巴菲特 90/10 投資組合

我看到這篇文章 [1] 說, 老巴希望他的繼承人用 90/10 的比重, 投資於 S&P500 和短期國債. 不過本文的作者 Tony Dong 把主菜和配菜都代換成不同版本, 然後得出不同的結論.

原本配方的主菜 (S&P 500 股票):

  1. Vanguard S&P 500 ETF (VOO): 0.03% expense ratio.
  2. iShares Core S&P 500 ETF (IVV): 0.03 expense ratio.

換成美股全市場股票:

  1. Vanguard Total Stock Market ETF (VTI): 0.03% expense ratio.
  2. iShares Core S&P Total U.S. Stock Market ETF (ITOT): 0.03% expense

配菜 (短期債券):

  1. Vanguard Short-Term Treasury ETF (VGSH): 0.04% expense ratio.
  2. iShares 1-3 Year Treasury Bond ETF (SHY): 0.15% expense ratio. 

換成長債:

  1. Vanguard Long-Term Treasury ETF (VGLT): 0.04% expense ratio. 
  2. iShares 20+ Year Treasury Bond ETF (TLT): 0.15% expense ratio. 

結論是: “Modifying Warren Buffett’s 90/10 portfolio using long-term Treasurys and the total U.S. stock market historically improved performance, with a better risk-adjusted return. “. S&P500 和短債表現不如美股全市場和長債 (回測期間: 197 7~ 2022). 那老巴錯了嗎?

基本上, 這篇文章寫於 2022 年六月, 而升息對債券和股市的影響主要反映在 2022 的下半年. 上半年笑得出來, 也不一定能笑到年底. 所以呢, 我還是先自己研究一下美國公債中短債、中債、長債的表現如何?

先偷瞄過, VGSH (短期國債) 和 SHY 的波形幾乎一模一樣, VGLT (長期國債) 和 TLT 也是一個樣. 所以三組各派一名代表來 PK 就行了. 借用 [2] 這個網站, 我們得到下圖:

基本上長債 (VGLT) 波形還比較平滑, 問題出在它 “一屍到底", 文章 [1] 的結論, “Modifying Warren Buffett’s 90/10 portfolio using long-term Treasurys and the total U.S. stock market historically improved performance, with a better risk-adjusted return. “, 看來還是有待商榷. 網站 [2] 還提供了下表:

所以呢? 要求穩必須選短債 (VGSH), 報酬高選長債 (VGLT), 折衷就選中期債券. 知名的綠角大大有非常多篇討論股債平衡的文章, 更是每年算一次股債配置如何勝過純股票投資. 它所選用的債券就是美債 iShare 3-7 Year Treasure bond ETF (IEI) 和 SPDR Barclays Internation Treasure ETF (BWX) 各半. iShare IEI 就等於 Vanguard VGIT, 屬於中期. 後者是世界各國政府公債的 ETF.

再加一位大師來鬥陣的話, 闕又上大師在"你沒有學到的巴菲特" 中推薦投短期公債或 7~10 年公債指數基金, 並且說長期公債價格太敏感, 波動比股票還劇烈. (1946~1981, 利率由 2.03% 升到 16%; 債券跌掉 83%). 所以他不忌短中期, 唯獨不好長期.

所以看著看著, 短債是否又比較有道理了? 然而, 大家覺得美國的公債利率會再次上升到 16% 嗎? 如果利率這麼高, 應該會造成巨大的貧富差距. 億萬富翁年收千萬利息; 本來就勉強度日的人, 連正常地借個創業貸款都搞得像跟欠地下錢莊錢一樣. 1981 年高利率其實是為了讓經濟衰退並降溫, 以降低通膨, 當時的通膨率高達 14.6% [3]. 只要通膨率不上雙位數, 利率也不太可能再重返兩位數字.

下圖顯示, 所以 80 年代利率頂多是 10%, 90 年代以後都不曾再見到 6.5% 之類的高利率 [4].

而且呢, 論調升幅度. 2022 年往前看一甲子都沒這麼狠過, annual change rate 達到 6085.71% [4]. 會不會反而凸顯出長債的跌幅已經反映得差不多了? 既然利空出盡, 買長債是否又是最正確的呢?

Federal Funds Rate – Historical Annual Yield Data
YearAverage YieldYear OpenYear HighYear LowYear CloseAnnual
% Change
20221.67%0.08%4.33%0.08%4.33%6085.71%
20210.08%0.09%0.10%0.05%0.07%-22.22%
20200.36%1.55%1.60%0.04%0.09%-94.19%
20192.16%2.40%2.45%1.55%1.55%-35.42%
20181.79%1.42%2.40%1.34%2.40%80.45%
20171.00%0.55%1.42%0.55%1.33%141.82%
20160.39%0.20%0.66%0.20%0.55%175.00%
20150.13%0.06%0.37%0.06%0.20%233.33%
20140.09%0.07%0.13%0.06%0.06%-14.29%
20130.11%0.09%0.17%0.06%0.07%-22.22%
20120.14%0.04%0.19%0.04%0.09%125.00%
20110.10%0.13%0.19%0.04%0.04%-69.23%
20100.18%0.05%0.22%0.05%0.13%160.00%
20090.16%0.14%0.25%0.05%0.05%-64.29%
20081.92%3.06%4.27%0.09%0.14%-95.42%
20075.02%5.17%5.41%3.06%3.06%-40.81%
20064.97%4.09%5.34%4.09%5.17%26.41%
20053.22%1.97%4.30%1.97%4.09%107.61%
20041.35%0.94%2.34%0.92%1.97%109.57%
20031.13%1.16%1.45%0.86%0.94%-18.97%
20021.67%1.52%1.92%1.15%1.16%-23.68%
20013.88%5.41%6.67%1.19%1.52%-71.90%
20006.24%3.99%7.03%3.99%5.41%35.59%
19994.97%4.07%5.76%3.99%3.99%-1.97%
19985.35%5.84%7.06%4.07%4.07%-30.31%
19975.46%6.26%7.07%4.63%5.84%-6.71%
19965.30%4.73%7.80%4.73%6.26%32.35%
19955.83%4.94%7.41%4.73%4.73%-4.25%
19944.21%2.85%6.56%2.85%4.94%73.33%
19933.02%2.66%3.99%2.66%2.85%7.14%
19923.52%4.09%4.98%2.58%2.66%-34.96%
19915.69%5.53%10.39%4.09%4.09%-26.04%
19908.10%7.97%9.53%5.53%5.53%-30.61%
19899.21%9.04%10.71%7.97%7.97%-11.84%
19887.57%6.89%9.64%5.72%9.04%31.20%
19876.66%14.35%14.35%5.52%6.89%-51.99%
19866.80%13.46%16.17%5.56%14.35%6.61%
19858.10%8.74%13.46%6.73%13.46%54.00%
198410.23%9.92%12.31%6.93%8.74%-11.90%
19839.09%11.20%11.20%8.22%9.92%-11.43%
198212.24%13.13%16.80%8.36%11.20%-14.70%
198116.39%22.00%22.36%11.83%13.13%-40.32%
198013.35%14.77%22.00%7.65%22.00%48.95%
197911.20%10.84%17.60%8.34%14.77%36.25%
19787.94%6.53%10.89%6.50%10.84%66.00%
19775.54%4.17%7.10%4.07%6.53%56.59%
19765.05%5.37%5.71%4.12%4.17%-22.35%
19755.82%3.87%8.55%2.99%5.37%38.76%
197410.51%9.83%14.33%3.87%3.87%-60.63%
19738.74%5.50%13.00%5.25%9.83%78.73%
19724.44%3.00%6.00%3.00%5.50%83.33%
19714.67%3.00%5.75%2.25%3.00%0.00%
19707.17%5.00%9.75%3.00%3.00%-40.00%
19698.21%4.00%10.50%4.00%5.00%25.00%
19685.66%4.50%6.88%2.50%4.00%-11.11%
19674.22%5.00%5.75%2.00%4.50%-10.00%
19665.11%4.63%6.25%1.50%5.00%7.99%
19654.08%4.00%4.63%1.00%4.63%15.75%
19643.50%3.25%4.00%1.00%4.00%23.08%
19633.18%3.00%3.50%0.75%3.25%8.33%
19622.71%2.50%3.00%0.25%3.00%20.00%
19611.95%3.00%3.00%0.13%2.50%-16.67%
19603.21%4.00%4.00%0.25%3.00%-25.00%
19593.31%2.38%4.00%1.50%4.00%68.07%
19581.57%3.00%3.00%0.13%2.38%-20.67%
19573.11%3.00%3.50%1.00%3.00%0.00%
19562.73%2.50%3.00%1.00%3.00%20.00%
19551.79%1.44%2.50%0.50%2.50%73.61%

如果利率真的漲到 20%, 正常來說, 那我只好出清股票買短債吧? 但主要靠股票致富的老巴, 80 年代在做什麼? 他…他在撿便宜啊! 大家都說 “巴菲特的資產9成是50歲以後才賺到!如何讓財富像雪球,活愈久滾愈多?". 好像關鍵在於滾雪球, 人人有機會成為股神. 其實老巴生於1930年8月30日, 他五十歲的時候就是 80 年代. 當債券利率高達 20%, 誰還會跟老巴搶股票啊!? 任何神股都變得不值得一顧, 但是買了就有機會當股神!

所以逆向思考才是對的. 如果美國的殖利率就這樣飆上去, 也不要學人瘋搶債券. 還是要多買股票才能當巴菲特. 下面兩張圖都來自商周財富網 [5][6]. 80 年代如果重現, 買債券可以小富, 買對股票可以大富! 畢竟利率再高也撐不了十年, 但是好企業可以撐百年.

巴菲特99%的財富,是在50歲以後才賺到!看過這張圖,你就懂了為何存股要越早越好-小樂的投資理財之道-股票-商周財富網

[REF]

  1. https://www.etfcentral.com/news/warren-buffett-90-10-etf-portfolio
  2. https://tickeron.com/pick-the-best/VGIT-or-VGLT-or-VGSH/?utm_source=Tickeron&utm_campaign=Compare&utm_content=CompareSearch
  3. https://www.gvm.com.tw/article/90957
  4. https://www.macrotrends.net/2015/fed-funds-rate-historical-chart
  5. https://wealth.businessweekly.com.tw/m/GArticle.aspx?id=ARTL000098348
  6. https://wealth.businessweekly.com.tw/m/GArticle.aspx?id=ARTL003002363

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