저자: BillGross · 외국인
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채권 시장에서 장기금리 상승 압력이 이어질 것이며, 주식은 위험보상(ERP)이 낮아 밸류에이션 하락 위험이 크다는 결론. 주식 밸류에이션: 주식이 채권 대비 충분한 리스크 프리미엄을 주지 않아 PE 축소 가능성이 있음. 실질금리가 1.5년 전 대비 약 350bp 상승했고, 이익수익률 5%→8.5% 상승 시 PE는 20→12~13 수준으로 하락할 수 있다는 가정을 제시. 금리 전망: 10년물 국채 금리는 약 4.75~4.8%. 기대 인플레이션(브레이크이븐) 약 2.3%이나 실제로는 3% 수준으로 봄. 기간 프리미엄 약 1~1.25%. 연준 기금금리 3~3.5% 가정 시 5% 국채는 '괜찮은' 수준이지만 훌륭하지는 않음. 수급 요인: 2조 달러 재정적자에 따른 국채 공급 증가, 연준의 QT(양적긴축)에 따른 채권 매도, 'higher for longer' 인식 확산이 장기금리 상승 요인. 최근 채권 ETF(AGG, BND 등) 매도 급증이 소형 '채권 자경단' 매도로 연결. 재정: 연방부채 이자비용 증가로 적자 확대가 이어지며 재정 여력 부족. 향후 국채 공급 압력은 과거 대비 두 배 수준 가능. 주택시장: 모기지 금리 7.7%로 주택 거래 위축, 주택 건설 둔화가 경기에 선행해 영향 예상. MBS 스프레드는 금융위기 이후 가장 넓은 수준. 스프레드 축소 시 모기지 REIT(annaly, AGNC, 연 배당 약 16%)에 유리. 기타: 현재 유망 전략으로 M&A 차익거래 언급(마이크로소프트-액티비전 블리자드 등), 단기적으로 약 1.1% 수익 가능.
다듬은 글
Bill gross joining us right now the co-founder of Pimco and now today here with his latest investment Outlook a look at some of those yields a look at the risk of holding on to stocks and the differential I guess in the premium debt as we just said bill doesn't seem to exist anymore if that risk premium isn't there bill I am curious as to exactly what Equity investors would have to hang their hat on to justify uh entering into this Market well I think women they would have had to hang on you know perhaps Ai and the potential increase across the economy in terms of productivity as of now we don't really know what that is um it does well they would hang their hat on a stronger economy that may continue to persist as opposed to a recession that many are expecting that's what they would hang their head on I would go the other way and take the hat off take the hat off and I mean we know in the past from speaking to you as well as some of your other public statements that you took that hat off a while ago here I mean what hat are you wearing right now well um let me explain it this way I think p e ratios are coming down Katie explained it in terms of an equity risk premium being close to uh you know basically the bond market and meaning that there's a little risk in terms of stocks relative to treasury bills or short-term treasury notes um I I would put it this way give me 30 seconds for an example that a p e ratio had 20 uh turn it upside down as an EP ratio at five so an earnings ratio at five a p e ratio of 20 was a year and a half ago and since then real yields as Katie pointed out I've gone up by you know a good 350 basis points if and I'm not saying this is going to happen but if the earnings yield ratio the EP ratio went up from five to eight and a half percent and p e ratios would be down around 12 over 13 now that's a it's a little old school that's Gordon discount dividend discount model type of thing but it does indicate the direction in terms of p e ratios that they might move if we see a situation we real yields still at 2.40 percent and let's break down what we've seen in terms of nominal yields as you mentioned real yields very high and they've been in the driver's seat really if you think about this rise in the 10-year yield talk to us though about break evens do you think that inflation expectations should be higher here given what we're seeing in the energy Market yeah I think it should and um you know the the Breakeven rate for the tenure amazingly is rather stable between two and two point three percent today I think around uh 2.34 percent and so that's the expectation for inflation I I would say it's more like three uh getting down to two is going to be very difficult going forward and so um you know that to me means that nominal treasuries that take the tenure again at uh 4.75 or 4.8 um that nominal treasuries are basically based upon a expectation for a three percent fed funds rate over a long-term basis there is a equity risk premium that you talked about there is a term premium for bonds as well of about one to one and a quarter percent because that's the risk of owning a tenure versus a treasury bill and and so if fed funds settle around three to three and a half percent you know a five percent continued treasury is a decent value it's not great value what is Great Value though when you think about five percent on a 10-year treasury we haven't seen that for 15 years plus if that's not great what is great well it's greater there's no doubt that about that uh but uh five percent again would would be a normal Bond term premium of about one and a quarter percent under um three percent inflationary expectations so so that's okay and and I know corporate spreads have widened out a little bit and that makes them attractive but what I what I think has happened Katie in the past several weeks and the market is beginning to recognize treasury Supply you know based upon a two trillion dollar uh deficit they're beginning to recognize uh you know basically the selling of uh bonds by the FED in terms of the QT they're beginning to recognize higher for longer as well and so those two factors have been important in terms of the current rise what I've seen in the last week um is that the Bond vigilantes to the extent that they are now individuals owning you know billions and billions hundreds of billions of bond ETFs they've been spooked over the last week or so by declines of two three four five percent in their ETFs and so I think they're joining the crowd in terms of selling and you know we're seeing a little bit of an oversold Market here headed to five percent it's certainly oversold but I do worry uh bills about some of these external events of course yesterday there was a lot of hoopla around basically the Speaker of the House losing his position here and whether this was symptomatic of just the dysfunction in Washington you mentioned the federal debt we know debt servicing costs have gone up from sub two percent here for the government to I think now somewhere in the four to five percent range here on average how much of that ends up becoming a factor in investment decisions or can you ignore it well I don't know I don't see the of the point again 30 days from now in which they have to to vote and we'll have a new speaker I I assume but to me it indicates you know disruption in terms of the process additional disruption based upon what we've seen because 10 Republicans 10 conservative Republicans basically are running the show in the house and so that will increase volatility in terms of all markets and certainly as a negative well and it I mean and yes I mean we can blame those 10 Republicans but there really hasn't been a major player at least when it comes to I guess a fiscal conservatism for quite some time at least not one that is listened to and I'm talking on both sides of the aisle here so this isn't just a party issue here it just seems that whatever appetite that we had uh to address the fiscal situation at least for now it just seems to have completely dissipated situation is very much of a negative like I mentioned two trillion dollars in terms of a a deficit at least for this particular fiscal year and the incredible thing you've pointed out in the past that the higher level of interest that the treasury must pay is going to add increasingly to this deficit going forward and so we we don't have much to hope for in terms of deficit spending if anything you know you would think that that the fiscal side would come in and start spending money if we have a recession or significant slowdown so deficits as far as the eye can see is what I can see and that puts obvious supply pressure going forward probably twice as much as what we've had over the past year or two in terms of Treasury Supply so well it makes me wonder what happens yeah well it makes me wonder Bill about the whole ideology of bond vigil antes is that something that even really exists in this current environment is there someone or some group of people that have that much sway still in the market no there isn't romaine and I use the term loosely uh because back in the day uh you know the Vigilantes that Ed yardini talked about were in control to to some extent um these days to speak about an ETF holding by an individual that is representing a bad vigilante is a little loose a little bit of a stretch as I suggested but what I've seen in the past week or two are significant sales of ETFs the volume on AGG or the volume on B and D which are 100 billion dollar ETFs you know it's been significant and so what I see are these smaller Vigilantes joining uh you know the treasury joining the FED in in terms of negative pressure for for bond prices and higher pressure for bond yields well just to ask sort of a simple scene setting question if it's not Vigilantes what do you think is driving this move at the long end do you think about 80 90 100 basis points move higher in 10-year treasury yields over the past couple months what's driving that and what's going to bring it lower yeah I think so that's important and we talk about a forecast for a 10-year treasury but we should also talk about the shape of the yield curve and as you mentioned longer yields are headed higher uh shorter yields not so much and we we have a less negative yield curve which I think is important going forward in terms of markets so what's driving it I think to some extent the the sales of ETFs which own long duration as opposed to short duration is important I think the mix of of Treasury sales is important going forward next week we'll see a three a 10 and a 30 a year a combined offering of perhaps 100 billion dollars and so the long end is being pressured based upon Supply and based upon expectations for a stronger economy than what was the expectation of three to six months ago bill you tweeted yesterday 30-year mortgage at 7.7 percent this shuts down the housing market into that point bill it feels like everyone is unhappy here you have sellers struggling to sell and buyers don't necessarily want to buy in this market either I think that's true that that speaks to the secondary Market what I was suggesting as well is the um the new housing market construction uh new housing starts and so on and it's hard to see you know despite the relative success I guess of uh Home Builders stocks and in the past several months it's hard to see how new homes can be sold with a 7.7 percent mortgage and maybe some points added on to that so you know typically housing Katie leads the economy by uh six months or so and and so what we've seen is a relatively robust housing market but at 7.7 percent you know that doubles and in some cases triples the payments the home payments that a homeowner would have expected you know perhaps a year and a half ago yeah absolutely a bill and I am curious though too if we talk about the secondary Market in our apologies to our viewers if you hear the phones there's a national test going on here that's uh going across The Newsroom and Beyond no worries there bill you weren't the only one with the phone on I am curious uh when we look at when we look at spreads I mean you mentioned earlier about corporate feds but I was taking a look at MBS spreads as well and they've really sort of widened out to I think probably some of the cheapest levels that we've seen at least since the the big housing bubble collapse a few years back here I'm curious of what we can extrapolate about that here if you have that tightness in the housing market and nobody's making money in MBS here what is what's the equal sign and what is comes after that well I I think you're correct I mean the the spread between a 30-year mortgage and there's an index on uh your Bloomberg screen that will point that out at 7.7 or so but that spread relative to a 10-year government is significantly wide uh to me what that portends going forward if that spread Narrows uh is that it's very much of a benefit to mortgage REITs such as annalize such as agnc that yield about 16 percent now this particular sector thrives on a less negative yield curve and it thrives you know basically on Lower Market volatility in terms of the treasury market both of which you know hopefully we're going to see going forward so there's a 16 yield on a mortgage Reit a say field not necessarily the been cut before if these mortgage reads uh you know have been over levered but I think they learned their lesson I think we can move into this sector you know and capture the yields as well as perhaps a 10 price appreciation if the mortgage spread Narrows and Bill I did want to switch gears here in the couple minutes we have left with you and ask about something that you had in your investment Outlook you wrote that some of the Best Bets right now are arbitrages in merger and acquisition deals you specifically named Microsoft buying Activision Blizzard I'm curious whether you view that as idiosyncratic to that specific deal or or merger arbs in general more attractive right now well the they've become more attractive in the last week or two as liquidity in both markets and the stock market and the the bond market has uh declined and in some cases as I was explaining to my wife last night at dinner um you know margin is is required to um you know to maintain those positions so um you know atvi Activision uh to my way of thinking it's seven days away from approval by the UK Regulatory Commission that means the price goes from 94 to 95 that's a point that's uh 1.1 percent is that a big deal um it is over seven days and and so you know there are other examples such as Capri which owns Jimmy choos and uh and other lines that are being acquired by a private investor and that's selling at a discount of 10 11 12 so there are situations not a lot of them but situations in which Arbitrage can produce returns uh you know certainly much higher than what we've seen in the equity Market over the past few months all right Bill gonna have to leave it there great to catch up with you Bill gross there he's the co-founder of Pimco out there in California with his latest investment Outlook
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