저자: JeremySiegel분석 · 외국인
요약 보기
최근 매그니피센트7이 S&P500 대비 4년 만에 가장 크게 하락했고, 연준 금리 인상 우려로 기술주 로테이션이 나타남. 유가가 2주간 $70→$90 급등했으나 5년5년 선도금리와 TIPS 스프레드가 안정적이라 연준은 일시적 충격으로 판단할 가능성. S&P500 P/E ~20 → 수익률 5%, 10년 TIPS 2.5%, 주식위험프리미엄 2.5%로 양의 여유 존재. 실질금리가 5%까지 오르면 스프레드가 0이 되어 주식에서 채권으로 이탈 가능하다는 민감도 분석 제시. 명목금리보다 TIPS-수익률 스프레드를 모니터링해야 한다고 주장.
다듬은 글
Tech stocks have been taking a beating. We recently saw the Magnificent Seven Index suffer its sharpest drop against the S&P 500 in 4 years, right as the federal funds rate ticks closer to that 5% mark. Investors are hyper-focused on the upcoming Federal Reserve meeting, terrified that further interest rate hikes will shatter the economy.
This sudden rotation out of tech leaves us with a critical question. Are we looking at a temporary blip or the beginning of a structural market decline? Most retail investors are obsessed with headline numbers. There is a pervasive assumption that a 5% nominal fed funds rate is inherently toxic to equities.
But looking at nominal interest rates in a vacuum gives you an incomplete picture. High nominal rates alone do not kill bull markets. To find out what actually does, we need to look at the framework developed by Wharton Professor of Finance Jeremy Siegel. His thesis is exact. The actual threat to equities is the mathematical spread between inflation adjusted bond yields and the stock market's internal earnings yield.
We are going to build the exact first principles mathematical model that institutional economists use to pinpoint the market's true tipping point. Surviving a high rate environment means filtering out the financial news noise and applying a rigid valuation framework based on real rather than nominal metrics.
To build that framework, we start with the macro landscape. Historically, government debt markets give us the clearest signal of underlying economic health. Right now, the visible macro shock dominating the headlines is the rapid surge in energy prices. In just 2 weeks, WTI crude oil jumped $20, moving from $70 up to $90 a barrel.
You might expect a massive price spike like that to automatically trigger a hawkish panic from central bankers. We all remember the COVID-era inflation crisis and the controversy surrounding the Fed's use of the word transitory. But a cyclical energy supply shock is entirely different from the structural inflation we saw when the government expanded the M2 money supply by trillions of dollars.
Federal Reserve leadership has to look past these highly volatile commodities if they want to set stable long-term policy. This chart shows how economists filter out that noise. They use a metric called the 5-year 5-year forward rate. We see a highly volatile jagged red line representing WTI crude oil completely detached from the stable flat blue line below it, which represents long-term inflation expectations.
To get that blue line, we look at Treasury Inflation-Protected Securities, or TIPS. Unlike standard nominal Treasury bonds, TIPS are specifically adjusted to strip out inflation. When you subtract the TIPS yield from the standard nominal yield, you isolate the exact level of future inflation the bond market expects.
Even with the recent oil shock, this spread has remained relatively flat. Because that TIPS spread hasn't widened appreciably, the bond market is mathematically pricing this oil shock as genuinely transitory. That data gives the Fed the justification it needs to hold rates steady. If we want to compare that bond market data to the stock market, both asset classes need to speak the same mathematical language.
Bonds are always quoted in yield, but stock market valuations are traditionally communicated through the price-to-earnings, or P/E, ratio. Right now, the aggregate valuation of the S&P 500 is trading at a P/E ratio of approximately 20. For a buyer, a 20 P/E means you are paying $20 upfront for every $1 of corporate earnings generated.
To bridge the gap between stocks and bonds, we have to convert that ratio into an earnings yield. This diagram represents the S&P 500's current structure. We have a large price block valued at 20 sitting right on top of a single earnings block valued at one. To find the yield, we simply invert the ratio, dividing the earnings by the price.
1 / 20 gives us a decimal result of 0.05. Convert that decimal, and you get an exact earnings yield of 5%. Investors need to stop viewing the S&P 500 merely as a fluctuating price index. A 20 PE market is at its core an asset generating a 5% real earnings yield. Now we can bring both sides of the macro equation together, the risk-free bond yield versus the stock market yield.
We established that the current real yield of a 10-year TIPS bond is sitting at approximately 2.5%. This chart plots the two directly against each other. On the left, our equity real yield stands at 5%, while the 10-year TIPS yield on the right reaches just 2.5%. The exact space between those two numbers is known as the equity risk premium.
This gap represents the mandatory extra compensation investors require to stomach the day-to-day volatility of stocks rather than retreating to the safety of government debt. Historically speaking, a 2.5% premium is on the lower end of the spectrum, but it remains mathematically positive. As long as this margin of safety exists, equities maintain an undeniable edge over bonds.
This is exactly why a 5% nominal fed rate hasn't derailed the bull market. However, that mathematical margin of safety is fragile. It is highly dynamic and constantly vulnerable to shifting central bank policy. With the looming threat of hawkish dissents at upcoming FOMC meetings, that baseline could easily be altered.
So we have to run a stress test. What happens if real bond yields continue to climb, but corporate earnings stagnate? This is a sensitivity analysis matrix designed to model the compression of the equity risk premium in real time. Our baseline shows the equity yield at 5%, the TIPS yield at 2.5% leaving our safe spread at 2.5%.
Notice that the stock market's 5% yield is essentially locked in place unless corporate profits dramatically increase or stock prices completely collapse. If we simulate a hawkish Fed pushing real yields higher, the TIPS rate increments to 3.0% immediately our safety spread drops to 2.0%. If we push this scenario to represent a worst-case tightening cycle, the TIPS yield climbs to 3.5% then 4.0% and finally 5.0%.
This is the exact moment the market mathematics break. As the TIPS yield matches the equity yield, the spread hits zero. In a zero margin scenario, capital will violently rotate out of risky equities and into bonds because the stock market is no longer paying a premium for the risk you are taking. If you want to accurately anticipate the next market crash, stop obsessing over nominal rate hikes.
You must exclusively monitor the spread between the TIPS yield and the market's inverted PE ratio. Mathematically, that spread is the only threshold that actually matters.
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