Trillade över denna häromdagen som jag upplever är tänkvärd. Jag hade en fika med @Jonathan.S där vi kom in på risk. Risk är ju något som vi generellt har både svårt att definiera, mäta och ens vara överens om. Därför tänkte jag se om vi kunde slå våra kloka huvuden ihop. Istället för att börja från början, tänker jag att vi kan ta avstamp i Howard Marks text från 2006.
Jag hade egentligen velat citera hela hans text, men bara den här inledningen är tänkvärd. Den illustrerar ju det här med att utfallsmängden ökar när man avviker från att investera marknadsviktat.
Of course, nothing underlies the Capital Market approach as much as the relationship between risk and return. This plays out as follows:
First, because people are risk averse, riskier investments have to offer higher returns in order to attract capital.
Second, if investors are skillful, they should be able to capture higher returns on their riskier investments, and thus they should show higher average returns in the long run.
But investors’ returns tell just half the story. We have to know how much risk they took to get those returns before we can judge whether they did a good or a bad job. Thus developed the concept of risk-adjusted returns.
It is from the relationship between risk and return that arises the graphic representation that has become ubiquitous in the investment world. It shows a “capital market line” that slopes upward to the right, indicating the positive relationship between risk and return that is essential.
In my opinion, especially in good times, far too many people can be overheard saying, “Riskier investments provide higher returns. If you want to make more money, the answer is to take more risk.” But riskier investments absolutely cannot be counted on to deliver higher returns. Why not? It’s simple: if riskier investments reliably produced higher returns, they wouldn’t be riskier!
The correct formulation is that in order to attract capital, riskier investments have to offer the prospect of higher returns, or higher promised returns, or higher expected returns. But there’s absolutely nothing to say those higher prospective returns have to materialize.
och här kommer den riktiga nyheten och illustrationen som jag inte sett tidigare.
Riskier investments are those where the outcome is less certain. That is, the probability distribution of returns is wider. When priced fairly, riskier investments should entail:
- higher expected returns,
- the possibility of lower returns, and
- in some cases the possibility of losses.
The traditional graph shown first above is deceptive, because it communicates the positive connection between risk and return but fails to suggest the uncertainty involved. It has brought a lot of people a lot of misery through its unwavering intimation that taking more risk leads to making more money. I hope my version of the graph is more helpful. It’s meant to suggest both the positive relationship between risk and expected return and the fact that uncertainty about the return and the possibility of loss increase as risk increases.
Ytterligare utdrag:
For all of these reasons, I find it hard to accept volatility as a comprehensive, sufficient or highly useful measure of risk.
No, I’m sure “risk” is – first and foremost – the likelihood of losing money.
But I think one of the most interesting aspects of risk – and one of the least appreciated – is the fact that it isn’t quantifiable even in retrospect.
Sedan finns det ytterligare riktigt bra kapitel.
