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The Buffett Indicator is the ratio of total US stock market valuation to GDP. As of March 4, 2021 we calculate the Buffett Indicator as:
By our calculation that is currently 73% (or about 2.4 standard deviations) above the historical average, suggesting that the market is Strongly Overvalued. These are historical, all-time highs. However, with interest rates at historic lows, there is reason to suspect that "this time is different" may hold true.
The historical chart of the Buffett Indicator is shown below - for much more analysis and information on our data sources, methodology, and counterpoints, keep scrolling.
The Buffett Indicator is the ratio of total US stock market valuation to GDP. To calculate the ratio, we need to get data for those two metrics.
The most common measurement of the aggregate value of the US stock market is the Wilshire 5000. This is available directly from Wilshire (links to all data sources below), with monthly data starting in 1971, and daily measures beginning in 1980. (In fact, today it is updated every second, but we use daily closing value here). The Wilshire index was created such that a 1-point increase in the index corresponds to a $1 billion increase in US market cap. Since inception, that 1:1 ratio has drifted, and as of Dec 2013 a 1-point increase in the index corresponded to a $1.15 billion dollar increase. We adjust the data back to inception (and projected going forward) on a straight-line basis to compensate for this drift. For example, the Sep 2020 Wilshire Index of 35,807 corresponds to a total real market cap value of $42.27T USD.
For data prior to 1970 (where Wilshire data is not available) we use the Z.1 Financial Account - Nonfinancial corporate business; corporate equities; liability, Level, published by the Federal Reserve, which provides a quarterly estimate of total market value back to 1945. In order to integrate the datasets, we index the Z.1 data to match up to the 1970 Wilshire starting point.
Combined, these data make our Composite US Stock Market Value data series, shown below. Our estimate of current composite US stock market value is $47.1T.
The GDP represents the total production of the US economy. This is measured quarterly by the US Government‘s Bureau of Economic Analysis. The GDP is a static measurement of prior economic activity - it does not forecast the future or include any expectation or valuation of future economic activity. The GDP is calculated and published quarterly, but unfortunately it is done several months in arrears, such that by the time the data is published it is several months old. In order to provide updated data for the most recent quarter we use the most recent GDPNow estimate published by the Federal Reserve Bank of Atlanta. The GDP data is all nominal and not inflation adjusted. Our estimate of current (annualized) GDP is $21.9T. A historical chart of GDP is shown below.
Given that the stock market represents primarily expectations of future economic activity, and the GDP is a measure of most recent economic activity, the ratio of these two data series represents expected future growth relative to current performance. This is similar in nature to how we think about the PE ratio of a particular stock. It stands to reason that this ratio would remain relatively stable over time, and increase slowly over time as technology allows for the same labor and capital to be used ever more efficiently.
Now, let‘s look at how the Buffett Indicator has changed in the last ~75 years.
The historic ratio of total market value to GDP (aka the Buffett Indicator) can be seen below.
In the chart above, the exponential regression line shows the natural growth rate of the indicator. This shows the upward historical trend that expectations for future growth have risen faster over time than actual economic output. This makes sense, as technological progress drives exponential returns.
To make the context of our current position more clear, we can draw the regression line horizontally and remap the data as the percentage above or below that historical average. This is shown below, along with band lines showing +/- a standard deviation. Generally speaking, about 70% of the time the Buffett Indicator should be within +/- 1 standard deviation from the average, and 98% of the time it should be +/- 2 standard deviations from the average.
And finally, below is the same chart, but with only the last twenty years of data, so that recent market activity can be seen more clearly.
The current market-to-GDP ratio is 73% above the historical average, and considered Strongly Overvalued (see our ratings guide for more information).
It is important to call out that no single metric is illustrative of the entire market, of course. The primary criticism of using the Buffett Indicator as a valuation metric (and particularly in late 2020 using it as a metric to justify the overvaluation of the market), is that it does not address the state of non-equity asset markets. In truth, investors have many different asset classes to consider and evaluate when considering portfolio distribution - e.g., corporate bonds, real estate, and commodities.
The proverbial elephant in the room here is the bond market, expressed as interest rates. Very generally speaking, bonds represent a lower-risk asset as an alternative to equity (stock) markets, and the two have a highly interdependent relationship.
The 50,000ft overview on interest rates is as follows. When interest rates are high, bonds pay a high return to investors, which lowers demand (and prices) of the riskier equities. Additionally, higher interest rates means it‘s more expensive for businesses to borrow money, making it harder to borrow cash as a way to finance growth. Which is to say any business that takes on debt will face relatively higher interest payments, and therefore less profits. And again, less profits means lower stock prices. The corollary to all this is also true. Low interest rates means bonds pay less to investors, which lowers demand for them, which raises stock prices in relation to bonds. Low interest rates make it easy for corporations to borrow cash cheaply to finance growth. Corporate interest payments will be low, making profits high. This is all to say, if interest rates are high, stocks go down. If interest rates are low, stocks go up.
Interest rates today are lower than they‘ve ever been. Below is a chart showing the interest rate of the 10Year US Treasury Bond. This is the most vanilla bond there is, and over the last 50 years the interest rate on it has averaged 6%. Back during the peak of the .com bubble (when the Buffett Indicator was very high), the 10Y Treasury rate was a bit higher than average, around 6.5%, showing that low interest rates weren‘t juicing the stock market. Today the Buffett Indicator is roughly the same distance above its historical average as it was during the .com bubble, but interest rates are at an all time low, near 1%. This can be interpreted to mean that during the .com bubble, equity investors had other good options for their money - but they still piled recklessly into stocks. Whereas today, investing in bonds returns so little that you may actually lose money to inflation. Today‘s investors need to seek a return from somewhere, and low interest rates are forcing them to seek that return from riskier assets, effectively pumping up the stock market. While this doesn‘t justify the high Buffett Indicator on any fundamental basis, it does suggest that the market today is less likely to quickly collapse like it did in 2000, and that it may have reason to stay abnormally high for as long as interest rates are abnormally low.
For additional detail on the effect interest rates have on stock prices, view our Interest Rate Model.
参考https://www.currentmarketvaluation.com/models/buffett-indicator.php
巴菲特指标是美国股票市场总估值与GDP的比率。截至2021年3月4日，我们计算的巴菲特指标为：
根据我们的计算，当前的价格比历史平均水平高出73％（或约2.4个标准差），这表明该市场被严重高估了。这些是历史最高水平。但是，由于利率处于历史低位，因此有理由怀疑“这次不同了”可能成立。
巴菲特指标的历史图表如下所示-有关我们的数据源，方法和对标的更多分析和信息，请继续滚动。
巴菲特指标是美国股票市场总估值与GDP的比率。要计算比率，我们需要获取这两个指标的数据。
美国股票市场总值的最常见度量是Wilshire5000。可直接从Wilshire获得（链接到下面的所有数据源）），月度数据始于1971年，而每日数据则始于1980年。（实际上，今天它每秒更新一次，但是我们在这里使用每日收盘价）。Wilshire指数的创建是为了使该指数每上升1点就相当于美国市值增加10亿美元。自成立以来，这一1：1的比例一直在变化，截至2013年12月，该指数每增加1点，相当于增加了11.5亿美元。我们以直线为基础将数据调整回初始位置（并预测未来），以补偿这种漂移。例如，2020年9月威尔希尔指数35,807对应于总真实市值$ 42.27T USD。
对于1970年之前的数据（其中没有威尔希尔数据），我们使用Z.1财务帐户-非财务公司业务；公司股权；美联储（Federal Reserve）发行的“负债”级别（Level），提供了1945年以来的总市场价值的季度估算。为了整合数据集，我们对Z.1数据进行了索引以匹配1970年的威尔希尔起点。
这些数据加在一起便构成了我们的“美国股票市场总价值”数据系列，如下所示。我们对当前美国综合股票市场价值的估计为$ 47.1T。
GDP代表了美国经济的总产量。这是由美国政府的经济分析局每季度进行一次测量。GDP是??对先前经济活动的静态度量-它不预测未来，也不包括对未来经济活动的任何期望或估值。GDP是??按季度计算和发布的，但不幸的是，它拖欠了几个月的时间，因此到数据发布时，它已经有几个月的历史了。为了提供最新季度的最新数据，我们使用亚特兰大联邦储备银行发布的最新GDPNow估算值。GDP数据均为名义数据，未经通胀调整。我们对当前（按年度计算）的GDP估算为$ 21.9T。GDP的历史图表如下所示。
鉴于股票市场主要代表对未来经济活动的预期，而GDP是衡量最近经济活动的指标，因此这两个数据系列的比率代表相对于当前业绩的预期未来增长。这本质上类似于我们对特定股票的市盈率的看法。理所当然的是，随着技术允许更有效地利用相同的劳动力和资本，该比率将随着时间的推移保持相对稳定，并随着时间的推移而缓慢增加。
现在，让我们看一下巴菲特指标在过去约75年中的变化。
总市值占GDP的历史比例（又称巴菲特指标）如下所示。
在上图中，指数回归线显示了指标的自然增长率。这显示出上升的历史趋势，即对未来增长的期望随着时间的推移比实际经济产出的增长更快。这是有道理的，因为技术进步推动了指数回报。
为了使我们当前职位的背景更加清晰，我们可以水平绘制回归线并将数据重新映射为高于或低于该历史平均值的百分比。如下所示，带状线显示+/-标准偏差。一般而言，巴菲特指标大约70％的时间应在平均值的+/- 1标准偏差之内，而98％的时间应在其平均值的+/- 2标准偏差之内。
最后，下面是同一张图表，但只有最后二十年的数据，因此可以更清楚地看到近期的市场活动。
当前的市场与GDP的比率比历史平均水平高出73％，并被认为被高估了（有关更多信息，请参见我们的评级指南）。
重要的是要指出，当然，没有任何一个指标可以说明整个市场。使用巴菲特指标作为估值指标的主要批评（尤其是在2020年末，使用巴菲特指标作为证明市场过高估值的指标）主要批评是它没有解决非股权资产市场的现状。实际上，在考虑投资组合分配时，投资者有许多不同的资产类别需要考虑和评估，例如公司债券，房地产和商品。
这里房间里众所周知的大象是债券市场，以利率表示。一般而言，债券是股票市场（股票市场）的另一种风险较低的资产，两者之间具有高度相互依存的关系。
50,000英尺的利率概述如下。当利率高时，债券会为投资者带来高回报，从而降低了风险较高的股票的需求（和价格）。此外，较高的利率意味着企业借钱的成本更高，使得借贷现金来筹集增长资金变得更加困难。也就是说，任何承担债务的企业将面临相对较高的利息支出，因此利润将减少。再者，更少的利润意味着更低的股票价格。所有这些的推论也是正确的。低利率意味着债券对投资者的支付减少，从而降低了对投资者的需求，从而提高了与债券相关的股票价格。低利率使企业可以轻松地廉价借入现金来为增长融资。公司的利息支付将较低，从而使利润较高。就是这么说 如果利率高，股票就会下跌。如果利率低，股票就会上涨。
今天的利率比以往任何时候都低。下图显示了10年期美国国债的利率。这是目前最普通的债券，在过去的50年中，该债券的平均利率为6％。回到.com泡沫鼎盛时期（当时巴菲特指标非常高），十年期美国国债利率略高于平均水平，约为6.5％，表明低利率并没有为股市带来多大收益。如今，巴菲特指标与.com泡沫时期的历史平均水平之间的距离大致相同，但利率一直处于历史最低水平，接近1％。这可以解释为意味着在.com泡沫期间，股票投资者还有其他不错的选择，但他们仍然不计后果地投入股票。如今，投资于债券的回报如此之小，以至于您实际上可能因通货膨胀而亏钱。今天‘ 投资者需要从某个地方寻求回报，低利率迫使他们从风险较高的资产中寻求回报，从而有效地刺激了股市。尽管这并不能从根本上证明高巴菲特指标是合理的，但它确实表明当今的市场不太像2000年那样迅速崩溃，并且只要利率持续，它就有理由保持异常高的状态。异常低。
有关利率对股票价格的影响的更多详细信息，请查看“利率模型”。
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原文地址：https://www.cnblogs.com/webRobot/p/14513663.html
