随着债券产量的标准化向前发展

Growth has generally improved in the developed world; fiscal deficits have narrowed; and, most critically for bond investors, the U.S. Federal Reserve has begun tapering its asset repurchase program. Some investors, perhaps not surprisingly, have allocated away from core bonds toward the extreme ends of the risk spectrum: cash, which is insulated from the negative impacts of yield increases; and equities, which would likely benefit from accelerating economic growth.

然而，我们在Pimco认为削减核心债券只能被证明是市场时机战略。投资者不仅必须对不断增加的产量提供正确，而且产量也必须在狭隘的时间窗口内升高。那些逃离现金的人，它有近零产量，如果由于收益在预期的情况下，如果产量不会上升，则可能会经历漫长而缓慢的衰退。增加股权集中的人可能会过度曝光为负面经济惊喜。债券的资本收益往往在股票销售时倾向于踢，有助于稳定整体组合表现。因此，在预期产量标准化时，减少核心债券持有可能似乎是直观的，如果不是大多数投资者可能会通过试图时间来最终更糟糕的话。

A more thoughtful response would be to retain core bonds and diversify the specific risk factor of concern — in this case, duration, or sensitivity to interest rates. In the past global bonds have captured most of the upside but avoided a significant amount of the downside relative to domestic-only bonds. Indeed, we believe the threat from yield normalization is a somewhat nonsensical concept for investors who have a global perspective (see chart 1). This diversification of duration risk is portfolio efficiency at its best.

In our view, investors can do more. The market offers the opportunity for compensation against rising rates through rolldown in an upward-sloping yield curve market, with the price of a bond increasing as the maturity shortens because bond prices move in the inverse direction to their yield; the amount of compensation fluctuates dramatically over time and across countries. Active investors can potentially enhance the average level of this type of return in their portfolios. If market expectations are not fully realized, then those investors may generate capital gains — in addition to coupon returns — even in a rising yield environment.

So what exactly does yield normalization mean?

国内生产总值锚定标称产量的标称增长（见图2）。这是有道理的。贷款人对尊重资本回报的期望以及借款人对合理资本成本的期望，都是经济增长的条件。

最常见的是，标称产量由顶部通过标称GDP生长界定。(The disinflationary regime of 1980–’99 and the past few years following the 2008–’09 financial crisis are exceptions.) The reverse has occurred during postwar reflationary regimes when policy yields were set below equilibrium, which in turn propelled nominal GDP growth higher while yields adjusted with a lag.

我们更有可能在未来几年内看到央行的反思而不是融合的努力。我们认为标称产量将远远低于标称GDP增长，因为它们在过去的反射制度期间。中央银行在更自由化的金融体系中具有更远的可信度和运营。仍然，标称GDP生长应作为标称收益率的上限。

然后，关键因素是标称GDP的前景。国际货币基金组织（国际货币基金组织）项目的标准GDP增长率在未来三到五年将平均为5.2％，欧元区的4.25％，4％。然而，未来几年，由于人口转移和资本积累速度较慢，趋势增长趋势下降。以圣路易斯为基础的宏观经济研究公司宏观经济顾问，例如，美国标称GDP增长将下降到2020年的4.4％，与美国国会预算办公室自己的预测一致。虽然不完美，但这些数字是未来几年内产量的固体上限估计。

Real yields in the U.S. averaged between 1.5 and 2.5 percent during the postwar era, depending on the maturity of the instrument. But there are persuasive reasons to believe that real yields could be far lower going forward.

例如，在没有资产负债表杠杆的环境中，可贷款资金供应应更高，以及对贷款资金的需求降低，但不应贷款。这两者都会权衡市场清算，或均衡，实际产量水平。它不仅仅是美国，美国，美国，欧元区的家庭，努力节约更多，增加了供应贷款资金。新兴市场贷方可能会继续向全球化资本市场提供贷款资金。

采取论证更远，已经有很多学术研究，由哈佛大学经济学家汇总Larry Summers在国际货币基金组织经济论坛上的“世俗停滞”演讲11月，展示了均衡的真实产量是无穷无尽的 - 也许甚至是负面的 - 在没有资产纸张的经济中杠杆化。如果是真，这将解释一下政策率在连续五年以上的最低次数的国家的融合。It would also suggest that nominal yields may peak at a much lower level than they did in 2007, when they briefly touched 5.25 percent in the U.S. According to secular stagnation theory, these levels were reached only because of a historic borrowing binge and a housing bubble. Assuming borrowing-binge conditions are not repeated, nominal yields could peak at a much lower level the next time.

Putting it all together, we think that the ten-year government yield — at least in the U.S. and U.K. — during the next three to five years isn’t likely to go above 4.5 percent, with real yields slightly below average and inflation premiums slightly above average.

Forward yields repriced far more than spot yields during the 2013 bond market sell-off. Bond investors are enjoying not only higher yields but also greater cushion against further yield increases, depending on the maturity of the yield and the geography of the market. But at least according to our framework, longer-dated yields are already helping protect investors against a full normalization over the next three to five years. If yields peak at a lower level or take longer to get there, bond investors would theoretically realize capital gains on top of their coupon returns, even as yields increase. Specifically, forward markets anticipate that ten-year U.S. yields will rise to 3.6 percent in the next three years and to 3.8 percent in the next five years (see chart 3).

从理论上讲，如果美国十年产量在未来五年的规范度为3.75％，核心债券投资者将实现资本增益，以增加其优惠券回报。目前，规范化为法国前锋市场更大;在加拿大市场，更糟糕的是。通过转移到那些前瞻性市场 - 当他们提供令人信服的缓冲率时，我们在Pimco相信投资者可以收获更多的超额回报潜力。

历史上市场提供了一个结构缓冲，防止了短期不良收益率，积极投资者可能会像超越回报一样挖掘，如果现货产量不会增加以验证他们的前锋（见图4）。当中央银行持有时，这种现象在阶段非常常见。

This uncertainty premium varies over time and across countries. For example, last May, when the Fed first hinted that it would begin to taper quantitative easing, this premium increased more in Europe than in the U.S. This didn’t make sense. Why would forward yields increase to fortify investors against European Central Bank policy rate hikes in Europe when it was the Fed that had changed its stance on U.S. monetary policy? This opportunity began to disappear nearly as soon as it had surfaced, and it was fully snuffed out when the ECB invalidated forward pricing by cutting its policy rate in November. Many instruments sensitive to these dynamics — short-dated bonds, for one, but especially money market futures contracts — went up in price.

Many investors subscribe to the notion of symmetry: the idea that there must be an equal and offsetting bear run in bonds as the natural counterpart to the bull run experienced during the past 30 years. But in fact this has already played out: The bull run from 1980 to the present was the counterpart to the bear run from 1950 to 1979, during what was an abnormal and temporary aberration from a centuries-old trading range (see chart 5).

而不是卖债券以准备返回这种异常环境，然后，我们在Pimco认为投资者应该关注目前宏观经济环境的可能性：产量增加，也许是渐进的，而且渐进，而且最终有限在适用范围。由于市场价格适应预期未来的屈服轨迹，甚至可能声称屈服正常化最近可能发生在转发市场以反映产量上升期望的期望时。

斯科特塔is a deputy chief investment officer and head of global portfolio management at太平洋投资管理有限公司sheadquarters in Newport Beach, California.

迈克尔故事is a vice president and product manager at Pimco’s London office.

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