邓普顿投资备忘录(1954)之股价正常水平
11 Jun 2019目录
证券投资需管理资金的投资, 包括: 资金配置和调仓计划, 那么如何调仓并配置资金呢? 如果是你, 你会如何配置资金和调仓, 你的依据有哪些呢? 下面是邓普顿备忘录中描述如何评估股市正常水平, 其基金公司同事也解释了公司是如何根据道指水平调整客户在股市内的资金比例.
What Is Normal for Stock Prices?1
From: Confidential Memorandum to Clients(May 17, 1954)
The economic theory developed by Templeton, Dobbrow & Vance, Inc. for calculating the normal level of stock prices is simple. There are only three elements:
- Stock prices would be normal if they bore the same relationship to current earnings as has been customary in the latest 20 years.
- Stock prices would be normal if they bore the same relationship to the current cost of replacing the assets of the corporations as has been customary in the latest 20 years.
- When, because of changes in tax laws or changes in the money supply, high-grade preferred stocks sell lower in relation to dividends than has been customary in the last 20 years, then it should be normal for common stocks to sell lower in relation to earnings; and vice versa.
1.当前PE 与最近20年的一般水平保持一致.思考: 是静态PE好呢?还是动态PE好呢? 判断当前股价水平, 是不是以静态PE为好, 来判断当前的股价水平? 可以参考: Cyclically adjusted price-to-earnings ratio by Robert J. Shiller
2.股价/当前企业资产重置成本与最近20年的一般水平保持一致. 思考: 如何计算当前企业资产重置成本呢? 该概念参考: British economist Andrew Smithers 书籍: Valuing Wall Street (New York: McGraw-Hill, 2000) and Wall Street Revalued (Chichester, UK: John Wiley & Sons, 2009).
3.高评级优先股/分红比近20年的一般水平低, 那么普通股股价/盈利更低也正常. 反之亦然.(The relationship between the yield on fixed interest securities and the yield on equities is a widely used analytical tool, one formulation of which is the basis of the so-called Federal Reserve model, so called because of its use in research published by the U.S. central bank in the 1990s.) 具体可以阅读Fed model.
Although the theory is simple, the actual calculation involves many thousands of figures. We take care to define accurately each word used in the three principles above; and then the arithmetic is worked out on the basis of a large sample of representative stocks.
使用说明:
- 对一组多样化的普通股评估式才有效. 比如: 指数.
- 对于特定的股票, 需要运用不同原则.
- 更新: 每月更新股价正常范围
The estimate of normal based on the three principles above is valid only when applied to a diversified list of industrial common stocks. Different principles are needed if we attempt to appraise the normal for any particular stock. In order that our calculations may be always up-to-date, normal for stock prices is recalculated each month.
In the latest 20 years normal has shown a strong upward tendency, partly because of the change in the purchasing power of the dollar, but more importantly because corporations have retained (after payment of dividends) a large part of their earnings each year.
Normal for stock prices based on the principles expressed above has been computed consistently at a higher figure than the figure arrived at by any other agency attempting to calculate normal. This has meant that the clients of Templeton, Dobbrow & Vance, Inc. have been more heavily invested in common stocks and this has been a profitable situation so far.
何为股价正常水平2
Templeton,Dobbrow and Vance公司首创用于以计算正常水平股价的方法，其经济学理论非常简单，只有以下三条原则。
（1）如果股价与当前盈利水平的关系与最近20年的一般水平保持一致，那么股价就是正常的。
（2）如果股价与当前企业资产的重置成本的关系与最近20年的一般水平保持一致，那么股价就是正常的。
（3）因为税法变动或货币供给量的变化，当高评级优先股与其分红的关系比最近20年的一般水平低，那么普通股股价对盈利水平更低也属于正常；反之亦然。
尽管理论很简单，实际的计算却包含上千个数据。以上三条原则中的每个字都是我们仔细斟酌后写出的；计算则是通过大量有代表性股票的样本得到的。
基于上述三条原则对正常股价的估计，仅在用于一组多样化的普通股时才是有效的。对于特定的股票，我们想要预计其正常水平需要运用不同的原则。为了让我们的计算保持时刻更新，股价的正常范围每月都会重新计算。
在最近20年，股价的正常水平呈现出很强的上浮趋势，这部分是因为美元购买力的变化，但是更重要的是因为许多企业每年（在支付利息后）都留存了大部分盈利。
基于上述原则的正常股价水平比其他尝试计算正常水平机构所得的数据更高。这意味着Templeton,Dobbrow and Vance公司的客户普通股的仓位一直以来都更重，截至目前客户的仓位已经处于盈利水平。
根据市场水平调仓1
One of Templeton’s colleagues at Templeton, Dobbrow & Vance, Brevoort Stout, added some further explanatory detail of the practical issues involved in running such a program for clients. The table at the end of his memo (reproduced here as Table 2.1) illustrates how simply a client’s stock market exposure would be adjusted for different levels of the stock market, as represented by the Dow Jones Industrial Average.
| — | Dow Jones Industrial Average Above 546 | Program Calls for No Stocks |
|---|---|---|
| Sixth Zone Above Normal | 496–546(10%) | 10% Maximum in Stocks |
| Fifth Zone Above Normal | 451–496(10%) | 20% Maximum in Stocks |
| Fourth Zone Above Normal | 410–451(10%) | 30% Maximum in Stocks |
| Third Zone Above Normal | 373–410(10%) | 40% Maximum in Stocks |
| Second Zone Above Normal | 339–373(10%) | 50% Maximum in Stocks |
| First Zone Above Normal | 308–339(10%) | 60% Maximum in Stocks |
| Normal Zone | 293–308 | No Change Necessary |
| First Zone Below Normal | 264–293(10%) | 60% Minimum in Stocks |
| Second Zone Below Normal | 238–264(10%) | 70% Minimum in Stocks |
| Third Zone Below Normal | 214–238(10%) | 80% Minimum in Stocks |
| Fourth Zone Below Normal | 193–214(10%) | 90% Minimum in Stocks |
| — | Below 193 | Fully Invested in Stocks |
根据市场水平, 配置在股市内的资金. 道指水平每增加10%, 股市资金就减少10%, 反之亦然.
- 关键就是如何判断市场处于正常水平(Normal Zone), 上文备忘录给出了三个原则. 思考:
- 这些原则真可行么?
- 有没有缺点?
- 还有没有其他的原则, 可不可以改进?
- 市场水平以区间表示, 任何人都无法准确预测市场.
总结
在上一篇备忘中, 你知道了投资管理不能随意而为, 需要规划: (1) 资金配置 (2) 调仓计划. 在这份备忘录中, 你了解了如何评价股价正常水平, 而后根据股价水平, 有计划调仓配置在股市的资金比例. 当然, 这只是大致的思想, 你是否可以据此修正纳入自己的投资原则之中呢?
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@Jeremy Anifacc
2019-06-11
人生苦短, 为欢几何.
