I. how to understand the meaning of stock bond yield difference index?
1. Calculation formula: 10-year Treasury bond yield index dividend yield (rolling dividend in the past 12 months)
2. Meaning: ① from the perspective of asset allocation, consider the cost performance relationship between stocks and bonds; ② From the perspective of stock valuation, considering the interest rate level and dividend ability, what kind of quantile is the valuation in history.
3. Key points: the mean and standard deviation of stock bond income difference are calculated by short-term rolling. Otherwise, the effectiveness of the indicators will be greatly reduced.
II. What types of indexes or industries are applicable to the stock bond yield difference index?
1. In the high growth range (> 30%), the purchase valuation is high or low, and there is no distinction between the ranking of stock price increase in the next year. [red box in Figure 1]
2. Medium growth range (0 ~ 30%), high and low purchase valuation, which has a strong differentiation for the stock price in the next year. The increase of group 6-10 is significantly better than that of group 1-5. [middle three lines in Figure 1]
3. The negative growth range (< 0%), no matter whether the purchase valuation is high or low, it always loses. [blue box in Figure 1]
In short, the industry or companies with large industrial changes and fluctuations are not sensitive to valuation, or there is no band for valuation, such as gem, science and innovation board, CSI 1000, Guozheng 2000, TMT index and cycle index. The valuation range of these indexes is not obvious, so they are not suitable for the index of stock bond yield difference.
However, companies in mature and stable industries are very sensitive to valuation. There is a fluctuating band in valuation, such as SSE 50, CSI 300, Shenwan consumption, Meimei 50, CSI 500, etc. the valuation range of these indexes is relatively obvious, so they are more suitable for the indicator of stock bond yield difference.
III. The yield difference of CSI 500 bonds is close to triggering the buying signal
1. As of January 14, the stock bond yield difference of CSI 500 was close to the position of – 2x standard deviation again. Assuming that the yield of 10Y treasury bonds remains unchanged: at present, the stock bond yield difference of CSI 500 is only 2.9% lower than the – 2x standard deviation; If the stock bond yield difference is repaired to – 1x standard deviation, the corresponding index increase is + 15.5%.
2. The decline in the yield difference of CSI 500 stock bonds mainly comes from the decline of interest rate and the recent decline of share price. The previous times were at the -2x standard deviation in late July 2021, April 2020, September 2019, December 2018 and February 2016 respectively, and then they all corresponded to the periodic rebound (or even reversal) of the CSI 50 index.
3. The last time the yield difference of CSI 500 bonds was close to – 2x standard deviation was at the end of July 2021, and then rebounded by + 15.5% (7 / 9-9 / 13). See important signal: the yield difference between CSI 500 shares and bonds is close to the extreme value for details.
4. Considering the five main weights of the CSI 500 (medicine, electronics, electronics, military industry and computer), we tend to think that the CSI 500 will rebound at least in stages, and there is no need to be pessimistic about the growth sector in February.
Risk tips: macroeconomic risk, epidemic risk outside China, risk of performance falling short of expectations, etc.
