每周全球金融观察 | 第 153 篇：还有什么是已知的未知和未知的未知？

1955 年，两位美国心理学家约瑟夫-路夫特和哈灵顿-英格汉姆在开发乔哈里资讯窗时提出了"未知数 "的概念。他们将其作为一种技术，帮助人们更好地了解自己与他人的关系。这个术语也常用于美国国家航空航天局（NASA）内部。

Donald Rumsfeld 唐纳德-拉姆斯菲尔德（1975-1977 年和 2001 至 2006 年两任美国国防部长）在 2003 年美国入侵伊拉克前夕发表了以下著名声明，将知识分子的智慧带到了大街上：

我们知道，有已知的已知事物；有我们知道我们知道的事物。我们也知道有已知的未知；也就是说，我们知道有些事情我们不知道。但也有未知的未知数，即我们不知道的未知数。

2008 年雷曼灾难（引发了全球金融危机）之后，"未知-未知 "在华尔街的风险管理中占据了一席之地。2020 年爆发的 Covid-19 大流行病也是一个未知数。没有人做好准备。全球金融市场灾难的速度和严重程度前所未有。幸运的是，大胆、及时和积极的政策反应也是前所未有的，这避免了可能是人类最严重的灾难。

我们正处在一个充满不确定性的时代，既有已知的未知数，也有未知的未知数。2022 年全球同步加息导致风险自由利率在 12 至 18 个月内出现前所未有的飙升，这在所有资产类别中都产生了反响。俄罗斯入侵乌克兰又增加了一个未知的地缘政治风险因素。最近，以色列￾加沙的地缘政治危机和迫在眉睫的人道主义灾难以及未知的升级又增加了一个因素。

我们可以看到央行加息通道尽头的曙光。然而，"利率持续高的时间加息多久"仍然是个未知数。所有以美元（和欧元）计价的资产都需要重新校准和定价。

当无风险利率（资本成本）接近于零时，投资者不顾风险，拼命追求回报。2020 年，奥地利共和国 46 亿欧元 0.85% 票息的 100 年期债券被毫不犹豫地抢购一空。奥地利的评级为 AA，风险主要是利率风险。然而，阿根廷 2017 年发行的 27.5 亿美元、票面利率 7.125% 的 100 年期债券也被抢购一空，尽管阿根廷从 1816 年到 2001 年已违约 8 次。结局来得相当快，阿根廷 100 年期债券在 35 个月后再次违约。 

现在，无风险利率大大提高，我们需要清醒地从 "风险调整后回报 "的角度来评估投资。

全球固定收益从上周痛苦的一周中恢复过来。彭博全球综合指数、美国综合指数、美国国债指数、美国 IG 债券指数和美国 HY 债券指数分别上涨了 0.69%、0.95%、0.96%、1.25% 和0.53%。1.25% 和 0.53%。

本周全球股市表现相当不错，因为市场预计以色列-加沙冲突不会恶化为更广泛的冲突。市场预期近期美国国债收益率的飙升将成为美联储的 "幽灵加息"，而美联储无需再次加息，因此对股市构成利好。

请参阅下表，了解本周和 2023 年全年表现与往年的对比情况：

所有数据截至 10 月 13 日，*1 截至 10 月 12 日

2022 年和 2023 年，美国银行业经受住了利率上升、收益率曲线倒挂、硅谷银行内爆等重重打击。2022 年，KBW 银行指数为 -23.73%，今年以来又为- 24.46%。摩根大通、花旗集团和富国银行周五公布了第三季度银行财报。摩根大通第三季度盈利 132 亿美元（同比增长35%），巩固了其在银行业的主导地位。第三季度收入为 407 亿美元（同比增长 21%）。净利息收入为 229 亿美元（同比增长 30%）。尽管银行业在 2023 年面临不利因素，摩根大通第三季度财报仍强化了消费支出和企业业务以及净利息收入的持续强劲。

富国银行第三季度营收为 20.86 美元，净利息收入（NII）为 131 亿美元，同比增长 8.3%，净利润为 57.7 亿美元。

美元指数本周高收于 106.648 点。在全球充满不确定性和地缘政治冲突的时期，全球资本总是在安全的美元中寻求庇护。

巴菲特有句名言："只有在潮水退去之后，你才能看清谁在裸泳"。

2020 年初 Covid-19 爆发后，全球央行将利率降至零（欧元区、瑞士和日本为负值）。投资界全力追逐收益率。这种疯狂在 2020 年 12 月达到顶峰 (相当于 18.3 万亿美元的负利率债券,在 2022 年开始退出历史舞台，负收益债券在 2023 年 1 月结束。

彭博全球综合债券指数：负收益债务市场价值：

事后看来，奥地利共和国 2120 年 6 月 30 日到期的 46 亿欧元 0.85%债券在 6 个月内是一笔不错的交易。人们本可以在 2020 年 6 月以 100 的价格买入收益率为 0.85% 的 100 年期债券，到 12 月以 140 的价格卖出（6 个月内获得 40% 的资本收益）。顺便提一下，该债券的最后报价为 37。 

奥地利共和国 2120 年 6 月 30 日到期的欧元 0.85%债券:

恒大 2025 年 6 月 28 日到期的 8.75% 美元债券在 2020 年中期的交易价格为 80 多美元（收益率接近 13.75%）。有好心的同事建议我投资该债券以备退休之用。顺便提一下，该债券的最后报价为 2.46。

恒大 2025 年 6 月 28 日到期的 8.75% 美元债券:

相信很多人还记得今年 4 月被瑞士监管机构注销的瑞信 Credit Suisse AT1 债券。在 2020 年的低利率时代，瑞信 AT1 的 1 倍杠杆票据是私人银行界的热门投资品种。损失 100%的投资并不是最糟糕的。损失 100%的投资，还得再付出 100%的代价，才是最糟糕的。

瑞信 Credit Suisse AT1 债券:

在 2020 年的疯狂中，风险因素被抛到了九霄云外，2021 年的清算开始了，2022 年的复仇开始了，2023 年及以后还会继续。

美元无风险利率超过 5%（欧元超过 4%）。现在是重新认识 "风险调整收益 "的时候了。

作者：蔡清福

Alvin C. Chua

2023 年 10 月 14日, 星期六

东亚和中国股票市场的表现与全球同行的比较：

Article#153: What Can Be the Known-Unknowns and Unknown Unknowns?

The concept of unknown unknowns was created in 1955 by two American psychologists, Joseph Luft and Harrington Ingham in their development of the Johari window. They used it as a technique to help people better understand their relationships with themselves as well as others. The term was also commonly used inside NASA.

It was Donald Rumsfeld (two times US Defense Secretary from 1975-1977, and from 2001 to 2006) who brought the intellectual prowess to the main street with the following famous statement on the eve of the US invasion of Iraq in 2003: 

As we know, there are known-knowns; there are things we know we know. We also know there are known-unknowns; that is to say we know there are some things we do not know. But there are also unknown-unknowns—the ones we don’t know we don’t know.

Post Lehman debacle in 2008 (which triggered the Global Financial Crisis), unknown-unknown gained a seat on the Wall Street risk management table. The 2020 Covid-19 pandemic outbreak was an unknown-known. No one was prepared. The speed and severity of the global financial market carnage were unprecedented. Fortunately, the bold, timely and aggressive policy responses were also unprecedented, which averted potentially the worst debacle in mankind. 

We are in an era of great uncertainty, with known-unknowns and unknown-unknowns. The synchronized global rate hikes of 2022 resulted in an unprecedented jump in risk free-rates over a 12 to 18-month period, which reverberated across all asset classes. The Russian-invasion of Ukraine added another element of geo-political risk unknown-unknown. Lately, the geo-politicalcrisis in Israel-Gaza, imminent humanitarian disaster and the unknown escalation added another element. 

We can see the light at the end of the central bank rate hike tunnel. However, “how long and how high” remains the known-unknown. All US dollar (and Euro) denominated assets will need to be recalibrated and repriced.

When the risk-free rate (cost of capital) was near zero, investors ignored risk in desperate pursuits for return. In 2020, the Republic of Austria Euro 4.6 billion 0.85% coupon 100-year bond was snapped up without hesitation. Austria is AA-rated, and the risk is primarily interest rate (duration) risk. However, the Argentina US$2.75 billion 7.125% coupon 100-year bond issuance in 2017 too was snapped up, even though Argentina has defaulted 8 times from 1816 to 2001. The end came rather soon, the Argentina 100-yr bond defaulted again 35 months later. 

Now that the risk-free rate is much higher, we need to sober up and evaluate investments from a “risk adjusted return” perspective. 

Global fixed income recovered from a painful week last week. The Bloomberg Global Aggregate Index, US Aggregate Index, US Treasury Index, US IG bond index and US HY bond index gained 0.69%, 0.95%, 0.96%. 1.25% and 0.53% respectively. 

The global equity market performed rather well this week, pricing-in the conflict in Israel-Gaza would not deteriorate into a broader conflict. Market is pricing-in the expectation that the recent surge in US Treasury yield serves as the “phantom rate hikes” for the Fed without the Fed having to hike again, and thus a positive for equities. 

All data as of Oct 13， *1 as of Oct 12

The US banking industry has withstood a lot of punches in 2022 and 2023, from higher interest rates, the inverted yield curve, the SVB implosion, etc. The KBW bank index was -23.73% in 2022 and another -24.46% YTD. JP Morgan, Citigroup, and Wells Fargo kicked off the Q3 bank earningson Friday. JP Morgan reinforces its dominance in the banking sector with US$13.2 billion in Q3 earnings (+35% from the same period a year ago). Q3 revenue was $40.7 billion (+21% YoY). Net interest income was $22.9 billion (+30% YoY). Despite headwinds the banking sector faced in 2023, JP Morgan Q3 results reinforces the continuing strength of consumer spending and corporate businesses, as well as NIM. 

Wells Fargo reported US$ 20.86 billion in Q3 revenue, and earned US$13.1 billion in net interest income (NII) in Q3, 8.3% higher YoY, and $5.77 billion in net profit.

Bank of America (the 2nd largest US bank) is scheduled to report Q3 results next Tuesday. 

The dollar index closed on a high note this week, at 106.648. In times of global uncertainties and geo-political conflicts, global capital always finds refuge in the safety of the USD.

As Warren Buffett famously said, “only after the tide went out hence you see who has been swimming naked”. 

Post Covid-19 pandemic outbreak in early 2020, global central banks lowered interest rates to zero (negative in the Eurozone, Switzerland, and Japan). The investment community went all-out hunting for yields. The madness peaked in December 2020 with the US$ 18.3 trillion equivalent of negative interest rate bonds, with the sobering detox in 2022, and the negative yielding bond ended in Jan 2023. 

In hindsight, the €4.6 billion Republic of Austria 0.85% bond maturing June 30, 2120 was a good deal for six months. One could have bought the 100-year bond yielding 0.85% at 100 in June 2020, and sold it at 140 by December (40% capital gain in six months). Incidentally, the bond was last quoted at 37.

The Evergrande 8.75% USD bond maturing on 6/28/2025 was trading at low 80s (yielding almost 13.75%) in mid-2020. I have well-intentioned colleagues advising me to invest in this bond for retirement. Incidentally, the bond price was last quoted at 2.46.

Many of you would remember the Credit Suisse AT1 bonds that were wiped out by Swissregulators in April this year. During the low-interest era of 2020, a popular investment in the private banking community was a 1-x leveraged note on the Credit Suisse AT1. Losing 100% of your investment is not the worst. Losing 100% of your investment, and yet having to pay another 100% is the worst. 

In the madness of 2020, risk considerations got thrown out of the window, and the reckoning started in 2021, in vengeance in 2022, and continued into 2023 and beyond. 

The US Dollar risk-free rate is above 5% (Euro over 4%). It is timely to be reacquainted with “riskadjusted return” matrices.