投资者如何错误认识风险

经济学人：

Hire a wealth manager, and one of their first tasks will be to work out your attitude to risk. If you are not sure exactly what this means, the questions are unlikely to help. They range from the inane (“How do you think a friend who knows you well would describe your attitude to taking financial risks?”) to the baffling (“Many television programmes now have a welter of fast whizzing images. Do you find these a) interesting; b) irritating; or c) amusing but they distract from the message of the programme?”). This is not necessarily a sign that your new adviser is destined to annoy you. Instead, it hints at something fundamental. Risk sits at the heart of financial markets. But trying to pin down precisely what it is, let alone how much of it you want and which investment choices should follow, can be maddening.

聘请财富经理，他们的首要任务之一就是了解您对风险的态度。如果您不确定这到底意味着什么，那么这些问题不太可能有帮助。它们的范围从空洞的（“你认为一个很了解你的朋友会如何描述你对承担金融风险的态度？”）到令人困惑的（“现在许多电视节目都有一堆快速的快速图像。你觉得这些是） 有趣的; b) 刺激性的；或者 c) 有趣，但它们分散了节目信息的注意力？”）。这并不一定表明你的新顾问注定会惹恼你。相反，它暗示了一些基本的东西。风险是金融市场的核心。但试图准确地确定它是什么，更不用说你想要多少，以及应该遵循哪些投资选择，可能会让人抓狂。

To get around this, most investors instead think about volatility, which has the advantage of being much easier to define and measure. Volatility describes the spread of outcomes in a bell-curve-like probability distribution. Outcomes close to the centre are always the most likely; volatility determines how wide a range counts as “close”. High volatility also raises the chances of getting an extreme result: in investment terms, an enormous gain or a crushing loss. You can gauge a stock’s volatility by looking at how wildly it has moved in the past or, alternatively, how expensive it is to insure it against big jumps in the future.

为了解决这个问题，大多数投资者转而考虑波动性，它的优点是更容易定义和衡量。波动性描述了钟形曲线概率分布中结果的分布。靠近中心的结果总是最有可能的；波动性决定了 “接近” 范围的范围。高波动性还增加了获得极端结果的机会：就投资而言，要么获得巨大收益，要么遭受惨重损失。你可以通过观察股票过去的波动幅度来衡量股票的波动性，或者通过观察股票未来大幅上涨的成本来衡量。

All this feels pretty risk-like, even if a nagging doubt remains that real-life worries lack the symmetry of a bell curve: cross the road carelessly and you risk getting run over; there is no equally probable and correspondingly wonderful upside. But set such qualms aside, pretend volatility is risk and you can construct an entire theory of investment allowing everyone to build portfolios that maximise their returns according to their neuroticism. In 1952 Harry Markowitz did just this, and later won a Nobel prize for it. His Modern Portfolio Theory (MPT) is almost certainly the framework your new wealth manager is using to translate your attitude to risk into a set of investments. The trouble is that it is broken. For it turns out that a crucial tenet of MPT—that taking more risk rewards you with a higher expected return—is not true at all.

所有这一切都感觉非常危险，即使仍然存在一个挥之不去的疑问，即现实生活中的担忧缺乏钟形曲线的对称性：不小心过马路，你就有被碾过的风险；不存在同样可能且相应美妙的上升空间。但抛开这些疑虑，假装波动性就是风险，你可以构建一个完整的投资理论，让每个人都可以根据自己的神经质来构建投资组合，从而最大化回报。 1952 年，哈里 · 马科维茨就做到了这一点，后来因此获得了诺贝尔奖。他的现代投资组合理论（mpt）几乎肯定是您的新财富经理用来将您对风险的态度转化为一系列投资的框架。问题是它坏了。因为事实证明，MPT 的一个重要原则——承担更多风险会带来更高的预期回报——根本不正确。

Elroy Dimson, Paul Marsh and Mike Staunton, a trio of academics, demonstrate this in UBS’s Global Investment Returns Yearbook, an update to which has just been released. They examine the prices of American shares since 1963 and British ones since 1984, ordering them by volatility and then calculating how those in each part of the distribution actually performed. For medium and low volatilities, the results are disappointing for adherents of MPT: returns are clustered, with volatility having barely any discernible effect. Among the riskiest stocks, things are even worse. Far from offering outsized returns, they dramatically underperformed the rest.

三位学者埃尔罗伊 · 迪姆森 (Elroy Dimson)、保罗 · 马什 (Paul Marsh) 和迈克 · 斯汤顿 (Mike Staunton) 在刚刚发布的更新版瑞银全球投资回报年鉴中展示了这一点。他们研究了 1963 年以来的美国股票价格和 1984 年以来的英国股票价格，按波动性对它们进行排序，然后计算分布中每一部分的实际表现。对于中低波动率，MPT 拥护者的结果令人失望：回报集中，波动率几乎没有任何明显的影响。在风险最高的股票中，情况更糟。他们非但没有提供巨额回报，反而表现远远落后于其他公司。

The Yearbook’s authors are too thorough to present such results without caveats. For both countries, the riskiest stocks tended to also be those of corporate minnows, accounting for just 7% of total market value on average. Conversely, the least risky companies were disproportionately likely to be giants, accounting for 41% and 58% of market value in America and Britain respectively. This scuppers the chances of pairing a big long position in low-volatility stocks with a matching short position in high-volatility ones, which would be the obvious trading strategy for profiting from the anomaly and arbitraging it away. In any case, short positions are inherently riskier than long ones, so shorting the market’s jumpiest stocks would be a tough sell to clients.

《年鉴》的作者过于详尽，无法在没有附加说明的情况下呈现这样的结果。对于这两个国家来说，风险最高的股票往往也是小型企业股票，平均仅占总市值的 7%。相反，风险最小的公司很可能成为巨头，分别占美国和英国市场价值的 41% 和 58%。这就破坏了将低波动性股票的大量多头头寸与高波动性股票的空头头寸配对的机会，而这将是从异常现象中获利并套利的明显交易策略。无论如何，空头头寸本质上比多头头寸风险更大，因此做空市场上波动最大的股票对客户来说将是一个艰难的选择。

Yet it is now clear that no rational investor ought to be buying such stocks, given they can expect to be punished, not rewarded, for taking more risk. Nor is the fact that they were risky only obvious in hindsight: it is unlikely that the illiquid shares of small firms vulnerable to competition and economic headwinds ever looked a great deal safer. Meanwhile, lower down the risk spectrum, the surprise is that more people do not realise that the least volatile stocks yield similar returns for less risk, and seek them out.

但现在很明显，理性的投资者不应该购买此类股票，因为他们可能会因为承担更多风险而受到惩罚，而不是奖励。它们的风险也不仅仅在事后才显而易见：易受竞争和经济逆风影响的小公司的非流动性股票看起来不太可能更安全。与此同时，在风险范围较低的情况下，令人惊讶的是，更多的人没有意识到波动性最小的股票在风险较小的情况下会产生类似的回报，并没有意识到这些股票的存在。

Readers may not be flabbergasted by the conclusion—that investors are not entirely rational after all. They might still wish to take another look at the racier bits of their portfolios. Perhaps those are the positions that will lead to a gilded retirement. History, though, suggests that they might be speculation for speculation’s sake. Call it return-free risk.■

读者可能不会对这个结论感到惊讶——投资者毕竟并不完全理性。他们可能仍然希望重新审视自己投资组合中更激烈的部分。也许这些职位将带来镀金的退休生活。然而历史表明，它们可能只是为了猜测而猜测。称之为无回报风险。■