精译求精系列之八：美国基金经理七月资产配置调查

Original 2016-07-29 精译求精 港股那点事

总结：截止今日，标普500指数已经从今年二月份的1850点反弹至了如今的2170店，上涨了接近20%。美国以外地区股市的平均涨幅也有12%。在这一波上涨之前基金经理在二月份的现金配置达到2001年以来的最高水平的。那么这些基金经理们追上这波上涨了吗？数据显示，这些年薪拿着百万美元的基金经理在过去几个月买入债券，同时降低了股票仓位…

Remarkably, allocations to cash are now even higher than in February, and fund managers are now underweight equities for the first time in 4 years. Fund managers have pushed into bonds, with income allocations rising to a 3 1/2 year high in June and July. Overall, fund managers' defensive positioning supports higher equity prices in the month(s) ahead.

值得注意的是，现在的现金配置比二月还高，与此同时，基金经理们四年来首次集体减持了股票。基金经理转而买进债券，同时债券在资产配置里的占比在六月七月达到了三年半以来的新高。

Allocations to US equities had been near 8-year lows over the past year, during which the US has outperformed most of the world. That has now changed: exposure to the US is at a 17-month high. There is room for exposure to move higher, but the tailwind for the US due to excessive bearish sentiment has mostly passed. That's also the case for emerging markets which have been the best performing equity region so far in 2016. European equity markets, which have been the consensus overweight and also the world's worst performing region, are now underweighted by fund managers for the first time in 3 years.

去年美国基金经理的股票配置接近八年来最低水平，但是在此期间美国股市还是跑赢了世界大多数国家。现在的情况已经不同了：现在美国市场风险敞口达到了17个月的最高值。尽管风险敞口还是有更大的可能但是由于看跌情绪充斥了整个市场所以这一波顺风优势基本上已经刮过去了。这同时也是2016年涌现出的市场里表现的最好的了。大家一直在加持的表现最差的欧洲股本市场，现在也三年来首次被基金经理减持。

Among the various ways of measuring investor sentiment, the BAML survey of global fund managers is one of the better as the results reflect how managers are allocated in various asset classes. These managers oversee a combined $600b in assets.

衡量投资者情绪的方法有很多，BAML关于全球基金经理做的调查无疑其中的最佳选择之一，该调查结果说明了在多元化的资产类别中基金经理是如何分配的。他们监管着将近6000亿美金的资产组合。

The data should be viewed mostly from a contrarian perspective; that is, when equities fall in price, allocations to cash go higher and allocations to equities go lower as investors become bearish, setting up a buy signal. When prices rise, the opposite occurs, setting up a sell signal. We did a recap of this pattern in December 2014 (post).

我们最好从逆向思维的角度来分析这些数据；也就是说，当股本价格下跌时，现金配置就顺势走高，股本配置则随着投资者的悲观情绪一路唱衰，随之就放出了买入信号。当价格上涨时，与上述情况相反的现象就发生了，那么我们就看到了卖出的信号。

Let's review the highlights from the past month.

我们一起来看看上个月一些值得注意的现象。

Cash: Fund managers cash levels at the equity low in February were 5.6%, the highest since the post-9/11 panic in November 2001 and lower than at any time during the 2008-09 bear market. This was an extreme that has normally been very bullish for equities. Remarkably, with the SPX having since risen nearly 20%, cash in July is now even higher (5.8%) and at the highest level in 14 years (since November 2001). Even November 2001, which wasn't a bear market low, saw equities rise nearly 10% in the following 2 months; that rally failed when cash levels fell under 4%. This is supportive of further gains in equities.

现金：在股价低的二月份基金经理的现金水平是5.6%，是2001年11月的后911恐慌期以来最高，但是又比2008-2009年期间的熊市低。这种现象在股票行情大幅度上涨的时候是非常极端的。值得我们注意的是，随着标普500上涨了接近20%，7月份的现金水平竟然比现在还要高一点了（5.8%）。这意味着美股的基金经理大多数人还是偏保守的，担心美股风险正在加剧。

Global equities: Fund managers were just +5% overweight equities at their low in February; since 2009, allocations had only been lower in mid-2011 and mid-2012, periods which were notable lows for equity prices during this bull market. Despite the rally since February, allocations are now even lower, dropping to -1% underweight in July. This is 1.2 standard deviations below the long term mean. Fund managers are underweight equities for the first time in 4 years.

全球股票：在股价低迷的二月，基金经理只加持了5%；自2009以来，这样的配置之比2011年和2012年中期低，那段时间股价是牛市中罕见的低价。尽管二月有所回升，现在的配置还是有所下降，7月已经减持到-1%。这就意味着其1.2的标准差低于长期平均水平。

US equities: US exposure has been near an 8 year low during the past year, during which US equities have outperformed. US equities have been under-owned. That has now changed, with allocation rising to +9% overweight, the first overweight in 17 months. There is room for this to move higher, but the tailwind for the US due to excessive bearish sentiment has mostly passed.

美国股票：美国基金经理美股的配置去年达到了八年来的最低水平。从去年开始，这些基金经理美国股票的持有量就偏低。现在情况已经大大不同了，配置已高达+9%的加持，是17个月以来第一次加持。这从侧面说明美国经济虽然增速缓慢，但是经济下滑的可能并不大。

European equities: Fund managers have been excessively overweight European equities for more than a year, during which time EZ equities have underperformed. For the first time in 3 years, allocations to EZ are underweight (by 4%). The underweight can become more extreme but the largest risk to underperformance due to excessive bullish sentiment has passed.

欧洲股票：基金经理已经持续加持欧洲股本一年多了，在这段时间欧洲股本表现也很不尽人意。但是从今年2月份开始基金经理出现了三年来首次对欧洲股本进行减持（减了4%）。

Japanese equities: Allocations to Japan have been falling but are flat m-o-m at -7% underweight, which is the lowest since December 2012. The region has been underperforming in 2016.

日本股票：日本的配置一直在下跌但是在过去几个月基本持平在-7%，达到了2012年12以来的最低水平。日本股票在2016年表现也差强人意。

Emerging markets equities: In January, allocations to emerging markets fell to the second lowest in the survey's history (-33% underweight), an extreme comparable only to early-2014 from which the region began to strongly outperform for the next half a year. Allocations have since risen to +10% overweight, the highest in 22 months but still 0.4 standard deviations below the long term mean. The region has outperformed the rest of the world so far 2016. There is room for exposure to increase further but allocations are now back to where the rally in mid-2014 failed.

新兴市场股票：一月份的时候新兴市场配置跌倒了该调查历史以来第二低（-33%减持），极端到只能和2014年早期比较，到2014年下半年该市场就猛烈发力势如破竹了。配置涨到+10%的加持以后就达到了22个月以来的最高，但是还是低于长期平均水平0.4的标准差。该市场在2016年比世界其他市场表现都好。未来风险敞口有可能扩大但是配置已经回到了2014年中期水平。

Global bonds: Fund managers are +35% outweight bonds, near a 3.5 year high allocation. This is a big rise from -64% underweight in December (a 2-year low allocation). Bonds outperformed in the 10 months before the current equity rally began in February. Note that bonds have historically started to underperform when allocations rise to -20% underweight (red shading). Current allocations are back to their long term mean.

全球债券市场：基金经理增持了35%的债券，接近3.5年来新高。这要比12月的-64%要高多了（两年来最低）。债券方面这十个月来的表现比自二月起开始回涨的股票要好得多。值得注意的是债券历史性的在减持升至-20%的时候（红色阴影部分）表现开始走下坡路。目前的配置已回至长期平均水平。

In February, 16% of fund managers expected a weaker economy in the next 12 months, the lowest since December 2011. Investors are still pessimistic, with only 2% expecting a stronger economy in the next year. This explains the low allocations to equities and high allocations to cash.

二月，16%的基金经理预计未来一年内经济发展较弱，可能会是自2011年12月以来的最低水平。投资者情绪依旧悲观，只有2%的人认为下一年经济势头强劲。这也解释了股本配置低现金配置高涨这一现象。

Commodities: Allocations to commodities improved to a 3.5 year high at -4% underweight. This is neutral relative to the long term mean. In comparison, in February, allocations were near one of the lowest levels in the survey's history (-29% underweight). The improvement in commodity allocations goes together with that for emerging markets.

商品期货：商品期货的配置遭到了-4%的减持，创3.5年来的新高。这与长期平均水平接近持平。相比之下，二月份的资本配置基本上接近本调查有史以来的最低水平（-29%减持）。商品期货方面的配置也随着新兴市场提高了。

Sectors: Relative to history, managers are extremely overweight cash. They are far more overweight bonds than equities. Overall, this is very defensive positioning.

总体行业：对比历史数据，经理人在大量加持现金配置。相对于股票，他们依旧持有更大量的债券。总体来看，这绝对是一个防守性定位。

Fund managers risk appetite is the lowest since July 2012, a level from which SPX rose 10% over the following two months.

基金经理人的风险偏好达到了2012年七月以来的最低点。

A record percent of fund managers have bought downside protection for the next 3 months.

下表显示了基金经理人们在未来三个月内购入的下行保护。

Survey details are below.

调查的具体信息见下文：

1. Cash (5.8%): Cash balances increased to 5.8% from 5.7%. This is higher than in February (5.6%) and the highest since November 2001. Typical range is 3.5-5%. BAML has a 4.5% contrarian buy level but we consider over 5% to be a better signal. More on this indicator here.

现金（5.8%）：现金结余从5.7%升至5.8%。这个数据已经高于2月的（5.6%）同时也是自2001年11月以来的最高值。正常浮动范围是在3.5-5%。BAML的反向购买水平达到了4.5%，但是我们认为超过5%才是一个理想的信号。更多信息点击这里http://fat-pitch.blogspot.jp/2013/01/fund-manager-cash-balance-at-extremes.html

2. Equities (-1%): A net -1% are underweight global equities, down from +1% in June and below the +5% overweight in February. Over +50% is bearish. A washout low (bullish) is under +15%. More on this indicator here.

股票（-1%）：全球股本减持从六月的+1%跌至-1%，也低于二月的+5%的加持。超过50%就可以看作是熊市了。牛市就是低于+15%。更多信息点这里http://fat-pitch.blogspot.jp/2013/01/fund-manager-equity-exposure-at-extremes.html

3. Regions:

地区：

1）. US (+9%): Exposure to the US rose from -15% underweight in May to +5% overweight in July; this is the first overweight for the US in 17 months.

美国（+9%）:美国的风险敞口从五月的-15%减持增加到七月+5%加持；这是美国17个月以来首次加持。

2）. Europe (-4%): Exposure to Europe dropped from +26% overweight in June to -4% underweight. This is the first underweight for Europe in 3 years.

欧洲（-4%）：欧洲的风险敞口从六月的+26%加持跌至-4%减持。这是欧洲三年来首次减持。

3）. Japan (-7%): Exposure to Japan was unchanged at -7% underweight. Funds were -20% underweight in December 2012 when the Japanese rally began.

日本（-7%）：日本的风险敞口维持在-7%没有变化。自从日本股市2012年12月回升开始基金就维持在-20%减持。

4）. EM (+10%): Exposure to EM rose from +6% overweight in June to +10% overweight in July - a 22-month high. Exposure was -33% underweight in January when the regional rally began. -34% underweight in September 2015 was the lowest in the survey's history.

新兴市场（+10%）：新兴市场的风险敞口从六月的+6%加持升至七月的+10%加持——22个月以来的新高。一月区域内回升时风险敞口还是-33%减持。2015年9月的数据为-34%减持，是调查有史以来最低。

4. Bonds (+35%): A net +35% are underweight bonds, a rise from -64% in December but unchanged from-34% in June. This is near a 3.5 year high allocation.

债券（+35%）：美国基金经理在过去5个月里增持了35%的债券仓位。这几乎是3.5年来的最高值。

Commodities (-4%): A net -4% are underweight commodities - a 3.5 year high - an improvement from -12% last month. Higher commodity exposure goes in hand with improved sentiment towards EM.

商品期货（-4%）：此项数据为净-4%减持——3.5年来新高——较上个月的-12%有所提高。商品期货的风险敞口会随着新兴市场的市场情绪好转走高。

5. Macro: Just 2% expect a stronger global economy over the next 12 months; in February, 16% expected a weaker economy, the most pessimistic since December 2011.

宏观分析：只有2%的经理人预测未来一年全球经济发展迅猛；二月时，16%预测未来经济发展缓慢较弱，是2011年12月以来最悲观的观点。