Page 28 - CCFA Journal - Ninth Issue

风险管理 Risk Management 加中金融

Risk Considerations in Asset Allocation 资产配置中的风险考虑因素

Risks are an important input for asset allocation. To optimize 风险是资产配置的重要组成部分。为了优化回报或将风
return or minimize risk, investors need to do a thorough 险降至最低，投资者需要对市场、经济数据、政府和央
analysis of markets, economic data, government and central 行政策进行彻底分析。投资者还需要了解行业、资产类
bank policies. Investors also need to be aware of the risks of
sectors, asset classes, styles and countries. As no one is always 别、风格和国家风险。由于没有人在预测方面总是正确
correct in forecasting, investors usually use multiple research 的，投资者通常会使用多家研究公司进行情景分析和压
firms, do scenario analysis and stress tests, to increase 力测试以增加可信度。
convictions. 对于战略资产配置，投资者需要做出长期的资本市场假
For strategic asset allocation, investors need to make long- 设，预测资产类别的长期表现，并进行长期的资产配置。
term capital market assumptions, forecast long-term 然而，随着市场条件的变化，投资者可能希望通过主动
performances of asset classes, and perform long-term asset 风险和对资产类别权重进行短期调整来把握短期机会。
allocation. However, as market conditions evolve, investors 例如，当 2020 年市场崩盘时，一些投资者根据对市场的
may want to take advantage of short-term opportunities by 分析、疫情的发展、政府政策、经验等，决定增加股权
taking active risk with short-term adjustment to asset class 配置。事实证明这个判断很正确。
weighting. For example, when markets crashed in 2020, some
investors decided to increase equity allocation, based on 传统的资产配置在股票、固定收益、现金和另类资产之
analysis of markets, development of the pandemic, 间进行分配。然而，一些定量风险模型可用于显示哪些
government policies, experiences, etc. It turned out to be a 资产类别和证券对通货膨胀、利率和商品价格的风险敞
good judgement call. 口过高。这就为资产配置提供了不同的视角。例如，非
能源股票可能对油价敏感。因此，基于因子的资产配置
Traditional asset allocation uses a combination of equities, 技术可用于分散各因子的风险敞口。
fixed incomes, cash and alternative assets.
纪律严明的资产管理公司通过建立投资约束和限制来控
Some quantitative risk models, on the other hand, can be
used to show which asset classes and securities have high 制其投资组合中的风险敞口。投资限制的建立可以是由
exposure to inflation, interest rates and commodity prices. 监管、客户或内部驱动。每个主动管理的基金都应该有
This provides a different perspective in asset allocation. For 一个相对于其基准的增值目标。增值目标以优异于相关
example, a non-energy stock may be sensitive to oil prices. 指数表现的基点来衡量。这个重要指标应有助于风险管
Factor-based asset allocation technique therefore can be 理者在涉及单一名称敞口、行业以及国家或资产类别敞
used to diversify factor exposures. 口时设置适当的限制。限制可以是软限制，也可以是硬
限制。软限制是可以协商的，投资组合经理可以被允许
Disciplined asset managers keep the risk exposure in their 在定义的限制之外进行投资以利用短暂的市场波动。批
portfolios in check by creating investment constraints and 准违反软限制通常是有时间限制的。硬性限制是不可协
limits. Investment constraints could be regulatory, client
driven or internal. Each actively managed fund should have a 商豁免的。如果硬漏洞是主观因素造成的，即由投资组
value added objective relative to its benchmark. The value 合经理行动而不是市场走势，则被视为错误。投资组合
added objective is expressed in basis points of 经理通常必须尽快纠正违规行为。
outperformance against the relevant index. This is important 当前的主要宏观风险因素
information that should help risk managers to set appropriate
limits when it comes to single name exposure, sector, and 疫情、俄乌战争、通胀、利率上升是推动市场的重要宏
country or asset class exposure. The limits could be soft or 观风险因素。
hard limits. Soft limits can be negotiable and the portfolio 大流行病： 应对大流行的公共卫生措施导致油价暴跌、
manager could be allowed to invest outside the defined limits
to exploit temporary market dislocations. The approval 供应链中断、芯片短缺等。2020 年世界经济萎缩 4.3%。
granted to a portfolio manager to temporarily breach a soft 在过去两年中，大流行病一直是最重要的风险因素。为
limit usually comes with the time limit for getting back into 了应对与大流行病相关的风险，RBC GAM Inc. 密切关注
compliance. Hard limits are non-negotiable and cannot be 其发展，跟踪主要经济体的新冠病例和措施的统计数
exempt. The portfolio manager typically has to correct the 据，并分析市场/部门/行业/资产类别对形势的反应。这
breach as soon as practically possible. It is considered an error 里可以使用多因子模型来显示基金对国家、行业、货币
if a hard breach is caused actively, i.e., due to the action taken 和风格的敞口，并帮助资本配置。
by the portfolio manager rather than the market movement.

Current Major Macro Risk Factors

The pandemic, Russian/Ukraine war, inflation and rising
interest rates are important macro risk factors that have been
driving the markets.

Pandemic. Public health measures in reaction to the
pandemic have led to plummeting oil prices, supply chain
disruptions, chip shortages, etc. The world economy shrank
by 4.3% in 2020 . The pandemic has been the single most

CCFA JOURNAL OF FINANCE December 2022
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