譯者 王為

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Welcome to the Death Throes of 60:40 Diversification

By Bryce Coward

Back in the good ole’ days of mid-January, asset allocators could look to long-duration US government bonds as a refuge for stormy weather. Those days are no longer. In recent weeks investors have panic bought into this supposed safety asset to a degree never before witnessed. In so doing they have pushed up the price of the risk free asset to a level that renders it nearly useless as a diversification tool it once was.

假如時光倒流回1月中旬歲月靜好的日子，投資機構會將長久期的美國國債作為躲避市場不測的避風港。但古來萬事東流水，榮景不再風光衰，最近幾周裡投資者在恐慌情緒驅使下搶購美國國債這一安全資產的瘋狂程度前所未有。受此影響，美國國債的價格暴漲，以至於其一直以來所起到的分散投資組合風險的作用幾乎喪失殆盡。

What do we mean by panic buying into long-duration bonds? Take one look at the charts below and you’ll see what I mean. Dollar turnover in the safe haven asset of choice, the TLT ETF, nearly reached $6.8bn on average over the last five days when the previous all-time high reading was $3bn back in 2011. Not only that, but average call option volume over the last five days also hit an all-time high. That is, people are speculating to a degree never before seen that long-bond yields will continue to fall mightily from here.

當談到市場對長久期的美國國債出現恐慌性的買入，具體所指是啥？看看下圖就全明白了。跟蹤20年以上期限美國國債走勢的交易所交易基金TLT過去5個交易日的日均交易量達到了68億美元，而在此之前的歷史最高記錄為2011年創下的30億美元。不僅如此，過去5個交易日TLT基金的看漲期權的日均成交量也創了歷史新高。這說明，市場正在一邊倒地賭長久期美國國債的收益率還會繼續猛烈地下跌，情緒到了前所未見的程度。

Fair enough, but the math around such a fall is getting more tenuous with each basis point lower in long rates. For example, since 10Y Treasury bonds have a duration of about 8.7 years, if 10 year rates drop another 80bps to 7bps, then those bonds would appreciate by a whopping 7%. If 30 year rates dropped 80bps to 60bps, those bonds would appreciate by 16.8%.

這些說得都挺有道理，但長期國債的收益率每往下跳一個基本點，國債收益率如此快速的下行態勢將變得越來越難以為繼。比如，當前10年期美國國債的久期約為8.7年，如果收益率再跌80個基本點至0.07%，那麼10年期美國國債的價格升幅將達到令人難以置信的7%（0.8%*8.7=6.96%）。如果30年期美國國債的收益率從現在的水平上跌80個基本點至0.6%

And then what? Given the wonderful results of negative rates in both Europe and Japan, do we expect the Federal Reserve to embrace a policy of a significantly negative Fed Funds rate? That is a tough sell and not something we would be interested in placing a leveraged bet on.

然後呢？考慮到負利率政策在歐洲和日本均獲得了不錯的成效，能指望美聯儲會採取聯邦基金利率的水平遠低於零的貨幣政策嗎？概率很小，我們可沒興趣加倍下注賭這種情況是否會發生。

So what we’re left with is the world’s risk free asset offering a real return of -1.1% annually for the next 10 years, assuming a 10Y rate of 87bps and inflation of 2%. What if you buy a 10 year Treasury bond today and the yield backs up to 3% over the next year? Well, that would be a loss of 18.5%.What if you buy the TLT and 30 year rates pop by 50bps in the next 6 weeks, a quite reasonable assumption if the Fed were to restart QE of some form? That would be a loss of 10.6%. Accepting at best a -1.1% real return with the very real possibility of a -10% to -20% return at some point doesn’t sound very risk free to us. Instead, it sounds like a whole lot of risk for a feeble return.

因此情況就變成了這樣，如果以當前10年期美國國債0.87%的收益率和2%的通脹率進行計算，未來10年美國國債這種無風險資產的年化實際收益率為-1.1%

根據標準普爾道瓊斯指數有限公司編制的S&P U.S. Treasury Bond Current 30-Year Index指數顯示30年期美國國債的久期為21.87年

TLT基金的久期為18.96年

This prospect complicates asset allocation in a way that we have not seen since the end of WWII. What will traditional asset allocators do? What will risk parity funds do who not only buy long bonds for diversification but massively lever the position? Will they continue to panic buy into duration as if it were a precious tulip?

這種局面導致二戰以來從未見過的資產配置難題出現了。根據傳統的資產配置做法應該怎麼辦？一些奉行風險中性投資策略的基金不僅買入長久期的美國國債以分散投資組合中的整體風險而且會在建倉時大規模加槓桿，他們會怎麼做？會繼續在恐慌情緒的驅使下將長久期的美國國債當做寶貝一樣搶購嗎？

Perhaps. Or they might gravitate on the margin to assets that don’t have a capped upside with unlimited downside. One thing is for sure though, which is that the days of traditional diversification have vanished from our eyes in the span of 15 trading days. It was good while it lasted.

也許會吧，或者他們的注意力會轉向那些上漲空間不封頂而下跌空間有限的資產。但有一點是確定的，買國債以分散投資組合風險的傳統做法在過去15個交易日裡已經看不到了，這一趨勢如果能持續下去就好了。

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