Der venter en hårdere tid på aktiemarkederne, især i USA, ifølge Shiller-analysen. Der kommer ikke de store afkast som i de seneste ti pår, og for at få et større afkast kan det være nødvendigt at løbe større risici.
Uddrag fra UBS:
In our view, the valuation of US equities in particular limits the potential upside for the 2020s. Professor Robert Shiller’s widely-watched cyclically adjusted Price to Earnings ratio, which has shown a statistically strong relationship with subsequent 10 year returns in the past, also points to lower returns in the 2020s.
After a sustained period of very low volatility, we also expect overall asset class volatility to edge higher in the 2020s to reflect continued geopolitical risks, the shift in the policy narrative from unelected central bankers to electorally sensitive politicians, and the gradual increase in inflation expectations and longer-dated yields as fiscal policy goes to work.
It is therefore on a risk-adjusted basis that, to us, US equities look most stretched relative to history. And after a decade of US outperformance driven in part by the boost from low rates to ‘growth’ equity valuations, we therefore expect more ‘value’-oriented equity markets outside of the US, such as Europe, Japan, China and emerging markets, to prosper on a relative basis as yields rise.
So what can individuals and institutions do to meet return targets in this environment? If the overall returns environment is lower, it is self-evident that investors are going to have to take more risk to achieve the same returns.
The correlations between asset classes are the statistical bedrock to the principle of multi asset diversification and to improved risk-adjusted returns potential. But portfolio risk itself is not a constant. And the strongly negative correlation between US equities and US Treasuries over the past 20 years that has given investors such simple diversification benefits has been abnormal in a longer-term context.
Exhibit 11: Strong equity returns unlikely to persist
Shiller cyclically adjusted earnings yield vs. subsequent 10yr US equity returns
