桥水基金达里奥：我们对冠状病毒和传染病的初步思考

首先，让我明确地说明：在流行病领域我是“一张白纸”。然而正是因为我所不知道那些专业性的知识，更能让我以局外人的视角来客观分析。我和我们桥水的同事都不清楚这种病毒将在多大程度上传播，我们不知道它会传播到什么地方，也不知道它对经济或市场的影响。但是，我们确切地知道，重大流行病虽然是我们一生中从未真正经历过的重大事件之一，但类似的事件在其他时代中已屡屡发生并产生了重大影响——就好像其他尚未在我们的一生中发生的重大事件，例如世界大战，货币体系的终结或百年一遇的干旱或洪水。按照我习惯的分析方法，我将要（a）研究一些其他重大传染病并搞清楚它们是怎么回事，并（b）确保我们的投资组合已充分分散或对冲掉风险，以确保我们没有对任何不必要的且赢率不大的方面下注。

至于这种病毒的传播，与任何尚未查明的因素一样，它们1）是真实发生的事件，且2）对这些事件的预期将被反映在市场定价中。通常说来，对于这些令人一生难忘的负面事件最初人们会有些轻视。随着持续发展，人们会变得过度担心，直到产生某些可以反转局面的基本面因素为止（例如，病毒的发展从加速转变为衰败）。因此，我们要关注实际发生的事情、人们认为正在发生的并已反映在定价中的事情（区别于可能发生的事情）、以及指示反转的那些指标。

多样化分散可保护我们免受由于未知因素造成的损失，而冠状病毒的爆发及其对市场的影响凸更显现出其重要性。自该病毒爆发以来，中国股市已下跌近10％。可怕的，难以想象的事情可能在任何地方发生。我们所不知道的比我们所知道的要多得多。当掌握的信息不多时，最好的投资策略是明智地在不同的地理位置、资产类别和货币之间做出多元化分散投资。

以下这些观察内容的主要目的是向大家展示我们在回顾过去时所观察到的情况，从而试图捋顺此次冠状病毒事件的演变过程与历次的典型病毒性大流行病（可看作是以本次冠状病毒事件的多个变化版本）之间的异同。我们还将研究过去的流行病与其对经济和市场的影响之间的关系，并找出某些较为确切的影响。

下表展示了历史上的主要疾病暴发及死亡率，以显现它们的严重性。通过死亡人数可以看出，最近一次大型流行病——也是唯一一次死亡人数如此之大的流行病——是几乎在100年前发生的那一次。

让我们看一下两个最近的案例：H1N1，SARS。以下是我们对它们的一些观察。

对于这两个案例，在媒体以头条新闻报道有关疾病暴发的日子里，市场采取避险的策略。这与成长型标的的下跌并涌入优质型标的情况相吻合，即股票下跌，黄金和债券上涨（正如过去几天所看到的）。但是，由于与病毒无关的其他影响（例如货币政策和经济活动）更为重要，这些反应逐渐消失了，且市场没有明显而持续的大动作。顺便说一句，在参考这几个案例时，请记住这并不是一个足够大的样本，并且有些巧合不应太过分解读——例如，H1N1流感与2008年金融危机过后开始的复苏有关——因此，人们应该保持谨慎的态度去看待其中的相关性。

这次爆发涉及与1918年西班牙流感（H1N1）相同病毒的变种。首例病例于2009年3月在墨西哥被发现。与当时的其他流行病不同，该病毒并未过多感染60岁以上的成年人。估计的总死亡人数范围很广（因为需要实验室的测试以区分该疾病造成的死亡人数和常规季节性流感造成的死亡人数），但世界卫生组织的最新估计表明，至少有15万人死亡，甚至还要翻倍——这一数字意义重大，但并不过分（相比之下，每年有125万人死于车祸）。世界卫生组织于2010年8月10日宣布该流行病已结束。

SARS冠状病毒是一种动物病毒，最初只传播给其他动物，但最终感染了人类。第一例病例于2002年11月16日在中国南部的广东省被发现。SARS传播到了26个国家，感染了8,000人，并造成了大约800人死亡。首批感染者于2月到达香港，病情迅速传播。3月中旬，世界卫生组织发布了有关SARS的全球警报和紧急旅行建议。3月下旬，新感染病例的数据开始公布（如下图所示）。2003年7月9日，世界卫生组织宣布该病毒已被控制住。除了2004年的短暂爆发外，它的确被抑制住了。

您可以在下面的图表中通过香港股票市场与全球股票市场之间的差异看出该流行病所产生的影响。您可以看到，香港股市受到SARS的不利影响，并在SARS病例数达到高峰并开始下降时发生了反转。这完全是合乎逻辑的，如果冠状病毒危机仍集中在中国，这也将是我们预期的市场行为。换句话说，我们预计其对中国和香港市场的影响将大于对全球市场的影响，并且随着新增病例数量的减少，这些影响也将降低。

到目前为止，与SARS疫情相比，中国的应对措施更加透明和果断，这不仅正面影响了统计比较结果，也加快了解决问题的速度。由于中国政府更快地向世卫组织报告了该病，检疫和其他预防措施被及时实施。由于这些措施对病毒传播的遏制产生了正面影响，世界卫生组织赞扬中国的迅速反应。

下图显示了过去几周的市场走势，其中的圆点表示了一些重要的发展截点。如下图所示，在过去的几天中，成长型标的市场表现出强劲的下降趋势，投资向高质量标的市场转移。全球范围内，投资人已经抛售股票，而债券、黄金和美元兑人民币汇率则上涨。

这些只是我们的初步观察。我们预计进行更加深入的研究，届时我们将会与您分享新的相关成果。

英文原文

First of all let me be clear that I’m a “dumb shit” when it comes to pandemics because what I don’t know about them is more important than what I do know. I, and we at Bridgewater, don’t have a clue as to what extent this virus or “pandemic” will spread, we don’t know where it will spread to, and we don’t know its economic or market impact. However, we do know that major pandemics are one of those really big things that we haven’t really experienced in our lifetimes but have repeatedly happened in other lifetimes and have had big impacts—similar to other big things that are really big deals that haven’t happened in our lifetimes like world wars, ends of monetary systems, or the once-in-a-hundred-years drought or flood. Following my usual approaches I a) want to study a bunch of them to see how they work and b) make sure that our portfolios are either well diversified or hedged so that we don’t have any inadvertent big bets that we don’t have a good likelihood of betting on well.

As for the spreading of this virus, as with any sort of unknown, there are 1) actual events and 2) the expectations of events that get reflected in market pricing.  Generally speaking these once-in-a-lifetime big bad things initially are under-worried about and continue to progress until they become over-worried about, until the fundamentals for the reversal happen (e.g., the virus switches from accelerating to diminishing). So we want to pay attention to what’s actually happening, what people believe is happening that is reflected in pricing (relative to what’s likely), and what indicators that will indicate the reversal.

Regarding diversification to protect us against the unknowns, the outbreak of the coronavirus and its effect on markets highlight its importance.  China’s stock market is down nearly 10% since the virus took off. Terrible, unimaginable things could happen anywhere. What we don’t know is much greater than what we do know.  When you don’t know, the best investment strategy is to be smartly diversified across geographic locations, across asset classes, and across currencies.

Putting This One in Perspective

The main purpose of these Observations is to show you what we have observed going back through time in our attempt to track the evolution of this case in relation to both the archetypical virus pandemic and each of the historical cases (which provide a wide range of variation around the archetypical one). We will also look at the relationships between past pandemics and past economic and market impact of past pandemics, while sorting out the exact impacts.

Recent Past Cases

To look at the last ones and to convey the severity of them, the following table shows past major disease outbreaks comparing mortality rates.  As shown by looking at the number of deaths, the last big one—and the only one that was of a large magnitude—was the one that happened almost exactly 100 years ago.  

Let’s look at two of the largest cases: H1N1, SARS. What follows are some observations that we have about them.

Regarding the first two, which were also the much smaller ones, on the days in which there were big bad headlines about disease outbreaks, the markets acted in a risk-off way that is consistent with falling growth and flight-to-quality—i.e., equities declined, and gold and bonds rose (as we’ve seen over the last couple days). However, these reactions faded and there became no clear and big sustained market moves as other influences such as monetary policies and economic activities that weren’t associated with the virus were much more important.  By the way, in looking at those few cases, keep in mind that that wasn’t a big sampling and there were some coincidences that shouldn’t be made too much of—e.g., H1N1 coincided with the beginning of the recovery from the 2008 financial crisis—so one should be cautious about reading too much into the correlations alone.

The impact of the larger Spanish Flu epidemic—which was the much bigger one—on markets and economies was much larger.

Let’s look at them individually.

H1N1 (Swine Flu): 2009 to 2010

This outbreak involved a variant of the same virus as in the Spanish Flu of 1918 (H1N1). The first cases were found in Mexico in March 2009.  Unlike then and other pandemics, this virus did not disproportionately infect adults older than 60.  Estimates of the total death toll range widely (as distinguishing deaths from this disease and regular seasonal flu with certainty requires lab testing), but recent WHO estimates suggest around at least 150,000 deaths, and perhaps multiples of that—significant but not game-changing (by comparison each year 1.25 million people die from auto accidents). The WHO declared an end to the pandemic on August 10, 2010.

SARS: 2003

The SARS coronavirus was an animal virus that first spread to other animals and eventually infected humans, with the first case being found in the Guangdong province of southern China on November 16, 2002.  SARS affected 26 countries, infected around 8,000 people, and caused some 800 deaths.  The first cases arrived in Hong Kong in February and spread quickly.  In mid-March, the WHO issued a global alert and an emergency travel advisory related to SARS.  In late March, the data reporting on new infection cases began (shown in the charts below).  On July 9, 2003 the WHO declared the virus was contained, and apart from a brief flare-up in 2004, it remained contained.

You can see the effect in the divergence between the Hong Kong stock market with the world stock market in the charts below.  You can see that the Hong Kong stock market was adversely affected by SARS and reversed when the number of SARS cases peaked and started to go down.  This is all logical and would be the type of market action we would expect if the coronavirus crisis remains concentrated in China.  In other words, we would expect its effects to be greater on the Chinese and Hong Kong markets than on the world markets, and we would expect these effects to diminish as the number of new cases also starts to diminish.

How the Coronavirus Outbreak Compares

So far, China’s response is much more transparent and decisive compared to the SARS outbreak, which affects both the statistical comparison and the rate of dealing with the problem. Because the Chinese government reported the disease faster to the WHO, it imposed quarantine and other prevention measures earlier.  The WHO has praised China’s swift response because of its beneficial effects on containment.

The following charts show market action over the last couple of weeks, with the dots noting some important developments.  Over the last several days, the markets have seen strong falling growth and flight-to-quality market action, as shown in the charts below.  Equities have sold off globally, while bonds, gold, and the dollar versus the yuan have rallied. 

These are just our preliminary observations. We expect to do a lot more homework that will give us a richer perspective, which we will share with you as we develop it.

本文发表于2020年1月30日  翻译：AIWM国际财富管理