Strategic Risk Management: Designing Portfolios and Managing Risk

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)

《戰略風險管理》提出了一種創新的投資組合設計方法,以應對最具挑戰性的市場條件下的風險管理。通常,風險管理功能是一系列在投資組合陷入困境後才啟動的防護措施。《戰略風險管理》提出了一個框架,旨在將初始投資組合設計與風險管理功能相結合。該書的大部分研究是在COVID-19疫情之前進行的;2020年3月的市場抛售提供了一個獨特的樣本實驗,證明了這種方法的有效性。

這種整合設計的關鍵要素是了解各種投資策略在壓力市場條件下的表現。該書首先衡量了各種資產和策略的表現,這些策略聲稱提供對沖能力,例如購買期權和長期黃金持倉。雖然購買期權非常可靠,但很少有人願意放棄每年700個基點的收益來購買這種保險。即使黃金沒有長期期權策略所帶來的拖累,但事實證明黃金並不是一種可靠的對沖工具。

我們專注於兩種在逆境事件中歷史上提供令人印象深刻保護的投資:趨勢跟踪策略和基於質量的股票策略。我們展示了趨勢跟踪策略的表現與長期買入期權和賣出期權的回報自然相關。這種特性在減輕投資組合回撤方面特別有用。

該書還考慮了投資組合再平衡等操作策略。大多數投資者經常調整其投資組合,例如將股票和債券的比例調整為60/40。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。在股市持續下跌時,再平衡策略是買入,這會增加回撤。《戰略風險管理》提供了一個直觀的解決方案。如果趨勢跟踪信號表明回撤將繼續,延遲再平衡。我們稱之為戰略再平衡。

該書還包含其他各種見解,包括分析以特定風險水平為目標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最高的資產的配置。考慮到波動性的激增通常與市場暴跌相關,這種策略也能減少回撤。

閱讀本書的讀者將能夠:
- 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的附加措施;
- 深入了解投資組合再平衡等概念;
- 通過對高風險資產類別的波動性定位,獲得更平衡的回報流;
- 獲得各種防禦策略的概述,並了解哪些策略提供最可靠和負擔得起的保護;
- 掌握一套規則,可以及早檢測到衰退的策略或經理人。

《戰略風險管理》是一本引人思考的資源,可幫助您發展投資組合設計和風險管理技能。