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      壹 回顧2013年

      市場(chǎng)對(duì)于即將到來的美聯(lián)儲(chǔ)縮減債券購買規(guī)模到底計(jì)入了多少呢？2013年5月23日，時(shí)任美聯(lián)儲(chǔ)主席伯南克在國(guó)會(huì)作證時(shí)表示將擇機(jī)削減債券購買規(guī)模。此消息對(duì)市場(chǎng)無異于一個(gè)驚雷，導(dǎo)致了“縮減恐慌”：美國(guó)國(guó)債收益率上漲，債券價(jià)格下跌，全球股市調(diào)整。

      貳 債市已經(jīng)反應(yīng)縮減行動(dòng)

      美國(guó)10年期國(guó)債收益率2013年5月23日為2.02%，到美聯(lián)儲(chǔ)宣布縮減債券購買計(jì)劃前的12月初上漲2.81%，7個(gè)月的時(shí)間上漲了接近80個(gè)基點(diǎn)。而此次美國(guó)國(guó)債收益率從7月份最低1.19%上漲到10月份最高1.68%，上漲幅度為49個(gè)基點(diǎn)，為上一次縮減債券購買規(guī)模的一半以上?？紤]到此次美聯(lián)儲(chǔ)與市場(chǎng)溝通很充分，基本可以認(rèn)為美國(guó)國(guó)債市場(chǎng)反應(yīng)了縮減債券規(guī)模所帶來的沖擊。

      叁 美股當(dāng)前估值較高

      從股市的表現(xiàn)看，美國(guó)道瓊斯工業(yè)指數(shù)2013年50次創(chuàng)出歷史新高，全年累計(jì)漲幅為26.5%。縮減債券購買在2013年并未對(duì)美股造成重大沖擊。今年美股表現(xiàn)也非常靚麗。年初至今，道瓊斯、標(biāo)普500和納斯達(dá)克指數(shù)分別上漲17.6%、22.8%和20.4%，無數(shù)次創(chuàng)出歷史新高。相比2013年，當(dāng)前美股的主要風(fēng)險(xiǎn)是估值較高。2013年12月初， 道瓊斯指數(shù)的靜態(tài)市盈率為15.4倍，而當(dāng)前為25.6倍，處在歷史上的較高水平。如果將當(dāng)前較低的利率水平考慮進(jìn)來，按照2013年12月份的風(fēng)險(xiǎn)溢價(jià)，則估值水平應(yīng)為19.3倍。當(dāng)前估值較19.3倍高32.6%，這有可能是美股面臨的一個(gè)風(fēng)險(xiǎn)。

      肆 對(duì)發(fā)展中國(guó)家沖擊會(huì)較小

      發(fā)展中國(guó)家在此次美聯(lián)儲(chǔ)縮減債券購買規(guī)模之前都未雨綢繆，紛紛加息以防止資本外逃對(duì)股市和債市的沖擊。從美元指數(shù)看，對(duì)比2013年，當(dāng)前美元指數(shù)處在相對(duì)較高水平。2013年5月美元指數(shù)在80上下。美聯(lián)儲(chǔ)在2014年中結(jié)束債券購買之后，美元指數(shù)一路上行到100以上。而當(dāng)前美元指數(shù)在94左右，上行空間雖然存在，但相比2013年空間較小。因此，美聯(lián)儲(chǔ)收縮流動(dòng)性對(duì)發(fā)展中國(guó)家造成的沖擊會(huì)減少。

      伍 關(guān)稅降低提上日程

      A股和港股下跌。10月財(cái)新制造業(yè)采購經(jīng)理人指數(shù)重回?cái)U(kuò)張區(qū)間，由需求復(fù)蘇所帶動(dòng)。美股再創(chuàng)新高。美國(guó)財(cái)長(zhǎng)耶倫認(rèn)為中美將會(huì)以互惠的方式降低關(guān)稅，并認(rèn)為這有利于降低美國(guó)通脹。受此消息影響，港股夜期大幅上漲。

I. Revisit 2013

With the tapering on the way, how much has market priced in this event? Let’s revisit the first taper in history which happened in 2013. On May 23rd, 2013 the Fed Chairman Bernanke said that the Federal Reserve was considering taper when he testified before the congress. This caused taper tantrum as treasury yield went up and stocks fell sharply in the world. 

II. Bond market has priced in the taper

On May 23rd 2013,10-year Treasury yield was 2.02%. It rose to 2.82% at the beginning of December 2013 before the Fed announced taper, i.e., up 80 basis point in 7 months. The 10-year treasury yield was 1.19% in July this year and rose to 1.68% in October,up 48 basis point and more than half of that in 2013 taper during the comparable period. As the Fed communicated taper much better than in 2013, we believe that this time the bond market has priced in taper enough.

III. High valuation might be a risk to stock market

In 2013 the US stocks performed well with Dow Jones Index reaching historical high for 50 times and up 26.5% for the full year. This year the US stocks also performed well with Dow Jones up 17.6% year-to-date. Compared with 2013 valuation of the US stocks is at a high level. Dow is valued at trailing-twelve-month price-to-earnings ratio of 25.6x versus 15.4x in December 2013. Taking the low interest rate into consideration Dow should be valued at 19.6x, meaning that current valuation is 32.6% higher than 2013. This might pose some risks. 

IV. Emerging nations have prepared well

The US dollar index was around 80 in May 2013 versus 94 nowadays. Given the relatively high levels of the US dollar index, the US dollar should not strengthen as much as in 2013 and caused capital outflow in the emerging nations this time. Moreover, as many as 15 nations increased their benchmark interest rate to deal with the likely capital outflow once the Fed withdraws liquidity. In short, taper is in the price.

V. Cutting tariff is on agenda

A-share and HK stocks fell. Caixin manufacturing Purchasing Managers’ Index was back to expansion region at 50.6%, boosted by demand recovery. The US stocks reached another record high. The US Minister of Finance Yellen said that the US and China should reach a deal to cut tariff in a reciprocal way.

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