衡量和管理投资风险

1、.：.；Measuring And Managing Investment Risk 衡量和管理投资风险by Katrina Lamb,CFA Filed Under: Financial Theory 提起下：金融实际We tend to think of risk in predominantly negative terms, as something to be avoided or a threat that we hope wont materialize. In the investment world, however, risk is inseparable from per

2、formance and, rather than being desirable or undesirable, is simply necessary. Understanding risk is one of the most important parts of a financial education.This article will examine ways that we measure and manage risk in making investment decisions. 我们倾向于对“风险主要是负面的，想的东西要防止或要挟，我们希望将无法实现。在投资世界，然而，风

3、险是不可分割，从性能，而不是理想或不理想，只是必要的。了解风险是一个金融教育最重要的组成部分之一。本文将讨论如何衡量和管理，我们在作出投资决议的风险。Risk- Good, Bad and Necessary 风险 - 好的，坏的和必要的A common definition for investment risk is deviation from an expected outcome. We can express this in absolute terms or relative to something else like a market benchmark.That devia

4、tion can be positive or negative, and relates to the idea ofno pain, no gain -to achieve higher returns in the long run you have to accept more short-term volatility.How much volatility depends on your risk tolerance - an expression of the capacity to assume volatility based on specific financial ci

5、rcumstances and the propensity to do so, taking into account your psychological comfort with uncertainty and the possibility of incurring large short-term losses. (To learn more, read Determining Risk And The Risk Pyramid and Personalizing Risk Tolerance.)投资风险的一个共同的定义是偏离了预期的结果。我们可以表达绝对或相对的东西像其他这个市场基

6、准。这种偏向可正可负，涉及到“无苦楚的想法，一分收获 - 以实现更高的报答，长久来说他必需接受更多的短期动摇。动摇多少取决于他的风险接受才干 - 1表达的才干，以承当详细的财务情况和倾向，这样做的动摇，同时思索到不确定性和接受大的短期损失的能够性他的心思抚慰(要了解更多信息，请参阅确定风险和风险金字塔和个性化的风险性)Absolute Measures of Risk 绝对风险的措施One of the most commonly used absolute risk metrics is standard deviation, a statistical measure of dispers

7、ion around a central tendency. For example, during a 15-year period from August 1, 1992, to July 31, 2007, the average annualized total return of the S&P 500 Stock Index was 10.7%. This number tells you what happened for the whole period, but it doesnt say what happened along the way.最常用的目的之一，是绝对风险的

8、规范差，分散围绕一个中心趋势的统计方法。例如，在从1992年8月1日15年期间，到2007年7月31日，平均按年的规范普尔500股票指数的总报答为10.7。这个数字通知他整个期间发生的，但它没有说什么前进的道路上发生的事情。The average standard deviation of the S&P 500 for that same period was 13.5%.Statistical theory tells us that in normal distributions (the familiar bell-shaped curve) any given outcome sho

9、uld fall within one standard deviation of the mean about 67% of the time and within two standard deviations about 95% of the time. Thus, an S&P 500 investor could expect the return at any given point during this time to be 10.7% +/- 13.5% just under 70% of the time and +/- 27.0% 95% of the time. (Fo

10、r more insight, read The Uses And Limits Of Volatility.) 平均规范普尔500指数的规范差为同一时期的13.5。统计实际通知我们，在熟习的钟形曲线任何特定的结果应该在一个正态分布的规范差平均下降约67的时间和大约95的时间在两个规范差。因此，规范普尔500指数的投资者可以指望在这段时间，在任何给定点的报答是10.7+ / - 13.5，略低于70的时间和+ / - 27.0，95的时间(如需更多了解，请阅读动摇的用途和限制)Risk and Psychology 风险与心思While that information may be help

11、ful, it does not fully address an investors risk concerns. The field of behavioral finance has contributed an important element to the risk equation, demonstrating asymmetry between how people view gains and losses. In the language of prospect theory, an area of behavioral finance introduced by Amos

12、 Tversky and Daniel Kahneman in 1979, investors exhibit loss aversion- they put more weight on the pain associated with a loss than the good feeling associated with a gain. (For more on this, read Behavioral Finance: Prospect Theory.) 虽然这些信息能够是有益的，它不能完全处理投资者的风险担忧。行为金融学领域的一个重要要素促成的风险方程，展现与人们之间的收益和损失的

13、不对称性。在展望实际，是在1979年推出阿莫斯Tversky和丹尼尔卡尼曼，投资者表现出损失厌恶 - 他们放在同一个比一个增益相关的好感损失所带来的苦楚更重行为金融学领域的言语(有关此，请阅读行为金融：展望实际。)Thus, what investors really want to know is not just how much an asset deviates from its expected outcome, but how bad things look way down on the left-hand tail of the distribution curve. Valu

14、e at risk (VAR)attempts to provide an answer to this question.The idea behind VAR is to quantify how bad a loss on an investment could be with a given level of confidence over a defined period of time. For example, the following statement would be an example of VAR:With about a 95% level of confiden

15、ce, the most you stand to lose on this $1,000 investment over a two-year time horizon is $200.The confidence level is a probability statement based on the statistical characteristics of the investment and the shape of its distribution curve. (To learn more, read Introduction to Value At Risk - Part

16、1 and Part 2.)因此，投资者真正想知道的是没有多少资产背叛了其预期的结果，而是如何一路看坏的东西就分布曲线的左侧尾部。在风险值VaR试图提供一个对这个问题的答案。 VAR的背后想法是多么坏的一个量化的投资损失能够超越了规定的时间内一定程度的自信心。例如，下面的语句将是VAR的例子：“拥有约95的自信心程度，他最会失去这对一个为期两年的时间跨度1000美圆的投资为200元。的自信心程度是一个概率声明对投资的统计特性的根底和它的分布曲线的外形。 要了解更多，请阅读引见风险值 - 第1和第2部分。Of course, even a measure like VAR doesnt guar

17、antee that things wont be worse. Spectacular debacles like hedge fund Long Term Capital Management in 1998 remind us that so-called outlier events may occur. After all, 95% confidence allows that 5% of the time results may be much worse than what VAR calculates. In the case of LTCM, the outlier even

18、t was the Russian governments default on its outstanding sovereign debt obligations, an event that caused the hedge funds performance to be much worse than its expected value at risk. (To learn about LTCM and other similar events, read Massive Hedge Fund Failures.) 当然，即使是像VAR的措施并不能保证事情不会更糟。像对冲基金长期资本

19、管理公司在1998年惊人失败提示我们，所谓的“异常事件能够会发生。毕竟，95的自信心可以有5的时间结果能够远不如什么VAR的计算。在长期资本管理公司的情况下，异常事件是俄罗斯政府在其出色的主权债务，一个事件，呵斥对冲基金的表现会比默许的风险预期值差。 要对长期资本管理公司和其他类似的事件中汲取阅历，阅读大量对冲基金的破产。Another risk measure oriented to behavioral tendencies is drawdown, which refers to any period during which an assets return is negative r

20、elative to a previous high mark. In measuring drawdown, we attempt to address three things: the magnitude of each negative period (how bad), the duration of each (how long) and the frequency (how many times).另一个风险措施的行为倾向是面向缩编，是指任何期间资产的报答为负相对于以前的高分。在衡量缩编，我们试图处理三件事情：每个负面期间有多坏的规模，继续时间每个多久和频率多少次。Risk: T

21、he Passive and the Active 风险：被动与自动In addition to wanting to know, for example, whether a mutual fund beat the S&P 500 we also want to know how comparatively risky it was. One measure for this is beta, based on the statistical property of covariance and also called market risk, systematic risk, or no

22、n-diversifiable risk. A beta greater than 1 indicates more risk than the market and vice versa. (For further reading, see Beta: Know The Risk.)除了想知道，例如，无论是共同基金击败了规范普尔500指数，我们也想知道它是如何风险相对较高。其中一项措施，由于这是测试版，基于协方差的统计特性，也称为“市场风险，“系统性风险，或“不可分散的风险。一个大于1的测试显示超越市场的风险和副反之亦然。 进一步阅读，看到测试：认识的风险。Beta helps us to

23、understand the concepts of passive and active risk. The graph below shows a time series of returns (each data point labeled +) for a particular portfolio R(p) versus the market return R(m). The returns are cash-adjusted, so the point at which the x and y axes intersect is the cash-equivalent return.

24、 Drawing a line of best fit through the data points allows us to quantify the passive, or beta, risk and the active risk, which we refer to as alpha.测试有助于我们了解被动和积极的风险的概念。以下图显示了前往的时间序列每个数据点标有“+为特定的资产组合住宅规划与市场报答住宅米。报答是现金调整，因此该点x和y轴相交是现金等值的报答。经过绘制数据点的最正确拟合线使我们可以量化的被动，或beta，风险和积极的风险，我们称为阿尔法。Copyright 20

25、21 InvestopediaThe gradient of the line is its beta. For example, a gradient of 1.0 indicates that for every unit increase of market return, the portfolio return also increases by one unit.A manager employing a passive management strategy can attempt to increase the portfolio return by taking on mor

26、e market risk (i.e. a beta greater than 1) or alternatively decrease portfolio risk (and return) by reducing the portfolio beta below 1.该消费线的坡度是它的测试版。例如，一个1.0梯度阐明，市场报答率，投资组合报答为每个单位也添加一个单位的添加。经理聘用被动管理战略可以尝试添加采取更多的市场风险即一个测试组合的报答大于1或者减少投资组合风险经过减少和报答低于1组合测试版。Influence of Other Factors 其他要素的影响If the leve

27、l of market or systematic risk were the only influencing factor, then a portfolios return would always be equal to the beta-adjusted market return. Of course, this is not the case - returns vary as a result of a number of factors unrelated to market risk.Investment managers who follow an active stra

28、tegy take on other risks to achieve excess returns over the markets performance. Active strategies include stock, sector or country selection, fundamental analysis and charting. 假设市场的系统性风险的程度或影响的独一要素，那么投资组合的报答将永远是平等的测试调整后的市场报答。当然，这并非如此 - 前往变化作为一种市场风险无关的要素数目的结果。按照谁投资管理人采取积极的战略，以实现对其他风险对市场的表现超额收益。积极的战

29、略包括股票，行业或国家的选择，根本分析和制图。Active managers are on the hunt for alpha - the measure of excess return. In our diagram example above, alpha is the amount of portfolio return not explained by beta, represented as the distance between the intersection of the x and y axes and the y axis intercept, which can b

30、e positive or negative. In their quest for excess returns, active managers expose investors to alpha risk - the risk that their bets will prove negative rather than positive. For example, a manager may think that the energy sector will outperform the S&P 500 and increase her portfolios weighting in

31、this sector. If unexpected economic developments cause energy stocks to sharply decline, the manager will likely underperform the benchmark - an example of alpha risk.自动管理人员关于阿尔法狩猎 - 过剩的报答措施。在我们的图表上述例子中，阿尔法是投资组合报答数额不解释测试，由于路口之间的间隔 代表了X和Y轴和y轴截距，它可以是积极的还是消极的。在他们的超额收益的追求，使投资者的积极管理风险阿尔法 - 赌注的风险，他们会积极证明，

32、而不是消极的。例如，管理者能够会以为，能源部门的表现将优于规范普尔500指数和添加在这一领域的投资组合的比重。假设不测的经济开展呵斥的能源股票大幅下跌，经理很能够会低于市场表现的基准 - 1，风险的例子。A note of caution is in order when analyzing the significance of alpha and beta. There must be some evidence of a linear pattern between the portfolio returns and those of the market, or a reasonabl

33、y inclusive line of best fit. If the data points are randomly dispersed, then the line of best fit will have little predictive ability and the results for alpha and beta will be statistically insignificant. Ageneral ruleis that an r-squared of 0.70 or higher (1.0 being perfect correlation) between t

34、he portfolio and the market reasonably validates the significance of alpha, beta and other relative measures.需求留意的是当分析的和意义次序。必需有某种组合之间的收益和市场人士，或者是最适宜的合理的包容线线性方式的证据。假设数据点是随机分布，那么最适宜的道路，几乎没有预测才干和阿尔法和贝塔的统计结果将微缺乏道。一个普通的规那么是一个R -平方0.70或更高1.0被完全相关之间的合理组合和市场验证了阿尔法的意义，测试及其他相关措施。The Price of Risk 风险定价There a

35、re economic consequences to the decision between passive and active risk. In general, the more active the investment strategy (the more alpha a fund manager seeks to generate) the more an investor will need to pay for exposure to that strategy. It helps to think in terms of a spectrum from a purely

36、passive approach. For example, a buy and hold investment into a proxy for the S&P 500 - all the way to a highly active approach such as a hedge fund employing complex trading strategies involving high capital commitments and transaction costs. For a purely passive vehicle like an index fund or an ex

37、change trade fund ETF) you might pay 15-20 basis points in annual management fees, while for a high-octane hedge fund you would need to shell out 200 basis points in annual fees plus give 20% of the profits back to the manager. In between these two extremes lie alternative approaches combining activ

38、e and passive risk management.之间存在的消极和积极的风险所作决议的经济后果。在普通情况下，更积极的投资战略越阿尔法基金经理的目的，是生成，更是一种投资者需求支付暴露于这一战略。它有助于在频谱方面想从一个纯粹被动的做法。例如，购买并持有的投资转化为规范普尔500代理 - 如采用复杂的对冲买卖战略涉及高资本承当及买卖费用基金不断到一个非常积极的态度。对于一个像指数基金或买卖所买卖基金ETF的，他能够会在每年的管理费支付15-20个基点纯粹被动的车辆，同时又为高辛烷值的对冲基金那么需求掏出在加上每年收费200个基点给20的利润前往到经理。这两个极端之间的各种途径在扯谎自

39、动和被动相结合的风险管理。The difference in pricing between passive and active strategies (or beta risk and alpha riskrespectively) encourages many investors to try and separate these risks: i.e. to pay lower fees for the beta risk assumed and concentrate their more expensive exposures to specifically defined al

40、pha opportunities. This is popularly known as portable alpha, the idea that the alpha component of a total return is separate from the beta component.在被动与自动之间的战略或和风险的风险分别定价的差额鼓励许多投资者试图分开这些风险：即，支付的测试费用和承当的风险降低他们的更昂贵的集中暴露，明确界定阿尔法时机。这是普遍的便携式阿尔法众所周知，想法，一个总报答alpha组件是分开的测试组件。For example a fund manager may claim to have an active sector rotation strategy for beating the S&P 500 and show as evidence a track record of beating the index by 1.5% on a