Journal of Portfolio Management · Multi-Asset Special Issue; Volume 44, Issue 2, 2018

评估多资产组合策略

作者：K. Stuart Peskin（Aberdeen Standard Investments in Boston, MA）

摘要：越来越多的投资者认识到多资产组合投资方法的许多好处，包括提高多样性、增加流动性和降低波动性的潜力。而且多资产组合投资策略与各种投资方法和资产类别相适应的能力也很有明显。也就是说，多资产组合策略带来了挑战。本文讨论了一个特别的问题领域——如何评估多资产组合投资策略的结果。仅依靠一、两种评估方法就会导致对已实现的历史投资结果的错误解读。相反，作者建议使用多种评估技术。其中一种—相关性—是值得深入讨论的，因为作者认为它在多资产组合投资的许多方面都被误解了。作者还研究了一些更有用的表现和风险分析，包括历史的和预测的，这可以帮助理解什么驱动了多资产组合投资的结果。

Evaluating Multi-Asset Strategies

K. Stuart Peskin（Aberdeen Standard Investments in Boston, MA）

ABSTRACT

An increasing number of investors are recognizing the many benefits of a multi-asset approach, including the potential for improved diversity, greater liquidity, and reduced volatility. Also advantageous is their ability to fit readily alongside a variety of investment approaches and asset class categories. That said, multi-asset strategies come with challenges. This article addresses a particularly problematic area—how to evaluate multi-asset strategy outcomes. Relying on only one or two measures for evaluation can lead to misinterpretation of the historical investment results achieved. Instead, the author advises using a variety of evaluation techniques. One of these—correlation—is discussed in depth, because the author believes it is misunderstood in many dimensions of multi-asset investing. The author also examines some of the more useful performance and risk analytics, both historical and predictive, that can help to understand what drives multi-asset investment outcomes.

原文链接：

http://jpm.iijournals.com/content/44/2/40

翻译：黄涛