Читать книгу Risk Parity - Alex Shahidi - Страница 18

The ultimate goal of a risk parity portfolio is to earn attractive equity‐like returns while taking less risk than equities. Both objectives are important. We want good absolute returns (competitive with equities) over the long run since that is the main purpose behind investing capital. Controlling risk is also paramount because losses are painful and can be difficult to recover from, both mathematically and emotionally. A portfolio that achieves attractive returns while minimizing risk can be constructed with a well‐balanced allocation that invests in public market securities, which will be the focus here.

The operative term is balance. Webster's dictionary defines balance as a “state in which different things have an equal or proper amount of importance.” Ideally, we should seek balance in all aspects of life. From the most basic level, we hope to equally distribute our weight so we can stand upright without falling. We should probably also strive to maintain a balanced diet or appropriate work‐life balance. Many of us have discovered that excessive and prolonged imbalance in these areas often ends in a painful outcome that forces us back toward better balance.

Within the context of an investment portfolio, balance has a comparable connotation and is similarly important. In a portfolio, balance means giving similar importance, or weight, to asset classes that behave differently from each other. A balanced portfolio has some assets that perform well when others perform poorly. As a result, the portfolio is not overly exposed or vulnerable to a particular market or economic outcome. Instead, no matter what happens, the portfolio is reasonably well protected. This is what it means to have a “well‐diversified” portfolio. A diversified portfolio is one that minimizes risk for a given level of return. Said differently, the objective is to take risk efficiently so that we don't take unnecessary risk when a similar return can be earned through a smoother path that experiences less frequent and less severe drawdowns.