投资“新”得：作最坏准备
Hope for the best, prepare for the worst
“When the facts change, I change my mind. What do you do, sir?”
John Maynard Keynes’ reported question to a colleague has particular relevance for wealthy investors and their clients. During the past two years, they have faced a US stock market which is going nowhere in a hurry.
This context makes the need for new ideas in portfolio management all the more pressing, especially for affluent investors who might be reluctant to make a full-time job out of managing their wealth and searching for the next hot asset class to invest in.
Robert Weissenstein, chief investment officer at Credit Suisse First Boston’s private bank, said the classic question of assessing the client’s risk tolerance is no longer relevant.
“What you’re really asking is: ‘How much money are you willing to lose?’ Most clients are likely to reply: “None.”
Mr Weissenstein’s alternative is to ask clients how much volatility they are willing to tolerate in their portfolio in order to achieve their goals.
He suggests creating a ‘volatility budget’ for any given portfolio, and backfilling the asset classes. Adjusting the levels of any given asset in the portfolio “will be an output of the exercise, rather than the input”.
The ultimate goal of the wealth manager is to build out an “efficiency frontier [of maximum rewards for the risk you’re willing to take] as high as you can,” said Benjamin Pace, chief investment officer at Deutsche Bank.
Mr Pace says the key to successful management is less about stock-picking and more about making “tactical calls that can add value over the long run”.
One such tactical call would be about which type of equity exposure to include in a portfolio, as opposed to how much of it to invest in equities overall.
“You could have the best large-cap guy, but even he has underperformed the worst emerging markets guy in the last five years,” said Mr Pace.
The explosive growth of financial instruments such as exchange-traded funds and hedge funds of all stripes complicates a wealth manager’s decision.
For CSFB’s Mr Weissenstein, this is a reinforcement of his thesis on managing portfolios by managing volatility because traditional asset classification can be obsolete in today’s environment.
“The number of investment instruments that allow you to get exposure to different themes in the market is dramatically higher from three or five years ago, so you cannot look at asset allocation the same way you used to.”
He gives the example of a hedge fund of funds that invests across Asia and is biased towards long positions, which CSFB uses.
“How do you put that in a bucket? Is it your non-US exposure? Your Asian one? Is it your alternative [hedge-fund] exposure? It doesn’t matter.
What matters is what that fund does to the overall volatility of your portfolio and how you can manage it elsewhere if this vehicle increases it beyond your agreed-upon budget.”
Mr Pace noted that the emergence of hedge funds as an asset class is a recent phenomenon that “would still make some portfolio theorists shudder”.
He said that hedge funds have traditionally been a way for investors to get short positions in their portfolios and to mitigate risks. However, hedge funds were introduced to many investors in the later 1990s “when no one wanted to hear about mitigating risk. It [the market] was always going up,” he said.
“It took the market environment of 2001, 2001 and 2002 for people to accept that they would have saved themselves a lot of money by using hedge funds in their portfolios.”
Commodities are another instrument that allows investors to control
the volatility of their portfolio, he said, because they have a low degree of correlation with other asset classes
“You have a very strong secular case that underperformance in the last 15 years or so has built the premise for overperformance in the next five to six years.”
Exposure to a larger number of asset classes through more complex instruments leads to a different kind of vulnerability for portfolios than can be assessed by conventional methods. Events in certain markets may have manifold effects upon a portfolio.
This creates the need for wealth managers to stress test portfolios for potential downside; in addition to the more traditional approach of testing their potential rate of return and assessing performance in comparison to that.
Mr Weissenstein at CSFB said investors must require their advisors to ask what would happen to their portfolio if another event of the magnitude of the September 11, 2001 attacks occurred.
The concept of a volatility budget is again important in this context, because assessing the downside risk of a portfolio can highlight sources of volatility within it.
But he cautions: “The volatility budget is the one budget in the world you should not underspend, because that means you haven’t done as much as you could with your portfolio, and you have sold yourself short.”
投资“新”得：作最坏准备
“当实际情况发生变化时，我就会改变自己的想法。你会怎么做呢，先生？”
（经济学家）约翰?梅纳德?凯恩斯(John Maynard Keynes)曾向同事提出的这个问题，尤其适用于那些基金经理和其客户。在过去两年中，他们所面对的美国股市一直摇摆不定。
在这种情况下，需要新的投资组合管理理念，这种需求比任何时候都更紧迫，这一点对那些富有的投资者而言尤为明显，他们可能不愿整日忙于管理财富，并物色下一个热门的投资资产。
瑞士信贷第一波士顿(Credit Suisse First Boston)私人银行业务投资总监罗伯特?韦森斯坦(Robert Weissenstein)表示，一个经典问题已经不再适用，即评估客户风险承受能力。
“你真正要问的是：‘你究竟愿意赔多少钱？’大多数客户都可能这样回答：“一分也不愿意。”
韦森斯坦先生换了一种方式来问客户，问他们为了实现目标，其投资组合愿意承受多大波动。
他的建议是，为任何特定的投资组合创建一个“波动预算”，然后再会过头来选定投资资产类别。而调整投资组合中任何特定资产的水平，“将是此项操作的结果，而非投入。”
基金经理的最终目标是， “尽可能提高效率边缘(即你愿意承担的风险所对应的最大回报)。” 德意志银行(Deutsche Bank)投资总监本杰明?佩斯(Benjamin Pace)说。
佩斯先生表示，成功（进行财富）管理的关键与选股关系不大，更多地偏重于制定“长期内能够提升价值的战术。”
这种战术之一是确定投资组合中应包括哪类股票，而不是组合中有多少资金投资于股市。
“你可能拥有最好的高市值股票（即总市值界乎100亿至2000亿美元的公司）。但即便是这种股票，过去5年的走势还不如新兴市场中最差的个股。”佩斯先生说道。
诸如场内交易基金和各类对冲基金等金融工具的爆炸式增长，使基金经理们越来越难以抉择。
在瑞士信贷第一波士顿的韦森斯坦先生看来，这为他通过操纵波动性，来管理投资组合的理论提供了佐证，因为在当前环境中，传统的资产分类可能已过时。
“投资工具众多，这令你可以在市场中选择不同题材，与3年或5年前相比，这些工具的数量显著增加，因此你不能再用原来的方式来看待资产配置问题。”
他以一个投资于对冲基金的基金公司为例，该基金在亚洲范围内投资，倾向于建立多头头寸，瑞士信贷第一波士顿用该基金公司。
“你如何把它放在投资组合的篮子里呢？是非美国投资？你的亚洲地区投资？还是(对冲基金以外的)其它投资？这都没有关系。”
重要的是，该基金对你投资组合的总体波动性有何种影响；当这个工具令波动性超出预算范围时，你如何通过其它途径对它进行管理。”
佩斯先生指出，最近对冲基金才作为一种资产类别出现，这种现象“至今仍让一些投资组合理论家感到恐惧。”
他表示，从传统意义上讲，对冲基金原本是投资者籍以在投资组合中建立空头头寸，以降低风险的工具。然而，20世纪90年代末，当“没人愿意听到降低风险这种说法时，对冲基金被介绍给了投资者。当时市场一直处于升势。”他表示。
“2000年、2001年和2002年三年的市场状况使投资者认识到，如果在投资组合中运用对冲基金的话，能让他们省不少钱。”
他表示，大宗商品是另外一种投资者籍以控制其投资组合波动性的工具，因为它与其它资产类别之间的相关度较低。
“实际例子很明显，过去15年左右走势不佳，是未来5至6年走势上佳（强于其它资产类别）的前提。”
利用更为复杂的金融工具，投资于数量更多的资产类别，会使投资组合产生另外一个弱点，即难以通过常规方法来评估。某些市场发生的事情可能会对投资组合产生各种各样影响。
因此，基金经理需要重视一个问题，即测试投资组合可能的下行空间（指总体市场或个别股票可能下跌的幅度），而不是像通常那样，测试其潜在回报率，并据此评估业绩。
瑞士信贷第一波士顿的韦森斯坦先生称，投资者必须要求他们的投资顾问提出这样的问题：如果再发生像“9?11事件”那样的大事，他们的投资组合将遭到何种影响？
在这种情况下，波动性预算的重要性再次显示出来，因为评估一个投资组合的下行风险，能够凸显其中的波动性来源。
但他警告称：“ 波动性这笔预算你不应节省，因为在这方面省钱意味着你没有在投资组合上尽力，同时也是在‘做空’自己。”
