讀《經濟學人》股市專欄有感（2）

在讀股市專欄有感（1）裏提到，《經濟學人》雜誌股市專欄寫手離任，臨別寫了一通感慨。

新寫手上任，第一篇專欄文令人期待。文章已於上周刊登出來了。總得來說，內容和行文都不錯，可讀性強。大眾媒體嘛，可讀性最重要。讀者不要指望從股市專欄裏得到什麽炒股葵花寶典或理財秘訣。一些基本的投資原則，倒是值得好好學習和領會。

投資的目的是提高收益率（Return），並同時降低波動性即風險 (Risk）。收益和風險是一枚硬幣的兩個方麵，缺一不可，投資者決不能隻看一麵。在現代金融學裏，投資者是所謂的 Mean-variance maximizers。Mean 是預期或平均收益率; Variance 是統計學裏的方差，其平方根為Standard deviation （標準差），這兩者都代表收益率的波動性。

正如專欄作者提到的那樣，投資者希望既能做白日夢（提高收益率），又能睡安穩覺（降低風險）。要做白日夢，就必須持有股票，因為股市的收益率比其他任何主要投資品類都高。過去一百年多年的曆史數據顯示，美國股市的平均年收益率高達12% 左右，而長期政府債券 的收益率隻有一半。按股市的這一平均收益率，投資每七年就能翻倍。當然，股市的風險比政府債券大許多，這也是股市收益率高的主要原因。

投資者在做大頭夢的同時，如果還想睡個安穩覺，那就必須持有一些能抵補股市損失的資產。也就是說，當股市下跌時，持有的其它資產的價格會上升，盈利和損失互相抵消（至少抵消一部分），從而降低整個證券組合的波動性。這是現代證券投資組合理論 (Portfolio theory) 的基礎和核心。

這裏說的股市，是指股市整體（可由某股票指數基金代表），而不是個股。證券投資理論最忌諱的是挑選個股投資。如果隻持有少數個股，就不能充分分散風險。

哪些資產能抵補股市上的損失呢？傳統上，股票與債券的價格呈負相關。所以，持有一定比例的債券能夠降低整個證券組合的風險。

負相關固然好（最理想的狀況是兩者呈完全負相關，即互相關係數為 -1），但實際上，隻要兩種資產不是完全正相關（互相關係數為 +1），那麽同時持有這兩種資產就能改善證券組合投資的風險/收益。

至於股票和債券之間如何配置，這要取決於投資者對風險的厭惡程度（risk aversion），投資期限（長期還是短期），以及對當前股市與債券市場形勢的判斷。如果是長期投資，投資者願意冒一定的風險，或股市相對比較平穩，那就應該多放些錢在股市，少放些錢在債券。

如何在白日夢和安穩覺之間取得平衡，這是所有投資者必須回答的問題。但大部分投資者對投資缺乏了解，有些甚至連股票和債券都分不清，更不可能正確地判斷股市走向。於是，投資界就推出了一個簡單的資產配置模式，即 “60%股票 + 40%債券”組合。普通投資百姓可照此辦理投資事宜，尤其是退休賬戶。需要指出的是，這一組合沒有任何理論根據，也不是什麽最佳組合。實際上，根本就不存在適合所有投資者的最佳組合。不過，60/40 可以讓很多投資者既能做白日夢，又能睡安穩覺，實際效果確實不錯。

但正如專欄文章指出的那樣，當前投資者麵臨的問題是，由於近期通脹勢頭凶猛，這兩種主要資產（即股票和政府債券）呈現出正相關的趨勢。如果它們的相關係數從-0.50 變成 +0.50，同樣的60%股票/40%債券配置，通過簡單的計算可以得知，證券組合的風險會提高20%。這當然對投資不利。

這種正相關會一直持續下去呢，還是回歸曆史上的負相關，各家說法不一。如果是前者，投資者麵臨的問題是尋找其他能抵補股市損失的資產品類（asset class）。不過，這樣的資產品類很難找。黃金、石油、房地產、私募股權、加密貨幣等等，都有可能，但都不可靠，也不適合普通投資者。

我個人認為，如果投資者一直是按60/40 或其他組合配置投資，對結果也比較滿意，就沒有必要做大的調整。

這第一篇專欄文章不長，全搬過來，供網友們參考。

Finance & economics | Buttonwood
How should investors prepare for repeat inflation shocks?
Forget transitory v persistent. The new fear is that price pressures are “structural”

Aug 11th 2022

The Economist

Buy stocks so you can dream, buy bonds so you can sleep—or so the saying goes. A wise investor will aim to maximise their returns relative to risk, defined as volatility in the rate of return, and therefore hold some investments that will do well in good times and some in bad. Stocks surge when the economy soars; bonds climb during a crisis. A mix of the two—often 60% stocks and 40% bonds—should help investors earn a nice return, without too much risk.

Such a mix has been a sensible strategy for much of the past two decades. Since 2000 the average correlation between American stocks and Treasuries has been staunchly negative, at -0.5. But the recent rout in both stock and bond prices has wrong-footed investors. In the first half of the year the s&p 500 shed 20.6% and an aggregate measure of the price of Treasuries lost 8.6%. Is this an aberration or the new normal?

The answer depends on whether higher inflation is here to stay. When economic growth drives asset prices, stocks and bonds diverge. When inflation drives them, stocks and bonds often move in tandem. On August 10th American inflation data showed prices did not rise in July. Stocks soared—the s&p 500 rose by 2.1%—and short-term Treasury prices climbed, too.

For as long as central bankers kept a lid on inflation, investors were protected. Yet look back before 2000, to a period when inflation was more common, and you see that stocks and bonds frequently moved in the same direction. aqr Capital Management, an investment firm, notes that in the 20th century the correlation between stocks and bonds was more often positive than negative.

Lots of hedge-fund types, pension-fund managers and private-equity barons are therefore worrying about the potential for repeat inflation shocks. Last year the debate in the halls of finance was about whether inflation would be “transitory” or “persistent”; this year it is about whether it is “cyclical” or “structural”.

At the heart of this is not whether central bankers can bring down prices, but whether the underlying inflation dynamic has changed. Those in the “structural” camp argue that the recent period of low inflation was an accident of history—helped by relatively calm energy markets, globalisation and Chinese demographics, which pushed down goods prices by lowering the cost of labour.

These tailwinds have turned. Covid-19 messed up supply chains; war and sabre-rattling are undermining globalisation. Manoj Pradhan, formerly of Morgan Stanley, points out that China’s working-age population has peaked. Jeremy Grantham, a bearish hedge-fund investor, fears that the switch to renewables will be slow and costly, and that lower investment in fossil-fuel production will make it hard for energy firms to ramp up supply, increasing the risk of energy-price spikes. All this, the structuralists argue, means the current inflation shock is likely to be the first of many: central bankers will be playing whack-a-mole for a while yet.

Recurrent inflation would upend 20 years of portfolio-management strategy. If the correlation between stocks and bonds shifts from -0.5 to +0.5 the volatility of a “60/40” portfolio increases by around 20%. In a bid to avoid being wrong-footed once again, investors are updating their plans. As Barry Gill of ubs’s asset-management arm puts it, the task is “to realign your portfolio around this new reality”.

What assets will allow investors to sleep soundly in this new reality? Cryptocurrencies once looked like an interesting hedge, but this year they have fallen and risen in lockstep with stocks. A recent paper by kkr, a private asset-management firm, argues, perhaps unsurprisingly, that illiquid alternatives, like private equity and credit, are a good way to diversify. But that may be an illusion: illiquid assets are rarely marked-to-market, and are exposed to the same underlying economic forces as stocks and bonds.

There are other options. aqr suggests stock-picking strategies where success has little to do with broader economic conditions, such as “long-short” equity investing (going long on one firm and short on another). Meanwhile, commodities are the natural choice for those worried about a disorderly green transition, since a basket of them appears to be uncorrelated with stocks and bonds over long periods. In the search for new ways to minimise risk, investors dreaming of high returns will have to get creative. That, at least, should tire them out by the end of the day.