今日高收益债券

2013 (explicit) · memo · 原文约 868 词

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Memo to:

（原文仅为一个基金名称，无其他内容，按全译本规则只输出译文。）

橡树高收益债券客户

Oaktree High Yield Bond Clients

From:

霍华德·马克斯和谢尔顿·斯通

Howard Marks and Sheldon Stone

Re:

今天的高收益债券

High Yield Bonds Today

客户常向我们询问对高收益债券市场的看法：“你们觉得价格是不是太高了？”“收益率是不是太低了？”“明年我们能指望多少回报？”我们提醒他们，要准确预测这些几乎不可能，任何做出此类预测的人都不太可能说对。

如今，问题主要在于，鉴于去年的强劲表现和当前处于历史低位的收益率，高收益债券是否处于泡沫之中、即将崩盘。我们并不认为高收益债券比其他固定收益工具更容易受到利率上升的影响。我们并不低估当前市场的风险，也不否认债券价格确实相当高。然而，这种局面并非高收益债券独有；实际上，几乎所有债券都是如此，这反映了全球各国央行协力压低利率的意图。在整个固定收益领域，收益率都处于历史低位，价格则异常高企。

不过，有两个因素有力地说明，高收益债券受利率上升影响的程度要小于其他固定收益板块：

Clients often ask for our views on the high yield bond market: “Do we think prices are too high?” “Are yields too low?” “What returns can we expect next year?” We caution them that it’s nearly impossible to accurately predict these things, and anyone who makes such forecasts is unlikely to be right. These days the question is primarily whether high yield bonds are in a bubble and poised to collapse, given last year’s strong performance and today’s historically low yields. We don’t think high yield bonds are any more vulnerable to rising rates than other fixed income instruments. We don’t downplay the risk in the market nowadays and the fact that bond prices are quite high. However, the situation isn’t unique to high yield bonds; rather, it is true of virtually all bonds and reflects the concerted effort on the part of central banks around the world to hold down interest rates. Yields are at historic lows and prices are unusually high all across the fixed income spectrum. However, two factors argue strongly that high yield bonds are less vulnerable to rising interest rates than other fixed income sectors: 

给定期限的高收益债券，其久期短于同期限的投资级债券，因为久期衡量的是预期现金流回收的加权平均时间，高收益债券票息更大，意味着利息与本金的预期偿付平均到账更早。因此，利率上升相同幅度时，高收益债券的价格跌幅小于同期限的投资级债券。

A high yield bond of a given maturity has a shorter duration than an investment grade rated bond of the same maturity, since duration is a measure of the weighted average time to receipt of the promised cash flows, and the larger interest coupons on high yield bonds mean the expected payments from interest and principal are received sooner on average. Thus an increase in interest rates of a certain amount implies less of a price decline for a high yield bond than for an investment grade rated bond of the same maturity.



此外，利率上升通常意味着经济增长，而经济增长通常又意味着信用状况改善、违约减少。

In addition, rising interest rates usually imply a growing economy, and a growing economy usually means improving creditworthiness and fewer defaults.

当然，高收益债券要想再现 2012 年的回报水平，可能性微乎其微。但反过来讲，它们也不必非得达到去年的成绩，才值得今天继续持有。

虽然收益率处于历史低位，但收益率利差所讲述的故事则截然不同。目前，我们的美国高收益债券投资组合的平均利差约为 490 个基点，处于我们近三十年来投资所见的正常历史区间的高端。我们认为，这样的平均利差足以充分弥补我们的违约风险，过去 27 年间，我们的年均违约率为 1.4%。考虑到企业资产负债表状况相对良好（很大程度上要归功于过去两年的再融资活动）、资本市场流动性充裕，以及各经济体（至少美国）显示出一些

Of course it’s most unlikely that high yield bonds will deliver returns even close to 2012’s performance. On the other hand, they don’t have to equal last year’s return to warrant holding today. While yields are near all-time lows, yield spreads tell a very different story. Today the average spread on our U.S. high yield bond portfolios – approximately 490 basis points – is toward the high end of the normal historical range we’ve invested in for nearly three decades. We believe such an average spread provides more-than-adequate compensation for our default experience, which over the last 27 years has averaged 1.4% per annum. With corporate balance sheets in relatively good shape (thanks in large part to all of the refinancing activity over the past two years), the capital markets awash in liquidity, and economies (at least in the U.S.) showing some

2013 年橡树资本管理有限合伙公司

2013 Oaktree Capital Management, L.P.

在当前的信用环境下，违约率预计在未来至少十二个月内仍将低于长期平均水平。

鉴于当前的平均收益率利差，我们估计所持组合每年即使遭遇约 9% 的违约率，表现也不会逊于美国国债——值得一提的是，我们从未有过任何一年出现 9% 的违约率。因此，我们认为高收益债券在相对价值上并未被高估。事实上，我们觉得从概率上看，未来数年的持有期内，高收益债券的相对表现更有可能优于美国国债和高评级公司债。

最后，让我们看看高收益债券从今天开始的潜在绝对回报。假设我们持有（或买入）平均收益率约 5.7% 的高收益债券，并拥有橡树资本的平均经验：年违约率为 1.4%，违约债券的本金损失约一半，即每年组合的 0.7%。这样算来，在扣除费用和价格波动之前，每年净回报为 5%。面对当前的替代选择，这是一个颇具吸引力的绝对回报。还有什么更好的？

如果利率上升和/或收益率利差扩大，我们将遭遇价格下跌（其他所有固定利率证券的持有者也不例外）。但只要橡树资本在信用判断上是正确的，这些下跌终将被证明是暂时的。债券到期时将以面值偿付，若上述其他假设成立，5% 的回报就能实现。

尽管我们认为，鉴于组合中存在的风险，利差颇具吸引力，但确实价格上行空间有限，使得承担风险的回报受限。（这本质上就是霍华德在其最新备忘录《同上》中得出的结论。）在这种环境下，卓越的回报更可能通过尽量减少错误而非追逐收益率来实现。对回报的追求不应当激进，而应包含风险控制、谨慎、纪律和选择性。当然，这正是我们在组合中所强调的。

考虑到这些因素，投资者是否应该卖出高收益债券，等待更好的投资时机？我们不这么认为，因为择时几乎不可能做对，而在高收益债券这类流动性较低的市场中尝试择时，代价高昂。

strength, default rates are projected to remain below the long-term average for at least the next twelve months. Given their current average yield spread, we estimate that our portfolios could suffer a default rate of approximately 9% every year and still do no worse than Treasurys – and it’s worth noting that we have never had even one year with a 9% default rate. So we don't think high yield bonds are overpriced in relative terms. In fact, we feel the odds favor their delivering relative performance that is superior to Treasurys and high grade corporates over multi-year holding periods ahead. Finally, let’s consider the potential absolute result for high yield bonds from today. Suppose we hold (or buy) high yield bonds currently at around 5.7% average yield, and we have Oaktree’s average experience: an annual default rate of 1.4% and loss of about half the money invested in the defaulting bonds, or 0.7% of our portfolio per year. This results in 5% net return per year before fees and price fluctuations. Given the alternatives today, that’s an attractive absolute return. What else is better? If interest rates rise and/or yield spreads expand, we will suffer price declines (as will holders of all other fixed-rate securities). But if Oaktree is right in its credit judgments, those declines will prove to be temporary. The bonds will be paid off at par upon maturity, and if the other assumptions above are met the 5% return will be achieved. While we believe spreads are attractive given the risks we see in our portfolios, it is true that there is little room for price upside, making the reward for risk taking limited. (This is in essence what Howard concluded in his most recent memo, “Ditto.”) In this type of environment, superior returns are more likely to be earned through minimizing mistakes than through stretching for yield. Rather than behaving aggressively, the search for return should involve risk control, caution, discipline and selectivity. Of course, this is what we emphasize in our portfolios. Considering these factors, should investors sell their high yield bonds and wait for a better time to invest? We don’t think so, as market timing is next to impossible to do right and costly to attempt in less liquid markets like high yield bonds.

February 21, 2013

2013 年橡树资本管理有限合伙公司

2013 Oaktree Capital Management, L.P.