Page 29 - CCFA Journal - Ninth Issue

加中金融 风险管理 Risk Management
加中金融

important risk factors in the past two years. To address risks 俄乌战争：RBC GAM Inc.迅速减少了对俄罗斯的风险敞
associated with the pandemic, RBC GAM Inc. has closely 口，以降低相关的监管风险和声誉风险。制裁可能导致
monitored its development, followed the statistics of Covid 材料价格上涨、油价、食品价格上涨。模型将显示哪些
cases and measures taken in major economies, and analyzed 证券可以从这些举措中受益，从而有助于行业倾斜和证
how markets/sectors/industries/asset classes reacted to the 券选择。在资产配置方面，投资者将减少对受影响最大
situation. Multi-factor models can be used here to show 的地区（如欧盟）的风险敞口。
funds’ exposures to countries, sectors, currencies and styles,
and help allocate capital. 通货膨胀：当前高通胀的根本原因包括与大流行相关的
原因——劳动力成本/工资上涨、市场流动性增加、政府
Ukraine/Russian war. RBC GAM Inc. quickly reduced its
exposure to Russia, to lower related regulatory risk and 支出增加、封锁后被压抑的需求、供应链中断以及与俄
reputational risk. Sanctions could lead to higher materials 乌战争相关的原因——大宗商品价格上涨（石油、食品
prices, oil prices, food prices. Models would show which 价格等）。投资者将把资金分配给受益于通胀上升的行
securities can benefit from these moves and thus help in 业和证券，并减少将受到通胀上升负面影响的行业和证
sector tilts and security selection. In asset allocations, markets 券的持仓，从而减轻通胀风险。投资者也有兴趣预测通
would reduce exposures to regions that are most impacted 胀何时达到顶峰并开始下降。
(e.g., the European Union).
利率上升：世界各国央行（尤其是美联储和加拿大央
Inflation. The fundamental reasons for the current high 行）一直在积极提高目标利率，以抑制通胀。利率上升
inflation include pandemic-related ones – rising labor 和利率预测上调降低了股票估值，尤其是在科技、可再
cost/wage hikes, increased market liquidity, more 生能源和增长领域。固定收益资产（尤其是久期较长的
government spending, post-lockdown pent-up demand, 固定收益资产）跌幅最大。在这种环境下，投资者会将
supply chain disruption, and Ukraine/Russia war related ones 更多的资本分配给现金。然而，当利率预计下降时资产
– rising commodity prices (oil, food prices, etc.). In this 估值将被重置，这会提供一个很好的切入点。例如，11
situation, markets would allocate funds to sectors and 月 10 日，美国 CPI 为 7.7%，低于预期的 7.9%，这让人怀
securities that benefit from rising inflation, and reduce 疑美联储是否会坚持加息。标准普尔当天上涨 5.5%，纳
holdings in sectors and securities that will be negatively 斯达克指数上涨 7.4%。在利率上升的环境中，增长因素
impacted by rising inflation, thus mitigating inflation risk.
表现不佳。因此，高度暴露于增长因子的基金可能表现
Rising Interest Rates. World central banks (especially the Fed 不佳;当利率预计达到峰值和下降时，可能会跑赢大盘。
and Bank of Canada) have been aggressive in raising their
target rates in order to tame inflation. Rising rates and higher 2023 年展望
rate forecasts have lowered the valuation of stocks, especially 本展望仅代表作者的个人观点，不代表 RBC GAM Inc.的
in the technology, renewable energy and growth sectors. 观点。三个主要关注领域仍然是美联储的量化紧缩
Fixed income assets (especially those with long durations) （“QT”）计划、乌克兰战争和消费者支出。
dropped the most. In this environment, markets would
allocate more capital to cash. However, when rates are 历史上我们从未有过这种水平的 QT。全球量化宽松计划
expected to drop, asset valuations will be reset, which would 的几个方面“适得其反”，包括一些国家的负利率。各
provide a good entry point. For example, on November 10, 国央行别无选择，只能取消量化宽松政策，因为系统中
U.S. CPI came in at 7.7% , lower than the expectation of 7.9% , 的流动性太多。他们必须消除一些流动性以阻止投机，
which cast doubt about whether the Fed will stay the course 降低房价，让供应方增加并建立新的平衡。
to hike rates. The S&P rose 5.5% , and Nasdaq 7.4% for the
day. Growth factors have underperformed in a rising interest
rate environment. Therefore, funds that are highly exposed to
the growth factor may have underperformed; and may

overperform when rates are expected to peak and fall.
2023 outlook

This outlook represents only the personal view of the authors,
and does not represent the views of RBC GAM Inc. The three
main areas of concern remain the Fed’s quantitative
tightening (“QT”) program, the war in Ukraine, and consumer
spending.

We’ve never had this level of QT in history. Several aspects of
quantitative easing programs across the world ‘backfired,’
including negative rates in some countries. Central banks
don’t have a choice but to remove quantitative easing
because there’s too much liquidity in the system. They have
to remove some of the liquidity to stop the speculation,
reduce home prices and allow the supply side to increase and
establish a new equilibrium.

CCFA JOURNAL OF FINANCE December 2022
Page 29 第29页