宏觀視角:市場調整不代表價格便宜(只供英文版)

市場已經出現調整,但價格仍然昂貴嗎?分析師 Daniel Morgan與Marc Abrahams 解釋晉達資產管理的多元資產團隊如何使用其 10 年期資本市場假設模型來優化他們的投資配置。

2022年6月29日

市場已經出現調整,但價格仍然昂貴嗎?分析師 Daniel Morgan與Marc Abrahams 解釋晉達資產管理的多元資產團隊如何使用其 10 年期資本市場假設模型來優化他們的投資配置。

The ancient Romans used haruspicy, a method of predicting the future using animal entrails. Thankfully our multi asset team uses something more accurate to guide our secular investment outlook. Our Capital Markets Assumption (CMA) process forecasts returns over a ten-year horizon, updated twice a year.

So, what have our latest assumptions told us? First, markets remain expensive. They have fallen quite sharply in June, but remain overvalued compared to history, which highlights a real challenge for asset owners. The construct of a 60/40 portfolio – 60% equity allocation for growth, 40% fixed income for diversification and income– has long been a staple of the asset management industry because it has delivered strong risk-adjusted returns through long equity and bond bull markets. Yet by late 2021 potential 10-year returns had dwindled to about 1.7% p.a. given the high valuations from booming post-Covid market conditions. Now, potential returns have improved to above 3% in US dollars – but this is still modest, especially if bonds and equities become heavily correlated in the face of volatility.

In such a low-return environment, when the major asset classes have both generated negative returns over six months, there is a need for considerable value-add from asset allocation and security selection decisions as well as from identifying investments that will benefit from structural growth tailwinds. “Time in the market, not timing the market” was an adage for a period of stability; it works less well during periods of change.

A word on how our CMAs work: we divide returns into three components: - Income, with yield historically the single most important factor for income-generating assets; Growth, or the extent that income is expected to grow over time; Revaluation, or the price per unit of income expected to apply at the end of the decade.

Looking within the asset classes themselves, equities remain mildly overvalued, with only Japan looking cheap, although the UK and EM are only modestly expensive. At current levels, the US (now 60% of global market capitalisation) has tailed off this year but remains expensive. Where we see compelling value is in emerging markets, particularly China. With its equity market under severe pressure amid a raft of regulatory uncertainty and intermittent outbreaks of Covid, return expectations for China and EM have increased.

Fixed income is slightly more robust relative to history – certainly from an income and valuation perspective – given the substantial increases in yields following actual and expected increases in policy rates from central banks. Credit spreads have also widened, which should provide an additional source of return across US Investment Grade, US High Yield credit and emerging market sovereigns.

Nevertheless, while the sell-off has brought us closer to fair value in both equities and bonds, markets have a well-honed tendency to overshoot both on the upside and the downside.

Only time will tell how this plays out.

重要資訊

本文的資訊可能會討論一般的市場活動或行業趨勢,不擬作為預測、研究或投資建議的憑據。本文提供的經濟及市場觀點反映晉達資產管理截至所示日期的判斷,可能會隨時更改,恕不另行通知。概不保證所表達的觀點及意見正確無誤,可能未能反映整個晉達資產管理的觀點,按不同的投資目標可能會表達不同的觀點。儘管我們認為來自外部的任何資訊均為可靠的,但我們並未對其作出獨立審核,因此我們不能保證其準確性或完整性。晉達資產管理的內部數據可能未經審核。晉達資產管理未有提供法律或稅務建議。準投資者在作出與稅收相關的投資決定之前,應諮詢其稅務顧問。

本通訊僅視為一般資訊,並非投資邀請,亦不構成提呈出售。投資涉及風險。此並非對任何特定證券作出買入、沽售或持有之建議。概無聲明任何投資將會或可能取得類似過往的利潤或虧損,或將會避免出現重大損失。本文中提及的證券或投資產品可能未有在任何司法管轄區註冊。

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