对于固定收入投资者来说，最近是很难熬的日子。国债，房产证券和投资级公司债券收益都接近历史最低水平。自从2008年年底美联储董事会都将美联储的资金保持在零利率的水平，并且在一轮又一轮的货币宽松政策中将利率不断拉低，并且已经公开表示，美联储在2014年之前，都不会提升利率。
和股票一样的，高收益债券
由于市场利率偏低，许多投资者都被吸引投资高收益，高风险的债券，比如高收益债券也称垃圾债券。2011年的第四季度，大约有110亿美元的资金都流入到高收益的共同基金市场中去了，而且在2012年的前两个月，也有114亿美元流入到了类似的债券市场中。（来源：Morningstar）。在今年的第一季度，美国公司发行了大约750亿美元垃圾债券（来源：路透社），达到了每个季度的历史最高水平。根据Morningstar的消息，另一个高收益债券，银行-贷款债券在2012年2月29日之前，也获得了大量的流入资金。
虽然每位投资者的状况不尽相同，但是总体来说，我们认为投资者在增持垃圾债券之前还是要根据总体的投资策略谨慎考虑。因为并不是所有的债券都是一样的，投资者可能在增持垃圾债券的同时，将自己的资产暴露在股市风险之中，有些债券的市场表现同股票还是很像的。
我们回头看一下从1997年1月1日到2012年2月29日这段时间里，股票，国债和低级的固定收益投资如垃圾债券和银行贷款债券，它们之间是怎样相互影响的。其分析结果很让人惊讶。比如，垃圾债券的收益率与股票收益率的关系要比其他投资级债券的关系大得多，与标普500企业的关联指数达到了0.62（记住在总体投资战略中，资产关联性越低或者是越少，就能够从多元化投资中获得更多的收益。）而且，高收益债券和股票之间的关联在最近几年有所升高。相反，5年期的国债与股票的关联指数只有-0.25。股票和高收益债券一般受相同的宏观经济因素的影响。至于股票，高收益债券受益于不断好转的经济环境、通货膨胀，公司债券不太可能会违约。
问题是这些债券并不是实现投资多元化的最好方式。到目前为止，市场相对比较稳定，但是投资者应该想象一下，在当前市场条件下，不同的市场个体会有怎样的表现。最近就出现了一个与市场相反的例子：2007年的11月1日到2009年的2月28日，标普500指数就下降了51%。在同一时期，高收益债券下降了26%，银行贷款下降了24%，5年期债券收益上升了16%。这是我们研究得出的结论。（市政债券，另一个高收益的固定收益资产，在同等时间段内收益率达到了9%，这是基于巴克莱资本5年期债券指数衡量的。）
记住你为什么持有债券
金融理论和历史都证明了股票的长期收益要远远大于固定收入。比如，从1926年1月1日到2011年12月31日，标普500的年收益率达到了9.78%，相比较之下，5年期的国债收益率是5.39%。问题是，因为人类会有情感因素和恐惧心理，我们很少有人能够忍受故事中的波动。
我认为固定收益的股票就是用来平稳市场波动，达到一个合理的水平。换言之，固定收益还能够作为一个靠山——多元化的工具——来抵消市场中波动的元素，比如股票。如果有人想到投资风险预算，那在我看来就是要将风险分配到各个领域中去，而这些风险又能够得到一些补偿，比如股票，而且要坚持持有高收益，与股票关联不大的债券，折中方案就是收益较少的债券。
结论：
在这个利率较低的环境下，许多投资者都在追逐垃圾债券带来的收益。在做这些之前，投资者应该考虑是否增加了总体投资组合的风险。
These are hard times for fixed income investors. Yields on Treasury bonds, mortgage securities and investment-grade corporate bonds are near record lows. The Federal Reserve Board, which has kept the Fed Funds rate near zero since late 2008 and driven down interest rates through round after round of quantitative easing, has telegraphed its reluctance to raise rates until at least 2014.
Equity-Like High-Yield Bonds
With such low rates on offer, many investors are gravitating to higher-yielding, riskier fare such as high-yield (aka junk) bonds. During the fourth quarter of 2011, a net $11 billion flowed into high-yield bond mutual funds, and in the first two months of 2012 another $11.4 billion poured into such funds (Source: Morningstar). During the first quarter of this year, American corporations issued $75 billion of junk bonds (Source: Thomson Reuters), a record quarterly amount. Bank- loan funds, another source of relatively high yields, also enjoyed substantial net inflows in the year ending February 29, 2012, according to Morningstar.
While each individual’s situation is unique, in general we believe investors should think carefully before increasing their allocations to high-yield bonds in the context of their overall portfolios. For not all bonds are created equal, and investors may be unwittingly increasing their exposure to equity risk by allocating portions of their fixed income exposure to high-yield bonds, which behave much like equities.
We looked back over the period stretching from January 1, 1997 to February 29, 2012 to see how movements of stocks, Treasuries and lower-grade fixed income investments like high-yield bonds and bank loans, related to each other. The results are quite striking (see table). For instance, high-yield bond returns, which are more highly correlated to equity returns than to those of investment-grade bonds, had a relatively high correlation of 0.62 to the Standard & Poor’s 500 Index (recall that low or negative correlations between asset classes provide more diversification benefit in a total portfolio). Moreover, the correlation between high-yield bonds and stocks has been rising in recent years. Five-year Treasury notes, by contrast, had a -0.25 correlation with stocks. Equity and high-yield bonds respond to some of the same macroeconomic factors. As with stocks, high-yield bonds benefit from a strengthening economy and a little bit of inflation, which make it much less likely that leveraged corporations will default on their bond issues.
The trouble is that these bonds may not be the best way to achieve diversification from bond allocations in an overall portfolio. The markets have been relatively calm thus far this year, but investors should visualize how the various components will behave in rocky markets. Here’s a fairly recent example of an adverse scenario: during the bear market from November 1, 2007 to February 28, 2009, the S&P 500 Index fell 51%. During the same time frame high-yield bonds slumped 26% and bank loans fell 24%, while 5-year Treasuries gained 16%, according to our research (municipal bonds, another high-quality fixed income asset class, returned 9% over the same time span, as measured by the BarCap 5-year Municipal Bond Index).
Remember Why You Own Bonds
Both finance theory and history confirm that the long-term expected return on equities is greater than that of fixed income. For example, from January 1, 1926 to December 31, 2011 the S&P returned 9.78% annualized, compared to just 5.39% for 5-year Treasuries. The trouble is that, as human beings with emotions and fears, very few of us can tolerate the volatility of a portfolio that is 100% in stocks.
I see the role of fixed income securities as a tool to dampen volatility in the portfolio to a comfortable level. In other words, fixed income can serve as an anchor—a diversifier—to offset historically volatile portfolio components such as equities. If one thinks in terms of portfolio “risk budgeting,” my preference is to deploy risk in areas where I expect to be well-compensated for taking risk, such as equities, and to stick to high-quality fixed income securities with low correlations to stocks, recognizing that there is a tradeoff in the form of less exciting returns.
Conclusion
In this rock-bottom interest rate environment, many investors are reaching for yield in the form of junk bonds. Before doing so, investors should consider whether they are in effect adding equity-like exposure and unwittingly increasing overall portfolio risk.
