陪伴认真的你在交易之路上一同成长
文 | Dorian君 灰岩金融科技 对冲研投专栏作者
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Risk parity is a type of asset allocation strategy that has become increasingly popular in the aftermath of the global financial crisis.
风险平价是一种资产配置策略，在全球金融危机之后变得越来越流行。
Risk parity is an advanced portfolio technique often used by hedge funds. It typically requires quantitative methodology which makes its allocations more advanced than simplified allocation strategies. Simplified allocation strategies such as 60/40 are based on MPT and hold a percentage of asset classes, such as 60% stocks and 40% bonds, for standard diversification and exposure within one's investment portfolio. This allocation seeks to generally target a hypothetical risk level graphed at the intersection of the efficient frontier and capital market line. In simplified allocation strategies using just stocks and bonds, allocations are usually more heavily weighted towards equities for investors willing to take on more risk. Risk averse investors will typically have a higher weight in bonds for capital preservation.
风险平价是对冲基金经常使用的一种先进的投资组合技术。 它通常需要定量方法，使其分配比简化分配策略更先进。 简化的分配策略（如60/40）基于MPT并持有一定比例的资产类别，例如60％股票和40％债券，用于标准多元化和一个投资组合内的风险敞口。 该分配旨在通常针对在有效边界和资本市场线的交叉点绘制的假设风险水平。 在仅使用股票和债券的简化分配策略中，对于愿意承担更多风险的投资者而言，分配通常更重视股票。 规避风险的投资者通常会拥有较高的债券权重以进行资本保值。
With a risk parity strategy an investment portfolio can include stocks and bonds. However, instead of using a predetermined proportion of asset diversification such as 60/40, investment class proportions are determined by a targeted risk and return level. Risk parity strategies have generally evolved and developed from MPT investing. They allow investors to target specific levels of risk and to divide risk across the entire investment portfolio in order to achieve optimized portfolio diversification.
通过风险平价策略，投资组合可以包括股票和债券。 然而，投资类别比例不是使用预定比例的资产多样化，例如60/40，而是由目标风险和收益水平决定。 风险平价策略通常是从MPT投资发展而来的。 它们允许投资者针对特定风险水平并在整个投资组合中划分风险，以实现优化的投资组合多样化。
Risk parity strategies allow for alternative diversification in portfolios and funds. In risk parity strategies portfolio managers can use any mix of assets they choose. Risk parity strategies are comparable to the optimal point on the efficient frontier, determined by the intersection at which the capital market line and efficient frontier meet. However, instead of generating allocations to different asset classes to arrive at an optimal risk target, risk parity strategies use the optimal risk target level as their basis for investing. This is often achieved by using leverage to weight risk equally among different asset classes using the optimal risk target level.
风险平价策略允许投资组合和基金的替代多样化。 在风险平价策略中，投资组合经理可以使用他们选择的任何资产组合 风险平价策略与有效前沿的最优点相当，由资本市场线和有效边界相交的交叉点决定。 但是，风险平价策略不是为不同的资产类别生成分配以达到最佳风险目标，而是使用最优风险目标水平作为投资的基础。 这通常通过使用杠杆来使用最佳风险目标水平在不同资产类别之间平均加权风险来实现。
With risk parity strategies, portfolio managers can derive exact capital contribution proportions of asset classes in a portfolio to achieve optimized diversification for a range of objectives and investor preferences. The goal of risk parity investing is to earn the optimal level of return at the targeted risk level.
通过风险平价策略，投资组合经理可以在投资组合中获得资产类别的准确资本贡献比例，以实现针对一系列目标和投资者偏好的优化多样化。 风险平价投资的目标是在目标风险水平上获得最佳回报水平。
Because the strategy evens out risk contributions from all major asset classes, it typically allocates more to fixed income than a traditional 60-40 portfolio ( i.e., 60% allocation to equity and 40% to fixed income). A 2015 Financial Times article provided an interesting if somewhat casual summary of the strategy’s history and the challenges it may face in a rising interest rate environment. It also quoted an industry estimate that put the asset under management (AUM) for risk parity strategies at US$400 billion.
由于该策略平衡了所有主要资产类别的风险贡献，因此通常将其分配给固定收益而不是传统的60-40投资组合（即60％的股权分配和40％的固定收益）。 2015年“金融时报”的一篇文章提供了一个有趣的，有点随意的战略历史概述以及它在不断上升的利率环境中可能面临的挑战。 它还引用了一项行业估计，将风险平价策略的管理资产（AUM）定为4,000亿美元。
So what is risk parity?
那么什么是风险平价？The rationale behind risk parity is intuitive and noble — at least to the believers.
风险平价背后的基本原理是直观和高尚的 - 至少对信徒而言。
Let’s start with why it is intuitive. A note from Bridgewater Associates, an investment firm that oversees US$150 billion in client assets, vividly described how its founder, Ray Dalio, “laid the foundation” of risk parity while developing the All Weather investment strategy. The idea for All Weather is simple: Different economic scenarios pose risks to different asset classes throughout the business cycle. Dalio and his team identified four major risk scenarios and made sure that at least a part of the portfolio could weather each risk. So this is where the All Weather is similar to risk parity: Instead of targeting optimal risk and return in the traditional portfolio optimization setting, both strategies strive to achieve balanced risk contributions from all asset classes.
让我们从为什么它是直观的开始。 从桥水Bridgewater Associates一家管理1500亿美元客户资产的投资公司的一份报告，生动地描述了其创始人Ray Dalio在制定全天候投资策略时如何“奠定风险平衡的基础”。 全天候的想法很简单：不同的经济方案在整个商业周期中对不同的资产类别构成风险。 Dalio和他的团队确定了四个主要的风险情景，并确保至少有一部分投资组合能够承受每个风险。 因此，这就是全天候与风险平价相似的地方：两种策略都不是在传统的投资组合优化设置中瞄准最优风险和回报，而是努力实现所有资产类别的均衡风险贡献。
The strategy is a noble one, its proponents maintain, because it is the ultimate diversification program. The traditional “efficient” portfolios tend to generate more risk from equities. Enthusiasts argue that only risk parity portfolios are truly diversified because they are equally sensitive to fluctuations in any risky asset. In comparison, the traditional portfolio is often more exposed to the risk of the economy missing market expectations for growth. This seems to make perfect sense, but a word of caution may be in order: While it may sound intuitive, this inference is not really backed by any particular research.
该战略是一个高效的战略，其支持者坚持，因为它是最终的多元化计划。 传统的“高效”投资组合倾向于从股票中产生更多风险。 爱好者认为，只有风险平价投资组合真正多元化，因为它们对任何风险资产的波动同样敏感。 相比之下，传统投资组合往往更容易受到经济缺乏市场增长预期的风险。 这似乎是完全合理的，但可能需要谨慎：尽管听起来很直观，但这种推断并不是真正得到任何特定研究的支持。
Is leverage essential to risk parity?
杠杆对风险平价至关重要吗？
The “fancy” research on risk parity comes from Cliff Asness and his associates. They argue that an essential element of risk parity strategies is leverage. Here are Asness’s notes and the more involved version published in Financial Analysts Journal.
关于风险平价的“奇特”研究来自Cliff Asness及其同事。 他们认为风险平价策略的一个基本要素是杠杆作用。 以下是Asness的笔记以及在Financial Analysts Journal上发布的更为复杂的版本。
Investors who do not fully understand risk parity strategies often are concerned that the strategy’s higher exposures to fixed income will cause it to underperform traditional portfolios with more equity exposures over the long run. This is only true in situations where investors cannot use leverage. Where they can, and CAPM allows for that, the levered-up risk parity portfolio should earn higher returns than traditional portfolios at similar risk level, or lower risk at similar return levels.
不完全了解风险平价策略的投资者通常担心，该策略对固定收益的较高敞口将导致其表现落后于长期更多股权风险的传统投资组合。 这只适用于投资者不能使用杠杆的情况。 在可能的情况下，CAPM允许这样做，杠杆化风险平价投资组合应该比类似风险水平的传统投资组合获得更高的回报，或者在类似回报水平下获得更低的风险。
In their FAJ paper, Asness and his co-authors tested and confirmed a hypothesis that was first proposed by Fischer Black in 1972 as to why risk parity strategies work. In short, Black predicted that lower risk assets will outperform in terms of risk-adjusted return because investors do not want to lever up to invest in higher risk assets. That is, they suffer from leverage aversion. In this sense, leverage is a risk factor, just like the famous size or value factors, and earns a premium. The point Asness tried to make in the paper was that leverage is a risk worth taking as long as one does not go to the extreme.
在他们的FAJ论文中，Asness和他的合着者测试并证实了Fischer Black在1972年首次提出的关于风险平价策略为何起作用的假设。 简而言之，布莱克预测风险较低的资产将在风险调整后的回报方面表现优异，因为投资者不愿意投资于高风险资产。 也就是说，他们遭受杠杆厌恶。 从这个意义上说，杠杆是一个风险因素，就像着名的规模或价值因素一样，并且获得溢价。 Asness试图在论文中提出的一点是，只要一个人没有走向极端，杠杆就是一个值得冒险的风险。
How have risk parity strategies performed?
如何进行风险平价策略？
This question is a bit tricky because there are many varieties of risk parity strategies. In general, they worked better in the 1980s than in the 1990s. A Callan Associates’ white paper on the subject, although a bit dated, compared a generic risk parity strategy with the traditional alternatives and arrived at similar conclusions.
这个问题有点棘手，因为有很多种风险平价策略。 总的来说，他们在20世纪80年代比20世纪90年代工作得更好。 Callan Associates关于这一主题的白皮书虽然有点过时，但它将通用风险平价策略与传统的替代方案进行了比较，并得出了类似的结论。
A good summary on the subject written in a style targeting industry practitioners, the Callan paper also made some interesting arguments on why leverage aversion is not so easy to deal with. The main thrust was that, in reality, it is not easy to determine the optimum level of leverage. Among other concerns, the paper also mentioned the need to update the monitoring, reporting, and risk management tools at the financial institutions employing these strategies with leverage. Building on that last point, I would add personnel training to the list of concerns as well.
Callan论文以针对行业从业者的风格撰写的主题的一个很好的总结，也提出了一些有趣的论据，为什么杠杆厌恶不是那么容易处理。 主要的推动力是，实际上，确定最佳杠杆水平并不容易。 除了其他问题之外，该文件还提到需要更新采用这些策略的金融机构的监控，报告和风险管理工具。 在最后一点的基础上，我还将人员培训添加到关注列表中。
In summary, risk parity is an asset allocation strategy in which each asset class contributes more or less equally to portfolio risk. Leverage is an essential element of the strategy, although for a variety of reasons many investors are not able to use leverage. Risk parity does not guarantee outperformance vs. more traditional “efficient” portfolios, though it can deliver better risk-adjusted return over the very long run.
总之，风险平价是一种资产配置策略，其中每个资产类别或多或少地对投资组合风险做出贡献。 杠杆是该战略的一个基本要素，尽管由于各种原因，许多投资者无法使用杠杆。 风险平价并不能保证优于传统的“高效”投资组合，尽管它可以在长期内提供更好的风险调整回报。
Below are some of the key readings highlighted above:
A quick read on the subject for busy professionals: “Investing: Whatever the Weather?” (Financial Times)
The famed story of how Ray Dalio developed the All Weather strategy, which is similar to risk parity in spirit; an interesting read for history buffs and Dalio fans: “The All Weather Story” (Bridgewater)
Cliff Asness’s notes on why leverage is an essential element for risk parity strategies; accessible and yet rigorous: “Risk Parity: Why We Lever” (AQR Capital Management)
For the more quantitatively oriented: “Leverage Aversion and Risk Parity” (Financial Analysts Journal)
A good summary for investment professionals working in asset allocation but not intimately familiar with risk parity strategies: “The Risk Parity Approach to Asset Allocation” (Callan Associates, registration required)
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