转帖赚分数： John Murphy Stock Market Message Sat, Dec 21 2013 11:01 AM ET

thyme1

FED TAPER AND STRONGER ECONOMY SHOULD BOOST BOND YIELDS IN 2014 -- THAT WOULD BRING BOND YIELDS TO MORE NORMAL LEVELS AND ISN'T NECESSARILY BAD FOR STOCKS -- STOCK/BOND RATIO BREAKS 13-YEAR RESISTANCE LINE -- IN A RISING RATE ENVIRONMENT, IT'S BETTER TO FAVOR SHORTER MATURITIES AND CORPORATE BONDS


By John Murphy


POSSIBLE UPSIDE TARGET FOR 10-YEAR BOND YIELD IS 3.75%... Wednesday's Fed announcement that it would finally begin a modest tapering of bond purchases in January gave a slight boost to bond yields during the second half of the week. The daily bars in Chart 1 show the 10-Year Treasury Note Yield (TNX) backing off Friday from its September peak near 3%. Bond yields had already risen since October in anticipation of a possible Fed move. This week's muted reaction in bond yields, however, doesn't diminish odds that bond yields will probably be heading higher during 2014. That's due partially to reduced bond purchases. But it's also due to improving economic conditions. A higher-than-expected third quarter GDP of 4.1% is the highest in nearly two years and confirms other signs of an economic rebound (like a five-year high in housing starts). What's a realistic upside target for bond yields in 2014? The weekly bars in Chart 2 show the 10-year yield having broken a six-year down trendline. Standard chart analysis suggests a possible upside target to 3.75% which is the high reached in early 2011. The pledge by the Fed to keep short-term rates down also reassured stock investors and put a limit on how high bond yields can go. My November 23 message on the yield curve relied on that pledge in arriving at an upside target for the 10-year yield: "That makes 3.75% a realistic upside target for 2014, if the Fed keeps short-term rates near zero".



Chart 1




Chart 2


Chart 3

A BOND YIELD RISE TO 4% WOULD STILL BE WITHIN MAJOR DOWNTREND AND RETURN YIELDS TO MORE NORMAL 2010 LEVEL... The monthly bars in Chart 3 shows the downward trend of the 10-Year T-Note yield since 2000 (when it peaked near 7%). A down trendline drawn over that 2000 peak and the one in 2007 (just above 5%) is currently sitting near 4%. That means that a rise in the 10-year yield to 3.75% would still be within a 14-year downtrend in yields. Yields would have to exceed 4% to reverse that downward trend. When looked at from that perspective, a rise to 3.75% appears relatively modest. Let's bring stocks into the picture. Chart 4 (below) compares the same 10-year yield to the S&P 500 since 2000 (the start of the lost decade in stocks). Notice that bond yields fell with stocks between 2000 and 2002, and rose with them between 2003 and 2007. They then fell together during 2008 and bounced together in 2009. That positive correlation between the two assets ended in 2010 (see arrow). Between 2010 and 2012, the two moved in opposite direcitons. That was due primarily to the Fed's aggressive bond purchases. The 60-month Correlation Coefficient (below Chart ) confirms that analysis and shows a drop in the CC line in late 2011 to a negative reading in 2012. Between 2010 and 2013, the bond yield fell while the S&P 500 rose 600 points (50%). There are at least two possible conclusion that might be drawn from Chart 4. One is that rising bond yields are not necessarily bad for stocks. In fact, they generally rose with stocks until 2010. A second conclusion is that the 10-year yield would have to rise to 4% just to get back to where it was in 2010 when the two markets started to diverge (thanks largely to the Fed). One reason why rising bond yields aren't necessary bad for stocks is both are rising for the same reason -- a stronger economy. Another is that money coming out of bonds finds its way into stocks.



Chart 4

STOCK/BOND RATIO BREAKS 13-YEAR RESISTANCE LINE... One need only look at Chart 5 to see that the long-term asset allocation shift has taken place away from bonds and toward stocks. The price bars are a "ratio" of the S&P 500 divided by the price of the 30-Year T-bond ($USB). The stock/bond ratio peaked in 2000 and 2007 (when stocks fell and bonds rose), and bottomed in 2003 and 2009 (when stocks rose and bond prices fell). The chart shows the ratio trading between two falling parallel trendlines between 2000 and 2013. The ratio has been rising since 2009. However, it rose above the upper trendline during 2013. In my view, that shows that a generational shift has taken place out of bonds and into stocks which should continue for some time into the future. That's bad for bonds but good for stocks. Falling bond prices encourage investors to sell bonds and buy stocks. That also explains why rising bond yields can actually help stocks.


(click to view a live version of this chart)
Chart 5

NOT ALL BONDS ARE EQUAL... The (bond) fixed income asset class has many different parts. And not all of them react in the same way to rising bond yields. Chart 6 shows five different ETFs measuring different parts of the fixed income field over the last year. There are several conclusions that can be drawn from that chart which should offer clues about what parts to emphasize in 2014, and which parts to stay away from. The worst performer was the 20 + year Treasury Bond Fund (TLT) which lost 14% this year. The reasons for that are twofold. In a rising rate climate, Treasuries are hit harder than corporate bonds. The second reason is the longer maturity bonds are more negatively effect by rising yields. The second worst bond category were TIPS (-9%). The absence of inflation (and weak commodity prices) have made TIPS less appealing. 7-10 year Treasuries (red line) did better than longer maturity Treasuries (-6%), but not as well as corporates. The blue line shows Investment Grade Corporates (LQD) doing better than Treasuries (-2%). That's because corporate bonds are closely tied to the fortunes of companies that issue them. In a stronger economy, and rising stock market, corporates are less sensitive to rising bond yields. The top category during 2013 have been High Yield Corporates (+6%). That's because high yield bonds are more closely tied to stocks than to bonds. Chart 6 suggests at least two things to keep in mind when bond yields rise. One is to keep maturities short. The other is to favor corporate bonds over Treasuries.


Chart 6

thyme1

莫名其妙，怎么不能再原帖加图片了？

源济

谢谢！我帮你把图贴上了。

ctcld

coexist