自從上次美國(guó)總統(tǒng)大選以來(lái)，美股總體表現(xiàn)出了強(qiáng)勁的增長(zhǎng)勢(shì)頭。借助這股不可阻擋的復(fù)蘇之力，早早下手的投資者也確實(shí)賺了不少錢。但是還有一股不可阻擋之力也是投資者必須考慮的，它比近來(lái)美股的這輪漲勢(shì)更加可靠。從歷史趨勢(shì)來(lái)看，這股力量才是真正的不可阻擋，那就是四個(gè)字——“均值回歸”。

美國(guó)各大銀行的投資經(jīng)理和證券策略師近來(lái)都在不遺余力地兜售證券。雖然這些證券的估值都不可謂不高，但他們都拿出了類似的數(shù)據(jù)斷言股票還是值得買的。他們的理由聽起來(lái)也相當(dāng)充分——首先，目前上市公司的利潤(rùn)增長(zhǎng)得很快；其次，美國(guó)當(dāng)下的稅改很可能助推股價(jià)達(dá)到新高；再次，特朗普欽定的這位美聯(lián)儲(chǔ)主席很可能會(huì)保持低利率；最后，新一波的解綁政策很可能釋放被壓抑已久的資本投資，和上市公司高管內(nèi)心的狼性。

不過(guò)如果考慮到均值回歸的因素，你會(huì)發(fā)現(xiàn)，華爾街對(duì)股市的看法則很像一個(gè)哈哈鏡，硬是將一個(gè)瘦小的孩子拉成了一個(gè)NBA中鋒的模樣。

為了幫助大家了解什么是均值回歸，你可以把標(biāo)普500想象成一支大股票。如果與投資者從股票中獲得的收益（比如紅利或再投資收益）相比，這支股票的價(jià)格已經(jīng)被拉得極高，那么它的價(jià)格最終會(huì)被收益拉回到它的長(zhǎng)期均值，就像被萬(wàn)有引力控制著一樣。

現(xiàn)在就讓我們來(lái)看看，如果股價(jià)與收益之比（也就是所謂的市盈率）上漲到不尋常的高位時(shí)會(huì)發(fā)生什么——這也正是當(dāng)前投資者所面臨的局面。

衡量當(dāng)前大盤估值最好的工具，是耶魯大學(xué)經(jīng)濟(jì)學(xué)家羅伯特·席勒提出的“周期性調(diào)整市盈率”，簡(jiǎn)稱CAPE。CAPE用為期10年的通脹調(diào)整后利潤(rùn)均值抹平了收益的震蕩波動(dòng)。這樣做的原因也很簡(jiǎn)單，當(dāng)收益快速上升時(shí)，未調(diào)整的市盈率就會(huì)顯得低得不自然——有點(diǎn)像今天的情況。而在收益快速下降時(shí)，比如2009年，證券價(jià)格就會(huì)顯得貴得不自然。而CAPE的應(yīng)用則消除了這些畸變。

從1888年到1990年近一百年的時(shí)間里，標(biāo)普500的CAPE均值大約是16上下。在20世紀(jì)最近的二十多年里，這個(gè)均值上升到了19左右。從20世紀(jì)60年代起至今，CAPE曾經(jīng)有四個(gè)時(shí)期上升到極端值。研究一下CAPE遠(yuǎn)遠(yuǎn)偏離均值后發(fā)生了什么，對(duì)于指導(dǎo)當(dāng)下的投資顯然是有裨益的。

CAPE第一次飆升是1962年7月到1965年11月，在這段時(shí)期，CAPE從17上漲到了24。到70年代末，它又回落到了16的長(zhǎng)期均值。第二次飆升是從1992年開始的，1992年初的CAPE還是19左右，還沒(méi)有偏離那幾十年的歷史均值。而到了1999年7月，CAPE已經(jīng)上漲到了它的史上最高點(diǎn)——44。物極必反，到了2003年2月，CAPE已經(jīng)下跌了一半以上，回落到了21。

緊接著1999年至2003年的那次大回落，CAPE的第三次飆升又開始了，到2007年8月，CAPE已經(jīng)上漲到28左右。這一次，均值回歸又發(fā)揮了“看不見的手”的作用。到2010年末，CAPE已經(jīng)滑落到20左右，此時(shí)的美國(guó)正在經(jīng)濟(jì)危機(jī)中艱難復(fù)蘇。CAPE的第四次偏離均值就是現(xiàn)在了。從2010年末開始，CAPE再次出現(xiàn)飆升，在今年10月已達(dá)31.2，為近16年來(lái)的最高值。

回顧歷史，我們發(fā)現(xiàn)了一個(gè)基本規(guī)律：CAPE從來(lái)沒(méi)有哪一個(gè)時(shí)期穩(wěn)定地保持在31以上過(guò)。歷史上它只有兩次超過(guò)了31這個(gè)值，第一次緊跟著1929年歷史性的“大蕭條”；第二次則是1997年至2001年持續(xù)四年的“.com”科技泡沫大崩盤。顯而易見，CAPE的每次飆升，隨后都會(huì)發(fā)生令財(cái)富大幅縮水的股災(zāi)。

所以目前的風(fēng)險(xiǎn)是不言而喻的：如果標(biāo)普500的CAPE回歸到20左右（這個(gè)值還略高于近幾十年的歷史均值），那就意味著股價(jià)需要暴跌36%左右。我并不是說(shuō)這種程度的股災(zāi)已經(jīng)迫在眉睫了，也不是說(shuō)它一定會(huì)發(fā)生。此文只是提醒廣大投資者，雖然近來(lái)股市的勢(shì)頭傾向于牛市一邊，而歷史卻正指向熊市。（財(cái)富中文網(wǎng)）

譯者：賈政景

The stock market has shown extraordinary momentum since the presidential election, and investors who placed bets on that irresistible force have garnered big gains. But folks should think hard about another force that’s a lot more reliable than momentum. According to history, it’s the real irresistible force, and it consists of four words: Reversion to the Mean.

The portfolio managers and equity strategists at America’s big banks are selling equities hard. Despite what look like super-rich valuations, they keep parading familiar bullet points to assert that stocks are still a bargain. They note that profits are growing fast and that sweeping tax reform could send them soaring to fresh heights, that President Trump’s pick for Federal Reserve chairman is likely to hold interest rates low, and that a new wave of deregulation is unshackling pent-up capital investing and unleashing animal spirits in corporate c-suites.

But when you consider reversion to the mean, Wall Street’s slant on the stock market seems as exaggerated as a funhouse mirror that elongates a scrawny kid to the height of an NBA center.

To best understand reversion, think of the S&P 500 as one big share of stock. The concept states that when the price of that share becomes extremely elevated compared with the earnings investors gain from that share, either in the form of dividends or reinvested earnings, the price relative to those earnings returns to the long-term average, as if governed by a gravitational force.

So let’s examine what happens to that ratio of price to earnings, or the market PE, after it rises to unusually high levels—precisely the scenario investors face today.

The best measure for current stock valuations is the CAPE, or cyclically adjusted price-to-earnings ratio, developed by Yale economist Robert Shiller. The CAPE smooths out volatile fluctuations in earnings by using a 10-year average of inflation-adjusted profits as the current reading. The reason is basic: When earnings spike, non-adjusted PEs look artificially low—the likely picture today—and when they dive as in 2009, equities look falsely expensive. The CAPE removes those distortions.

The CAPE for the S&P 500 averaged around 16 from 1888 to 1990, and a much higher 19 over the last quarter century. A graph of the CAPE since the late 1960s displays four periods when the measure rose to extremes. And it’s instructive to see what happened after the measure soared far above those benchmarks.

The first plateau: From July 1962 to November 1965, the CAPE rose sharply, from 17 to 24. By late 1970, it had fallen to its long-term average of 16. The second example: In early 1992, the CAPE stood at around 19, once again, near its normal level in recent decades. By July 1999, it had jumped to its highest point ever, 44. Then the customary fear of heights prevailed, and by February 2003, the CAPE had dropped by half to 21.

The third case: After the big fall from mid-1999 to early 2003, the CAPE rebounded to almost 28 in May 2007. Once again, gravity took hold, and it slipped to 20 in late 2010 as America emerged from the financial crisis. The fourth example applies today: Since late 2010, the CAPE has done a hockey stick, hitting a sixteen-year record of 31.2 in October.

The review of past spikes makes a basic point: The CAPE has never, ever stayed at 31 for a sustained period. It’s only exceeded that level twice, first briefly prior to the historic crash of 1929, and second, during a relatively long, four-year stretch during the tech bubble from mid-1997 to mid-2001. And as goes almost without saying, each past spike was followed by a wealth-zapping crash.

Here’s the danger: If the S&P 500 were to revert to a CAPE of 20, just above its average in recent decades, stock prices would need to fall by 36%. This isn’t a prediction that such a collapse is imminent, or will happen at all. It’s simply a reminder that while momentum is on the market’s side, history is not.