诺奖得主席勒：美股大跌风险上升标普合理水平为1300点 (ZT)

Master乌龟 · 发表于 4-9-2015 09:09:50|来自：新加坡

文 / 朱轶天华尔街见闻 2015年09月04日 02:02:46

在对股市的历史估值进行研究后，诺贝尔经济学奖获得者罗伯特席勒（Robert Shiller）周四表示，他认为未来股市有“大幅下滑的风险”。

即使在最近的危机拉低了道琼斯工业平均指数、标准普尔500指数和纳斯达克之后，Shiller向CNBC表示，市场依然过高。

截至周三收盘，尽管涨势强劲，但道指依然处于修正区间。标普和纳斯达克综合指数的反弹将指数拉出修正区间。

Shiller用周期调整后市盈率（CAPE）来衡量股市估值。CAPE是股价与过去10年平均利润的比例。

他说：“CAPE目前大约是25。它处于高位。历史平均水平约为17，这样道指应该大约为11,000点，标普应该处于1300点附近。”这样的回撤意味着股市将下跌超30%。

Shiller表示，他并不是这会发生，而是CAPE已经发出了警告。

事实上，从历史上来看，股市可能继续上升，因为CAPE曾经达到过更高水平。

他说：“月度CAPE在2000年达到44的顶峰，随后，股市大幅下跌，一度跌至13，并于2007年上升至27，随后股市再度下跌。”

Shiller表示：“没有人能真正预测市场，但我认为这是一个危险的时候。”他还表示，他本人已经减少了投资组合中美股的持仓。他说：“但是每个人是不同的，人们需要考虑自己的风险状况。”

Master乌龟 · 发表于 4-9-2015 09:11:42|来自：新加坡

英文原文：

Risk of big stock drops grows: Robert Shiller

Matthew J. Belvedere | @Matt_Belvedere CNBC

Based on his research of historical stock market valuations, Nobel Prize-winning economist Robert Shiller said Thursday he sees the "risk of substantial declines" ahead.

Even with the recent turmoil, which pushed the Dow industrials, S&P 500, and Nasdaq into correction last week and again this week, "the market is high now," the Yale University professor told CNBC's "Squawk Box."

As of Wednesday's close, the Dow remained in a correction, despite strong gains. But the rally in the S&P and Nasdaq composite pulled those measures out of correction territory.

Shiller measures valuation with his cyclically adjusted price-to-earnings (CAPE) ratio, which looks at price divided by 10-year average earnings.

"The CAPE ratio right now is around 25. It's high," he said. The historic average is around 17, a level that would correspond with about 11,000 on the Dow and 1,300 on S&P 500. A retracement to those levels would represent more than 30 percent declines.

Shiller said he's not saying that will happen, just the CAPE ratio serves as a "warning signal."

In fact, based on history, the stock market could climb because the CAPE has been much higher in the past before the air came out of the market, he said.

"The monthly CAPE ratio reached a peak of 44 in the year 2000 and that was followed by an important [market] drop. It went down to 13 and came back up to 27 in 2007 and it was followed by another drop," he said.

"Nobody can really forecast the market accurately. But I think this is a risky time," Shiller concluded—adding he personally has been reducing his portfolio's exposure to U.S. stocks. "[But] everyone's different. People need to look at their own risk situation."

Master乌龟 · 发表于 4-9-2015 09:13:26|来自：新加坡

席勒已经这么喊了一两年了
估计这次与成功更近了

Master乌龟 · 发表于 4-9-2015 09:22:17|来自：新加坡

SPX monthly图，要形成头部形态，sma30必须要先探到。
现在已经有了，接下来的几个月如果再次来到1850水平，就危险了。

Master乌龟 · 发表于 4-9-2015 09:30:00|来自：新加坡

P/E 10

Master乌龟 · 发表于 4-9-2015 09:31:49|来自：新加坡

NYSE margin debt

赌烂 · 发表于 4-9-2015 09:58:10|来自：新加坡

任何估值如果没有参照无风险收益率都是耍流氓

Master乌龟 · 发表于 4-9-2015 10:52:49|来自：新加坡

赌烂发表于 4-9-2015 09:58
任何估值如果没有参照无风险收益率都是耍流氓

Market Valuation, Inflation and Treasury Yields: More Clues from the Past
September 2, 2015 by Jill Mislinski

Our monthly market valuation updates have long had the same conclusion: US stock indexes are significantly overvalued, which suggests cautious expectations on investment returns. In a "normal" market environment -- one with conventional business cycles, Federal Reserve policy, interest rates and inflation -- current valuation levels would be a serious concern.
But these are different times. The economic cycle shaped by the Financial Crisis that began emerging in 2007 shortly after the Bear Stearns hedge funds collapsed. The Fed began its historic crusade in cutting the overnight rate from an average of 5.25% prior to the hedge fund collapse to ZIRP (Zero Interest Rate Policy) as of December 16, 2008. The bankruptcy of Lehman Brothers on September 15, 2008 was the most dramatic precipitator of the Fed's unprecedented policies.

In the wake of the Financial Crisis, inflation has been low and the 10-year Treasury yield is hovering about 70 basis points above its historic closing low of 1.43% set on July 25, 2012 (the monthly average that month also an all-time low of 1.53%). So, with this refresher on the Financial Crisis in mind, let's take another look at the popular P/E10 valuation metric.
Here is a scatter graph with the market valuation on the vertical axis (log scale) and inflation on the horizontal axis. It includes some key highlights: 1) the extreme overvaluation of the Tech Bubble, 2) the valuations since the start of last recession, 3) the average P/E10 and 4) where we are today.

The inflation "sweet spot", the range that has supported the highest valuations, is approximately between 1.4% and 3%. See, for example the highlighted extreme valuations associated with the Tech Bubble arbitrarily as a P/E10 of 30 and higher. The chronology of the orange "bubble" on the chart is a clockwise loop of 56 months starting at the 6 o'clock position. The P/E10 was 31.3 and the annual inflation rate for that month, June 1997, was 2.30%. The average inflation rate for the loop was 2.41%. The P/E10 peak of 44.2 in December 1999 was accompanied by a 2.68% annual inflation rate. Two months later the inflation rate topped 3% at 3.22%. The right side of the loop shows what happened thereafter. The ratio slipped below 30 for two months (the tail at the bottom of the loop) before its final three-month swan song in the 30+ range.

The latest P/E10 valuation is 25.5 at a 0.51% year-over-year inflation rate, which is below the sweet spot mentioned above.

And speaking of that 30 threshold for the P/E10, prior to the Tech Bubble, only two months in history had a ratio above 30: They were 31.5 and 32.6 in August and September of 1929, just before the Crash of 1929. Research estimates put the annual inflation rate during those two months at 1.17% and 0.00% (zero).

P/E10 and the 10-Year Treasury Yield
A common question is whether a valuation metric such as the P/E10 has any merit in a world with Treasury yields at current levels. Investors who require portfolio growth might indeed be motivated to disregard historic indicators that warn of an overvalued market. But what does history show us about the correlation between the P/E10 and the 10-year constant maturity yield? The next scatter graph offers some clues. The horizontal axis has been switched to the 10-year yield. The chart uses a log scale to better illustrate the relative yields values.

In the months following the Great Financial Crisis we have essentially been in "uncharted" territory. Never in history have we had 20+ P/E10 ratios with yields below 2.5%. The latest monthly average of daily closes on the 10-year yield is at 2.17%, which is 64 bps higher than its all-time average of 1.53% in July 2012. The closest we ever came to this in US history was a seven-month period from October 1936 to April 1937. During that timeframe the 10-year yield averaged 2.67%. How did the market fare? The S&P Composite hit an interim high (based on monthly averages of daily closes) in February 1937. The index plunged 44.9% over the next 15 months.

If we look to the Dow daily closes during that period, the index hit an interim high on March 3, 1937 and fell 49.1% to an interim trough on March 31, 1938 — 13 months later.
What can we conclude? We have been in "uncharted" territory. Despite the end of QE, many analysts assume that Fed intervention through its Zero Interest Rate Policy (ZIRP), will keep yields in the basement for a prolonged period, thus continuing to promote a risk-on skew to investment strategies despite weak fundamentals.

On the other hand, we could see a negative market reaction to a growing sense that Fed intervention may have its downside, resulting in an aberrant bond market and increased inflation/deflation risk.

We are indeed living in interesting times.

Note: For readers unfamiliar with the S&P Composite index, see this article for some background information.
To support our characterization of the current Effective Federal Funds Rate as "unprecedented", here is a snapshot of the complete FFR series available from the FRED repository.