经济学家约瑟夫·熊彼特曾说过，“资本主义大饭店的高价房总是客满，但住的客人可并不相同”。没有特许权，他拖长声音道–就好比你先当了一天的国王，然后，嗯，你搬到城堡里的另一个房间；希望不是地牢，事实却经常如此.。
The economist Joseph Schumpeter once remarked that the “top-dollar rooms in capitalism’s grand hotel are always occupied, but not by the same occupants”. There are no franchises, he intoned – you are king for a figurative day, and then – well –you move to another room in the castle; hopefully not the
dungeon, which is often the case. While Schumpeter’s observation has obvious implications for one and all, including yours truly, I think it also applies to markets, various asset classes, and what investors recognize as “carry”. That shall be my topic of the day, as I observe the Pacific Ocean from Janus’ fourteenth floor – notexactly the penthouse but there is space available on the higher floors, and I have always loved a good view. Anyway, my basic thrust in this Outlook will beto observe that all forms of “carry” in financial markets are compressed,resulting in artificially high asset prices and a distortion of future risk relative to potential return that an investor must confront.
熊彼特的这一观察对于每一个人都颇有深意，包括我自己。我认为这结论也适用于市场，适用于各种资产类别以及投资者所认为的“持有获利”。这就是我今天的主题，我从骏利资产的十四楼看到太平洋–--这不是顶层公寓, 更高层仍有空间.，我总是喜欢视野好 的房间 。
无论如何，本期市场展望里，我的强烈诉求是去观察到金融市场中各种形式的“持有获利”被压缩，由此导致的资产价格虚高，以及投资者必须面对的针对潜在回报其未来风险的失真。
和市场打了几十年甚至更长时间交道的有经验的基金经理会认同，他们经历了一个宏伟的“时代”，尽管也有雷曼兄弟倒闭、纳斯达克5000崩溃、90年代早期的储蓄信贷协会危机等等死里逃生的记忆.
【编注：美国的储蓄信贷协会（S&L）是在政府支持和监管下专门从事储蓄业务和住房抵押贷款的非银行金融机构，通常采用互助合作制或股份制的组织形式。美国共有4700家储蓄信贷协会，其中55％在联邦政府注册，45％在州政府注册。第一家储蓄信贷协会于1831年诞生在宾夕法尼亚州。
从第二次世界大战结束到70年代，美国住房市场需求旺盛，给储蓄信贷协会的发展带来了一段黄金时期。到70年代未、美国储蓄信贷协会的总资产已突破6000亿美元，成为美国的金融巨头之一。然而，谁也无法料到，几年以后、美国的储蓄信贷协会就陷入了重重危机，1989年2月，布什总统亲自宣布了处理美国储蓄信贷协会危机的紧急计划。根据这一计划，美国人民需要在今后30年时间里花费大约4000亿～5000亿美元，才能彻底还清储蓄信贷协会所带来的巨额债务。】
Experienced managers that have treaded markets for several decades or more recognize that their “era” has been a magnificent one despite many “close calls” characterized by Lehman, the collapse of NASDAQ 5000, the Savings + Loan crisis in the early90’s, and so on.
Chart 1 proves the point for bonds. Since the inception of theBarclays Capital U.S. Aggregate or Lehman Bond index in 1976, investment grade bond markets have provided conservative investors with a 7.47% compound return with remarkably little volatility. An observer of the graph would be amazed, as was I, at the steady climb of wealth, even during significant bear markets when30-year Treasury yields reached 15% in the early 80’s and were tagged with thedesignation of “certificates of confiscation”. The graph proves otherwise, because as bond prices were going down, the higher and higher annual yields smoothed the damage and even led to positive returns during “headline” bear market periods such as 1979- 84, or more recently the “taper tantrum” of 2013.Quite remarkable, isn’t it? A Sherlock Holmes sleuth interested in disproving this thesis would find few 12-month periods of time where the investment grade bond market produced negative returns.
图1的债券表现证明了这一点。自从巴克莱美国综合债券指数或者说是雷曼债券指数在在1976年推出以来，投资级债券市场已经为保守投资者提供了7.47%复合收益率，且波动率非常之低。
观察这张图片，你会如我一样惊讶发现，即使在在30年期国债收益率高达15%而被贴上为“充公券”的标签的 80年代早期的大熊市时期，财富积累依然在稳步攀升.
随着债券价格持续下降，越来越高的年收益率平滑了其破坏性，甚至在1979 年至1984年最受瞩目的熊市周期里或者更近期的2013年的“削减恐慌”（taper tantrum）中，还取得了正回报。这相当了不起，是不是？不同意这一观点的福尔摩斯侦探们会也几乎找不到在任何时长12个月的区段内投资级债券市场产生了负收益的情况.
【注：巴克莱美国综合债券指数(Barclays U.S. Aggregate Bond Index) 被昵称为“Agg指数”，许多债券投资者把它当做市场的风向标。大约有4万亿美元的投资与“Agg指数”所追踪的债券有关。该指数追踪美国国债、高评级公司债、抵押贷款支持证券等高质量美国债券。
巴克莱美国综合债券指数是巴克莱平台最知名的指数之一，是2008年金融危机时并购雷曼兄弟所获得的。】
【注：“Taper”的本意是微弱的烛光，引申为逐渐缩减直至消亡。2013年，美联储何时开始缩减850亿美元资产购买成为关注点，市场用Taper来形容QE的退出，尽管美联储并不喜欢这个词。随着后来美联储主席伯南克明确表示希望在未来几次会议上放缓资产购买，“tapertantrum”诞生。】
股票的波动会大一些，但如图2所示，股票的年回报率（包含股息在内）要比投资级债券高出超过3%。本来也应该如此：股票的历史波动更高，回报也更高。
但我的观察结论是，这40年确实很了不起——然而这种灰天鹅(如果算不上黑天鹅)事件，未来不会再重演。
But my take from these observations is that this 40-year period of time has been quite remarkable – a grey if not black swan event that cannot be repeated.
随着许多发达经济体实行零利率、如今乃至负利率，再现接近双位数的股市年回报率、超过7%的债券年回报率这种情形，如某些迂腐的市场技术派会描述的那样,几乎等于 5、6个sigma事件了。
（编者注:数学上把3个sigma以上的事件叫做黑天鹅事件）。像过去40年一样的收益,你估计在火星上看到的机会也比在我们这地球上更大一些.。“金融市场大饭店里的高价房”也许依然被相对有吸引力的资产类别占据，但房价极高，且从顶层公寓向外望去, 是大雾笼罩，这是我对高风险的气象比喻。
The path of stocks has not been so smooth but the annual returns (with dividends) have been over3% higher than investment grade bonds as Chart 2 shows. That is how it should be: stocks displaying higher historical volatility but more return. But my take from these observations is that this 40-year period of time has been quite remarkable – a grey if not black swan event that cannot be repeated. With interest rates near zero and now negative in many developed economies, near double digit annual returns for stocks and 7%+ for bonds approach a 5 or 6Sigma event, as nerdish market technocrats might describe it. You have a better chance of observing another era like the previous 40-year one on the planet Mars than you do here on good old Earth. The “top dollar rooms in the financial market’s grand hotel” may still be occupied by attractive relative asset classes, but the room rate is extremely high and the view from the penthouse is shrouded in fog, which is my meteorological metaphor for high risk.
请允许我引用另一家占据市场大酒店高层楼房多年的投资公司的优异操作来阐述。
GMO的本·因克在他2016年一季度给客户的信里指出，显而易见,利率1.85%的十年期国债持有10年能获得大约1.85%的回报, 但很多人没有注意到，采用动态”固定期限策略”来保持固定久期的巴克莱美国综合证券投资组合收益率现在是2.17%, 未来10年的回报率几乎确定在1.5%和2.9%之间，就算收益率在到期时会翻倍或降至0%。过去40年债券市场7.5%的历史回报, 只可能是历史了.要想复制这个数字，收益率得要下降到负17%！诸位, 有想要去火星的么?
（编注：GMO公司于1977年成立。根据2015年英国金融时报报道，GMO当时旗下管理着1180亿美元。详见“聪明投资者”精译馆相关译文和介绍。）
Let me borrow some excellent work from another investment firm that has occupied the upper floors of the market’s grand hotel for many years now. GMO’s Ben Inker in his first quarter 2016 client letter makes the point that while it is obvious that a10-year Treasury at 1.85% held for 10 years will return pretty close to 1.85%,it is not widely observed that the rate of return of a dynamic “constant maturity strategy” maintaining a fixed duration on a BarclaysCapital U.S. Aggregate portfolio now yielding 2.17%, will almost assuredly return between 1.5% and 2.9% over the next 10 years, even if yields double or drop to 0% at period’s end. The bond market’s 7.5% 40-year historical return is just that – history. In order to duplicate that number, yields would have to drop to –17%! Tickets to Mars, anyone?
在日本、中国和其他地方考虑到增长, 市盈率以及像是背水一战的政府量化宽松政策支持下支持下的各种可能性, 股票的情况当然会更复杂.
股票与债券在同一个地球上，其回报与债券的回报显著相关。如果你敢在GMO债券收益的假设上增加3%的历史“股权溢价”，未来10年你的股票收益率会在4.5%至5.9%之间.相信我，应该要对目前市场和经济的扭曲预测发出警告。在这后雷曼时代，资本主义已经进入了一个新纪元,难以想象的货币政策和消极的结构转变，已经对增长预测与史上线性地向上的生产力曲线带来风险。
The case for stocks is more complicated of course with different possibilities for growth, P/E ratios and potential government support in the form of “Hail Mary” QE’s now employed in Japan,China, and elsewhere. Equities though, reside on the same planet Earth and are correlated significantly to the return on bonds. Add a historical 3% “equitypremium” to GMO’s hypothesis on bonds if you dare, and you get to a range of4.5% to 5.9% over the next 10 years, and believe me, those forecasts require a foghorn warning given current market and economic distortions. Capitalism has entered a new era in this post-Lehman period due to unimaginable monetary policies and negative structural transitions that pose risk to growth forecasts and the historical linear upward slope of productivity.
我的更简洁的论题是：40多年来，由于利率下降、贸易全球化和信贷扩张——即债务扩张，很大程度上成就了顶层投资经理的资产收益和α回报。这些趋势即将结束，就算只是因为他们确实也无以为继.这些历史上回报一直利用杠杆和对“持有获利机会的捕捉，创造了诱人的收入和资本收益。
要复制这个业绩不是可能性较小,是几乎不可能，除非你是埃隆马斯克朋友(编者注:伟大的创业者, PayPal贝宝（最大的网上支付公司）、Spacex太空探索技术公司、环保跑车公司特斯拉（Tesla）以及SolarCity四家公司的CEO) 的朋友，且你有勇气飞往火星。反正地球上没有这样的这样的机会。
Here’s my thesis in more compact form: Forover 40 years, asset returns and alpha generation from penthouse investmentmanagers have been materially aided by declines in interest rates, trade globalization, and an enormous expansion of credit – that is debt. Those trends are coming to an end if only because in some cases they can go no further.Those historic returns have been a function of leverage and the capture of“carry”, producing attractive income and capital gains. A repeat performance is not only unlikely, it is impossible unless you are a friend of Elon Musk and you’ve got the gumption to blast off for Mars. Planet Earth does not offer such opportunities.
“
几乎所有”持有获利”形式都被挤压了，它带来了更多的风险，而不是潜在回报，我会具体阐述如下:
“Carry” in almost all forms is compressedand offers more risk than potential return. I will be specific:
·负利率市场无疑存在久期风险。收益率为负25个基点的五年期德国国债,只会导致未来五年的损失。收益率为45个基点的30年期日本国债 每年的“套利”空间只有40个基点，却有近30年的久期风险。夏普比例最好也只在0.015，利率,只要上升2个基点，投资者就会失去整年收入。相对于目前的货币市场利率，甚至10年期美国国债的“套利”空间也只有125个基点，且面临类似的久期风险。为了“持有获利”而展期是已经是不值得去冒的风险.
·Duration is unquestionably at risk in negative yielding markets. A minus 25 basis point yield on a 5-year German Bund produces nothing but losses five years from now. A 45 basis point yield on a 30-year JGB offers a current“carry” of only 40 basis points per year for a near 30-year durational risk.That’s a Sharpe ratio of .015 at best, and if interest rates move up by just 2basis points, an investor loses her entire annual income. Even 10-year U.S.Treasuries with a 125 basis point “carry” relative to current money market rates represent similar durational headwinds. Maturity extension in order to capture “carry” is hardly worth the risk.
·相似地，信用风险或信用“持有获利”相对于潜在的损失来说，几乎也没有回报。不用说地太详细，持有5年期投资级公司债的优势不过是未来12个月25个基点的收益。IG CDX信用曲线显示5年会有75个基点的利差，但其在未来12个月内的预期回报仅为25个基点。只有在远期信用曲线-很像收益率曲线-没有实现的情况下，投资者才可能赚多一些。
· Similarly, credit risk or credit “carry”offers little reward relative to potential losses. Without getting too detailed, the advantage offered by holding a 5-year investment grade corporate bond over the next 12 months is a mere 25 basis points. The IG CDX credit curve offers a spread of 75 basis points for a 5-year commitment but its expected return over the next 12 months is only 25 basis points. An investor can only earn more if the forward credit curve – much like the yield curve – is not realized.
波动性。许多领域通过是通过销售波动率来持有获利。任何投资，不管信用比90天的短期国库券是多还是少都是在销售波动性无论投资组合经理是否意识到这一点。和“VIX?恐慌指数”一样、国债“MOVE指数”也已接近历史低点，意味着销售外在波动率或其他形式的久期和信用产品，所赚无多。
Volatility. Carry can be earned by selling volatility in many areas. Any investment longer or less credit worthy than a 90-day Treasury Bill sells volatility whether a portfolio manager realizes it or not. Much like the ”VIX?”, the Treasury “Move Index” is at a near historic low, meaning there is little to be gained by selling outright volatility or other forms in duration and credit space.
（编注：ViX指数被称为恐慌指数，是芝加哥期权交易所VIX指数（CBOE Volatility Index）。由CBOE（芝加哥期权交易所）在1993年所推出。当VIX越高时，表示市场参与者预期后市波动程度会更加激烈同时也反映其不安的心理状态；相反的，如果VIX越低时，则反映市场参与者预期后市波动程度会趋于缓和的心态，也因此VIX又被称为投资人恐慌指标。
美银美林MOVE指数是基于期权交易行情衡量美国国债市场波动率的指数。）
·流动性。非流动性投资的息差收窄至历史低点。通过国债市场新发债和已发债之间的利差，可以衡量其流动性。—–这一利差几乎已不存在，这意味着持有流动性相对低的国债也无利可套.
类似证据还存在于企业CDS（信用违约互换）,以及与之相比流动性较低的其他现金产品之间.
· Liquidity. Spreads for illiquid investments have tightened to historical lows. Liquidity can be measured in theTreasury market by spreads between “off the run” and “on the run” issues – a spread that is nearly nonexistent, meaning there is no “carry” associated with less liquid Treasury bonds. Similar evidence exists with corporate CDS compared to their less liquid cash counterparts. You can observe it as well in the“discounts” to NAV or Net Asset Value in closed-end funds. They arehistorically tight, indicating very little “carry” for assuming a relatively illiquid position.
你也可以观察到封闭式基金净值“折扣” 已经历史性地收窄了，这表明接受流动性较差的配置，也只有很小的“持有获利”空间。
“真实的情况”是––用个政治家的词汇来描述 — 任何形式的持有获利与风险相比回报都很低。
股票、房地产或其他有市盈率、Cap Rate 或通过对未来现金流贴现产生价值的其他资产也都是这个情况。
（编注：CAP RATE = 年净经营收入/物业的价格，也就是不考虑有贷款的条件下，一个物业所能产生收入与价格的百分比。）
为了占据投资市场未来的“顶层公寓”，现如今的投资经理以及他们的客户必须转向。回报会处于低位，而风险会高。在某个时点，聪明投资者必须判断说我们已在一个新的时代，要有不同的应对。
负久期？宣布企业信用作废或做空企业信用？买入而不是卖出波动性？保持流动性持有大量的现金？这些都是潜在的“持有成本”的配置，但在某些时候可能会捕捉到资本收益或者最低限度,可以保有本金。
可是因为投资者必须还是得吃点什 么，来妥善的反转应对，目前顶层公寓客房服务菜单提供的通过”持有获利”的选择仍然必须要仔细检查，避免饥饿。这意味着在最少风险情况下适当配置一些通过持有可以获得收益的资产。
不过不会太久了, 很快不恰当的货币政策和结构性阻力会让我们付出代价，那些美味的丰盛油腻的薯条会变冷，很快就得被丢进垃圾桶。
The “fact of the matter” – to use apolitician’s phrase – is that “carry” in any form appears to be very low relative to risk. The same thing goes with stocks and real estate or any asset that has a P/E, cap rate, or is tied to present value by the discounting of future cash flows. To occupy the investment market’s future “penthouse”,today’s portfolio managers – as well as their clients, must begin to look in another direction. Returns will be low, risk will be high and at some point the“Intelligent Investor” must decide that we are in a new era with conditions that demand a different approach. Negative durations? Voiding or shorting corporate credit? Buying instead of selling volatility? Staying liquid with large amounts of cash? These are all potential “negative” carry positions that at some point may capture capital gains or at a minimum preserve principal. But because an investor must eat something as the appropriate reversal approaches, the current penthouse room service menu of positive carry alternatives must still be carefully scrutinized to avoid starvation. That means accepting some positive carry assets with the least amount of risk.Sometime soon though, as inappropriate monetary policies and structural headwinds take their toll, those delicious “carry rich and greasy” French fries will turn cold and rather quickly get tossed into the garbage can.
