With Zero-Bound Rates, Investors Cannot Afford Complacency

央行的行动打破了利率市场，这对谁都不是新闻。利率对经济增长或通胀基本面等传统因素没有反应。相反，他们对政府的声明作出反应U.S. Federal Reserve and the European Central Bank. And with central banks showing no sign of easing off the accelerator, the race to zero rates continues. Under such a scenario, it has become almost mathematically impossible to make money in traditional fixed income.

Europe, which has become the global epicenter of the hunt for yield, is pushing the forefront of the zero bound, testing fundamental tenets of investing. Six weeks into an 18-month program of ECB stimulus, the effects are already profound. Ten-year German Bunds are yielding just 7.5 basis points. It’s conceivable — even likely — that soon investors will effectively be paying for the privilege of borrowing money from core European governments. There is no reason to think that we can’t go farther down the rabbit hole in Europe.

在美国，美联储（federalreserve）仍在寻找理由，推迟重返欧元区的进程rate normalization, even after seven years of no rate increases. While they are slowly edging closer, realistically, rates we think will continue to be range-bound for the rest of the year. Our concern is that the longer the Fed puts off its initial liftoff, the worse the potential impact will be on bond investors.

As a global illustration of the disruptive consequences of a potential rate move for investors, consider a common global sovereign bond index in which the current average yield is at an all-time historical low of 1 percent, with a duration or interest rate sensitivity of roughly seven years. If interest rates were simply to normalize from here, even just edging back toward where they were during the heart of the financial crisis, investors long on this index would stand to lose 10 to 20 percent of their principal, depending on the duration.

投资者cannot afford to be complacent in this environment. They have to grasp that traditional fixed income no longer can do what it originally was supposed to do.

固定收益的产生有三个原因：提供收入、保留资本和提供与股票等其他常见资产类别相比的多样化收益。当利率趋近于零时，它就把收入从固定收入中剔除。相应地，当债券具有如此高的利率和期限敏感性时，保本不再得到保证。由于央行的刺激措施，随着资产类别的步调一致，即便是多元化的好处也已逐渐消失。

就传统的固定收益基金而言，绝对回报策略对投资者来说是有意义的。根据市场的不同，采取灵活的方法在不同行业之间流动，有助于保存资本，并取得优于现金的业绩。利用各种工具之间的相对价值以及市场风险敞口的能力意味着投资者可以在利率上升的环境中处于有利地位。绝对回报策略可以利用传统和另类资产类别的价格异常，在各种经济条件下击败市场。

So where are the opportunities to generate uncorrelated returns, irrespective of prevailing conditions? The rewards granted for risk taken look unfavorable in most areas of the market for an absolute-return-oriented investor. Capital should be deployed only when investors are well compensated for the risk. Holding cash is a sensible hedge and preserves liquidity to be activated when the right opportunity comes up, and when one can act on a contrarian basis.

That said, there are reasonable pockets of opportunity, such as U.S. high-yield, which seems selectively mispriced. Default rates are low, for one thing. Also, the asset class continues to benefit from extremely accommodative monetary policy and offers a coupon of 7 to 8 percent. More esoteric areas of the market, such as select nonagency mortgage securities that don’t have direct interest rate sensitivity, look interesting as well.

In today’s highly distorted bond environment, no one has a map to safely navigate the path back to normalization. We are truly in unprecedented territory. Investors would be wise to focus on stability, reducing the likelihood of capital losses and preserving capital. Above all, recognize the mathematical realities facing traditional fixed income and increase your diversification.

威廉特征III是绝对回报和opportunistic fixed income atJ.P. Morgan Asset Managementin Boston.

See J.P. Morgan’s disclaimer.

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