一个世纪的资产配置碰撞风险

IF 1.5 Q3 BUSINESS, FINANCE Journal of Asset Management Pub Date : 2024-04-02 DOI:10.1057/s41260-024-00355-2
Mikhail Samonov, Nonna Sorokina
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引用次数: 0

摘要

我们扩展了几种流行的资产配置方法--美国和全球 60/40、多元化多资产、风险平价、捐赠、基于因子和动态资产配置--的替代方法,使用各种子资产类别和因子的长期回报数据来测试它们的长期表现。我们使用股票和债务资产、商品、替代品和指数来重建从 1926 年至今的配置组合回报,这是有全面资产定价数据可用的整个时期。我们开发了一个实验室,用于测试流行的资产配置策略在各种情况下的表现,为现有文献做出了贡献。我们还旨在测试投资决策行为对投资组合结果的重要性。在我们的框架中,基于因子的投资组合表现出最佳的传统测算的长期风险调整回报。然而,动态资产配置最有可能降低投资者放弃策略的风险,当投资者遭遇的损失超过其承受阈值时,他们会恐慌性地卖出投资组合,因为动态策略表现出较低的预期缩水率,即使在市场严重下滑时也是如此。在所有策略中,风险承受能力强的投资者依靠较长的历史来设定预期,无论是基于实际数据还是推断数据,其结果都要好得多,尤其是当他们的投资范围包括危机时期时。这项研究为投资组合经理、投资分析师和顾问以及投资者本身提供了信息、持续性和各种投资组合分配方法的特性对投资回报的影响方面的信息。
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A century of asset allocation crash risk

We extend proxies of several popular asset allocation approaches—U.S. and Global 60/40, Diversified Multi-Asset, Risk Parity, Endowment, Factor-Based, and Dynamic asset allocation—using long-run return data for a variety of sub-asset classes and factors to test their long-term performance. We use equity and debt assets, commodities, alternatives, and indices to reconstruct the returns on allocation portfolios from 1926 to the present, the entire period for which comprehensive asset pricing data are available. We contribute to the existing literature by developing a laboratory for testing the performance of popular asset allocation strategies in a wide range of scenarios. We also aim to test the importance of the behavioral aspect of investment decisions for portfolio outcomes. In our framework, Factor-Based portfolios exhibit the best traditionally measured risk-adjusted returns over the long run. However, Dynamic asset allocation is most likely to reduce the risk of abandonment of the strategy by an investor and selling the portfolio in panic when they experience losses over their tolerance threshold, because the dynamic strategy exhibits lower expected drawdowns, even during severe market downturns. Across all strategies, risk-tolerant investors who rely on a longer history to set their expectations, whether based upon actual or extrapolated data, experience significantly better outcomes, particularly if their investment horizon includes times of crisis. This study informs portfolio managers, investment analysts, and advisors, as well as investors themselves, of the impact of information, persistence, and properties of various portfolio allocation methods on investment returns.

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来源期刊
Journal of Asset Management
Journal of Asset Management BUSINESS, FINANCE-
CiteScore
4.10
自引率
0.00%
发文量
44
期刊介绍: The Journal of Asset Management covers:new investment strategies, methodologies and techniquesnew products and trading developmentsimportant regulatory and legal developmentsemerging trends in asset managementUnder the guidance of its expert Editors and an eminent international Editorial Board, Journal of Asset Management has developed to provide an international forum for latest thinking, techniques and developments for the Fund Management Industry, from high-growth investment strategies to modelling and managing risk, from active management to index tracking. The Journal has established itself as a key bridge between applied academic research, commercial best practice and regulatory interests, globally.Each issue of Journal of Asset Management publishes detailed, authoritative briefings, analysis, research and reviews by leading experts in the field, to keep subscribers up to date with the latest developments and thinking in asset management.Journal of Asset Management covers:asset allocation hedge fund strategies risk definition and management index tracking performance measurement stock selection investment methodologies and techniques portfolio management and weighting product development and innovation active asset management style analysis strategies to match client profiles time horizons emerging markets alternative investments derivatives and hedging instruments pensions economics
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