Har du läst artikeln som Zino länkade till för ett tag sedan? Den är verkligen läsvärd, och jag tror att den möter många av de betänkligheter du har angående att avvika från marknadsviktad portfölj.
En (av många) saker jag tar med mig från den är:
En naiv portfölj som inte gör några aktiva antaganden alls, såsom marknadsportföljen, kan bara vara teoretisk optimal om det inte går att göra några som helst antaganden om exempelvis relativa volatiliteter, korrelationer eller riskpremier mellan olika tillgångsslag.
Om man exempelvis tror på följande antagande: “Aktier och råvaror är inte perfekt korrelerade”, så kan man använda detta i en optimering som teoretiskt slår marknadsportföljen.
Jag läste igenom den igen för typ 4e gången och tänkte försöka sammanfatta i relation till dina punkter. Men det är svårt när varje paragraf känns relevant, men några smakprov kommer här:
It’s clear that portfolio optimization is a powerful tool that must be used thoughtfully and
responsibly. However, even the critics agree that optimization is the only mechanism to make best use of all the information available to investors. Despite this consensus, many investors default to naive methods of portfolio construction, which typically take three forms:
- Conviction weight - investments are held in proportion to the portfolio manager’s conviction
in the investments’ relative prospects
- Market cap weight - investments are held in proportion to their market capitalizations
- Equal weight - investments are held in equal weight
What is not well known - or at least rarely discussed - among practitioners is that each of
these heuristic portfolio choices implies strong views about the nature of the investments under consideration.
If we acknowledge that most investors are seeking to achieve the highest returns subject to a maximum risk threshold, portfolios constructed using the above heuristics express strong views about market inefficiency. In fact, we are confident that many practitioners would be uncomfortable with the extreme implications expressed by these portfolios.
For example, managers who form portfolios on capitalization weights are expressing the strict view that the chosen investments should produce returns that are a linear function of their beta to the portfolio. In other words, that the investments all have equal Treynor ratios2. While this assumption is consistent with CAPM, it is grossly inconsistent with the empirical evidence, as we shall see below.
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Whether you are conscious of it or not, the choices you make about portfolio construction express views about the properties of the asset universe under consideration. This is true whether you choose to allocate to investments based on naive methods, such as capitalization weights or equal weights; apply heuristic methods like inverse volatility or variance; or deploy full-scale portfolio optimization.
This fact is inescapable. The only question is whether you want to express these views
consciously or unconsciously.
angående “vilka riskmått som är relevanta (ex volatilitet)”:
To facilitate this discussion, we must first set some fundamental assumptions. First, we assume that investors have preferences that are well captured by mean-variance utility. That is, investors prefer to own the portfolio that maximizes their expected return subject to a maximum tolerable portfolio volatility. We acknowledge that many investors care less about volatility than risks like “permanent loss of capital”, “maximum drawdown”, or “expected shortfall”. However, these alternative definitions of risk are well captured by mean and variance. Consider that, when a systematic strategy is regularly rebalanced, a large expected mean relative to volatility strongly implies a smaller risk of permanent loss, a smaller expected maximum drawdown, and a smaller expected shortfall.
Mer om CAPM:
(Haugen and Baker 1991) questioned the fundamental assumptions that are necessary for the
market cap portfolio to be mean-variance efficient:
”A prediction that cap-weighted stock portfolios have the lowest possible volatility given
their expected return must be based on a set of assumptions that includes the following:
- All investors agree about the risk and expected return for all securities.
- All investors can short-sell all securities without restriction.
- No investor’s return is exposed to federal or state income tax liability now in effect.
- The investment opportunity set for all investors holding any security in the index
is restricted to the securities in the cap-weighted index.
While CAPM is perhaps the most profound empirical failure in the history of finance, over the
past few decades market cap based indexing has completely dominated all other forms of indexing for two reasons:
- it is grounded in a well formed, macro-consistent theory and
- investment capacity.
Also, until recently there was very little in the way of academically validated literature to inform alternative methods. However, over the past decade or so academics have proposed several alternatives for portfolio choice that express equally compelling relationships between risk and return.
Men jag rekommenderar verkligen att du “absorberar” hela artikeln, skulle vara väldigt intressant att höra dina reflektioner på den.
