Page 24 - CCFA Journal - Ninth Issue

风险管理 Risk Management 加中金融
Risk Management in Asset Management

资产管理中的风险管理

【作者】Milos Vukovic，VP & Head of Investment Policy, RBC Global Asset Management Inc.

Jeremie Zhou, Senior Manager, RBC Global Asset Management Inc.

Translated by Daju Gu. 顾大局翻译
An asset management company is a firm that pools funds from individual and institutional investors and invests the capital on behalf
of the investors. Products provided by asset managers include mutual funds, pooled funds, separate accounts, hedge funds, ETFs,
specialty investment strategies, etc. For example, RBC Global Asset Management Inc. (“RBC GAM Inc.”) is an asset manager in
Canada.

An asset manager aims to increase the value and mitigate risk of their portfolios. All investments involve risk. In order to outperform
its benchmark, an investment manager has to add some risk to their portfolio. The key is not to allow too much risk. Effective risk
management enables an asset manager to pre-emptively identify, measure and mitigate risks, and be successful in the long run.

资产管理公司是从个人和机构投资者那里筹资并代表投资者投资的公司。资产管理公司提供的产品包括共同基金、集合基
金、独立账户、对冲基金、ETF、专业投资策略等。RBC Global Asset Management Inc.（“RBC GAM Inc.”）就是一家加拿大
的资产管理公司。

资产管理公司旨在增加其投资组合的价值同时降低其风险。所有投资都涉及风险。为了跑赢基准，投资经理必须为其投资
组合增加一些风险。关键是避免过大的风险。有效的风险管理使资产管理者能够及时识别、衡量和降低风险，从长期的角
度取得成功。

Major Risks Facing Asset Managers 资产管理公司面临的主要风险
Asset managers are exposed to portfolio composition risk, 资产管理人面临投资组合构成风险、市场风险、交易对
market risk, counterparty risk, operational risk, regulatory risk 手风险、操作风险、监管风险和地缘政治风险。
and geopolitical risk.
● 投资组合构成风险包括集中风险、流动性风险、
● Portfolio Composition Risk includes concentration 杠杆风险和主动风险。
risk, liquidity risk, leverage risk and active risk.
集中风险源于对资产类别、发行人、行业、地区/国家等
Concentration risk arises from concentrated investments in 的集中投资。风险的衡量标准是集中率，这是顶级投资
asset classes, issuers, sectors, regions/countries, etc. A
measure of the risk is Concentration Ratio, which is the 机构针对一个发行人、行业、国家投资的百分比。多元
percentage of top investments in a sector, country, etc. A 化的投资组合将有助于降低集中风险。股票基金可以跨
diversified portfolio will help mitigate concentration risk. An 发行人、行业或国家分散投资，而债券基金可能会跨发
equity fund may diversify across issuers, sectors or countries, 行人、信用评级或期限进行多元化投资。平衡基金可以
while a bond fund may diversify across issuers, credit ratings 跨资产类别、地区或货币分散投资。请注意一些发行人、
or maturities. A balanced fund may diversify across asset 行业、国家甚至资产类别可能会同时朝着不利的方向发
classes, regions or currencies. Note that some issuers, sectors, 展。例如，债券通常可为股票提供投资多元化的好处。
countries and even asset classes may move together in an 然而，标准普尔 500 指数在 22 年第一季度下跌了 4.9%，
unfavorable direction. For example, bonds usually offer a 而标准普尔美国综合债券指数下跌了 5.6%。事实上，自
diversification benefit for stocks. However, the S&P 500 Index 20 年第一季度以来，美国大型公司股票与美国长期公司
dropped 4.9% in 1Q22, while the S&P U.S. Aggregate Bond 债券之间的相关性有所增加。为了解决这个问题，投资
Index fell 5.6% . In fact, the correlation between U.S. large 组合经理可能希望使用基于风险因子的技术来分散潜在
stocks and U.S. long-term corporate bonds has increased 的资产风险因素。
since 1Q20. To address this concern, a portfolio manager (PM)
may want to use a risk factor-based technique to diversify 一些全球资产管理公司提供大量的投资产品，投资于加
across underlying risk factors. 拿大、美国、欧洲和亚洲的股票和债券。其他人可能会
决定投资所谓的另类资产类别，这些资产类别与股票和
Some global asset management firms provide a large array of 债券等传统资产的相关性较低。另类资产的例子包括私
investment products that invest in stocks and bonds, across
Canada, the U.S., Europe and Asia. Others may decide to 人债务、基础设施、直接房地产、管理型期货甚至艺术
invest in so-called alternative asset classes which exhibit 品收藏。这些产品提供了更多的回报机会以及一套风险
lower correlation to traditional assets such as equities and 分散工具，使资本配置更有效，并有助于使市场更加趋
bonds. Examples of alternative assets include private debt, 于完整。
infrastructure, direct real estate, managed futures or even art
collections. These products provide more return
opportunities as well as a suite of risk diversification tools,
enabling more efficient capital allocation, and helping
develop “complete markets“.

CCFA JOURNAL OF FINANCE December 2022
Page 24 第24页