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达里奥:战争风险逼近,每个人都应配置5-10%的黄金(附全文)

2017-08-12 金融读书会
编者语:

全球最大对冲基金桥水基金创始人达里奥最新建议,与朝鲜局势和美国政府债务上限相关的政治风险正在上升,如果情况恶化,黄金可能比其他避险资产拥有更大的潜在收益。因此,战争风险逼近,每个人都应配置5-10%的黄金。敬请阅读。

 

文/达里奥(桥水基金(Bridgewater Associates)创始人)


“政治风险正在上升,所有人都应该考虑配置黄金。”这是全球最大对冲基金桥水基金(Bridgewater Associates)创始人达里奥(Ray Dalio)最新给出的建议。

 

在周三的一份和工作人员共同执笔的客户建议中,达里奥表示,与朝鲜局势和美国政府债务上限相关的政治风险正在上升,但并没有被适当地反映在价格中。

 

达里奥写道,在这个平静的八月休假期,我们正在目睹

 

(1)两个针锋相对、民族主义且崇尚武力的领导人互相挑衅和威胁,而全世界正在观望哪一方是在虚张声势,是否会有一场可怕的战争爆发;

 

(2)美国国会无法顺利上调债务上限的概率正在加大(这将导致技术性违约、政府临时关门以及各方对当前政治体系效率的进一步失望。


达里奥认为,在评估政治事务上应保持谦逊,这些事件难以被押注,所以最好是保持中立来应对以上未知变数。

 

他表示,当前更重要的是保持流动性,保持多样化,且不过度暴露在任何特定的经济结果中。

 

达里奥称,如果上述情况出现恶化,黄金可能比其他避险资产,例如美元,日元和国债,拥有更大的潜在收益,因此建议投资者配置5%10%的黄金作为对冲。

 

作为世界上最大的对冲基金,桥水基金管理着1600亿美元的资产。达里奥一直以来都推崇在资产组合中配置黄金。

 

全文翻译如下:

 

市场有回报,也有风险。我们将其分开来考虑,再将构建成一个投资组合。我们认为,回报和机会来自押注的那些事物,并将风险看作由于失去平衡而招致的不利的市场结果。我们从平衡贝塔组合开始,例如一个确定能够为我们预期用途提供资金的投资组合。这个组合因人而异,取决于每个人对资金的使用规划,但很多情况下这类似于我们的全天候策略(All Weather)。接着,根据我们认为最有可能发生的情况,建立一个平衡阿尔法组合。然后,我们将这两者结合。

 

我们押注在那些自认为比较了解的事件或结果上。对于那些不擅长的事件或者结果,例如政治事件,我们希望它们的风险对投资组合的影响能够相对中性。

 

风险和波动性

 

一般来说,低风险和低波动性周期往往导致更大的风险和波动性。这反映在综合市场波动指数中下图,而目前市场是基于低波动性将维持到明年而做出定价。

 

 

有一个相关的规律,即人们通常适应他们曾经历过的环境,当未来与过往不同时,他们将感到惊讶。换句话说,大多数人倾向于假设他们近来所经历的情况将持续下去,根据经验来做出改变。例如,在信贷容易获得的低波动时期,人们往往假设借更多钱是安全的,进而提高头寸;当情况发生变化时,这将导致更大的波动性,他们也将因此受到伤害。

 

这似乎就是当前的情况。目前,潜在风险正在上升,但并没有被适当地反映在价格中,原因如下:(1)后顾式的风险判断;(2)企业的杠杆率已经很高了,因为利率较许多公司的预期收益来说相对较低,而且过去的风险也比较低。当前正在浮现的风险更多是政治性而非经济性,这令它们特别难以被反映到价格中。

 

在这个平静的八月休假期,我们正在目睹: 1)两个针锋相对、民族主义且崇尚武力的领导人互相挑衅和威胁,而全世界正在观望哪一方是在虚张声势,是否会有一场可怕的战争爆发;(2)美国国会无法顺利上调债务上限的概率正在加大这将导致技术性违约、政府临时关门以及各方对当前政治体系效率的进一步失望。在这些事情上押注很难,所以最好是保持中立来应对以上未知变数。

 

在评估政治问题时(特别是像朝鲜这样的全球地缘政治问题),我们是非常谦逊的。我们知道,我们并没有一个独特的见解并对其押注。更重要的是,我们的目标是保持流动性,保持多样化,且不过度暴露在任何特定的经济结果中。我们愿意对冲我们的押注,尽管我们从未完全对冲。

 

我们认为,如果情况出现恶化,黄金可能比其他避险资产,例如美元,日元和国债,拥有更大的潜在收益。所以如果你的资产中没有5%——10%的黄金作为对冲,我们建议你重新考虑。不要让传统偏见妨碍你这么做。如果你真有一个出色的分析认为不应该配置黄金,我们会很感激你能和我们分享。)

 

附英文原文:


There are returns, and there are risks. We think of them individually, and then we combine them into a portfolio. We think of returns and opportunities as coming from those things we’d bet on, and we think of risks as the adverse market consequences of us being wrong due to our being out of balance. We start with our balanced beta portfolio—i.e., that portfolio that would most certainly fund our intended uses of the money. Everyone should have their own based on their own projected uses of money, though more generally, it’s our All Weather portfolio. We then create a balanced portfolio of opportunity/alpha bets based on what we think is likely to happen. We then combine them.

 

We bet on the events/outcomes that we think we have an edge in understanding. For events/outcomes where we don’t think we have a particular edge—e.g., political events—we aim to construct our portfolio to be relatively neutral or balanced to those risks.

 

Risk and Volatility

 

As a rule, periods of lower risk/volatility tend to lead to periods of greater risk/volatility. That is reflected in our aggregate market volatility gauge (see below), and markets are pricing in volatility to remain low next year too.

 

As a related rule, people adapt to the circumstances they have experienced and are then surprised when the future is different than the past. In other words, most people are inclined to assume that the circumstances they have recently encountered will persist, which leads them to change what they are doing to be consistent with that recently experienced environment. For example, low-volatility periods in which credit is readily available tend to lead people to assume that it’s safe to borrow more, which leads them to lever up their positions, which contributes to greater volatility and hurts them when things change.

 

That appears to be the case now—i.e., prospective risks are now rising and do not appear appropriately priced in because of a) a backward looking at risk and b) corporate leveraging up has been high because interest rates are low relative to many companies’ projected ROEs and because past risks have been low. The emerging risks appear more political than economic, which makes them especially challenging to price in. Most immediately, during the calm of the August vacation season, we are seeing 1) two confrontational, nationalistic, and militaristic leaders playing chicken with each other, while the world is watching to see which one will be caught bluffing, or if there will be a hellacious war, and 2) the odds of Congress failing to raise the debt ceiling (leading to a technical default, a temporary government shutdown, and increased loss of faith in the effectiveness of our political system) rising. It’s hard to bet on such things, one way or another, so the best that one can do is be neutral to such possibilities.


When it comes to assessing political matters (especially global geopolitics like the North Korea matter), we are very humble. We know that we don’t have a unique insight that we’d choose to bet on. Most importantly, we aim to stay liquid, stay diversified, and not be overly exposed to any particular economic outcomes. We like to hedge our bets, though we are never completely hedged. We can also say that if the above things go badly, it would seem that gold (more than other safe haven assets like the dollar, yen, and treasuries) would benefit, so if you don’t have 5-10% of your assets in gold as a hedge, we’d suggest that you relook at this. Don’t let traditional biases, rather than an excellent analysis, stand in the way of you doing this (and if you do have an excellent analysis of why you shouldn’t have such an allocation to gold, we’d appreciate you sharing it with us).(完)


文章来源:华尔街见闻付费栏目《见闻主编精选》2017年8月11日(本文仅代表作者观点)

本篇编辑:钟文


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