FlyTitle: Risk parity

How a popular investment strategy unravelled

一个流行的投资策略如何崩塌了【新冠报道】

“THE PANDEMIC was a strange beast that I didn’t have an edge wrestling with,” says Ray Dalio, founder of Bridgewater Associates, the world’s largest hedge fund, explaining his losses in the first quarter. For years Bridgewater’s famed risk-parity strategy produced high returns for low risk, and was widely adopted by others. But things soured when covid-19 hit. Mr Dalio reported losses of 7-21% across his funds in the first quarter, his biggest since late 2008.

“大流行病是一头怪兽,我和它搏斗没有胜算。”桥水基金的创始人瑞·达利欧(Ray Dalio)这样解释今年第一季度的亏损。多年来,这家全球最大的对冲基金著名的风险平价策略以低风险赚得高回报,被其他人广泛采用。但当新冠肺炎爆发时,事情变了。达利欧公布其基金在第一季度亏损7%到21%不等,是自2008年底以来最大的跌幅。

Bridgewater created the first risk-parity portfolio in 1996, when it launched its All Weather fund. It was intended to be insulated from market-wide shocks. A typical way to do this is to balance holdings of relatively volatile stocks with government bonds—in times of market stress bonds usually rise in value, offsetting losses from stocks. But that means less exposure to equities, which tend to have higher returns. Bridgewater’s innovation was to keep a high allocation of stocks, but to borrow to buy safe long-dated bonds. If the long-dated interest rate is higher than the borrowing rate, as has generally been the case, this raises the total return on the portfolio, without adding extra risk.

桥水于1996年推出了全天候(All Weather)基金,创建了首个风险平价投资组合。其理念是避免受到整体市场的冲击。典型的操作方法是用政府债券来平衡波动性较大的股票,因为在市场承压时债券的价值通常会上涨,从而抵消股票的损失。但这意味着投资组合中的股票敞口较低,而股票往往会获得更高的回报。桥水的创新是保持高股票配比,但要借钱购买安全的长期债券。如果长期利率高于借款利率(通常都是如此),则可以提高投资组合的总收益而不会增加额外的风险。

The strategy’s success led others to follow. Assets allocated to the strategy probably exceeded $1trn in March, according to David Zervos of Jefferies, an investment bank. Risk parity’s outperformance during the global financial crisis was its making. The average annual return in the S&P risk-parity index in 2006-10 was 8%; by contrast, the S&P 500 equity index made nothing.

该策略的成功导致其他人纷纷效仿。投资银行杰富瑞(Jefferies)的戴维·泽沃斯(David Zervos)称,3月份按照这一策略配置的资产可能超过1万亿美元。风险平价在全球金融危机期间表现出众,成就了自身。在2006到2010年,标普风险平价指数的平均年回报率为8%,相比之下标普500指数一分钱都没挣到。

At first risk parity fared well during the corona-crisis. Between January 1st and March 13th the MSCI world share-price index fell by 20%. Safe assets were in high demand. In America the yield on the ten-year Treasury, which moves inversely to the price, dipped to a record low of 0.3% on March 9th. But then bond and share prices began to fall in tandem. Faced with an intense cash crunch, some investors sold their holdings of even liquid assets such as Treasuries. Risk-parity portfolios plunged in value.

新冠危机期间,风险平价一开始表现良好。1月1日至3月13日,MSCI全球股价指数下跌了20%。对安全资产的需求很大。在美国,十年期美国国债的收益率(与价格成反比)在3月9日降至0.3%的历史低点。但随后债券和股票价格开始交替下跌。面对严重的现金短缺,一些投资者甚至出售了他们持有的流动资产,如美国国债。风险平价投资组合的价值暴跌。

With yields on Treasuries still low, proponents of risk parity are on the lookout for other ways to hedge risk. Mr Dalio reckons that government borrowing undertaken to support the economy during the pandemic will stoke inflation, making bonds less attractive to hold. Mr Zervos argues that investment-grade corporate bonds, which offer a return that is around two percentage points higher than government bonds, could be a substitute. The search for a new way to outperform begins.

目前美国国债的收益率仍然很低,风险平价的支持者正在寻找其他对冲风险的方法。达利欧认为,在大流行病期间政府为支持经济而举债会引发通货膨胀,使持有债券的吸引力降低。泽沃斯认为,投资级公司债券的回报率比政府债券高约两个百分点,或可作为替代品。对新的优胜投资方式的探寻开始了。