profits—as they did in the 1920s, 1960s and 1990s—they tend subsequently to fall back (see chart). So the market-timer will sell when the CAPE is high and buy them back when it is low.
每个投资过股票的人都幻想过自己也能像利弗莫尔那样精准把握市场时机。很多时候,他们希望像周期调整市盈率(CAPE)这样的公允价值基准可以作为自己的行动指南。历史表明,当股价涨幅远大于利润增幅时(如上世纪20年代、60年代和90年代),随后往往会回落(见图表)。因此,择机入市者会在CAPE值处于高位时卖出,低位时买入。

经济学人官方译文节选 | 尝试把握市场时机有其风险

It seems simple. In practice, it is surprisingly hard to use valuation gauges to time the market. Investors who try often sell far too early. As a consequence, they miss out on some of the richest returns. Selling stocks when everyone is still buying may actually be the easy bit. It is harder to find the nerve to buy stocks when others are selling them in a panic.
这看似简单。但在实际操作中,利用估值指标来选择市场时机出人意料地难。尝试这种方法的投资者往往过早卖出,结果错失一些最丰厚的回报。事实上,在所有人仍在买入的时候卖出股票可能还算是容易的。在别人都恐慌地抛售股票时壮起胆子买入更难。

The purist view is that market timing is a mug’s game. It says stocks are a random walk: their past indicates nothing about their future path. In the 1980s academics questioned this creed. Since stock prices tend to revert to a mean value, they must be somewhat predictable. They deviate from this fair value only because investors over-react to news. When profits are strong and stocks are rising, there will be keen buyers almost regardless of value. The reverse is true in recessions. This herding—or, if you prefer, this rational pricing of risk—creates the opportunity for market timing.
正统观点认为,傻瓜才会去选择市场时机:股票走势是随机的,过去的走势完全不能代表未来的走势。上世纪80年代,学者们对这一信条提出了质疑。股价总是趋于回归到平均值,所以它们在某种程度上一定是可预测的。股票偏离公允价值只是因为投资者对新消息反应过度。当利润增长强劲、股价上涨时,总会有买家趋之若鹜,几乎不管股票价值如何。而经济衰退时情况则正好相反。这种羊群行为,或者说得好听点也可称之为理性的风险定价,为选择市场时机创造了机会。

There is a drawback. What is “cheap” or “dear” is defined by reference to the full history of prices. But an investor active in any period could not have known this in advance. Nor is it obvious at the time whether the CAPE is close to a peak or trough. Without the benefit of hindsight, timing produces disappointing results.
但缺点也摆在那里。股价是“低”是“高”参照的是整个历史价格。但是任何时期活跃的投资者都不可能事先知道股价算高还是算低,也不清楚当时CAPE是接近峰值还是谷值。事后之明无济于事,时机选择的结果令人失望。

A study in 2017 by Cliff Asness, Antti Ilmanen and Thomas Maloney of AQR Capital Management tested a timing strategy. Their gauge was a rolling 60-year average of the CAPE. When the CAPE was below its historical median—that is, below fair value—the strategy would borrow to buy stocks. When it was above fair value, it would lighten up on stocks in favour of cash. Over the whole period (1900-2015), returns to the market-timing strategy were scarcely better than to a buy-and-hold portfolio with a constant 100% stockholding. And over the latter half (1958-2015), returns were no better at all.
AQR资本管理公司的克利夫·阿斯尼斯(Cliff Asness)、安蒂·伊尔马宁(Antti Ilmanen)和托马斯·马洛尼(Thomas Maloney)2017年的研究测试了一种时机选择策略。他们使用的指标是60年的CAPE滚动平均值。当CAPE低于其历史中位值(即低于公允价值)时,该策略就会借钱买入股票;而当CAPE高于公允价值时,则会减仓股票,持有现金。在从1900年到2015年的整个时期,市场时机选择策略的回报率几乎不比始终100%持仓的“买入并持有”组合的策略好多少。而在后半期(1958至2015年),回报率完全没有后者好。

A big failing was that the strategy was under-invested in stocks for too much of the time. The average CAPE has trended upwards since the 1950s. Too often stocks were deemed dear based on historical valuations. Timing works no better in countries other than America. A study in 2013 by three academics, Elroy Dimson, Paul Marsh and Mike Staunton, found no consistent link between valuation and subsequent returns in 23 stockmarkets.
时机选择策略的一大缺陷在于太多时候都对股票投资不足。自上世纪50年代以来,CAPE均值一直呈上升趋势。从历史估值来看,股价常常被认为是在高位。除了美国,时机选择策略在其他国家并没有起到更大作用。2013年,埃尔罗伊·戴姆森(Elroy Dimson)、保罗·马什(Paul Marsh)和迈克·斯汤顿(Mike Staunton)这三位学者进行的一项研究发现,23个股票市场的股票估值与随后的回报之间没有一致的关联。

Value is too weak a signal to be much use. But it can be improved upon. The AQR researchers found that combining the value benchmark with a “momentum” signal of the underlying trend in stock prices yields better results. This is intuitive. The problem with value benchmarks is that prices drift away from them for long periods. But a blend of value and momentum represents “value with a catalyst”, as the authors put it.
价值的指示作用太弱,用处不大。但可以改进。AQR的研究人员发现,将价值基准和股价潜在趋势的“动量”信号相结合,效果会更好。这点比较直观。价值基准的问题在于价格长期偏离于它们。但是正如以上三位作者所言,价值策略和动量策略结合在一起就相当于“加了催化剂的价值策略”。

This strategy is too complex for ordinary investors to profit reliably from it. But there is a simpler form of market timing, which has some empirical support: rebalancing. It requires investors to decide first how they want to divide their investments. It could be, say, an equal split between American and non-American stocks. The precise weights matter less than that they are stuck to. That requires regular rebalancing to restore the original weights. It means shedding assets that have risen a lot in favour of those that have gone up by less.
这种策略过于复杂,普通投资者无法依靠它稳定地获益。但还有一种更简单、也取得了一些实证支持的市场时机选择方法,那就是投资组合再平衡。该方法要求投资者首先决定如何分配自己的投资。比如,可能是平分投资美国股票和非美国股票。比精确的分配比例更重要的是保持比例。这需要定期再平衡以恢复原始权重,也就是放弃那些已经大幅升值的资产,转而投资升值较少的资产。

The virtue of rebalancing is that it is simple. You are less likely to make a costly mistake than if you follow a more complex strategy. The drawback is that you must give up the delusion that you can time it like Livermore. To do what he did takes nerve and a rare feel for markets. You may think you have such talents. You almost certainly don’t.
再平衡的好处在于它简单易行。比起其他更加复杂的策略,采用再平衡更能避免犯下损失惨重的错误。不过缺点就是必须放弃自已也可以像利弗莫尔那样把握时机的妄想。要做到他那样,需要勇气和罕有的对股市的超强敏感。你可能自以为有他那样的天赋。但我可以告诉你,你几乎肯定没有。

(Dec 13th 2018)

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