Strategic Risk Management: Designing Portfolios and Managing Risk
暫譯: 策略風險管理:投資組合設計與風險管理

Harvey, Campbell R., Rattray, Sandy, Van Hemert, Otto

  • 出版商: Wiley
  • 出版日期: 2021-05-04
  • 定價: $1,220
  • 售價: 9.5$1,159
  • 語言: 英文
  • 頁數: 256
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 1119773911
  • ISBN-13: 9781119773917
  • 相關分類: Apple Developer
  • 立即出貨 (庫存 < 3)

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商品描述

A fresh approach to managing risk in the most challenging market conditions

Strategic Risk Management presents an innovative approach to portfolio design. Often the risk management function is a series of tripwires that are activated after the portfolio is already in trouble. Strategic Risk Management presents a framework that seeks to integrate the initial portfolio design and the risk management function. Much of the book's research was conducted pre-COVID-19; the market selloff in March 2020 offers a unique out of sample experiment that provides evidence supportive of the approach.

A crucial ingredient in this integrative design is to understand the performance of various investment strategies in stressful market conditions. The book begins by measuring the performance of various assets and strategies that purport to provide hedging abilities: such as put options and long gold positions. While put options are an extremely reliable, few would want to give up 700 basis points a year to buy this type of insurance. And even if gold does not have the type of drag that long options strategies do, gold turns out to be an unreliable hedge.

We focus on two investments that historically offer impressive protection in adverse events: trend following strategies and quality-based equity strategies. We show that performance of trend following strategies is naturally linked to the payoff of a long call and long put position. This property is particularly useful in mitigating portfolio drawdowns.

The book also considers operational strategies such as portfolio rebalancing. Most investors routinely rebalance their portfolios, for example, to a 60/40 equity/bond mix. However, few investors realize that a mechanical rebalancing strategy increases drawdowns and portfolio risk. The reason is simple. In extended equity sell offs, the rebalancing strategy is to buy, which increases drawdowns. Strategic Risk Management offers an intuitive solution. If the trend following signal suggests that the drawdown will continue, delay the rebalancing. We call this strategic rebalancing.

The book contains various other insights, including analyzing the impact of a portfolio strategy that targets a certain risk level. This technique reduces allocations to the riskiest assets when volatility spikes. Given that surges in volatility are usually associated with plunging markets, this strategy also reduces drawdowns.

The reader of this book will:

  • Learn how to incorporate risk management into the core portfolio design, rather than treating it as an afterthought;
  • Gain a deeper understanding of concepts such as portfolio rebalancing;
  • Acquire tools to achieve a more balanced return stream through volatility targeting of higher-risk asset classes;
  • Obtain an overview of various defensive strategies, and learn which strategies offer the most reliable and affordable protection;
  • Be equipped with a set of rules that allows for the early detection of strategies or managers that have faded.
Strategic Risk Management is a thought-provoking resource for developing your portfolio design and risk management skills.

商品描述(中文翻譯)

一種在最具挑戰性的市場條件下管理風險的新方法

《策略風險管理》提出了一種創新的投資組合設計方法。風險管理功能通常是一系列在投資組合已經出現問題後啟動的警報。《策略風險管理》提供了一個框架,旨在整合初始的投資組合設計和風險管理功能。本書的大部分研究是在 COVID-19 之前進行的;2020 年 3 月的市場拋售提供了一個獨特的樣本外實驗,支持這一方法的證據。

這種整合設計的一個關鍵要素是了解各種投資策略在壓力市場條件下的表現。本書首先測量了各種資產和策略的表現,這些策略聲稱具有對沖能力,例如賣權和長期黃金頭寸。雖然賣權是一種極其可靠的保險,但很少有人願意每年放棄 700 個基點來購買這種保險。即使黃金不會像長期選擇權策略那樣造成拖累,黃金實際上也被證明是一種不可靠的對沖工具。

我們專注於兩種歷史上在不利事件中提供令人印象深刻保護的投資:趨勢跟隨策略和基於質量的股票策略。我們顯示,趨勢跟隨策略的表現自然與長期買權和賣權頭寸的回報相關聯。這一特性在減輕投資組合的回撤方面特別有用。

本書還考慮了操作策略,例如投資組合再平衡。大多數投資者定期對其投資組合進行再平衡,例如,將其調整為 60/40 的股票/債券組合。然而,很少有投資者意識到,機械再平衡策略會增加回撤和投資組合風險。原因很簡單。在持續的股票拋售中,再平衡策略是買入,這會增加回撤。《策略風險管理》提供了一個直觀的解決方案。如果趨勢跟隨信號表明回撤將持續,則延遲再平衡。我們稱之為策略性再平衡。

本書還包含其他各種見解,包括分析針對特定風險水平的投資組合策略的影響。這種技術在波動性激增時減少對風險資產的配置。考慮到波動性激增通常與市場暴跌相關,這一策略也減少了回撤。

本書的讀者將:

- 學習如何將風險管理納入核心投資組合設計,而不是將其視為事後考慮;
- 更深入地理解如投資組合再平衡等概念;
- 獲得工具,以通過針對高風險資產類別的波動性目標來實現更平衡的回報流;
- 獲得各種防禦策略的概述,並了解哪些策略提供最可靠和最具成本效益的保護;
- 獲得一套規則,以便及早發現已經衰退的策略或經理。

《策略風險管理》是一本引人深思的資源,幫助您發展投資組合設計和風險管理技能。