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2021-03-01

Long term is the key

Which Companies Are Most At Risk From Surging Yields: Goldman Answers<blockquote>哪些公司面临收益率飙升的风险最大：高盛回答</blockquote>

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Whatever the cause, while rising breakeven inflation has driven most of the rise in yields during the past six months, the last two weeks have been characterized by a 40 bp jump in real yields.<blockquote>对于那些在2021年生活在岩石下的人来说，过去一个月的大新闻是，10年期国债收益率在一个月内攀升了50个基点至1.5%（在灾难性的7年期拍卖引发止损抛售后，技术上一度高达1.61%），因为实际利率在通胀预期（盈亏平衡）稳步上升后跃升，然而，通胀预期主要由10年期TIPS设定，其价格主要由美联储决定，因为其持续的TIPS大规模货币化（因此粉碎了TIPS可能具有的任何实际信号能力）。无论原因是什么，虽然盈亏平衡通胀上升推动了过去六个月收益率的大部分上涨，但过去两周的特点是实际收益率上涨了40个基点。</blockquote> <img src=\"https://static.tigerbbs.com/efd3fa48c3856c9963ae7e9f6e6de625\" tg-width=\"500\" tg-height=\"232\">It's this sudden spike in real yields as opposed to breakevens, that has sparked much of the fear in markets in the past week, because as Goldman's David Kostin explains in his Sunday Start note, \"conceptually, and historically, equities digest rising inflation expectations more easily than rising real yields\" and not just rising real yields, but a rapid spike the likes of which were last observed during the taper tantrum as we discussed two weeks ago in \"Yields Soar, Sending 30Y Real Rates Positive Amid Overheating Panic: What Happens Next\"). In any case, as a result of the violent moves in the rates complex, it is hardly a surprise that Kostin writes \"the recent backup in rates has sparked a new wave of client concern.\"<blockquote>正是实际收益率（而不是盈亏平衡）的突然飙升在过去一周引发了市场的大部分担忧，因为正如高盛的戴维·科斯汀（David Kostin）在他的周日开盘报告中解释的那样，“从概念上和历史上看，股市更容易消化不断上升的通胀预期”比实际收益率上升更容易”，而且不仅仅是实际收益率上升，而是快速飙升，正如我们两周前在“收益率飙升，在过热恐慌中导致30年期实际利率为正：接下来会发生什么”中讨论的那样）。无论如何，由于利率综合体的剧烈波动，科斯汀写道“最近利率的回升引发了新一波客户担忧。”</blockquote> <ul> <li>First, investors ask whether the level of rates is becoming a threat to equity valuations.</li> </ul> Predictably,Goldman's answer is an emphatic \"no\"with Kostin claiming (with a straight face) that \"although the S&amp;P 500 forward P/E multiple of 22x currently ranks in the 99th historical percentile since 1976, ranking only behind the peak of the Tech Bubble in 2000, our dividend discount model (DDM) implies an equity risk premium (ERP) that ranks in the 28th percentile, 70 bp above the historical average.\" In other words, massively, record stretched PE multiples won't collapse if rates rise. Yeah, right. May want to Timestamp that David. We'll check back in a few weeks. So whatwouldcause a market crash according to Goldman's head market cheerleader? Well, according to Kostin, \"keeping the current P/E constant, the 10-year yield would have to reach 2.1% to bring the yield gap to the historical median of 250 bp.If instead the yield gap remains unchanged, and rates rise to 2.0%, then the P/E multiple would fall by 10% to 20x.\"But don't worry, Kostin adds, because \"in today’s economic environment, our macro model suggests the ERP should be narrower than average.\" Translation: yes, a 10% drop is coming but our models say it may not come, so just keep buying.<blockquote><ul><li>首先，投资者询问利率水平是否正在对股票估值构成威胁。</li></ul>可以预见的是，高盛的回答是一个响亮的“不”科斯汀（面无表情）声称，“尽管标普500 22倍的远期市盈率目前排在1976年以来的第99个历史百分位，仅排在2000年科技泡沫顶峰之后，但我们的股息贴现模型（DDM）意味着股权风险溢价（ERP）排在第28百分位，比历史平均水平高出70个基点。”换句话说，如果利率上升，创纪录的市盈率不会大幅下降。是的，没错。可能想给大卫打个时间戳。我们几周后再来看看。那又怎样将会高盛首席市场啦啦队长称导致市场崩盘？嗯，根据科斯汀的说法，“如果保持当前市盈率不变，10年期国债收益率必须达到2.1%，才能使收益率差距达到250个基点的历史中值。相反，如果收益率差距保持不变，利率升至2.0%，那么市盈率将下降10%至20倍。”但不用担心，科斯汀补充道，因为“在当今的经济环境下，我们的宏观模型表明ERP应该比平均水平窄。”翻译：是的，10%的下降即将到来，但我们的模型说它可能不会到来，所以继续购买。</blockquote> <img src=\"https://static.tigerbbs.com/4cdbd39d9b2a4e20ee8ef423435a57d7\" tg-width=\"500\" tg-height=\"169\"><blockquote></blockquote> <ul> <li>Second, Goldman's bullish US equity view has already embedded expectations of rising interest rates.</li> </ul> Addressing the second most regular pushback against its bizarre optimism, Goldman says that an environment of accelerating economic growth (and recall that recently Goldman found that theUS Economy is Growing At the Fastest Pace On Record), and higher bond yields is consistent with the bank's forecast thatS&amp;P 500 EPS in 2021 will grow by 27% and be 10% higher than pre-pandemic 2019, driving a 14% rise this year to our year-end price target of 4300 despite a flat P/E multiple.In other words, multiples may indeed contract but the rise in earnings - a result of economic growth - will offset much if not all of the move. Furthermore, the forward market implies that 10-year nominal yields will climb 25 bp further to 1.7% - below Goldman's 2.1% redline - and real yields will climb by a similar amount to from -0.7% to -0.4% by year-end.<blockquote><ul><li>其次，高盛看涨美股观点已经嵌入加息预期。</li></ul>针对其奇异乐观情绪的第二个最常见的阻力，高盛表示，经济加速增长的环境（回想一下高盛最近发现美国经济正以有记录以来最快的速度增长）和更高的债券收益率与该银行的预测一致标普500 2021年每股收益将增长27%，比疫情前的2019年高出10%，尽管市盈率持平，但今年仍将上涨14%，达到我们的年终目标价4300点。换句话说，市盈率可能确实会收缩，但盈利的增长——经济增长的结果——将抵消大部分（如果不是全部）变动。此外，远期市场暗示，10年期名义收益率将进一步攀升25个基点至1.7%，低于高盛2.1%的红线，实际收益率将在年底前攀升类似幅度，从-0.7%升至-0.4%。</blockquote> <ul> <li>Third, even Kostin is forced to concede that the recent change in yields has reached a magnitude that is usually a headwind for stocks.</li> </ul> As the Goldman strategist concedes, equities have generated an average return of nearly +1% per month,but the return has averaged -1% during months when nominal rates rose by more than two standard deviations and -5% when real yields rose by that amount.Today, a two standard deviation monthly rise in 10-year rates equates to 40 bp for nominal yields and 30 bp for real yields, both thresholds exceeded this week.<blockquote><ul><li>第三，就连科斯汀也被迫承认，最近收益率的变化已经达到了通常对股市不利的程度。</li></ul>正如高盛策略师承认的那样，股票每月的平均回报率接近+1%，但当名义利率上升超过两个标准差时，回报率平均为-1%，当实际收益率上升超过两个标准差时，回报率平均为-5%。如今，10年期利率每月上升两个标准差，相当于名义收益率上升40个基点，实际收益率上升30个基点，本周都超过了这两个阈值。</blockquote> <img src=\"https://static.tigerbbs.com/a6a23015dc5dbaee1d4660e8e902a000\" tg-width=\"500\" tg-height=\"175\">Of course, it's not just absolute levels across risk that are impacted by rates: Kostin also notes that \"shifting interest rates have major implications forrotations within the equity market,a dynamic made clear in recent weeks.\" In mid-2020, Kostin's equity valuation model showed that equity duration –the expectations of earnings growth far in the future –had become a more important contributor to multiples than ever before. One key reason for the importance that investors ascribed to expected future growth was the extremely low level of interest rates. As rates have risen, the contribution of equity duration to stock valuations has declined while near-term growth profiles have become more important. Practically,this means that both the improving growth outlook and rising rates have supported the outperformance of cyclicals and value stocks relative to stocks with the highest long-term growth.Hardly surprising, in recent weeks Goldman's S&amp;P 500 Growth factor has declined by 9%, similar to the 12% decline around the announcement of Pfizer-BioNTech vaccine efficacy in November<blockquote>当然，受利率影响的不仅仅是风险的绝对水平：科斯汀还指出，“利率变化对股票市场内的轮动，最近几周的动态变得很明显。”2020年中期，科斯汀的股票估值模型显示，股票久期——对遥远未来盈利增长的预期——已成为比以往任何时候都更重要的市盈率贡献者。投资者重视预期未来增长的一个关键原因是极低的利率水平。随着利率上升，股票久期对股票估值的贡献下降，而近期增长状况变得更加重要。实际上，这意味着增长前景的改善和利率的上升都支持了周期性股票和价值股相对于长期增长最高的股票的优异表现。毫不奇怪，最近几周高盛的标普500增长因子下降了9%，与11月份辉瑞-BioNTech疫苗功效公布前后12%的下降类似</blockquote> Which brings us to the one sector most at risk from the continued risk in yields.<blockquote>这就把我们带到了收益率持续风险最大的一个行业。</blockquote> As Kostin writes, \"this rotation has also weighed on one of the most spectacular outperformers of the last 12 months: Stocks with negative earnings but strong expected growth.\"One of the most remarkable moves of the past year is thata basket of non-profitable tech stocks soared by 204% last year and 27% in the first six weeks of 2021... before falling by 15% in last two weeks.The decline of these high-growth firms has been particularly painful given the current record degree of leverage carried by hedge funds and the elevated activity of retail traders, both of whom have recently favored some of these long-duration stocks.<blockquote>正如科斯汀所写，“这种轮换也给过去12个月中表现最出色的股票之一带来了压力：盈利为负但预期增长强劲的股票。”过去一年最引人注目的举措之一是一篮子未盈利的科技股去年飙升204%，2021年前六周飙升27%...在过去两周内下跌了15%。鉴于对冲基金目前创纪录的杠杆程度和散户交易者活动的增加，这些高增长公司的衰落尤其令人痛苦，而散户交易者最近都青睐其中一些长期股票。</blockquote> To be sure, while earnings for S&amp;P 500 firms declined by 13% in 2020, the fall in aggregate profits does not capture the wide dispersion in operating results that occurred inside the market. While 2020 EPS growth was negative for the overall index and the median stock,the actual level of profits was positive... But not for every company.In fact,1082 firms or 37% of the constituents in the Russell 3000 posted negative net income in 2020 (i.e., a loss or negative EPS), and 21% posted negative EBITDA.<blockquote>可以肯定的是，虽然标普500公司的盈利在2020年下降了13%，但总利润的下降并没有反映出市场内部经营业绩的广泛分散。虽然2020年每股收益增长整体指数和股票中位数均为负，实际利润水平为正...但并不是每家公司都如此。事实上，罗素3000指数成分股中有1082家公司（即37%的成分股）在2020年净利润为负（即亏损或每股收益为负），21%的公司EBITDA为负。</blockquote> Getting even more granular (and apologizing to George Orwell), Kostin then notes that all companies with losses are equal, but some are more equal than others. Some firms reported negative earnings in 2020 because the pandemic and economic shutdown disrupted their business and crushed their revenues.But in other instances, the Goldman strategist points out that \"companies grew sales so rapidly that top-line was the focus of investors and bottom-line losses were ignored.\"Indeed, consider that across all non-Financial US stocks with at least $50 million in revenues, \"those with negative earnings and declining revenues in 2020 returned a median of -18% last year. In contrast, stocks with negative earnings and growing revenues returned +51%.\"<blockquote>科斯汀变得更加细致（并向乔治·奥威尔道歉），然后指出所有亏损的公司都是平等的，但有些公司比其他公司更平等。一些公司在2020年报告了负收益，因为疫情和经济停摆扰乱了他们的业务并压低了他们的收入。但在其他情况下，高盛策略师指出，“公司销售额增长如此之快，以至于营收成为投资者关注的焦点，而利润损失却被忽视了。”事实上，考虑到所有收入至少为5000万美元的非金融美国股票，”2020年盈利为负且收入下降的企业去年的回报率中位数为-18%。相比之下，盈利为负且收入增长的股票回报率为+51%。”</blockquote> <img src=\"https://static.tigerbbs.com/672e0f0b03d6b3cec8ec067276919bf9\" tg-width=\"500\" tg-height=\"171\">Recently, however, improving economic growth prospects from vaccination rollout and pending fiscal stimulus coupled with rising rates have moved firms that struggled most in 2020 into pole position so far in 2021.The cyclical and virus-affected firms withnegative earnings and falling sales in 2020 have generated a median YTD return of +22%, outperforming the +10% return of the median stock that posted a loss but grew sales last year.Unsurprisingly, these cyclical stocks have been positively correlated with both nominal and real interest rates. In contrast,the ultra long-duration stocks have been negatively correlated with interest rates given they generate no earnings today and their valuations depend entirely on future growth prospects.Cyclicals also carry far lower valuations, with a median EV/2022 sales ratio of 2x vs. 6x for the median negative earner with positive sales growth.<blockquote>然而，最近，疫苗接种的推出和即将出台的财政刺激措施改善了经济增长前景，加上利率上升，使2020年最困难的公司在2021年迄今为止处于领先地位。周期性和受病毒影响的公司2020年的负收益和销售额下降导致年初至今回报率中位数为+22%，超过了去年亏损但销售额增长的股票回报率中位数+10%。不出所料，这些周期性股票与名义利率和实际利率都呈正相关。相比之下，超长期股票与利率呈负相关，因为它们目前没有产生收益，而且它们的估值完全取决于未来的增长前景。周期性股票的估值也低得多，EV/2022年销售比率中位数为2倍，而销售正增长的负收入者中位数为6倍。</blockquote> <img src=\"https://static.tigerbbs.com/a00a42075ac35763072cb85546315087\" tg-width=\"500\" tg-height=\"174\">Putting it all together, Kostin concludes that \"looking forward, investors must balance the appeal of promising businesses with the risk that rates rise further and the recent rotation continues.\"The list of non-profitable companies that makes up GOldman's Non-Profitable Tech basket is shown below:<blockquote>综合起来，科斯汀得出的结论是“展望未来，投资者必须平衡有前途的企业的吸引力与利率进一步上升和近期轮换持续的风险。”构成高盛非营利科技篮子的非营利公司列表如下所示：</blockquote> <img src=\"https://static.tigerbbs.com/782b2dbfc010259d8bc5120f85d13070\" tg-width=\"500\" tg-height=\"364\">And although secular growth stocks may remain the most appealing investments on a long-term horizon, Goldman believes thatthose stocks will underperform more cyclical firms in the short-term if economic acceleration and inflation continue to lift interest rates.<blockquote>尽管长期成长型股票可能仍然是最有吸引力的投资，但高盛认为如果经济加速和通胀继续提高利率，这些股票的短期表现将逊于更具周期性的公司。</blockquote> Which brings us to the other side of the table: thechart below shows the Russell 1000 firms from each sector with the shortest implied equity durations that have outperformed sector peers during the past two weeks as rates rose and are expected to grow revenues in 2021. The median stock trades at a P/E ratio of 19x and has returned 7% YTD compared with 22x and 2% for the Russell 1000 median.<blockquote>这就把我们带到了桌子的另一边：下图显示了每个行业隐含股权久期最短的罗素1000公司，这些公司在过去两周内随着利率上升而表现优于行业同行，预计2021年收入将增长该股的市盈率中位数为19倍，年初至今回报率为7%，而罗素1000指数中位数为22倍和2%。</blockquote> <img src=\"https://static.tigerbbs.com/96e14fcedd553203d06c6a3639a17f8f\" tg-width=\"500\" tg-height=\"365\"><blockquote></blockquote>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Which Companies Are Most At Risk From Surging Yields: Goldman Answers<blockquote>哪些公司面临收益率飙升的风险最大：高盛回答</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nWhich Companies Are Most At Risk From Surging Yields: Goldman Answers<blockquote>哪些公司面临收益率飙升的风险最大：高盛回答</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-03-01 15:49\n\n</h4>\n</header>\n<article>\nFor those living under a rock in 2021, the big story in the past month is that 10-year Treasury yield have climbed by 50 bps in a month to 1.5% (technically as high as 1.61% for a few brief seconds on Thursday after the catastrophic 7Y auction triggered stop loss selling) as real rates jumped following a steady increase in inflation expectations (breakevens), which however are largely set by 10Y TIPS whose price is determined largely by the Fed due to its massive ongoing monetization of TIPS (thus crushing any actual signaling power TIPS may have). Whatever the cause, while rising breakeven inflation has driven most of the rise in yields during the past six months, the last two weeks have been characterized by a 40 bp jump in real yields.<blockquote>对于那些在2021年生活在岩石下的人来说，过去一个月的大新闻是，10年期国债收益率在一个月内攀升了50个基点至1.5%（在灾难性的7年期拍卖引发止损抛售后，技术上一度高达1.61%），因为实际利率在通胀预期（盈亏平衡）稳步上升后跃升，然而，通胀预期主要由10年期TIPS设定，其价格主要由美联储决定，因为其持续的TIPS大规模货币化（因此粉碎了TIPS可能具有的任何实际信号能力）。无论原因是什么，虽然盈亏平衡通胀上升推动了过去六个月收益率的大部分上涨，但过去两周的特点是实际收益率上涨了40个基点。</blockquote> <img src=\"https://static.tigerbbs.com/efd3fa48c3856c9963ae7e9f6e6de625\" tg-width=\"500\" tg-height=\"232\">It's this sudden spike in real yields as opposed to breakevens, that has sparked much of the fear in markets in the past week, because as Goldman's David Kostin explains in his Sunday Start note, \"conceptually, and historically, equities digest rising inflation expectations more easily than rising real yields\" and not just rising real yields, but a rapid spike the likes of which were last observed during the taper tantrum as we discussed two weeks ago in \"Yields Soar, Sending 30Y Real Rates Positive Amid Overheating Panic: What Happens Next\"). In any case, as a result of the violent moves in the rates complex, it is hardly a surprise that Kostin writes \"the recent backup in rates has sparked a new wave of client concern.\"<blockquote>正是实际收益率（而不是盈亏平衡）的突然飙升在过去一周引发了市场的大部分担忧，因为正如高盛的戴维·科斯汀（David Kostin）在他的周日开盘报告中解释的那样，“从概念上和历史上看，股市更容易消化不断上升的通胀预期”比实际收益率上升更容易”，而且不仅仅是实际收益率上升，而是快速飙升，正如我们两周前在“收益率飙升，在过热恐慌中导致30年期实际利率为正：接下来会发生什么”中讨论的那样）。无论如何，由于利率综合体的剧烈波动，科斯汀写道“最近利率的回升引发了新一波客户担忧。”</blockquote> <ul> <li>First, investors ask whether the level of rates is becoming a threat to equity valuations.</li> </ul> Predictably,Goldman's answer is an emphatic \"no\"with Kostin claiming (with a straight face) that \"although the S&amp;P 500 forward P/E multiple of 22x currently ranks in the 99th historical percentile since 1976, ranking only behind the peak of the Tech Bubble in 2000, our dividend discount model (DDM) implies an equity risk premium (ERP) that ranks in the 28th percentile, 70 bp above the historical average.\" In other words, massively, record stretched PE multiples won't collapse if rates rise. Yeah, right. May want to Timestamp that David. We'll check back in a few weeks. So whatwouldcause a market crash according to Goldman's head market cheerleader? Well, according to Kostin, \"keeping the current P/E constant, the 10-year yield would have to reach 2.1% to bring the yield gap to the historical median of 250 bp.If instead the yield gap remains unchanged, and rates rise to 2.0%, then the P/E multiple would fall by 10% to 20x.\"But don't worry, Kostin adds, because \"in today’s economic environment, our macro model suggests the ERP should be narrower than average.\" Translation: yes, a 10% drop is coming but our models say it may not come, so just keep buying.<blockquote><ul><li>首先，投资者询问利率水平是否正在对股票估值构成威胁。</li></ul>可以预见的是，高盛的回答是一个响亮的“不”科斯汀（面无表情）声称，“尽管标普500 22倍的远期市盈率目前排在1976年以来的第99个历史百分位，仅排在2000年科技泡沫顶峰之后，但我们的股息贴现模型（DDM）意味着股权风险溢价（ERP）排在第28百分位，比历史平均水平高出70个基点。”换句话说，如果利率上升，创纪录的市盈率不会大幅下降。是的，没错。可能想给大卫打个时间戳。我们几周后再来看看。那又怎样将会高盛首席市场啦啦队长称导致市场崩盘？嗯，根据科斯汀的说法，“如果保持当前市盈率不变，10年期国债收益率必须达到2.1%，才能使收益率差距达到250个基点的历史中值。相反，如果收益率差距保持不变，利率升至2.0%，那么市盈率将下降10%至20倍。”但不用担心，科斯汀补充道，因为“在当今的经济环境下，我们的宏观模型表明ERP应该比平均水平窄。”翻译：是的，10%的下降即将到来，但我们的模型说它可能不会到来，所以继续购买。</blockquote> <img src=\"https://static.tigerbbs.com/4cdbd39d9b2a4e20ee8ef423435a57d7\" tg-width=\"500\" tg-height=\"169\"><blockquote></blockquote> <ul> <li>Second, Goldman's bullish US equity view has already embedded expectations of rising interest rates.</li> </ul> Addressing the second most regular pushback against its bizarre optimism, Goldman says that an environment of accelerating economic growth (and recall that recently Goldman found that theUS Economy is Growing At the Fastest Pace On Record), and higher bond yields is consistent with the bank's forecast thatS&amp;P 500 EPS in 2021 will grow by 27% and be 10% higher than pre-pandemic 2019, driving a 14% rise this year to our year-end price target of 4300 despite a flat P/E multiple.In other words, multiples may indeed contract but the rise in earnings - a result of economic growth - will offset much if not all of the move. Furthermore, the forward market implies that 10-year nominal yields will climb 25 bp further to 1.7% - below Goldman's 2.1% redline - and real yields will climb by a similar amount to from -0.7% to -0.4% by year-end.<blockquote><ul><li>其次，高盛看涨美股观点已经嵌入加息预期。</li></ul>针对其奇异乐观情绪的第二个最常见的阻力，高盛表示，经济加速增长的环境（回想一下高盛最近发现美国经济正以有记录以来最快的速度增长）和更高的债券收益率与该银行的预测一致标普500 2021年每股收益将增长27%，比疫情前的2019年高出10%，尽管市盈率持平，但今年仍将上涨14%，达到我们的年终目标价4300点。换句话说，市盈率可能确实会收缩，但盈利的增长——经济增长的结果——将抵消大部分（如果不是全部）变动。此外，远期市场暗示，10年期名义收益率将进一步攀升25个基点至1.7%，低于高盛2.1%的红线，实际收益率将在年底前攀升类似幅度，从-0.7%升至-0.4%。</blockquote> <ul> <li>Third, even Kostin is forced to concede that the recent change in yields has reached a magnitude that is usually a headwind for stocks.</li> </ul> As the Goldman strategist concedes, equities have generated an average return of nearly +1% per month,but the return has averaged -1% during months when nominal rates rose by more than two standard deviations and -5% when real yields rose by that amount.Today, a two standard deviation monthly rise in 10-year rates equates to 40 bp for nominal yields and 30 bp for real yields, both thresholds exceeded this week.<blockquote><ul><li>第三，就连科斯汀也被迫承认，最近收益率的变化已经达到了通常对股市不利的程度。</li></ul>正如高盛策略师承认的那样，股票每月的平均回报率接近+1%，但当名义利率上升超过两个标准差时，回报率平均为-1%，当实际收益率上升超过两个标准差时，回报率平均为-5%。如今，10年期利率每月上升两个标准差，相当于名义收益率上升40个基点，实际收益率上升30个基点，本周都超过了这两个阈值。</blockquote> <img src=\"https://static.tigerbbs.com/a6a23015dc5dbaee1d4660e8e902a000\" tg-width=\"500\" tg-height=\"175\">Of course, it's not just absolute levels across risk that are impacted by rates: Kostin also notes that \"shifting interest rates have major implications forrotations within the equity market,a dynamic made clear in recent weeks.\" In mid-2020, Kostin's equity valuation model showed that equity duration –the expectations of earnings growth far in the future –had become a more important contributor to multiples than ever before. One key reason for the importance that investors ascribed to expected future growth was the extremely low level of interest rates. As rates have risen, the contribution of equity duration to stock valuations has declined while near-term growth profiles have become more important. Practically,this means that both the improving growth outlook and rising rates have supported the outperformance of cyclicals and value stocks relative to stocks with the highest long-term growth.Hardly surprising, in recent weeks Goldman's S&amp;P 500 Growth factor has declined by 9%, similar to the 12% decline around the announcement of Pfizer-BioNTech vaccine efficacy in November<blockquote>当然，受利率影响的不仅仅是风险的绝对水平：科斯汀还指出，“利率变化对股票市场内的轮动，最近几周的动态变得很明显。”2020年中期，科斯汀的股票估值模型显示，股票久期——对遥远未来盈利增长的预期——已成为比以往任何时候都更重要的市盈率贡献者。投资者重视预期未来增长的一个关键原因是极低的利率水平。随着利率上升，股票久期对股票估值的贡献下降，而近期增长状况变得更加重要。实际上，这意味着增长前景的改善和利率的上升都支持了周期性股票和价值股相对于长期增长最高的股票的优异表现。毫不奇怪，最近几周高盛的标普500增长因子下降了9%，与11月份辉瑞-BioNTech疫苗功效公布前后12%的下降类似</blockquote> Which brings us to the one sector most at risk from the continued risk in yields.<blockquote>这就把我们带到了收益率持续风险最大的一个行业。</blockquote> As Kostin writes, \"this rotation has also weighed on one of the most spectacular outperformers of the last 12 months: Stocks with negative earnings but strong expected growth.\"One of the most remarkable moves of the past year is thata basket of non-profitable tech stocks soared by 204% last year and 27% in the first six weeks of 2021... before falling by 15% in last two weeks.The decline of these high-growth firms has been particularly painful given the current record degree of leverage carried by hedge funds and the elevated activity of retail traders, both of whom have recently favored some of these long-duration stocks.<blockquote>正如科斯汀所写，“这种轮换也给过去12个月中表现最出色的股票之一带来了压力：盈利为负但预期增长强劲的股票。”过去一年最引人注目的举措之一是一篮子未盈利的科技股去年飙升204%，2021年前六周飙升27%...在过去两周内下跌了15%。鉴于对冲基金目前创纪录的杠杆程度和散户交易者活动的增加，这些高增长公司的衰落尤其令人痛苦，而散户交易者最近都青睐其中一些长期股票。</blockquote> To be sure, while earnings for S&amp;P 500 firms declined by 13% in 2020, the fall in aggregate profits does not capture the wide dispersion in operating results that occurred inside the market. While 2020 EPS growth was negative for the overall index and the median stock,the actual level of profits was positive... But not for every company.In fact,1082 firms or 37% of the constituents in the Russell 3000 posted negative net income in 2020 (i.e., a loss or negative EPS), and 21% posted negative EBITDA.<blockquote>可以肯定的是，虽然标普500公司的盈利在2020年下降了13%，但总利润的下降并没有反映出市场内部经营业绩的广泛分散。虽然2020年每股收益增长整体指数和股票中位数均为负，实际利润水平为正...但并不是每家公司都如此。事实上，罗素3000指数成分股中有1082家公司（即37%的成分股）在2020年净利润为负（即亏损或每股收益为负），21%的公司EBITDA为负。</blockquote> Getting even more granular (and apologizing to George Orwell), Kostin then notes that all companies with losses are equal, but some are more equal than others. Some firms reported negative earnings in 2020 because the pandemic and economic shutdown disrupted their business and crushed their revenues.But in other instances, the Goldman strategist points out that \"companies grew sales so rapidly that top-line was the focus of investors and bottom-line losses were ignored.\"Indeed, consider that across all non-Financial US stocks with at least $50 million in revenues, \"those with negative earnings and declining revenues in 2020 returned a median of -18% last year. In contrast, stocks with negative earnings and growing revenues returned +51%.\"<blockquote>科斯汀变得更加细致（并向乔治·奥威尔道歉），然后指出所有亏损的公司都是平等的，但有些公司比其他公司更平等。一些公司在2020年报告了负收益，因为疫情和经济停摆扰乱了他们的业务并压低了他们的收入。但在其他情况下，高盛策略师指出，“公司销售额增长如此之快，以至于营收成为投资者关注的焦点，而利润损失却被忽视了。”事实上，考虑到所有收入至少为5000万美元的非金融美国股票，”2020年盈利为负且收入下降的企业去年的回报率中位数为-18%。相比之下，盈利为负且收入增长的股票回报率为+51%。”</blockquote> <img src=\"https://static.tigerbbs.com/672e0f0b03d6b3cec8ec067276919bf9\" tg-width=\"500\" tg-height=\"171\">Recently, however, improving economic growth prospects from vaccination rollout and pending fiscal stimulus coupled with rising rates have moved firms that struggled most in 2020 into pole position so far in 2021.The cyclical and virus-affected firms withnegative earnings and falling sales in 2020 have generated a median YTD return of +22%, outperforming the +10% return of the median stock that posted a loss but grew sales last year.Unsurprisingly, these cyclical stocks have been positively correlated with both nominal and real interest rates. In contrast,the ultra long-duration stocks have been negatively correlated with interest rates given they generate no earnings today and their valuations depend entirely on future growth prospects.Cyclicals also carry far lower valuations, with a median EV/2022 sales ratio of 2x vs. 6x for the median negative earner with positive sales growth.<blockquote>然而，最近，疫苗接种的推出和即将出台的财政刺激措施改善了经济增长前景，加上利率上升，使2020年最困难的公司在2021年迄今为止处于领先地位。周期性和受病毒影响的公司2020年的负收益和销售额下降导致年初至今回报率中位数为+22%，超过了去年亏损但销售额增长的股票回报率中位数+10%。不出所料，这些周期性股票与名义利率和实际利率都呈正相关。相比之下，超长期股票与利率呈负相关，因为它们目前没有产生收益，而且它们的估值完全取决于未来的增长前景。周期性股票的估值也低得多，EV/2022年销售比率中位数为2倍，而销售正增长的负收入者中位数为6倍。</blockquote> <img src=\"https://static.tigerbbs.com/a00a42075ac35763072cb85546315087\" tg-width=\"500\" tg-height=\"174\">Putting it all together, Kostin concludes that \"looking forward, investors must balance the appeal of promising businesses with the risk that rates rise further and the recent rotation continues.\"The list of non-profitable companies that makes up GOldman's Non-Profitable Tech basket is shown below:<blockquote>综合起来，科斯汀得出的结论是“展望未来，投资者必须平衡有前途的企业的吸引力与利率进一步上升和近期轮换持续的风险。”构成高盛非营利科技篮子的非营利公司列表如下所示：</blockquote> <img src=\"https://static.tigerbbs.com/782b2dbfc010259d8bc5120f85d13070\" tg-width=\"500\" tg-height=\"364\">And although secular growth stocks may remain the most appealing investments on a long-term horizon, Goldman believes thatthose stocks will underperform more cyclical firms in the short-term if economic acceleration and inflation continue to lift interest rates.<blockquote>尽管长期成长型股票可能仍然是最有吸引力的投资，但高盛认为如果经济加速和通胀继续提高利率，这些股票的短期表现将逊于更具周期性的公司。</blockquote> Which brings us to the other side of the table: thechart below shows the Russell 1000 firms from each sector with the shortest implied equity durations that have outperformed sector peers during the past two weeks as rates rose and are expected to grow revenues in 2021. The median stock trades at a P/E ratio of 19x and has returned 7% YTD compared with 22x and 2% for the Russell 1000 median.<blockquote>这就把我们带到了桌子的另一边：下图显示了每个行业隐含股权久期最短的罗素1000公司，这些公司在过去两周内随着利率上升而表现优于行业同行，预计2021年收入将增长该股的市盈率中位数为19倍，年初至今回报率为7%，而罗素1000指数中位数为22倍和2%。</blockquote> <img src=\"https://static.tigerbbs.com/96e14fcedd553203d06c6a3639a17f8f\" tg-width=\"500\" tg-height=\"365\"><blockquote></blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/which-companies-are-most-risk-surging-yields-goldman-answers?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+zerohedge%2Ffeed+%28zero+hedge+-+on+a+long+enough+timeline%2C+the+survival+rate+for+everyone+drops+to+zero%29\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{".SPX":"S&P 500 Index","SPY":"标普500ETF",".DJI":"道琼斯",".IXIC":"NASDAQ Composite"},"source_url":"https://www.zerohedge.com/markets/which-companies-are-most-risk-surging-yields-goldman-answers?utm_source=feedburner&utm_medium=feed&utm_campaign=Feed%3A+zerohedge%2Ffeed+%28zero+hedge+-+on+a+long+enough+timeline%2C+the+survival+rate+for+everyone+drops+to+zero%29","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1161169607","content_text":"For those living under a rock in 2021, the big story in the past month is that 10-year Treasury yield have climbed by 50 bps in a month to 1.5% (technically as high as 1.61% for a few brief seconds on Thursday after the catastrophic 7Y auction triggered stop loss selling) as real rates jumped following a steady increase in inflation expectations (breakevens), which however are largely set by 10Y TIPS whose price is determined largely by the Fed due to its massive ongoing monetization of TIPS (thus crushing any actual signaling power TIPS may have). Whatever the cause, while rising breakeven inflation has driven most of the rise in yields during the past six months, the last two weeks have been characterized by a 40 bp jump in real yields.\nIt's this sudden spike in real yields as opposed to breakevens, that has sparked much of the fear in markets in the past week, because as Goldman's David Kostin explains in his Sunday Start note, \"conceptually, and historically, equities digest rising inflation expectations more easily than rising real yields\" and not just rising real yields, but a rapid spike the likes of which were last observed during the taper tantrum as we discussed two weeks ago in \"Yields Soar, Sending 30Y Real Rates Positive Amid Overheating Panic: What Happens Next\"). In any case, as a result of the violent moves in the rates complex, it is hardly a surprise that Kostin writes \"the recent backup in rates has sparked a new wave of client concern.\"\n\nFirst, investors ask whether the level of rates is becoming a threat to equity valuations.\n\nPredictably,Goldman's answer is an emphatic \"no\"with Kostin claiming (with a straight face) that \"although the S&P 500 forward P/E multiple of 22x currently ranks in the 99th historical percentile since 1976, ranking only behind the peak of the Tech Bubble in 2000, our dividend discount model (DDM) implies an equity risk premium (ERP) that ranks in the 28th percentile, 70 bp above the historical average.\" In other words, massively, record stretched PE multiples won't collapse if rates rise. Yeah, right. May want to Timestamp that David. We'll check back in a few weeks. So whatwouldcause a market crash according to Goldman's head market cheerleader? Well, according to Kostin, \"keeping the current P/E constant, the 10-year yield would have to reach 2.1% to bring the yield gap to the historical median of 250 bp.If instead the yield gap remains unchanged, and rates rise to 2.0%, then the P/E multiple would fall by 10% to 20x.\"But don't worry, Kostin adds, because \"in today’s economic environment, our macro model suggests the ERP should be narrower than average.\" Translation: yes, a 10% drop is coming but our models say it may not come, so just keep buying.\n\n\nSecond, Goldman's bullish US equity view has already embedded expectations of rising interest rates.\n\nAddressing the second most regular pushback against its bizarre optimism, Goldman says that an environment of accelerating economic growth (and recall that recently Goldman found that theUS Economy is Growing At the Fastest Pace On Record), and higher bond yields is consistent with the bank's forecast thatS&P 500 EPS in 2021 will grow by 27% and be 10% higher than pre-pandemic 2019, driving a 14% rise this year to our year-end price target of 4300 despite a flat P/E multiple.In other words, multiples may indeed contract but the rise in earnings - a result of economic growth - will offset much if not all of the move. Furthermore, the forward market implies that 10-year nominal yields will climb 25 bp further to 1.7% - below Goldman's 2.1% redline - and real yields will climb by a similar amount to from -0.7% to -0.4% by year-end.\n\nThird, even Kostin is forced to concede that the recent change in yields has reached a magnitude that is usually a headwind for stocks.\n\nAs the Goldman strategist concedes, equities have generated an average return of nearly +1% per month,but the return has averaged -1% during months when nominal rates rose by more than two standard deviations and -5% when real yields rose by that amount.Today, a two standard deviation monthly rise in 10-year rates equates to 40 bp for nominal yields and 30 bp for real yields, both thresholds exceeded this week.\nOf course, it's not just absolute levels across risk that are impacted by rates: Kostin also notes that \"shifting interest rates have major implications forrotations within the equity market,a dynamic made clear in recent weeks.\" In mid-2020, Kostin's equity valuation model showed that equity duration –the expectations of earnings growth far in the future –had become a more important contributor to multiples than ever before. One key reason for the importance that investors ascribed to expected future growth was the extremely low level of interest rates. As rates have risen, the contribution of equity duration to stock valuations has declined while near-term growth profiles have become more important. Practically,this means that both the improving growth outlook and rising rates have supported the outperformance of cyclicals and value stocks relative to stocks with the highest long-term growth.Hardly surprising, in recent weeks Goldman's S&P 500 Growth factor has declined by 9%, similar to the 12% decline around the announcement of Pfizer-BioNTech vaccine efficacy in November\nWhich brings us to the one sector most at risk from the continued risk in yields.\nAs Kostin writes, \"this rotation has also weighed on one of the most spectacular outperformers of the last 12 months: Stocks with negative earnings but strong expected growth.\"One of the most remarkable moves of the past year is thata basket of non-profitable tech stocks soared by 204% last year and 27% in the first six weeks of 2021... before falling by 15% in last two weeks.The decline of these high-growth firms has been particularly painful given the current record degree of leverage carried by hedge funds and the elevated activity of retail traders, both of whom have recently favored some of these long-duration stocks.\nTo be sure, while earnings for S&P 500 firms declined by 13% in 2020, the fall in aggregate profits does not capture the wide dispersion in operating results that occurred inside the market. While 2020 EPS growth was negative for the overall index and the median stock,the actual level of profits was positive... But not for every company.In fact,1082 firms or 37% of the constituents in the Russell 3000 posted negative net income in 2020 (i.e., a loss or negative EPS), and 21% posted negative EBITDA.\nGetting even more granular (and apologizing to George Orwell), Kostin then notes that all companies with losses are equal, but some are more equal than others. Some firms reported negative earnings in 2020 because the pandemic and economic shutdown disrupted their business and crushed their revenues.But in other instances, the Goldman strategist points out that \"companies grew sales so rapidly that top-line was the focus of investors and bottom-line losses were ignored.\"Indeed, consider that across all non-Financial US stocks with at least $50 million in revenues, \"those with negative earnings and declining revenues in 2020 returned a median of -18% last year. In contrast, stocks with negative earnings and growing revenues returned +51%.\"\nRecently, however, improving economic growth prospects from vaccination rollout and pending fiscal stimulus coupled with rising rates have moved firms that struggled most in 2020 into pole position so far in 2021.The cyclical and virus-affected firms withnegative earnings and falling sales in 2020 have generated a median YTD return of +22%, outperforming the +10% return of the median stock that posted a loss but grew sales last year.Unsurprisingly, these cyclical stocks have been positively correlated with both nominal and real interest rates. In contrast,the ultra long-duration stocks have been negatively correlated with interest rates given they generate no earnings today and their valuations depend entirely on future growth prospects.Cyclicals also carry far lower valuations, with a median EV/2022 sales ratio of 2x vs. 6x for the median negative earner with positive sales growth.\nPutting it all together, Kostin concludes that \"looking forward, investors must balance the appeal of promising businesses with the risk that rates rise further and the recent rotation continues.\"The list of non-profitable companies that makes up GOldman's Non-Profitable Tech basket is shown below:\nAnd although secular growth stocks may remain the most appealing investments on a long-term horizon, Goldman believes thatthose stocks will underperform more cyclical firms in the short-term if economic acceleration and inflation continue to lift interest rates.\nWhich brings us to the other side of the table: thechart below shows the Russell 1000 firms from each sector with the shortest implied equity durations that have outperformed sector peers during the past two weeks as rates rose and are expected to grow revenues in 2021. The median stock trades at a P/E ratio of 19x and has returned 7% YTD compared with 22x and 2% for the Russell 1000 median.","news_type":1,"symbols_score_info":{"SPY":0.9,".DJI":0.9,".SPX":0.9,".IXIC":0.9}},"isVote":1,"tweetType":1,"viewCount":424,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":16,"xxTargetLangEnum":"ORIG"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/362972844"}