在雷曼兄弟破產(chǎn)引發(fā)市場暴跌和一連串緊急措施10年后，摩根大通策略師建立了一個(gè)模型來衡量下一次金融危機(jī)的時(shí)機(jī)和嚴(yán)重程度，結(jié)論是投資人應(yīng)該把2020年暫定為下一次金融危機(jī)的時(shí)間。

好消息是，根據(jù)他們的分析，下次危機(jī)的破壞程度可能比上次危機(jī)少一點(diǎn)。而壞消息是，自2008年危機(jī)爆發(fā)以來，金融市場的流動性減少是無法預(yù)知的因素。

摩根大通的模型依據(jù)經(jīng)濟(jì)擴(kuò)張的時(shí)間長度、下一次經(jīng)濟(jì)衰退可能持續(xù)的時(shí)間、杠桿程度、資產(chǎn)價(jià)格估值，以及危機(jī)前的放松管制和金融創(chuàng)新來計(jì)算結(jié)果。報(bào)告預(yù)設(shè)了一個(gè)平均時(shí)長的衰退，用模型得出了下一次危機(jī)中不同資產(chǎn)類別從高峰到谷底的表現(xiàn)。

美國股市下跌約20%，美國企業(yè)債收益率上漲約1.15%，能源價(jià)格下跌35%，基本金屬跌29%，新興市場國家政府債券的收益率差擴(kuò)大2.79%，新興市場股票下跌48%，新興市場貨幣貶值14.4%。

摩根大通策略師約翰·諾曼德和費(fèi)德里克·馬尼卡迪寫道：“就資產(chǎn)而言，這些預(yù)測相對于十年前全球金融危機(jī)時(shí)的跌幅看起來算是溫和，相較于平均的衰退和危機(jī)程度這一預(yù)測也不算令人不安。”他們指出，在2008年全球金融危機(jī)期間，標(biāo)普500指數(shù)就曾狂跌54%?！拔覀冎辽贂?jù)歷史標(biāo)準(zhǔn)作些微調(diào)，因?yàn)榻Y(jié)構(gòu)性的市場流動性減少是不可預(yù)測因素?！?

摩根大通分析師馬可·克拉諾維奇此前曾分析得出，隨著指數(shù)基金、交易所交易基金和基于數(shù)量的交易策略不斷發(fā)展，市場交易模式正在從主動管理投資轉(zhuǎn)向被動，這也加劇了市場受擾后帶來的危害，克拉諾維奇和同事于近期在另一份報(bào)告中將其描述為“巨大的流動性危機(jī)”。

喬伊斯·張和詹·洛伊斯在報(bào)告中寫道：“資產(chǎn)管理從主動向被動的轉(zhuǎn)變，特別是主動價(jià)值型投資者的減少，降低了市場防范縮減和從大規(guī)?？s減中復(fù)蘇的能力?！蹦Ω笸ü烙?jì)，主動型管理賬戶只占它所管理資產(chǎn)的約三分之一，活躍的單名交易只占交易量的10%左右。

對流動性的擔(dān)憂

喬伊斯·張和詹·洛伊斯警告說，這種轉(zhuǎn)變“消滅了大量的資金池，而這些資金池本可購買廉價(jià)公開證券并阻遏市場風(fēng)波”。

約翰·諾曼德和費(fèi)德里克·馬尼卡迪寫道，讓人看到一線希望的，倒是最近新興市場的潰?。核馕吨l(fā)展中國家的資產(chǎn)今年變得廉價(jià)，反而能限制下一次危機(jī)從峰跌谷的程度，并補(bǔ)償杠桿的建立。

除了流動性問題，約翰·諾曼德和費(fèi)德里克·馬尼卡迪還強(qiáng)調(diào)了下一輪衰退的時(shí)間長度，將會成為衡量情況變得多糟的標(biāo)尺。衰退持續(xù)時(shí)間越長，對市場的打擊越大，從以往的危機(jī)表現(xiàn)中他們已分析出這一點(diǎn)。

他們還寫道：“經(jīng)濟(jì)衰退的持續(xù)時(shí)間是對回報(bào)的巨大拖累，這應(yīng)該與一些讀者的擔(dān)憂相吻合，即下一次衰退中政策制定者缺乏必要的貨幣和財(cái)政空間來提振經(jīng)濟(jì)?！保ㄘ?cái)富中文網(wǎng)）

譯者：宣峰

A decade after the collapse of Lehman Brothers sparked a plunge in markets and a raft of emergency measures, strategists at the bank have created a model aimed at gauging the timing and severity of the next financial crisis. And they reckon investors should pencil it in for 2020.

The good news is, the next one will probably generate a somewhat less painful hit than past episodes, according to their analysis. The bad news? Diminished financial market liquidity since the 2008 implosion is a “wildcard” that’s tough to game out.

The J.P. Morgan model calculates outcomes based on the length of the economic expansion, the potential duration of the next recession, the degree of leverage, asset-price valuations and the level of deregulation and financial innovation before the crisis. Assuming an average-length recession, the model came up with the following peak-to-trough performance estimates for different asset classes in the next crisis, according to the note.

A U.S. stock slide of about 20%. A jump in U.S. corporate-bond yield premiums of about 1.15 percentage points. A 35% tumble in energy prices and 29% slump in base metals. A 2.79 percentage point widening in spreads on emerging-nation government debt. A 48% slide in emerging-market stocks, and a 14.4% drop in emerging currencies.

“Across assets, these projections look tame relative to what the GFC delivered and probably unalarming relative to the recession/crisis averages” of the past, J.P. Morgan strategists John Normand and Federico Manicardi wrote, noting that during the recession and ensuing global financial crisis the S&P 500 fell 54% from its peak. “We would nudge them all at least to their historical norms due to the wildcard from structurally less-liquid markets.”

J.P. Morgan’s Marko Kolanovic has previously concluded that the big shift away from actively managed investing—through the rise of index funds, exchange-traded funds and quantitative-based trading strategies—has escalated the danger of market disruptions. He and his colleagues wrote in a separate note recently of the potential for a future “Great Liquidity Crisis.”

“The shift from active to passive asset management, and specifically the decline of active value investors, reduces the ability of the market to prevent and recover from large drawdowns,” Joyce Chang and Jan Loeys wrote in the note. Actively managed accounts make up only about one-third of equity assets under management, with active single-name trading responsible for just 10% or so of trading volume, J.P. Morgan estimates.

Liquidity Worries

This change has “eliminated a large pool of assets that would be standing ready to buy cheap public securities and backstop a market disruption,” Chang and Loeys warned.

One silver lining is in the recent rout in emerging markets: it means assets in developing countries have cheapened this year, helping limit the peak-to-trough declines during the next crisis and offsetting a buildup of leverage, Normand and Manicardi wrote.

Besides the liquidity question, Normand and Manicardi highlighted the length of the next downturn as a critical unknown in gauging how bad things will get. The longer a recession lasts, typically the bigger the hit to markets, their analysis of past episodes shows.

“The recession’s duration is a powerful drag on returns, which should dovetail with some readers’ concerns that policy makers lack the necessary monetary and fiscal space to extract economies from the next recession,” they wrote.