富兰克林Templeton的投资专家花了很多时间与首席投资人员发言“如果是什么。。。“也就是说，最有益的讨论来自探索可能发生的事情 - 不猜测未来和为这些风险做好准备的影响。
In the following conversation, two key players at Franklin Templeton Multi-Asset Solutions—Wylie Tollette, Head of Client Investment Solutions, and Gene Podkaminer, Head of Multi-Asset Research Strategies—contemplate the “what if” of interest rates in an exchange where you will hear about inflection points, and harken back to the good old days of the 1950s and ‘60s.
Gene Podkaminer.：Looking back further than the most recent 10 years, we’ve seen this secular decline in interest rates over the past 40 years.在某些时候，我们将达到一个拐点，我们正在学习很多关于居住在上升率环境中的意义。我们没有很多好的历史锚on. Episodically, over the last two centuries there have been periods when interest rates have risen. It will be interesting to see how market participants react now that we have more developed capital markets, and how central banks react to rising interest rates and the kind of feedback that produces for investors.
Tollette.：如果您回顾20世纪50年代和20世纪60年代，典型的机构投资者在他们的投资组合中有更多的固定收入。亚博赞助欧冠
Podkaminer：几乎他们的整个分配处于固定收入。
Tollette.： 确切地。它们是占用的屈服的投资者，而固定收入提供了相对安全，五，六年的年产量。它是坚实的。它是可靠的。它相当低风险。它不需要大量的资源，研究或资产分配活动。
Podkaminer：It was tied closer to their liabilities as well. You can’t look at fixed income in isolation from equities.在20世纪50年代，在60年代也是一个真正的能力替代固定收入的股权，因为固定收入给了你漂亮的健康回报，而不需要大量的风险。Equities gave you good returns too, but they were substantially riskier. There’s a concept in microeconomics called the substitution effect, which can be summed up in short by saying if the candy I want isn’t on sale, maybe I’ll get something sweet that is on sale. You used to be able to do that between fixed income and equities, but over the last couple of decades, you really couldn’t. If you wanted any sort of substantial return, either you had to hold equities, or you had to go far out in credit space and hold below-investment grade high-yield bonds or emerging market debt.
Tollette.：Today, the bulk of most institutional investor’s portfolios, and many individual portfolios, are in equities. That’s been a huge sea change in the way the markets work. Now, folks with the bulk of their portfolios tied to economic growth are more vulnerable and exposed to changes in economic growth, and they’re less exposed and have less diversification on the fixed income side.
With that changing, it will be very interesting to watch how investors react when yields start to climb. If they climb slowly and predictably, I think investors can react and move into an environment where fixed income has a little bit more yield and a little bit more annual return expectation. That could be healthy overall for the financial markets in the long term and provide a little bit more balance in return expectations across these macro risk factors. However, the process of adjustment can be disruptive and unpredictable.
Podkaminer：您认为什么类型的震惊会在发达市场推动利率的重新评估？
Tollette.：预期并没有太大变化。我会说，如果美联储的圆点图一个跌破或达到25个基点，您将看到美国和主权市场的国库市场肯定会看到重新评估。潜在的是，甚至可能导致25个基点的期望的变化可能导致重新评级。
In the emerging markets with typically more volatile rates, you’d probably need something more like a 75 or 100 basis point expectation adjustment to see a re-rating. Fixed income is said to have a mathematical elegance to it, and that’s true, it does. A small change in rate expectations can cause a dramatic impact.
现在，如果实际速率最终接近期望随着时间的推移，并且该速率调整过程是平滑的，那么我们可能没有看到戏剧性的重新评级。然而，围绕该速率结构的预期的任何急剧变化以及产量曲线可以使固定收入市场不稳定。人们认为它是一个波动性的资产类别。That's not always the case. For example, look at the Treasury bond from 1978 to 1985. It was just as volatile, if not more volatile, then equities.
Podkaminer:What we’ve been seeing more recently is that when there are terrible days in equities, usually you see that impact on the other side of the street with Treasuries. Imagine a world where: if instead of that kind of reaction an investor could actually say, “Okay, I’ve got some fixed income. It’s producing a reasonable yield. Maybe I don’t need this equity instrument over here because I can actually fund some of my obligations with it.” We’ll see.
Tollette：走着瞧。这将非常有趣。再次坐在CIO席位，我认为我计划做的第一件事就是真正分析了我的投资组合，当然，了解我对经济增长相关风险的总体暴露。不仅仅是股票;但随着Gene所说，在所有资产课程中。下一件事是了解您对税率的意外变化。再一次，不仅仅是在固定收入，那在那里是相当机械和数学，而是在每个资产类别房地产，私募股权，真实资产。
Podkaminer：这是难点。当我们谈论“每个资产类别”时，很难了解股票的持续时间或利率敏感性。
Tollette.：你不能在数学上计算它。
Podkaminer：No, you can’t. There have been some interesting academic studies about it. We know intuitively that inflation is passed through equities because as prices go up and as input prices go up, eventually the consumers will feel that the uptick, too. There’s a process by which that gets digested through the equity markets; but, it’s not as mechanically linked as it is in fixed income, and it’s certainly not as mathematically elegant.通过所有资产类别来看待增长和通货膨胀和利率的挑战是您需要拥有思维方式和工具来做到这一点。
Many organizations treat equities, fixed income, private equity, hedge funds and other alternatives as distinct disciplines. When they go out to lunch, do they talk about what drives risk across their different disciplines? Only the CIO might see how much risk she is taking in, say, interest rates within her equity portfolio. That’s what I think is so fascinating about multi-asset class investing: by definition, you have to tear silos down and combine everybody together and say “look, we have a common risk budget to interest rates, or to inflation, or to global growth.”
Tollette.：Where do we think we should we spend that risk budget?
Podkaminer：所有这些投资都有助于该风险预算。让我们做出有关如何做到的理性决定。这是一个巨大的挑战。
Tollette.：That’s the asset side challenge for CIOs. Interest rates have a direct and mathematical impact on predictable types of liabilities like pension obligations or insurance obligations. If you know that your liabilities are mathematically driven by changes in rates and rates are going up, there is the potential to bring liabilities back down to earth. You need to make sure that’s properly evaluated on your asset side, too. Matching those things and understanding that mismatch—the volatility of the net deficit or surplus that you have from the funding perspective—can really be a dramatic influence in the way you structure your portfolio. That said, many people don’t think about that until a sudden, unexpected shift in rates occurs. Then you see that your funded ratio has shifted in a way that you didn’t expect. These are all things that should be considered before a sudden shift does happen.
Podkaminer：The money is for something, and you have to be concerned about how your portfolio reacts to interest rates. This means your assets and your liabilities together, because you may have had very healthy returns, but in a scenario where your liabilities have outpaced those returns. When you put assets and liabilities together, what you might see is your overall position has weakened even though you’ve had fantastic returns on the asset side. Imagine if interest rates do jolt up and the performance of your asset portfolio is impacted in a negative way. Maybe that’s okay because your liability, your future liabilities, have now come down. Net, you’re doing okay. It would be nice to know that in advance, to be able to make an explicit decision about that scenario rather than backing into it implicitly and waking up one day and saying,“哇，我的资产价值真的下来了，但你知道是什么？这一切都很好，因为在剩余的空间中，我做得很好。“
Wylie和Gene很乐意与你交谈你的“如果是什么”情景。随意联系他们solutions@franklintempleton.com：
Wylie Tollette, CFA, CPA
客户投资解决方案负责人
富兰克林Templeton多资产解决方案
基因Podkaminer，CFA
多资产研究策略负责人
富兰克林Templeton多资产解决方案
更多在系列中“如果有震惊是什么？”
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