US Small Caps: Margin of Safety

大家好，我是爱德华·钱塞勒，欢迎收听又一期《资本周期》播客。

Hello, this is Edward Chancellor with another episode of the Capital Cycle podcast.

今天请到的是汤姆·沃勒姆，他是马拉松资产管理公司负责美国市场的分析师。

I've got with me Tom Wharram, who's a analyst covering The US with Marathon Asset Management.

欢迎你，汤姆。

Welcome, Tom.

你好。

Hello.

汤姆，我们要聊聊你为《全球投资评论》写的一篇文章，讲的是美国小盘股的相对吸引力。

Tom, we're going to talk about a piece you've written for the Global Investment Review about the relative attractiveness of US Small Cap stocks.

过去三年，美国股市变得异常集中，少数几只股票占据了主导地位，这种程度前所未见，至少自1930年代以来没有出现过。

Over the past three years, the American stock market has become remarkably concentrated in a handful of stocks, to a degree never witnessed before, or at least not witnessed since the 1930s.

过去，市场集中时期往往伴随着价值股（以市净率衡量）表现不佳，而且在大多数情况下，小盘股也表现不佳。

Periods of market concentration have, in the past, been accompanied by the underperformance of value stocks, as measured price to book, but also, in most instances, by the underperformance of small cap stocks.

那么，你能简单向听众解释一下美国股市最近发生了什么吗？

So can you briefly explain to listeners what's been going on in The US stock market?

是的。

Yes.

所以2022年，美国股市经历了一次熊市。

So 2022, we had a bear market in The US stock market.

从那以后，标普500指数有两年表现非常出色。

And since then, we've had two really exceptional years from the S and P 500.

2023年和2024年累计上涨了大约60%。

It was up cumulatively about 60% over 2023 and 2024.

正如你在开场白中提到的，这主要是由少数大型科技公司推动的，也就是所谓的“七巨头”。

And as you mentioned in your introduction, that has really been driven by a small number of large technology companies, namely the magnificent seven.

随着这些超大盘股在市值中占比越来越大，小盘股的表现就落后了。

And as the mega caps have taken a greater share of the market capitalization, small caps have underperformed.

对。

Yes.

没错。

That's right.

有两个指数可以说明这一点。

There are two indices you can look at to show that.

一个是标普500等权重指数，它降低了“七巨头”的影响，因为每只股票的权重相同。

One is the S and P 500 equal weight index, and that reduces the impact of the magnificent seven because it counts every stock equally.

该指数在2023年和2024年回报率约为30%，大约是标普500的一半。

And that's returned about 30%, so about half the amount of the S and P 500 over 2023 and 2024.

再看标普600指数，这是盈利的美国小盘股指数，回报率更低。

And then if we look at the S and P 600 index, that s the profitable US Small Cap Index that s returned even less.

该指数在2023年和2024年回报率为26%。

So that s returned 26% over 2023 and 2024.

而美国小盘股的这种不佳表现今年仍在持续。

And that underperformance of US Small Caps has continued into this year.

从2022年底到今年5月，小盘股累计跑输标普500达41个百分点。

So up to the end of May this year, from the end of twenty twenty two to May this year, Small Caps have cumulatively underperformed by 41 points compared to the S and P 500.

这不仅仅是估值变化的问题。

Now, this is not just a question of changing valuations.

大盘股和小盘股在股价表现上的分化，也反映在了它们的基本面和盈利上。

The divergence in share price performance of the large and small caps has been matched by a divergence in the fundamentals in their earnings.

是的，没错。

Yes, that's right.

雷蒙德·詹姆斯在这方面做了一些有趣的研究。

So Raymond James have done some interesting work on this.

如果你看标普500的总盈利，2023年增长了2%，2024年增长了7%。

If you take the total earnings for the S and P 500, they grew 2% in 2023 and 7% in 2024.

但如果我们剔除“七巨头”，实际上就相当于一个标普493指数，你会发现2023年盈利实际上下降了约4%，2024年只增长了1%。

And once we exclude the magnificent seven, so we now effectively have an index, is the S and P four ninety three, you find that earnings actually declined in 2023 by about 4%, and they grew just 1% in 2024.

所以去掉这七只股票，这两年的盈利增长都减少了大约600个基点，而且实际上在那段时间里盈利是下降的。

So taking out those seven stocks, you reduce the earnings growth by about 600 basis points in both of those years, and you actually see an earnings decline over that period.

你说，对于小盘股来说，这种情况甚至更加明显。

And you say, but for the small caps, it's been even more pronounced.

是的。

Yes.

所以对小盘股来说，情况要严峻得多。

So much, much more stark for the small caps.

标普600指数的盈利在2023年下降了11%，2024年下降了12%。

So the S and P six hundred earnings declined 11% in 2023 and twelve percent in 2024.

所以，你知道，虽然我们看到的美国股市头条数据非常强劲，但在小盘股这一端，过去两年实际上是一场盈利衰退。

So, you know, while the headline numbers that we've all seen for The US stock market have been very strong, at the small cap end of the market, it's been an earnings recession for the past two years.

你认为这在某种程度上反映了经济的疲软表现，或者至少反映了这些小盘股与美国经济的关联度。

And you suggest that this is, to some extent, reflected by the lackluster performance of the economy, or at least how these small cap stocks are exposed to The US economy.

是的，确实是美国经济的某些部分。

Yeah, certainly parts of The US economy.

过去两年美国GDP总体增长数据相当强劲。

The headline GDP growth figures in The US for the last two years have been pretty strong.

大约在3%左右。

It's been about 3%.

但当你深入观察，会发现很多领域都存在疲软。

But then when you look under the surface, you see that there have been lots of areas of weakness.

举个例子，低收入消费者就很典型。

So a good example would be the low income consumer.

你看美元店的销售，经常光顾的是低端消费者，2024年它们的销售很疲软。

If you look at dollar store sales, more often visited by the low end consumer, they were weak in 2024.

再看信用卡违约或汽车贷款违约，这些数字一直在上升。

If you look at things like credit card delinquencies or auto loan delinquencies, they've been rising.

所以这确实表明，美国低端消费者并没有感受到GDP增长3%的那种好处。

And so that really indicates that the low end US consumer hasn't been feeling that 3% headline GDP growth.

而且不只是消费领域。

And it's not just in consumer.

工业方面，美国制造业PMI在2023年和2024年全年都很疲弱。

If you look at on the industrial side, US manufacturing PMI's have been weak all the way through 2023 and 2024.

我们接触的一些工业企业也提到工业衰退和整体终端市场疲软。

And some of the industrial companies we've been speaking to have talked about an industrial recession and soft end markets in general.

这里可以做一个类比，股市有两层分化，经济也有两层分化。

There is this parallel you can draw between a two tier stock market and then also a two tier economy.

但你相信，这种打开两级市场，至少是股市，为马拉松提供了投资机会。

But you believe that this opening up the two tier market, the stock market at least, provides an investment opportunity for Marathon.

对。

That's right.

我得说，我们并不是用那种宏观视角来投资的。

I should say that we're not investing with that sort of macro lens.

我们做的是寻找市场中那些有有趣的供应驱动投资机会的领域，这常常把我们带到市场的利基角落。

What we're doing is looking for areas of the market where there is an interesting supply driven investment opportunity, And that often takes us to niche corners of the market.

因此，我们最终会超配小盘股。

And as a consequence, we end up overweight in small cap companies.

那你能给我们举几个例子吗？

So would you like to give us a couple of examples?

我给你举两个例子。

So I'll give you two examples.

第一个是Envista Holdings。

The first would be Envista Holdings.

他们是主要的牙科产品制造商之一。

They're one of the major dental product manufacturers.

他们于2019年从丹纳赫公司分拆出来。

They were spun out of Danaher in 2019.

牙科是一个增长中的领域，而Envista拥有强大的市场地位。

Dental is a growing category and Envista has strong market positions.

他们做种植体、正畸、耗材等业务，长期来看有显著的利润率提升空间。

They do things like implants, orthodontics, consumables, and long term there is significant room for margin expansion.

但过去几年我们看到销售和利润率疲软，这给了我们投资的机会。

But what we've seen in the past few years is sales and margins being weak, and that gave us the opportunity to invest.

第二个例子是Openlane，他们是租赁期满车辆在线拍卖的市场领导者。

A second example would be Openlane they're the market leader for online auction of off lease vehicles.

他们也是在线经销商对经销商汽车交易市场中的两大主要参与者之一。

They're also one of the two major players in the online dealer to dealer automotive transaction market.

过去几年我们看到租赁期满拍卖量低迷，因为疫情期间生产的汽车减少了。

And what we've seen over the past few years has been off lease auction volumes have been depressed because you had fewer cars built during the pandemic.

这意味着租赁数量减少了，所以现在到期的租赁车辆也少了。

That meant fewer leases and that now means fewer vehicles coming off lease today.

而且，目前到期的租赁往往有正资产，因为二手车价格涨了很多。

And then on top of that, have the leases that are ending at the moment tend to have a positive equity because used car prices have gone up so much.

这意味着承租人，也就是消费者，会选择自己买车，而不是把车送回拍卖行。

And that means that the lessor, the consumer, is choosing to purchase the car themselves rather than returning them to the auctions.

所以你会看到这种暂时的盈利低迷，长期来看会恢复正常。

So you've got this temporary earnings depression, which in the long run will normalise.

除此之外，还有向线上渠道的长期转变。

And then on top of that, you have the long term shift towards the online channel.

而这些市场并没有意识到。

And these things aren't being recognised by the market.

所以，人们会想到小盘股以及回避它们的理由。

So, people think about small caps and arguments to avoid them.

他们谈论宏观经济风险，小盘股对经济衰退的敏感性最高。

They talk about macroeconomic risks, the greatest susceptibility of small cap stocks to economic downturns.

我记得在大萧条时期，小盘股的表现非常糟糕。

I think famously in the Great Depression, small cap stocks massively underperformed.

但你的看法有点不同。

But you you take a slightly different view.

确实如此。

That's true.

首先我要说的是，我并不是在预测美国经济的走向。你说得对，传统观点认为小盘股在经济衰退中会表现不佳，但这并不总是正确的。

And first thing I would say is I'm not making a call on the direction of The US economy with You're right, the conventional view is that small caps would underperform in a recession, but that's not always true.

在1998年和1999年，我们看到小盘股指数比标普500指数低了45个百分点。

And in 1998 and 1999, we saw the Small Cap Index underperform the S and P 500 by 45 percentage points.

这和我们过去几年看到的41个百分点很相似。

And that's pretty similar to the 41 we've seen in the last few years.

然后在2001年2月，尽管经济衰退正当时，小盘股指数却跑赢了市场。

And then February 2001, the Small Cap Index outperformed with a recession bang in the middle of that.

实际上，小盘股一直表现优异，直到金融危机来临。

And actually, Small Caps kept on outperforming right up to the financial crisis.

所以，当前环境与互联网泡沫时代有很多不同之处，那时候小盘股和价值股都非常便宜。

So there are many ways in which the current environment is different from the .com era, that period when small cap stocks and value stocks were extremely cheap.

但你认为，估值差距与互联网泡沫时期非常相似。

But the valuation discrepancy, to your mind, is quite similar to how it was back in the .com bubble.

是的，完全正确。

Yeah, absolutely.

所以，如果从上往下看，小盘股与大盘股的估值情况与互联网时代非常相似。

So if we look top down, the valuation picture of small cap stocks versus large cap is very similar to what we saw in the .com era.

正如我所说，过去几年我们经历了41个点的落后表现，这使得标普500的市盈率比标普600高出40%，这是自互联网时代以来最高的。

As I've said, we've had this 41 points of underperformance in the past few years, and that leaves the PE ratio of the S and P 500 at a 40% premium to the S and P 600, and that's the highest we've seen since the .com era.

标普500的市盈率是21倍，比30年历史平均水平高出20%，而标普600的市盈率是15倍，比30年历史平均水平低13%。

So the S and P 500 is at 21x PE, which is a 20% premium to the thirty year history, and the S and P 600 is at 15x PE, which is a 13% discount to its thirty year history.

在你的文章中，有一张图表显示了标普500与标普600的相对市盈率。

And in your piece, you have a chart showing the relative price earnings ratio of the S and P 500 to the S and P 600.

我们看到，在互联网时代，大盘股的市盈率溢价是1.5倍，比现在略高，但高不了多少。

And what we see is that in the .com era, the large caps were trading at a price to earnings premium of one and a half times, which is a bit higher than it is today, but not much higher.

但我们还看到，在全球金融危机之后很长一段时间里，我觉得其实可以追溯到全球金融危机之前，从2007年到上一个十年结束。

But we also see, for a prolonged period after the global financial crisis, I think it actually precedes the global financial crisis, from 2007 through to the end of the last decade.

小盘股的市盈率实际上比大盘股还要高。

The small caps were actually trading at an earnings premium to the large caps.

是的，没错。

Yes, that's right.

如果从市销率来看，这个差距就更明显了。

And this is even more stark if you look on the price to sales basis.

标普600的市销率大约是一倍。

So you have the S and P 600 trading at about one time sales.

这正好和三十年的历史平均水平一致。

So that's exactly in line with the thirty year history.

而标普500的市销率是三倍。

And then the S and P five hundred is trading at three times sales.

所以贵了三倍。

So so three times as expensive.

这比三十年平均水平高出近70%。

And that's an almost 70% premium compared with the thirty year average.

那么，大盘股和小盘股之间这么大的估值差距，我们应该怎么看呢？

So how much should one read into these wide valuation spreads between the large caps and the small caps?

我觉得我们确实需要谨慎一点。

I think we do need to be a little bit careful.

特别是从市销率来看，标普500相对于历史水平的溢价，至少有一部分可能是合理的，因为科技板块利润率结构性更高，在指数中占比也更大。

And I think particularly on price to sales, where at least some of the premium of the S and P 500 versus history may be justified by a structurally higher margin technology sector making up more of the index.

另外，小盘股比大盘股风险更高，资本回报率更低，杠杆率也更高。

You've also got the fact that small caps are riskier than large caps, they have lower return on capital and they have higher leverage.

但即使有这些保留意见，我认为数据仍然有力地表明，小盘股相对于大盘股被低估了。

But I think even with those caveats, I think the data is still compelling that small caps are undervalued compared to large caps.

我得说，美国知名的量化投资者，比如Rob Arnott创办的Research Affiliates、Clivaznas管理的AQR，还有我老东家GMO，他们都在重申小盘股看起来很有吸引力的观点。

I should say that if one looks at what the well known quant investors in The US are writing about Small Caps, Research Affiliates, a company run by Rob Arnott, AQR run by Clivaznas, and GMO, My Old Shop, they are all reiterating the view that Small Caps look attractive.

比如，Research Affiliates最近发布了一篇报告，预计美国小盘股长期来看每年应该跑赢大盘4%。

For instance, research affiliates put out a paper quite recently with the expectation that US Small Caps should outperform the broader market by 4% a year over the long term.

但马拉松不是量化投资公司，你也不是用小盘股的相对吸引力来作为调整投资组合偏向小盘股的例子。

But Marathon's not a quant investment firm, and you're not using the relative attractiveness of small caps as a as an example to sort of tilt the portfolio to small caps.

马拉松还有其他因素需要考虑。

Marathon has other factors to consider.

对，我觉得完全正确。

Yeah, think that's absolutely right.

我们不是仅仅基于因子或宏观观点，即小盘股与大盘股的估值差异，来做出投资决策。

We are not making investment decisions solely based on factor or macro view about small cap versus large cap valuations.

我们想投资于管理良好、具有吸引力资本周期投资案例的企业。

We want to invest in well managed businesses with an attractive capital cycle investment case.

但这往往意味着我们最终会超配小公司。

But that often means we end up being overweight small companies.

我想我的看法是，如果你问我们，对于超配小盘股的策略，我们希望看到什么条件，我们会描绘出一个与今天非常相似的情景。

I think the way I think about it is, if you were to ask us what conditions would you want to see for a strategy that is overweight small caps, I think we'd sketch out a scenario pretty similar to the one we have today.

谢谢你，汤姆。

So thank you, Tom.

最后一点，这不仅仅是美国的现象。小盘股的吸引力并不局限于美国。

And as a last thought, this is not a phenomenon confined to The US Small Caps are not just attractive to The US.

你的同事贾斯汀·希尔写过关于EAFE篮子中，也就是美国以外发达市场中，小盘股的吸引力。

Your colleague, Justin Hill, wrote about the attractiveness in small caps in the EAFE basket, the developed markets outside of The US.

他在2023年11月写过，大约18个月前，他指出小盘股在那之前的表现落后了大约25%，而且EFA指数中的小盘股在价格与销售额之比上有40%的折价。

And he wrote about that in November 2023, so roughly eighteen months ago, where he pointed out that the small caps had underperformed in the period up to that period by, I think, around 25%, and that the stocks, the small cap stocks within the EFA universe, were at a 40% discount on price to sales.

所以，看起来不仅在美国，更广泛地说，小盘股似乎是一个相对有吸引力的选股领域。

So both within The US, it would appear, but more broadly, small caps look to be a relatively attractive place to be stock picking.

关于你提到的马拉松寻找处于资本周期有利位置的公司，我认为至少能帮助你的是，美国市场中可能出现的杠杆或盈利能力恶化带来的风险。

And to your point about Marathon looking for stocks that are in a good place in the capital cycle, I think what should help you pick up, at least, is the risk that would come from leverage or deteriorating profitability, which one can see in The United States.

但正是在这里，我认为选股技巧或基本面投资技能比仅仅持有不加区分的小盘股篮子更有用。

But this is where, I think, stock picking skills come in, or fundamental investment skills come in more useful than just owning an indiscriminate basket of small cap stocks.

是的，完全正确。

Yes, absolutely.

非常感谢，期待再次与你交流。

So thank you very much, and look forward to speaking to you again.

非常感谢。

Thank you very much.

很高兴和你交流。

Nice to speak to you.

感谢你今天抽出时间。

Thank you for your time today.

希望大家收听下一期的《资本周期》。

I hope you will listen to the next edition of the Capital Cycle.

本通讯仅供参考。

This communication is provided for information purposes only.

更多信息，包括重要披露，请参阅马拉松的网站和《全球投资评论》。

Please refer to Marathon's website and the Global Investment Reviews for further information, including important disclosures.