Page 25 - CCFA Journal - Ninth Issue

加中金融 风险管理 Risk Management
加中金融

Liquidity risk refers to a potential situation when a portfolio 流动性风险是指投资组合经理不得不折价出售基金资产
manager can’t meet redemption requests without selling the 以满足赎回请求的潜在风险。折价 对基金资产净值产生
fund’s assets at discounted prices that materially affect the 重大负面影响。流动性风险管理对于保护投资者利益非
fund’s net asset value. Liquidity risk management is important 常重要。为了评估投资组合的流动性，投资组合资产根
for protecting investors’ interests. To evaluate the liquidity of 据这些资产转换为现金的速度按流动性分类。根据基金
a portfolio, portfolio assets are classified into some liquidity 流动性状况在比较正常和压力条件下的赎回要求。为了
categories based on how quickly these assets can convert to 降低流动性风险，基金通常有最低流动资产要求。并在
cash. Fund liquidity profile is determined and then is 发生重大事件时限制持有人同时赎回所持基金。公司可
compared with redemption scenarios under normal and 以引入一些流动性杠杆。流动性工具的一些示例包括波
stressed conditions. To mitigate liquidity risk, a fund usually
has a minimum liquid asset requirement. In addition, to 段定价、赎回通知、实物赎回、投资组合门槛，以及在
discourage unitholders to all redeem the fund holdings at the 极端情况下暂停赎回。
same time and to protect the remaining unitholders in the 杠杆可用于对冲或各种基金策略（例如，叠加策略，负
event of significant redemptions, the firms can introduce a 债驱动投资策略）。它可以通过借入的资金或投资衍生
number of liquidity levers. Some examples of liquidity tools 品来实现。最近的英国养老金危机发生在英格兰银行宣
include swing pricing, redemption notice, in-kind 布终止债券购买计时，该计划导致债券收益率飙升。一
redemptions, portfolio gates, and in extreme cases, 些使用利率掉期施实 LDI 策略的英国养老基金不得不出
suspended redemptions.
售债券以满足追加保证金要求并遭受了巨大损失。使用
Leverage can be used for hedging or various fund strategies 卖空来获得杠杆的基金如果做空头寸成为 MEME 股票可
(e.g., overlay strategy, liability-driven investing strategy). It 能会遭受巨大损失。为了降低杠杆风险，基金可以设置
can be achieved using borrowed funds or investing in 杠杆比率限制。
derivatives. The recent UK pension crisis happened when the
Bank of England announced a plan to end a bond purchase 主动风险。大多数共同基金都是根据其基准进行管理的。
program, which led to a spike in gilt yields. Some U.K. pension 当投资组合经理试图跑赢大盘时，就会出现主动风险。
funds that used interest rate swaps for their LDI strategies had 主动风险可以跟踪误差来度量，即基金和基准回报之间
to sell bonds to meet margin calls and suffered big losses. 差异的标准差。基金经理可能会尝试下大赌注来击败大
Funds that use short selling to gain leverage could suffer big 盘。然而，这些赌注也可能导致基金表现严重不佳。基
losses if their shorted positions become meme stocks . To 金经理可以使用定量模型（如 Barra 风险模型）来预测风
mitigate leverage risk, a leverage ratio limit could be assigned 险并获得每个风险因子的风险成因。基金经理可能希望
to a fund. 取得对某些风险因素敞口同时尽量减少对意外因素的敞
Active risk. Most mutual funds are managed against their 口。
benchmarks. Active risk arises when a portfolio manager ● 市场风险通常包括股票风险、利率风险、信用风
attempts to beat the benchmark. Active risk can be measured 险、通胀风险、国家风险等。股票基金和平衡基金受股
as tracking error, the standard deviation of differences 票市场价格变化的影响。固定收益基金和平衡基金受利
between fund and benchmark returns. A PM may attempt to 率变动的影响。通胀风险源于预测之外未来通胀率。为
take large bets to beat benchmark. However, these bets could
lead to significant underperformance as well. A PM may use 了衡量风险，可以使用贝塔系数来衡量证券或基金对市
quantitative models such as Barra risk models to forecast the 场走势的敏感性。例如，基金经理可以使用久期来衡量
risk and get risk attribution to each risk factor. The PM may 债券投资组合对利率变动的敏感性。花旗银行的 Gram 定
want to have exposures to certain risk factors while 量风险模型可用于衡量基金对利率、信贷或通胀的风险
minimizing the fund’s exposure to unintended factors. 敞口。Barra 风险模型可用于评估基金对国家、货币、行
业或价值、增长或动量等风格的敞口。

● Market risk typically include equity risk, interest rate
risk, credit risk, inflation risk, country risk, etc. Equity funds
and balanced funds are subject to changing prices in stock
markets. Fixed income funds and balanced funds are subject
to interest rate movements. Inflation risk arises from
unexpected future inflation rates. To measure the risks, one
can use betas to measure the sensitivity of a security or a fund
to market movements. For example, a PM can use duration to
measure a bond portfolio’s sensitivity to interest rate moves.
Quantitative risk models such as the Citi Gram models can be
used to measure a fund’s exposure to interest rates, credit or
inflation. Barra risk models can be used to assess a fund’s
exposure to countries, currencies, sectors, or styles such as
Value, Growth or Momentum.

CCFA JOURNAL OF FINANCE December 2022
Page 25 第25页