题目：【JPM】为经济增长冲击准备一个多资产类别的投资组合
THEJOURNAL OF PORTFOLIO MANAGEMENT • VOL.45, NO. 1 • JANUARY 2019
为经济增长冲击准备一个多资产类别的投资组合
作者：Eugene Podkaminer (FranklinTempleton Investments in San Mateo, CA),
WylieTollette (Franklin Templeton Investments in San Mateo, CA),
LaurenceSiegel (the CFA Institute Research Foundation & Wilmette, IL, and Del Mar,CA)
摘要：本文探讨了全球经济增长受到的冲击，以及投资者如何防范这些冲击。作者研究了这些潜在冲击对资产配置决策、资产负债管理和资金来源的影响。本文提出，全球经济可能处于一个拐点，如果政权发生更迭，许多投资组合将措手不及。过去10年，投资者经历了相对健康的回报，近期偏差导致许多投资者在风险范围内向外蔓延。作者提醒读者，即使在看似多样化的投资组合中，多数风险通常也来自于股票和类股票证券，它们在很大程度上面临全球经济增长风险。为了解决这些问题，他们鼓励投资者将经济基本面和更长远的眼光纳入投资组合构建的考量中。具体来说，他们认为，在独立的回报来源上实现真正的多元化，是减少经济增长风险的唯一切实可行的途径。名义债券和实际资产（后者包括通胀指数债券）这两种资产类别能够提供独立于股票市场的回报，对一些投资者而言，还包括现金（通常使用具有类似现金beta的资产来实现）。许多以另类资产形式出售的资产实际上隐藏着股权风险。
Preparinga Multi-Asset Class Portfolio for Shocks to Economic Growth
EugenePodkaminer (Franklin Templeton Investments in San Mateo, CA), Wylie Tollette(Franklin Templeton Investments in San Mateo, CA), Laurence Siegel (the CFAInstitute Research Foundation & Wilmette, IL, and Del Mar, CA)
ABSTRACT
Thisarticle explores shocks to global economic growth and how investors can defendagainst them. The authors examine the impact of such potential shocks on theasset allocation decision, asset-liability management, and funding sources.This article proposes that the global economy could be poised at an inflectionpoint, and if a regime change occurs it would catch many portfolios off guard.Investors have experienced relatively healthy returns for the last decade, withrecency bias leading many investors to creep outward on the risk spectrum. Theauthors remind the reader that, even in portfolios that appear to bediversified, most of the risk typically comes from equities and equity-likesecurities, which are greatly exposed to global economic growth risk. Toaddress these concerns, they encourage investors to incorporate economicfundamentals and much longer time horizons into the portfolio constructioncalculus. Specifically, they argue that true diversification across independentsources of return is the only practical way of reducing exposure to economicgrowth. The asset classes providing returns independent of the equity marketare nominal bonds and real assets (the latter including inflation-indexedbonds) and, for some investors, cash (usually implemented using skill-basedassets with a cash-like beta). Many assets marketed as alternatives actuallyprovide equity exposure in disguise.
原文链接：https://jpm.iijournals.com/content/45/2/106
翻译：吕越
