Quant版 - Risk based portfolio optimization |
|---|
|
|
|
|
|
|
L*******t
发帖数: 2385 | 1 看到一篇文章，觉得挺不错的，不知道是不是too old
全文如下。
The new portfolio management view is that the focus of investors should be
on risk-based investment decisions not asset-based decisions. Stop thinking
about what is your exposure to bonds or stocks and think about your exposure
to inflation or economic growth. The assets do not matter. The factor risks
matter.
It is not easy to make this switch and it still requires that you map risks
into asset allocation space, but this focus on factor risks is a strong
advancement to money management practices. This change in focus to risk-
based analysis has taken two directions. First, there has been the moment to
risk-parity types of allocation decisions. Second, there has been a focus
on alternative beta analysis. Both of these approaches have shown to have
advantages over a portfolio management process based on fixed allocations to
asset classes.
The evolution to risk parity approaches is a further advancement on
diversification. If you believe that diversification is the only or true
free lunch in investments, it does not make sense to hold more equities
relative to fixed income. Equities are riskier than fixed income. You do not
provide the maximum amount of diversification when you hold more equity
risk. Asset classes could be diversified through equating their volatility
or contribution to risk. There are drawbacks to this approach. Clearly,
there will be a greater exposure to fixed income which has lower volatility.
If equities have a higher risk premium, the equality to risk will change
the exposure to significant return contributors.
The rise of alternative beta focuses on the risk factors that drive return.
We know there are well-defined risk factors which can be isolated relative
to overall market risk. There is a value effect, and small firm effect in
equities. There is a backwardation effect in commodities. There is a term
premium and credit risk premium in fixed income. There is a momentum effect
in most asset classes. All of these can be used to diversify portfolio
returns. This is the foundation of alternative beta strategies.
Finally, there are risk-based factors associated with macroeconomics. There
is inflation and growth risks that impact asset classes differently.
Equities should be less affected by inflation than fixed income. Growth will
impact equities and fixed income albeit with different sensitivities.
Ultimately, investors want protection from the "bad times" of slow growth
and high inflation and it makes sense to directly identify a portfolio's
sensitivity to those factors.
The problem with any switch to risk-based factors is twofold. The
sensitivity to risk factors is not stable. Inflation sensitivities changes
through time. More important is tracking error. A switch to risk-based
investing will generate significant tracking error to traditional benchmarks
. This creates anxiety for the portfolio managers. What works in theory may
just not make a portfolio manager willing to take the career risk of
tracking error. Survey work suggests that over 40% of pensions may be
willing to make some switch to risk-based or alternative beta management,
but this may be a slow process. This may seems like an odd impediment, but
it could one of the largest. The process of education and acceptance takes
time. | L*******t
发帖数: 2385 | 2 我搜集了一些文献，想看的牛们联系我吧。
另外求实习。。
thinking
exposure
risks
risks
【在 L*******t 的大作中提到】
: 看到一篇文章，觉得挺不错的，不知道是不是too old
: 全文如下。
: The new portfolio management view is that the focus of investors should be
: on risk-based investment decisions not asset-based decisions. Stop thinking
: about what is your exposure to bonds or stocks and think about your exposure
: to inflation or economic growth. The assets do not matter. The factor risks
: matter.
: It is not easy to make this switch and it still requires that you map risks
: into asset allocation space, but this focus on factor risks is a strong
: advancement to money management practices. This change in focus to risk-
| w**********y
发帖数: 1691 | 3 too old. Benchmark method for all types of quant equity fund. | L*******t
发帖数: 2385 | 4 发现了，９９年大牛Ｐｌｉｓｋａ就干了。
这么说确实在用，可惜在Ａｃａｄｅｍｉａ，没有推出波澜来。
【在 w**********y 的大作中提到】
: too old. Benchmark method for all types of quant equity fund.
|
|
|
|
|
|
|
|
