读《经济学人》股市专栏有感（2）

在读股市专栏有感（1）里提到，《经济学人》杂志股市专栏写手离任，临别写了一通感慨。

新写手上任，第一篇专栏文令人期待。文章已于上周刊登出来了。总得来说，内容和行文都不错，可读性强。大众媒体嘛，可读性最重要。读者不要指望从股市专栏里得到什么炒股葵花宝典或理财秘诀。一些基本的投资原则，倒是值得好好学习和领会。

投资的目的是提高收益率（Return），并同时降低波动性即风险 (Risk）。收益和风险是一枚硬币的两个方面，缺一不可，投资者决不能只看一面。在现代金融学里，投资者是所谓的 Mean-variance maximizers。Mean 是预期或平均收益率; Variance 是统计学里的方差，其平方根为Standard deviation （标准差），这两者都代表收益率的波动性。

正如专栏作者提到的那样，投资者希望既能做白日梦（提高收益率），又能睡安稳觉（降低风险）。要做白日梦，就必须持有股票，因为股市的收益率比其他任何主要投资品类都高。过去一百年多年的历史数据显示，美国股市的平均年收益率高达12% 左右，而长期政府债券 的收益率只有一半。按股市的这一平均收益率，投资每七年就能翻倍。当然，股市的风险比政府债券大许多，这也是股市收益率高的主要原因。

投资者在做大头梦的同时，如果还想睡个安稳觉，那就必须持有一些能抵补股市损失的资产。也就是说，当股市下跌时，持有的其它资产的价格会上升，盈利和损失互相抵消（至少抵消一部分），从而降低整个证券组合的波动性。这是现代证券投资组合理论 (Portfolio theory) 的基础和核心。

这里说的股市，是指股市整体（可由某股票指数基金代表），而不是个股。证券投资理论最忌讳的是挑选个股投资。如果只持有少数个股，就不能充分分散风险。

哪些资产能抵补股市上的损失呢？传统上，股票与债券的价格呈负相关。所以，持有一定比例的债券能够降低整个证券组合的风险。

负相关固然好（最理想的状况是两者呈完全负相关，即互相关系数为 -1），但实际上，只要两种资产不是完全正相关（互相关系数为 +1），那么同时持有这两种资产就能改善证券组合投资的风险/收益。

至于股票和债券之间如何配置，这要取决于投资者对风险的厌恶程度（risk aversion），投资期限（长期还是短期），以及对当前股市与债券市场形势的判断。如果是长期投资，投资者愿意冒一定的风险，或股市相对比较平稳，那就应该多放些钱在股市，少放些钱在债券。

如何在白日梦和安稳觉之间取得平衡，这是所有投资者必须回答的问题。但大部分投资者对投资缺乏了解，有些甚至连股票和债券都分不清，更不可能正确地判断股市走向。于是，投资界就推出了一个简单的资产配置模式，即 “60%股票 + 40%债券”组合。普通投资百姓可照此办理投资事宜，尤其是退休账户。需要指出的是，这一组合没有任何理论根据，也不是什么最佳组合。实际上，根本就不存在适合所有投资者的最佳组合。不过，60/40 可以让很多投资者既能做白日梦，又能睡安稳觉，实际效果确实不错。

但正如专栏文章指出的那样，当前投资者面临的问题是，由于近期通胀势头凶猛，这两种主要资产（即股票和政府债券）呈现出正相关的趋势。如果它们的相关系数从-0.50 变成 +0.50，同样的60%股票/40%债券配置，通过简单的计算可以得知，证券组合的风险会提高20%。这当然对投资不利。

这种正相关会一直持续下去呢，还是回归历史上的负相关，各家说法不一。如果是前者，投资者面临的问题是寻找其他能抵补股市损失的资产品类（asset class）。不过，这样的资产品类很难找。黄金、石油、房地产、私募股权、加密货币等等，都有可能，但都不可靠，也不适合普通投资者。

我个人认为，如果投资者一直是按60/40 或其他组合配置投资，对结果也比较满意，就没有必要做大的调整。

这第一篇专栏文章不长，全搬过来，供网友们参考。

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.