壹 回顾2013年

      市场对于即将到来的美联储缩减债券购买规模到底计入了多少呢？2013年5月23日，时任美联储主席伯南克在国会作证时表示将择机削减债券购买规模。此消息对市场无异于一个惊雷，导致了“缩减恐慌”：美国国债收益率上涨，债券价格下跌，全球股市调整。

      贰 债市已经反应缩减行动

      美国10年期国债收益率2013年5月23日为2.02%，到美联储宣布缩减债券购买计划前的12月初上涨2.81%，7个月的时间上涨了接近80个基点。而此次美国国债收益率从7月份最低1.19%上涨到10月份最高1.68%，上涨幅度为49个基点，为上一次缩减债券购买规模的一半以上。考虑到此次美联储与市场沟通很充分，基本可以认为美国国债市场反应了缩减债券规模所带来的冲击。

      叁 美股当前估值较高

      从股市的表现看，美国道琼斯工业指数2013年50次创出历史新高，全年累计涨幅为26.5%。缩减债券购买在2013年并未对美股造成重大冲击。今年美股表现也非常靓丽。年初至今，道琼斯、标普500和纳斯达克指数分别上涨17.6%、22.8%和20.4%，无数次创出历史新高。相比2013年，当前美股的主要风险是估值较高。2013年12月初， 道琼斯指数的静态市盈率为15.4倍，而当前为25.6倍，处在历史上的较高水平。如果将当前较低的利率水平考虑进来，按照2013年12月份的风险溢价，则估值水平应为19.3倍。当前估值较19.3倍高32.6%，这有可能是美股面临的一个风险。

      肆 对发展中国家冲击会较小

      发展中国家在此次美联储缩减债券购买规模之前都未雨绸缪，纷纷加息以防止资本外逃对股市和债市的冲击。从美元指数看，对比2013年，当前美元指数处在相对较高水平。2013年5月美元指数在80上下。美联储在2014年中结束债券购买之后，美元指数一路上行到100以上。而当前美元指数在94左右，上行空间虽然存在，但相比2013年空间较小。因此，美联储收缩流动性对发展中国家造成的冲击会减少。

      伍 关税降低提上日程

      A股和港股下跌。10月财新制造业采购经理人指数重回扩张区间，由需求复苏所带动。美股再创新高。美国财长耶伦认为中美将会以互惠的方式降低关税，并认为这有利于降低美国通胀。受此消息影响，港股夜期大幅上涨。

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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