【橋水觀點】投資中國資產對於全球投資者是難得的機會 Vol.1
We have discussed in many reports the opening up of financial markets in China, the size and importance of these markets and the Chinese economy, and how most foreign investors are underweight Chinese assets relative to their liquidity and importance. Having spoken with many major investors, there is a lot of agreement on these topics and the need to formulate a plan to determine how to deal with them. Those who already have investments in China have largely focused on equities, private equity, and to some extent equity alpha.
我們在許多投資報告中討論了中國金融市場的開放、這些市場和中國經濟的規模和重要性，以及大多數外國投資者如何相對於流動性和重要性低估中國資產。在與許多主要投資者交談後，在這些主題上達成了很多共識，並且需要製定計劃來確定如何投資中國市場。那些已經在中國進行投資的人主要關注股票、私募股權，在某種程度上還專注於獲取權益類資產中的阿爾法（超額收益)。
Due to these investments, as well as investments in global equities that do business in China, many investors have exposure to Chinese growth. But few investors are efficiently accessing risk premiums and discount rates in China while hedging their exposure to Chinese growth. Because China has an independent monetary policy and because its savings patterns are quite different from those in much of the developed world, risk premiums and discount rates are quite different in China, and by balancing assets, investors can access these sources of return without exposure to Chinese growth. Accessing this diversifying return stream can have a large impact on portfolios.
由於這些投資以及對在中國開展業務的全球股票的投資，許多投資者都收益於中國經濟規模的增長。但很少有投資者在對沖中國經濟增長風險的同時，有效地獲取中國的風險溢價和貼現率。由於中國有獨立的貨幣政策，而且由於其儲蓄模式與大多數發達國家的儲蓄模式截然不同，中國的風險溢價和貼現率也大不相同，通過平衡資產，投資者可以在不承擔風險的情況下獲得這些回報來源 中國增長。獲得這種多樣化的回報流會對投資組合產生很大影響。
The chart below sheds some light on the value of a diversified portfolio of Chinese assets to a typical portfolio. Each gray bubble represents an asset holding in a traditional US institutional portfolio, with the size of the bubble reflecting risk contribution to the portfolio. We’ve plotted each investment in terms of its correlation to the portfolio (the horizontal axis) and its “goodness,” or return-to-risk ratio (the vertical axis). As you move up and to the right, the more valuable an investment becomes to the portfolio — the more diversifying and/ or higher returning for the risk taken. As shown, a balanced portfolio of Chinese assets is unique in being both diversifying to the portfolio and a high-quality stand-alone investment.
下圖揭示了中國資產多元化投資組合相對於典型投資組合的價值。每個灰色氣泡代表傳統美國機構投資組合中的一項資產，氣泡的大小反映了對投資組合的風險貢獻。我們根據其與投資組合的相關性（橫軸）及其”優度”或風險回報率（縱軸）繪製了每項投資。當您向上和向右移動時，一項投資對投資組合的價值越高 — — 所承擔的風險就越多樣化和/或更高的回報。
如圖所示，中國資產的均衡投資組合在分散投資組合和高質量的獨立投資方面是獨一無二的。
1 Additional information about the Chinese Balanced Portfolio and the US Traditional Portfolio, both of which are simulated, is included in the Important Disclosures at the end of the research paper. There are no guarantees that expected returns can or will be achieved.
1 關於中國平衡投資組合和美國傳統投資組合的更多信息，兩者都是模擬的，包含在研究論文末尾的重要披露中。我們無法保證能夠或將會實現預期回報。
The chart above just illustrates the portfolio math perspective. What it fails to capture are the situations in which diversification can be a lifesaver. If we transition from a period of cooperative global arrangements to competitive global arrangements, de-globalization, and increasing conflict (both internal and external), diversification will be even more valuable going forward than it has been. We would be wary of relying on one’s ability to pick winners and losers, and would spread our bets as much as possible.
上圖只是說明了投資組合數學的觀點。它未能捕捉到的是多元化可以成為救命稻草的情況。如果我們從合作性全球安排過渡到競爭性全球安排、去全球化和日益加劇的衝突（內部和外部），那麼多樣化將比以往更有價值。我們會警惕依靠一個人選擇贏家和輸家的能力，並儘可能分散我們的賭注。
For the Most Part, Nobody Is Talking about Diversification Because Concentrated US Equity Portfolios Have Done So Well
在大多數情況下，沒有人談論資產分散以及多元化，因為集中的美國股票投資組合做得很好
The need for and value of geographic diversification has been obscured by the fact that recently it hasn’t paid off. Over the past decade, the concentration of many portfolios in US assets, particularly US equities, has been a massive tailwind. Below we show the returns of a US 60/40 portfolio over every 10-year period since 1970, with the most recent decade shown in red. As shown, the past decade has been one of the best periods for such a portfolio in the past 50 years.
地域多元化的必要性和價值被最近沒有得到回報的事實所掩蓋。在過去十年中，許多投資組合集中在美國資產，尤其是美國股票，一直是一個巨大的順風。下面我們展示了自 1970 年以來每 10 年期間美國 60/40 投資組合的回報，最近十年以紅色顯示。
如圖所示，過去十年是過去 50 年來此類投資組合的最佳時期之一。
2 Analysis through March 2019. The 60/40 represents 60% capital weight in equities and 40% capital weight in nominal bonds.
2 截至 2019 年 3 月的分析。 60/40 代表 60% 的股票資本權重和 40% 的名義債券資本權重。
Country Outperformance Should Not Be Extrapolated
我們不應當武斷認為美國經濟將會超過中國
We would be nervous about extrapolating US outperformance, and if anything the reverse appears more likely to us going forward given current pricing. The table below ranks different countries’ respective equity returns over every decade since the 1900s. As shown, an equities market that outperforms in one decade often underperforms in the next, with no one country consistently outperforming. In the 1980s, the US was one of the worst performers; that flipped in the 1990s when the US was nearly the top performer, flipped again in the 2000s when the US underperformed, and then reversed again in the 2010s when the US has been on top.
如果我們仍然認為美國經濟將優於中國經濟，這應該使我們感到緊張，如果是的話，考慮到當前的資產定價水平，我們更有可能向前發展。下表對自 1900 年代以來每十年不同國家的股票回報率進行排名。如圖所示，一個在十年內表現出色的股票市場在下一個十年往往表現不佳，沒有一個國家會一直表現出色。在1980年代，美國是表現最差的國家之一。在1990 年代美國幾乎是表現最好的國家時發生反轉，在2000年代美國表現不佳時再次反轉，然後在 2010年代美國一直處於領先地位時再次反轉。
3 China equities start in 2001.
4 A “*” denotes the best performer of the prior decade.
3 中國股票始於 2001 年。
4 “*”表示過去十年中表現最好的公司。
This flip-flopping pattern is understandable, as markets are discounting machines — the relative strength that causes one country to outperform gets baked into the price and if anything is often then over-extrapolated, making a disappointment more likely in the future (and vice versa). This has happened to a significant degree with recent US outperformance: markets are pricing that outperformance to continue at a time when the conditions that produced it are no longer in place. Markets are pricing real implied earnings growth in the US to be roughly 7% higher than in the rest of the world, even as the impact of one-off fiscal stimulus in the US is fading and both the cyclical and secular pressures are shifting to put strains on US companies.
這種盛極而衰的經濟翻轉模式是可以理解的，因為市場是貼現機器 — — 導致一個國家表現出色的相對實力被計入資產價格，如果有什麼事情經常被過度推斷，那麼未來更有可能失望（反之亦然） ）。這在很大程度上發生在美國最近的出色市場表現中：市場定價在產生這種表現的條件不再存在的情況下繼續表現出色。儘管美國一次性財政刺激措施的影響正在消退，而且週期性和長期壓力都在轉移到 美國公司的壓力。
Chinese Public Markets Now Offer a Unique Opportunity to Diversify
中國公開的金融市場現在提供了一個獨特的多元化機會
The following charts are likely familiar, but it’s worth pausing on just how much the world has changed in our lifetimes with respect to the composition of global output and growth and the opportunity for global diversification. China and emerging Asia are now roughly equal contributors to global output versus the US and Euroland combined, and make up a significantly higher proportion of global growth, with these trends likely to continue. The world is increasingly tri-polar, with China being of equal importance as the US and Euroland.
下面的圖表可能很熟悉，但值得停下來看看世界在我們有生之年在全球產出和增長的構成以及全球多樣化的機會方面發生了多大的變化。中國和新興亞洲現在對全球產出的貢獻與美國和歐洲的總和大致相等，並且在全球增長中所佔的比例要高得多，而且這些趨勢可能會持續下去。世界日益呈現三極格局，中國與美國和歐洲同等重要。
The capital markets reflect the new economic reality, with China now having the second largest equity market and the third largest bond market in the world.
資本市場反映了新的經濟現實，中國現在擁有世界第二大股票市場和第三大債券市場。
The big deal is that these markets are now open to foreign investors. The blue line below shows the total size of the Chinese equity and bond markets, with the red line showing the amount now accessible to foreigners (over $10 trillion). The green line shows the amount currently held by foreigners: by and large, foreigners haven’t taken advantage of the opening of Chinese markets, and are effectively quite underweight China relative to its importance in the global economy and its size in global markets.
重要的是，這些市場現在對外國投資者開放。下面的藍線顯示了中國股票和債券市場的總規模，紅線顯示了外國人現在可以使用的金額（超過 10 萬億美元）。綠線顯示了外國人目前持有的數量：總的來說，外國人沒有利用中國市場的開放，相對於中國在全球經濟中的重要性和在全球市場的規模，他們實際上相當低估了中國。
A Balanced Portfolio Is Possible in Liquid Chinese Assets
流動性強的中國資產有可能實現平衡的投資組合
The opening up of the Chinese bond market alongside the equities market means that it’s now possible for foreigners to hold a balanced portfolio of Chinese assets. That is, you can harvest the returns of Chinese assets relative to cash without making a bet on the Chinese economy or Chinese economic conditions. Below, we show the returns of a balanced portfolio of Chinese assets versus Chinese equities, bonds, and a Chinese 60/40. The balanced portfolio would have generated a significantly higher return-to-risk ratio than these alternatives, and in particular would have generated a higher return than Chinese equities with about one-third the risk, avoiding the wild gyrations in the Chinese equities market.
中國債券市場與股票市場的開放意味著外國人現在可以持有平衡的中國資產組合。
也就是說，您可以在不押注中國經濟或中國經濟狀況的情況下獲得中國資產相對於現金的回報.
下面，我們展示了中國資產與中國股票、債券和中國 60/40 的平衡投資組合的回報。
與這些替代方案相比，平衡的投資組合會產生明顯更高的風險回報率，尤其是會產生比風險約為三分之一的中國股票更高的回報，從而避免中國股票市場的劇烈波動。
5 Data through March 2019 and shown gross of fees. The Balanced Portfolio of Chinese Assets is simulated based on the All Weather China Asset Mix. It is expected that the simulated performance will periodically change as a function of both refinements to our simulation methodology and the underlying market data. HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING OR THE COSTS OF MANAGING THE PORTFOLIO. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER OR OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. Note that the All Weather China Asset Mix is being shown to demonstrate how a balanced portfolio of assets has performed. The All Weather China asset mix does not represent a product or service that is available for purchase by any investor. Past performance is not indicative of future results. Please review the Important Disclosures located at the end of the research paper.
5 截至 2019 年 3 月的數據，顯示費用總額。中國資產的平衡投資組合基於全天候中國資產組合進行模擬。預計模擬性能將隨著我們模擬方法的改進和基礎市場數據的變化而定期變化。假設或模擬的性能結果具有某些固有的限制。與實際業績記錄不同，模擬結果不代表實際交易或管理投資組合的成本。此外，由於交易尚未實際執行，因此某些市場因素（如缺乏流動性）的影響（如果有）可能低於或高於補償。一般來說，模擬交易程序也受制於它們的設計是為了事後諸葛亮。未聲明任何帳戶將或可能會獲得與所示類似的利潤或損失。請注意，全天候中國資產組合展示了平衡資產組合的表現。全天候中國資產組合不代表可供任何投資者購買的產品或服務。過去的表現並不預示未來的結果。請查看研究論文末尾的重要披露。
Balance across Chinese assets works about as well as balance anywhere else. Chinese assets work in fundamentally the same ways as any other country’s assets: they offer a risk premium over time and respond logically to economic conditions. As a result, a balanced portfolio of Chinese assets has produced by and large the same return-to-risk ratio over time as a balanced mix of any other country’s assets, roughly 0.6.
中國資產之間的平衡與其他任何地方的平衡一樣有效。中國資產的運作方式與任何其他國家的資產基本相同：隨著時間的推移，它們提供風險溢價，並對經濟狀況做出合乎邏輯的反應。因此，隨著時間的推移，平衡的中國資產組合所產生的風險回報率與任何其他國家資產的平衡組合大致相同，約為 0.6。
6 截至 2019 年 3 月的數據。單一國家平衡投資組合是使用當地資產的環境平衡投資組合的模擬版本。中國資產的平衡投資組合基於全天候中國資產組合進行模擬。預計模擬性能將隨著我們模擬方法的改進和基礎市場數據的變化而定期變化。假設或模擬的性能結果具有某些固有的限制。與實際業績記錄不同，模擬結果不代表實際交易或管理投資組合的成本。此外，由於交易尚未實際執行，因此某些市場因素（如缺乏流動性）的影響（如果有）可能低於或高於補償。一般來說，模擬交易程序也受制於它們的設計是為了事後諸葛亮。未聲明任何帳戶將或可能會獲得與所示類似的利潤或損失。請注意，全天候中國資產組合展示了平衡資產組合的表現。全天候中國資產組合不代表可供任何投資者購買的產品或服務。過去的表現並不預示未來的結果。請查看研究論文末尾的重要披露。
