來源：經濟學人 11.13 財經

For the duration

談談投資回報期限

Why cash is now more appealing as a portfolio asset

為什麼當前現金是一種更有吸引力的投資

Ever had the feeling that there is a party somewhere that you’re not invited to? It is the same feeling investors have when they have capital sitting in three­month bills or on deposit at a bank. Cash is a safe asset, but a wasting one. The real returns on risky assets have been much greater. True, cash affords options—to buy cheaply when others are selling. But episodes of distressed selling have been fleeting, largely thanks to central banks, which have been liberal in supplying cash in emergencies. Why then should investors incur the opportunity cost of holding it?

有沒有過這樣的感覺，某個地方有一個聚會你沒有被邀請參加？當投資者將資金存放在三個月期的票據或銀行存款中時，他們也會有同樣的感覺。現金是安全的資產，但卻是浪費的資產。風險資產的實際回報要高得多。沒錯，現金提供瞭多種選擇——在別人拋售時低價買入。但現在得益於央行在緊急情況下自由提供現金，不良資產拋售的事件轉瞬即逝，。那麼投資者為什麼要承擔持有它的機會成本呢？

In its favour, cash is at least now offering a small return, or the prospect of one. Overnight interest rates have risen, notably in Latin America and Eastern Europe. The Bank of England may raise its benchmark interest rate before the year is out. The Federal Reserve may follow at some time next year. But the rate of return in short­term money markets is still below the rate of inflation and is forecast to stay that way. For those seeking returns, holding cash remains a loss­making[江城1] prospect in real terms.

現在持有現金至少提供瞭一個小的回報，或一個的前景。隔夜利率已經上升，尤其是在拉丁美洲和東歐。英格蘭銀行可能會在年底前提高基準利率。美聯儲可能會在明年的某個時候跟進。但短期貨幣市場的回報率仍低於通脹率，預計將保持這一水平。對於那些尋求回報的人來說，持有現金實際上仍然是一個虧損的前景。

The true appeal of cash as a portfolio asset lies somewhere else. More and more capital is tied up in investments where much of the payoff lies in the distant future. You see this in the huge market capitalisations of a handful of tech companies in America and in the money flooding into private­equity and venture­capital funds. Investors have to wait ever longer to get their money back. In the meantime their portfolios are vulnerable to a sharp rise in interest rates. A simple way to mitigate this risk is to hold more cash.

現金作為投資組合資產的真正吸引力另有原因。越來越多的資本被捆綁在投資中，而這些投資的大部分回報都在遙遠的未來。你可以從美國少數科技公司的巨大市值中可以看出，從湧入私募股權和風險投資基金的資金中也可以看出。投資者不得不等待更長時間才能拿回他們的錢。與此同時，他們的投資組合容易受到利率大幅上升的影響。減輕這種風險的一個簡單方法是持有更多現金。

The concept of “duration” is a useful one in this regard. Duration is a measure of a bond’s lifespan. It is related to, but subtly different from, the maturity of a bond. Duration takes into account that some of what is due to bondholders—the annual interest, or “coupon”—is paid out sooner than the principal, which is handed over when the bond matures. The longer you have to wait for coupon and principal payments, the longer the duration. It is also a gauge of how much the price of a bond changes as interest rates shift. The greater a bond’s duration, the more sensitive it is to a rise in interest rates.

在這方面，“持續時間”的概念是一個有用的概念。持續時間是衡量債券壽命的標準。它與債券的到期日相關，但又有細微的不同。期限考慮到債券持有人應得的部分——年度利息或“息票”——比本金提前支付，本金在債券到期時移交。你等待息票和本金支付的時間越長，持續時間就越長。這也是一個衡量債券價格隨著利率變化而變化的指標。債券期限越長，對利率上升越敏感。

You can also think of equity investment in duration terms. Take the familiar price­earnings ratio[江城2] , or pe, the price paid by investors for a given level of stockmarket earnings. The idea is that if a stock has a PE of ten, based on recent earnings, it would take ten years to earn back the outlay of an investor who buys the stock today, assuming earnings stay constant. If the PE is 20, it would take 20 years. The PE is thus a crude measure of the stock’s duration. On this basis, American stocks in aggregate have rarely had a longer duration. The cyclically adjusted price­earnings ratio, a valuation measure popularised by Robert Shiller of Yale University, is now close to 40. It was higher only at the giddy height of the dotcom boom in 1999­2000.

你也可以從期限的角度來考慮股票投資。以人們熟悉的市盈率(PE)為例，即投資者為給定的股票市場收益水平所支付的價格。這個想法是，如果一隻股票的市盈率為10倍，根據最近的收益，假設收益保持不變，那麼今天買入這隻股票的投資者需要10年才能賺回這筆費用。如果PE是20，那就需要20年。因此，市盈率是衡量股票存續期的一個粗略指標。在此基礎上，美股總體上很少有更長的持續時間。周期性調整市盈率是耶魯大學羅伯特-席勒(Robert Shiller)推廣的一種估值措施，現在已經接近40瞭。它隻有在1999-2000年網絡繁榮的眩暈高峰期才會更高。

The rationale for longer­duration assets is a familiar one. Real long­term interest rates are about as low as they have ever been. As a consequence investment returns even in the distant future, once discounted, have a high value today. It is not just stocks. Property is valued at a steep price relative to the stream of future rents. Investors are piling into private­equity and venture-capital funds that won’t pay out for a decade or more. Everyone, it seems, is long duration. But with longer duration comes a greater risk that unexpectedly aggressive interest­rate rises will lead to a collapse in asset values.

購買長期資產的理由是大傢都知道的。實際的長期利率是有史以來最低的。因此，即使是遙遠的未來的投資回報，一旦貼現，今天也有很高的價值。這不僅僅是股票。相對於未來的租金流，房地產的價值也很高。投資者紛紛湧入十年或更長時間內都不會有回報的私人股權和風險資本基金。似乎每個人都是長期限的。但隨著存續期的延長，利率意外激增將導致資產價值崩潰的風險更大。

A typical investment portfolio of stocks, bonds and property is vulnerable to this risk. There are not too many good ways to hedge it. Buying insurance in the options market against a stockmarket crash is expensive and fiddly.

一個典型的由股票、債券和房產組成的投資組合很容易受到這種風險的影響。沒有太多的好辦法來對沖它。在期權市場上購買與股票市場崩潰的保險則既昂貴又繁瑣。

This is where cash comes in. Cash is by definition a short­duration asset. Were interest rates to go up sharply, cash holders would get the benefit quickly even as other assets suffer. So as the duration of your portfolio rises, it makes sense to raise your cash holdings too. By precisely how much will depend, as ever, on your risk appetite. Just as you are advised to sell down your stocks to the level where a night’s rest is assured, you might also build up your cash holdings to the sleeping point. Of course, such a strategy comes with an opportunity cost. As long as asset markets continue to boom, cash will be a drag on your portfolio. So be it. Missing out on some returns is the price you pay for mitigating duration risk.

這就是現金發揮作用之處。根據定義，現金是一種短期資產。如果利率急劇上升，即使其他資產受到影響，現金持有者也會很快得到好處。因此，當你的投資組合的期限上升時，增加你的現金持有量也是有意義的。具體增加多少將取決於你的風險偏好。就像建議你賣掉你的股票，使其達到安穩水平一樣，你也可以增加你的現金持有量，使投資組合較為安穩。當然，這種策略是有機會成本的。隻要資產市場繼續繁榮，現金將成為你投資組合的拖累。這就是事實。錯過一些回報是你為減輕期限風險所付出的代價。

[江城1]老是虧損的 [江城2]市盈率：市盈率（Price Earnings Ratio，簡稱P/E或PER），也稱“本益比”、“股價收益比率”或“市價盈利比率（簡稱市盈率）”。市盈率是指股票價格除以每股收益(每股收益,EPS)的比率。或以公司市值除以年度股東應占溢利。