【英语财经】2016：投资者不得不防的“尾部风险” The surprise factor for investors in 2016

Imagine the ramifications of a revolution in Saudi Arabia, the world’s largest producer of oil. Would the price of crude stop rising beyond $100 per barrel? Or how about a combination of events which trigger alarm in the ￠2.1tn Italian sovereign bond market: say, the collapse of Matteo Renzi’s administration while 600,000 people are evacuated from the shadow of a rumbling Vesuvius.

No matter how unlikely such scenarios may seem, for professional investors it is essential to play a version of this what-if game as they decide where to allocate their money in 2016. There may be opportunity but do not forget to assess the risks.

Some are quotidian: will a company struggle to generate cash flow, or will a particular asset — forestry land, retail stocks, impressionist art — fall into or out of vogue.

Others are known as “tail-risks”, outcomes existing in the narrow, far reaches of statistical probability distributions.

Popularised by critiques of the flawed models at banks and rating agencies, which featured prominently during the financial crisis of 2008, the term has become part of the daily jargon of investing.

Tail risk describes those type of shocks that might occur but are not generally expected. As such, should they occur, a hefty blow to investments is usually the end result.

For instance — as examined in the FT’s recent series on the shocks of 2015 — there were a selection of surprises which inflicted portfolio damage last year.

From the Swiss National Bank dropping its currency peg to the euro in January, to the closing of a prominent mutual fund by credit specialist Third Avenue in December, investors had regular reminders of the way a promising investment strategy can be ruined by an unexpected event.

So, collected from investors and strategists in recent weeks we present a selection of possible but not probable tail risks — good and bad — to watch out for in the coming year.

China: the slowdown isn’t gentle

Michael Hasenstab, chief investment officer for Templeton Global Macro says “our call is that China will not have a hard landing … If for any reason we were to see that not occur, that would be a game changer. The China call is the most critical call any investor has to make.”

The debt investor, who has a reputation for making big calls on risky countries such as Ireland or the Ukraine, is right to highlight the state of the Chinese economy.

One of the big surprises of 2015 was a decision by the authorities to let the value of the renminbi fall in August, prompting a month of market turmoil around the world which led the Federal Reserve to delay raising interest rates.

The chief concern then and now is the pace at which the Chinese economy slows. After a decade during which demand for commodities boosted emerging market economies around the world, a slowdown in buying has spurred a collapse in prices for raw materials and widespread pain for their producers.

This shift comes as the Chinese authorities attempt to manage a transition in the economy away from investment in building and infrastructure towards greater internal consumption of goods and services.

Get the mix of reform and economic stimulus wrong, however, and a crash would reverberate worldwide.

Or the currency collapses

The two scenarios are not mutually exclusive but David Lubin, head of emerging market economics at Citi, says investors should keep a close eye on capital outflows from China.

The People’s Bank of China’s foreign exchange reserves have fallen from nearly $4tn in June 2014 to about $3.4tn today as it intervened in markets to defend the value of the currency, which has been allowed to weaken only moderately.

Such a large pile of reserves still leaves policymakers with options, but some analysts question the true value of those reserves, as spending them can create negative momentum for a currency when the need to act highlights underlying fragility.

“At some stage, reserves may fall to a threshold level where market participants begin to question whether China’s policy flexibility is really as strong as they previously thought,” says Mr Lubin. “That is not a good outcome for emerging markets.”

Inflation returns

Big drops in the value of emerging market currencies, particularly the Chinese renminbi, may help suppress price inflation in the US and the developing world by lowering the price of imported goods.

Yet several investors highlight the risk that inflation starts picking up after seven years of central bank action to prevent economies slipping into deflation and depression.

The Federal Reserve announced in December that interest rates will rise at a “gradual” pace in the coming years, but a rapid pick-up in the economy could upend assumptions about bond prices, which fall as interest rates rise.

Iain Stealey, portfolio manager for JPMorgan Asset Management, says: “As a fixed income investor the biggest tail risk we have is that the low growth, low inflation environment is just wrong and growth, wage inflation picks up. The Fed is completely behind the curve, that’s the risk we worry about.”

It may not even require stronger economic growth to get a surprise. The US unemployment rate has fallen from more than 10 per cent to just 5 per cent, meaning it has become harder to hire and retain staff.

When unemployment was the big issue, it was common to hear prominent investors and economists warn about the risks of inflation posed by central bank programmes of bond buying. After six years of waiting the inflationists have been relegated to the fringe.

Paul Lambert, of Insight Investment, says: “Wage inflation in the US could lead to a much sharper rate cycle in the US despite still relatively modest growth that will fuel a significant rise in currency market and asset market volatility. It’s like the wolf that might finally arrive just as everyone stopped believing the little boy.”

Alternatively, a risk is that it is investors, not the Fed, who are behind the curve. Market prices imply the US central bank will announce two quarter-point interest rate increases next year. The policymakers, however, on average forecast four, and a robust economy could compel larger or more frequent rate rises.

Discounting the Fed’s more hawkish forecasts has been a good strategy so far, and many investors still predict little momentum in long-term interest rates. But “we’re approaching an inflection point”, argues Alex Roever, head of US interest rate strategy at JPMorgan. “We’re going to see some stresses as the tide goes out.”

The dollar drops and raw materials rebound

To say investors are disillusioned with commodities is an understatement. As an asset class raw materials have promised much and delivered little over the past decade, except for disappointment.

The Bloomberg Commodity Index, a broad-based index of 22 raw materials widely followed by investors, for example, has fallen to its lowest level since the financial crisis and chalked up five consecutive years of losses since 2011.

Yet while few predict a return to boom time prices, it is possible to identify some low-probability events that would improve sentiment, aside from the obvious impact a pick-up in Chinese economic growth would have, or were Beijing to launch a giant stimulus programme to that end.

One is a large scale US dollar devaluation, as a strengthening greenback has been one of the biggest headwinds facing commodity markets in 2015. As resources are priced in dollars, raw materials have become more expensive for non-US buyers. A weaker dollar would thus represent a welcome price cut.

“Currencies are notoriously hard to forecast, and it would not be the first time they have wrongfooted consensus,” says Colin Hamilton, head of commodities research at Macquarie. “The difficulty is in seeing what would cause such a shift.”

The other, perhaps more unlikely event which could scare the commodity bears would be co-ordinated crude oil output cuts by large producers in and outside Opec, the cartel which attempts to manage production.

Not only would an agreement to pump less put a floor under the price of crude, it could trigger a so-called short squeeze as hedge funds and speculators scramble to close record bets that the price has further to fall.

A rising oil price could also help attract money back into commodities, says Mr Hamilton. One of the reasons for the poor performance of the sector over the past year has been the heavy selling of investment products that were heavily weighted towards oil but also contained exposure to metals and grains — markets that struggle to cope with large redemptions.

Normal is not nice and quiet

Investors have become used to a world dominated by central banks. These institutions pushed down the cost of government borrowing with giant programmes of bond buying, which in turn bolstered the price of assets such as equities and property. Money has flowed to wherever it could find a bit of extra income.

Now the Fed has begun to raise rates, what will the world be like without constant central bank support?

Mohamed El-Erian, chief economic adviser at Allianz, says that, if the Fed and other central banks do succeed in returning the world to ‘normality’, there may be unintended consequences.

“We are coming out of a period in which central banks have successfully suppressed natural market volatility,” he says. “A lot of capital flowed into the emerging world [under the Fed’s quantitative easing programme] and it is going to continue to look to get out as volatility rises. In some cases it will contribute to [conditions on] those markets that have become unhinged.”

Remember Europe

Surprises don’t have to be unpleasant. Ewen Cameron-Watt, BlackRock chief investment strategist, has the eurozone in mind, where a nascent recovery will get a boost from an expansion in government spending, part of it related to the influx of refugees.

“We can always pick an improbable surprise. I think it’s more interesting to pick something plausible, such as European performance and a US growth undershoot. A surprise would be if in the second half of 2016 European economic growth accelerates beyond US growth.”

Such a result might produce a year of earnings growth for European listed companies, something which has failed to arrive since 2010, regularly foiling the predictions of strategists and analysts.

Holders of government debt might be less happy, however. An end-of-year surprise was the decision by the European Central Bank not to increase the size of its monthly bond purchases in December, after what had appeared to be strong hints to the contrary ahead of the announcement.

Stronger growth would challenge assumptions that very low interest rates have become normal.

But beware “Brexit”

The UK’s Conservative government has promised a referendum on membership of the European Union to satisfy a large section of its party dissatisfied with the constitutional and commercial postwar settlement.

The risk is a victory for the “outs”, after which there would be a long list of open questions about the practical, legal and constitutional implications.

For instance, Europe employs the Continent’s expert trade negotiators, so who will negotiate the UK’s new position with the world? What will multinational banks do with European headquarters no longer based inside Europe? Can Scotland stay in if the rest of the UK leaves?

As Willem Buiter, Citi chief economist, puts it: “If it goes wrong the British economy would vanish for the next 10 years. Because it would create uncertainty about the EU unravelling, it’s big enough to matter for the global economy.”

Additional reporting by Miles Johnson and David Oakley

想象一下全球最大产油国沙特发生革命的后果。原油价格将不再升至每桶100美元以上了吗？或者想象一下，同时发生多起在2.1万亿欧元规模的意大利主权债券市场上拉响警报的事件——比如，在马泰奥?伦齐(Matteo Renzi)政府垮台的同时，60万人为了躲避维苏威火山(Vesuvius)爆发而疏散——结果会怎么样？

无论这些情景看起来或许是多么不可能，对于专业投资者而言，在决定他们在2016年把资金配置到何处时，进行这样的情景推演是必不可少的。或许存在机遇，但不要忘记评估风险。

有些风险属于日常风险：某家公司将很难产生现金流吗？或者某种特定资产——林地、零售股、印象派画作——将流行起来还是受到冷落？

其他风险被称为“尾部风险”，也就是存在于统计概率分布狭窄、遥远端的可能结果。

在2008年的金融危机中，银行和评级机构有缺陷的模型扮演了重要角色，对其的批评使得“尾部风险”这个词流行起来，现在已成为投资界的日常用语。

尾部风险描述的是那种或许会发生、但没有被普遍预料到的冲击。所以，当发生尾部风险时，最终通常会重创投资。

例如，正如英国《金融时报》在近期对2015年发生的冲击的系列报道中所分析的那样，去年便发生了一些令投资组合受损的意外事件。

从去年1月瑞士央行(Swiss National Bank)宣布本国货币不再挂钩欧元，到12月专做信贷基金的Third Avenue清盘一只著名共同基金，这些似乎在定期提醒投资者，突发事件是如何毁掉一种看似有前途的投资策略的。

于是，我们最近几周向投资者和策略师收集意见之后，在此列出2016年值得关注的一些有可能发生、但几率不高的尾部风险（有好有坏）。

中国：放缓并非和风细雨



邓普顿全球宏观(Templeton Global Macro)的首席投资官迈克尔?哈森斯塔布(Michael Hasenstab)说：“我们的押注是，中国不会发生硬着陆……如果有任何原因导致事情不是这样，那将改变整个棋局。有关中国市场的押注，是任何投资者都必须做出的最重要押注。”



这家债务投资机构以对爱尔兰或乌克兰等高风险国家进行大举押注而闻名，它特别提到中国经济状况，是合情合理的。

2015年的重大意外事件之一，是中国当局在8月允许人民币汇率下跌，在全球市场引发了一个月的动荡，致使美联储(Fed)推迟加息。

当时和现在人们的主要关切，是中国经济放缓的速度有多快。过去10年里，大宗商品需求提振了全球新兴市场经济体。如今，购买放缓刺激原材料价格大跌，并让原材料生产国普遍感到痛苦。

这一变化发生的同时，中国当局正尝试实现经济转型，从依赖对建筑和基础设施的投资，转向依赖国内商品和服务消费的扩大。

然而，如果中国弄错了改革和经济刺激的组合，将发生影响全球的经济崩溃。

或者汇率崩盘

这两种情景并非相互排斥，但花旗(Citi)的新兴市场经济学主管戴维?卢宾(David Lubin)说，投资者应当密切关注中国的资本流出状况。

随着中国央行(PBoC)干预市场以捍卫人民币汇率，其外汇储备已从2014年6月的近4万亿美元下降到当前的约3.4万亿美元。一直以来，中国当局仅仅允许人民币小幅贬值。

这么大规模的外汇储备仍给政策制定者提供了多种选择，但一些分析师质疑这些储备的真实价值，因为当央行必须采取行动这一点本身凸显出人民币的根本脆弱性时，动用储备可能对人民币汇率产生负面冲击。

“在某一阶段，外汇储备或许会降到一个临界值，届时市场参与者会开始质疑，中国的政策灵活性是否真的像他们以前认为的那样强大，”卢宾说。“对新兴市场而言，那不是一个好结果。”

通胀回归



新兴市场货币、尤其是人民币的大幅贬值，或许会通过降低美国和发展中国家进口商品的价格，帮助抑制这些国家的通胀。

不过，几家投资机构特别提出，在央行出手防止经济滑入通缩和萧条7年之后，通胀有了抬头的风险。



去年12月，美联储宣布，未来几年利率将“逐步”提高，但经济快速回暖可能会颠覆人们对债券价格的假设。债券价格会随着利率升高而降低。

摩根大通资产管理(JPMorgan Asset Management)的投资组合经理伊恩?史泰利(Iain Stealey)说：“作为固定收益投资者，我们最大的尾部风险是，当前根本不是低增长、低通胀的环境，经济增长和工资上涨实际上在加速。美联储完全落在形势后面，这正是我们担心的风险。”

可能甚至不需要经济更强劲地增长，都可以让我们感到意外。美国的失业率已从逾10%下降到仅仅5%，这意味着雇佣和保留员工已变得更困难。

当失业是个大问题时，我们经常听到著名的投资机构和经济学家警告称，央行的债券购买计划会带来通胀风险。在等待6年之后，通胀论者已被放逐到边缘地带。

Insight Investment的保罗?兰伯特(Paul Lambert)说：“在美国，工资上涨可能会导致一个节奏快得多的利率周期，尽管相对仍然温和的增长将显著加大货币市场和资产市场的波动性。这就好像，当所有人都不再相信小男孩的话时，大灰狼或许最终就来了。”

或者，风险在于，行动迟缓的不是美联储，而是投资者。市场价格暗示，美联储2016年将进行2次25个基点的加息。然而，政策制定者平均预测将进行4次25个基点的加息，而经济增长强劲可能带来更大幅度、更高频率的加息。

迄今为止，不理会美联储更为鹰派的预测一直是一项不错的策略，许多投资者仍预测，长期利率基本没有发生变化的动能。但“我们正在接近一个拐点，”摩根大通的美国利率策略主管亚历克斯?罗维尔(Alex Roever)指出，“大潮退去之时，我们将感到一些压力。”

美元下跌，大宗商品反弹



说投资者已对大宗商品产生幻灭感，还是委婉的。作为一个资产类别，大宗商品在过去十年里承诺多、兑现少，带来的唯有失望。

比如，彭博大宗商品指数(Bloomberg Commodity Index)——投资者广泛追踪的涵盖22种大宗商品的一项宽基指数——已下跌至金融危机以来的最低点，自2011年以来连续5年下跌。



不过，尽管没有几个人预测大宗商品的价格会回到鼎盛时期的水平，我们仍可能找出一些将提振市场情绪的小概率事件——不仅仅是中国经济增长提速将产生的明显效果，或者北京方面为推动增长而推出一项庞大的刺激计划。

一个这样的小概率事件是美元大幅贬值，因为美元走强是2015年大宗商品市场遭遇的最强逆风之一。由于资源是以美元定价的，美元走强使原材料对美国以外的买家而言变得更昂贵。如果美元走低，将带来一次受欢迎的原材料降价。

“汇率行情是非常难以预测的，如果美元贬值，那将不是第一次将人们的共识预测打个措手不及，”麦格理(Macquarie)大宗商品研究主管科林?汉密尔顿(Colin Hamilton)说。“困难在于找出可能导致美元由强转弱的原因。”

可能会吓住看空大宗商品的人的另一个或许更不可能的事件是，试图控制石油产量的卡特尔组织石油输出国组织(Opec)内外的大型生产国共同降低原油产量。

一份降低产出的协议不但将为原油价格提供底部支撑，还可能引发一次所谓的逼空，因为对冲基金和投机者会争相平掉押注油价进一步下跌的创纪录空头仓位。

汉密尔顿表示，油价上涨可能也有助于吸引资金重返大宗商品领域。去年大宗商品行业表现疲弱的原因之一，是那些主要投资于石油、但也对金属和谷物有敞口的投资产品遭到严重抛售，而金属和谷物市场艰难应对大规模的赎回。

常态化并非美好又安静

投资者已经习惯了一个由央行主宰的世界。这些央行实行庞大的购债计划，压低了政府借债的成本，这进而支撑起了股票和房地产等资产的价格。资金流向了一切可以获得一丝一毫额外收益的地方。

如今，美联储已开始加息，没有了央行不断支持的世界将变成什么模样？

安联(Allianz)首席经济顾问穆罕默德?埃尔-埃利安(Mohamed El-Erian)表示，如果美联储和其他央行确实成功地让世界回归“常态”，那或许会带来意想不到的后果。

“我们将退出央行成功压制住市场自然波动的时期，”他说。“大量资本（借助美联储的量化宽松计划）流入了新兴世界，如今，随着波动性加剧，这些资金将持续寻求撤出。在某些情况下，这将加剧那些已发生紊乱的市场（的状况）。”

牢记欧洲



意外之事未必都是坏事。贝莱德(BlackRock)首席投资策略师尤恩?卡梅伦?瓦特(Ewen Cameron Watt)关注着欧洲，那里初露端倪的复苏将得到政府扩大支出的提振——政府增加支出的部分原因与难民流入有关。



“我们总能挑出一件不大可能的意外事件。我认为，更有趣的是挑出一些似乎可能的事件，比如欧洲经济表现不错而美国增长低于预期。如果2016年下半年欧洲经济增速超过美国，那将是一件意外之事。”

这样的结果或许会让欧洲上市公司在2016年录得利润增长。自2010年以来，欧洲上市公司便一直未能实现利润增长，每年都让策略师和分析师的预测化为泡影。

然而，政府债券的持有者或许就不那么开心了。2015年年底的一件意外之事，是欧洲央行(ECB)在12月决定不扩大每月购债规模，而在消息公布之前，该行似乎给出了相反的强烈暗示。

更强劲的增长将挑战人们关于非常低的利率已成为常态的假定。

但要提防“英国退欧”



英国保守党政府已承诺就是否脱离欧盟(EU)进行全民公投，以满足对战后宪法和商业协议感到不满的大部分党员的要求。

风险在于“退欧派”取得胜利，在那之后，在现实、法律和宪法影响方面将产生一长串的未决问题。

例如，欧盟聘用了欧洲大陆的专业贸易谈判代表，那么谁将为英国在世界上的新位置而谈判呢？跨国银行将如何处理那些不再处于欧盟内部的欧洲总部？如果英国其他部分脱离欧盟，苏格兰可以留下吗？

正如花旗首席经济学家威廉姆?比特(Willem Buiter)所说：“如果出了差错，那么未来十年英国经济将一蹶不振。由于这会引发欧盟是否将解体的不确定性，其影响将大到足以对全球经济产生影响。”

迈尔斯?约翰逊(Miles Johnson)和大卫?奥克利(David Oakley)补充报道

译者/何黎