衡量和管理投資風(fēng)險(xiǎn)-資料下載頁(yè)
2025-04-09 07:23本頁(yè)面
【正文】 ehicle like an index fund or an exchange trade fund ETF) you might pay 1520 basis points in annual management fees, while for a highoctane hedge fund you would need to shell out 200 basis points in annual fees plus give 20% of the profits back to the manager. In between these two extremes lie alternative approaches bining active and passive risk management.之間存在的消極和積極的風(fēng)險(xiǎn)所作決定的經(jīng)濟(jì)后果。在一般情況下，更積極的投資策略（越阿爾法基金經(jīng)理的目的，是生成），更是一種投資者需要支付暴露于這一戰(zhàn)略。它有助于在頻譜方面想從一個(gè)純粹被動(dòng)的做法。例如，購(gòu)買(mǎi)并持有的投資轉(zhuǎn)化為標(biāo)準(zhǔn)普爾500代理 如采用復(fù)雜的對(duì)沖交易策略涉及高資本承擔(dān)及交易費(fèi)用基金一直到一個(gè)非常積極的態(tài)度。對(duì)于一個(gè)像指數(shù)基金或交易所交易基金ETF的），你可能會(huì)在每年的管理費(fèi)支付1520個(gè)基點(diǎn)純粹被動(dòng)的車(chē)輛，同時(shí)又為高辛烷值的對(duì)沖基金則需要掏出在加上每年收費(fèi)200個(gè)基點(diǎn)給20的利潤(rùn)返回到經(jīng)理％。這兩個(gè)極端之間的各種途徑在撒謊主動(dòng)和被動(dòng)相結(jié)合的風(fēng)險(xiǎn)管理。The difference in pricing between passive and active strategies (or beta risk and alpha riskrespectively) encourages many investors to try and separate these risks: . to pay lower fees for the beta risk assumed and concentrate their more expensive exposures to specifically defined alpha opportunities. This is popularly known as portable alpha, the idea that the alpha ponent of a total return is separate from the beta ponent.在被動(dòng)與主動(dòng)之間的戰(zhàn)略（或β和α風(fēng)險(xiǎn)的風(fēng)險(xiǎn)分別定價(jià)的差額）鼓勵(lì)許多投資者試圖分開(kāi)這些風(fēng)險(xiǎn)：即，支付的測(cè)試費(fèi)用和承擔(dān)的風(fēng)險(xiǎn)降低他們的更昂貴的集中暴露，明確界定阿爾法機(jī)會(huì)。這是普遍的便攜式阿爾法眾所周知，想法，一個(gè)總回報(bào)alpha組件是分開(kāi)的測(cè)試組件。For example a fund manager may claim to have an active sector rotation strategy for beating the Samp。P 500 and show as evidence a track record of beating the index by % on an average annualized basis. To the investor, that % of excess return is the manager39。s value the alpha and the investor is willing to pay higher fees to obtain it.The rest of the total return, what the Samp。P 500 itself earned, arguably has nothing to do with the manager39。s unique ability, so why pay the same fee? Portable alpha strategies use derivatives and other tools to refine the means by which they obtain and pay for the alpha and beta ponents of their exposure.例如，一個(gè)基金經(jīng)理聲稱(chēng)，％的平均按年率計(jì)算該指數(shù)的紀(jì)錄。對(duì)于投資者來(lái)說(shuō)，％的超額收益是基金經(jīng)理的價(jià)值 阿爾法 和投資者愿意付出較高費(fèi)用，以獲得它。在總回報(bào)，什么標(biāo)準(zhǔn)普爾500指數(shù)本身賺取的休息，可以說(shuō)沒(méi)有任何關(guān)系與經(jīng)理的獨(dú)特能力，為什么付出同樣的費(fèi)用？可攜阿爾法策略的使用衍生工具和其他工具，以改進(jìn)他們的手段獲取并支付其暴露alpha和測(cè)試組件。Conclusions 結(jié)論Risk is inseparable from return. Every investment involves some degree of risk, which can be very close to zero in the case of a . Treasury security or very high for something such as concentrated exposure to Sri Lankan equities or real estate in Argentina. Risk is quantifiable both in absolute and in relative terms. A solid understanding of risk in its different forms can help investors to better understand the opportunities, tradeoffs and costs involved with different investment approaches. 風(fēng)險(xiǎn)是分不開(kāi)的回報(bào)。每個(gè)投資涉及某種程度的風(fēng)險(xiǎn)，可以在一個(gè)安全的美國(guó)國(guó)債或非常高的東西的情況非常接近零，如集中暴露在斯里蘭卡股票或在阿根廷房地產(chǎn)。風(fēng)險(xiǎn)是可以量化無(wú)論在絕對(duì)值和相對(duì)而言。阿在其不同形式的風(fēng)險(xiǎn)有了正確的認(rèn)識(shí)可以幫助投資者更好地了解機(jī)會(huì)，貿(mào)易平衡和不同的投資方法涉及的費(fèi)用。9 / 9
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