洪灝為中國首席經濟學家論壇理事、交銀國際董事總經理、研究部主管、首席策略師
過去兩週美國市場經歷了史詩級別的崩盤：自1896年以來，發生這樣級別的暴跌的可能性僅為~0.1%；市場下跌和VIX波動率指數飆升的速度是有數據記錄以來最快的；而10年期美國國債則處於歷史最低水平。儘管如此，中國股市一開始卻挺過來了。在春節後的首個交易日出現歷史性暴跌後，中國市場的主要股指收復了大部分失地，創業板甚至還創下新高 --- —直到上週五，在全球股市遭遇歷史性拋售之際，所有中國股指再次大幅下跌。
就在這風險厭惡的時刻，我的基金經理朋友讓我推薦一些股票來對沖風險。作為一名謹慎的、兩週前就對當前的崩盤發出了警告的價值投資者，我小心翼翼地推薦了一些公司盈利前景良好、管理層執行力具有良好的歷史往績的股票。他滿臉狐疑地掃了一眼名單，說：“但這些都是有盈利的優質公司。有盈利就有風險。我想要那些沒有任何盈利的公司。”他的邏輯如此無懈可擊，我竟啞口無言。
仔細想想，他的論點也不無道理。否則，如何解釋在新型冠狀病毒危機之際，創業板和中小板的強勁勢頭？與此同時，作為傳統風險避風港的美元和黃金同時走軟。自武漢封城以來，病毒傳染肆孽，但美國市場基本上保持了穩定 --- 直到兩週前病毒全球蔓延的幾率大幅上升。自那以來，美國10年期國債收益率已跌至創紀錄低點。
從邏輯上講，在風險規避期間，安全資產的價格應該上升，因為這些資產承擔了對沖風險的作用，受到買家追捧。根據上述資產價格攀升的順序，我們可以看到一個非傳統的對沖策略有秩序地遊走於各種資產之間：創業板和中小企業板作為對沖中國主板風險的策略；美國市場作為對沖中國市場風險的策略；黃金和美元作為對沖美國市場風險的策略；最後，10年期美國國債作為對沖美國/全球股市風險的策略。
讀者可以注意到，隨著新冠病毒的傳播，對沖策略的範圍不斷擴大。然而，美國十年國債收益率創下了1%的歷史新低，而核心PCE通脹率為1.7%，到最後什麼工具能對沖10年期國債的風險呢？過去10年見證了股債雙牛，那些60/40的平衡投資組合表現得極為出色。在美聯儲基準利率為1.5%的時候，美國實際利率現在實際上為負。就連美國國債也可能很快失去其終極安全港地位。這才是一個真正的風險。
短期而言，我們要回答的問題是，在經歷瞭如此巨大的下跌之後，市場下一步會怎樣走？在我們之前的研究報告《中國市場預測權威指南》(20190919)中，我們討論了850天移動平均線在預測市場週期中的作用。簡而言之，850天的市場週期反映了經濟週期的運行。一個3.5年的經濟週期約等於3.5年X 12個月X 20.2天 ~= 一個850天的市場週期。
這一長期移動平均線是美國股市指數的長期上升趨勢線。歷史上，美國市場的回調往往在觸及850日移動均線時反彈。只有在經濟衰退時，股指才會跌破850日移動平均線。在其最深處，當前的市場調整的幅度僅略高於這一長期移動平均線 —— 類似於2018年末由於美聯儲貨幣政策基調過緊時的市場的大幅回調（圖1）。
美國市場情緒和技術指標在此次暴跌後極度低迷，看跌/買入比率、垃圾債券息差、股指成份股超賣比例和歷史下跌速度都表明了這一點。如果以史為鑑，未來一週里美國市場出現技術修復的概率非常大。然而，如果新冠病毒的蔓延比人們擔心的更嚴重，全球經濟因為過度的隔離措施而陷入衰退，在拯救生命的同時又不得不阻礙了經濟的增長，那麼經濟危機就會隨之而來。我們注意到，美國收益率曲線剛剛再次反轉，這種反轉往往會領先經濟衰退最長可達18個月（圖2）。如是，美國股指將下跌一半甚至更多，將要出現的技術反彈將是短暫的，本質上是技術性的。有現代貨幣理論者討論關於美聯儲將要進入負利率區間。然而如果當真如是，這將是一場真正的災難——因為美聯儲是全球的央行，而美國國債是全球的避風港。美聯儲如果執行負利率政策，其後果和其它國家不可同日而語。
在中國，成長股相對於價值股的強勁表現正處於極限——實際上是歷史最高水平。這一現象表明市場投機愈演愈烈（圖3）。在過去，當成長股的相對錶現超過這一水平或更高的時候，中國市場往往面臨壓力。這次也不應該有任何不同。然而，創業板仍然非常強勁，儘管其強勢將在短期內鞏固（圖4）。隨著以註冊製為基礎的首次公開發行制度的推出，以及本報告開頭提到的強盜投機邏輯等主題的出現，膽大的交易員可能會暫時忽視創業板高昂的估值，繼續將其作為一種非常規的風險對沖工具。價值投資者當然會對這種不計後果的“策略”深惡痛絕，並認為它預示著另一個潛在的泡沫即將登場。
交銀國際 洪灝，CFA
2020-03-01
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以下是英文原版
The market crash in the past two weeks has been truly historic: its probability occurrence is ~0.1% since 1896; the velocity of the plunge and of the VIX surge is the fastest on record; and the 10-year is at all-time low. The Chinese market, however, weathered the storm quite well at first. After an epic crash on the first day of trading after the lunar new year, major indices have recovered most lost grounds, and the ChiNext has even made a new high – till last Friday when all indices suffered significant losses again amid the epic global sell-off.
During this episode of epic risk aversion, my fund manager friend asked me to recommend some stocks to hedge the risks. Being a cautious value investor who has been warning of the current crash two weeks ago, I carefully suggested some names with good earnings visibility and strong management execution records. He glanced over the list with an incredulous look on his face and said: “but these are quality companies with earnings. When there is earning, there will be risk. I really want those without any earning at all.” His logic was so impeccable that I was left dumbfounded and speechless.
On second thought, his arguments are not without merits. Otherwise, how would one explain the strong momentum in the ChiNext and the SME board amid the coronavirus crisis? Meanwhile, the US dollar and gold, the traditional risk haven, have both weakened at the same time. And the US market has largely held up after the virus spread worsened since the Wuhan lockdown – till two weeks ago when the odds of a global contagion surged. Since then, the yield on the US 10-year has plunged to record low.
Logically, the prices of safe assets should rise during risk aversion, as these assets assume the role to hedge risks. Following the sequence of asset price increase aforementioned, we can see an unconventional hedging strategy rotating across various assets: the ChiNext/SME board as a hedge to China’s mainboard, the US market as a hedge to China, gold and USD to the US market, and finally, the 10-year treasury to the US/global equities.
As you can discern, the scope of the hedging strategy continues to increase as the coronavirus spread. However, at a record low of ~1% yield, and the core PCE inflation at ~1.7%, what is going to hedge the 10-year treasury in the end? The past decade has seen the twin bulls in equities and bonds, and those 60/40 balanced portfolios have done exceedingly well. With the Fed fund rate at 1.5%, the US real interest rate is now effectively negative. Even the US treasury can soon lose its ultimate safe haven status. That is a real concern.
In the near term, the question is what next for the market after such an epic plunge? In our previous research report titled “A Definitive Guide to Forecasting China Market” (20190919), we discussed the role of the 850-day moving average in forecasting market cycle. Simply put, the 850-day market cycle is a reflection of the underlying 3.5-year economic cycle, with a duration of 3.5years X 12months X 20.2days ~= 850 days.
This long-term average is a secular rising trend line for the US stock market indices. In history, the US market corrections tended to bounce once they arrived at the 850-day moving average. Only when there was recession did the equity indices puncture beneath the 850-day moving average. At its deepest point, the current correction is only a touch above this moving average - similar to the steep correction in late 2018 when the Fed was too tight (Figure 1).
The US market sentiment and technical indicators are extremely depressed after this plunge, as suggested by the put-call ratio, junk bond spread, the percentage of equity index components oversold, and the historic speed of the plunge. A technical reprieve is in store in the coming week, if history is a guide. That said, if the coronavirus contagion proves to be worse than feared, and the global economy slips into recession due to excessive quarantine to save lives while impeding growth, an economic crisis will ensue. We note that the yield curve has just inverted again, and such inversion tends to lead recession by up to 18 months (Figure 2). If so, the US indices will be halved or more, and the emerging technical rebound will be fleeting and technical in nature. There are MMT talks about the Fed going into negative interest rate. But that will be a true disaster – as the Fed is the world’s central bank, and the US treasury is the world’s safe haven.
In China, the strong relative performance of growth over value is at its extreme – the highest in history indeed – suggesting speculative fervor (Figure 3). In the past when growth outperformed value at such level or higher, the Chinese market tended to be under pressure. This time should not be any different. Yet the ChiNext remains very strong, although its strength will consolidate in the near term (Figure 4). With thematic ideas such as the rollout of the registration-based IPOs, and the speculative logic mentioned at the beginning of this report, brash traders may disregard the expensive valuation of the ChiNext Board, and continue to use it as an unconventional risk hedge. Value investors, will of course find distaste in such reckless “strategy”, and portent another potential bubble candidate on the horizon.
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