Читать книгу Competitive Advantage in Investing - Steven Abrahams - Страница 18

For all the insight of Markowitz's approach, he left largely unexamined the building blocks of risk and correlation. We know a good investor needs compensation for risk, and we know that correlation provides the glue that joins the elements of an efficient portfolio, but we do not know how risk and correlation arise. They simply seem to exist, and Markowitz arrived on the scene to tell us how to use them.

To better understand risk and correlation, the idea of companies in different coin-flipping businesses is a good way to start. The coin that each company flips stands for the risk that each company takes to earn a return. One company can flip the same coin as another or a different coin. Another company can earn returns by flipping multiple coins, and those coins may overlap partially or completely with the coins flipped by yet another company. And the payoff or sensitivity to the outcomes from those coins may differ across companies as well.

In the real world, companies do not flip coins to earn returns but they do take risks. Companies can take the same or different risks, those risks can overlap partially or wholly, and the sensitivity to those risks can vary as well. Some companies buy bricks and mortar and lumber, for instance, and turn them into buildings. Some companies own airplanes, trains, trucks, or automobiles and move materials around to different buyers. Some companies buy and sell buildings. Some companies take computer chips and software and make computers. Some companies buy meats and vegetables and make restaurant meals. Some companies do nearly the same thing but in different places. This list of things that companies do is as endless as is the list of companies itself. Sometimes the risks provide good return; sometimes they do not, just like a coin can come up heads or tails.

This idea of flipping coins and taking risks extends beyond companies to all investments. The value of the cash in the drawer depends on inflation, so the owner with the key to the drawer has flipped an inflation coin. The value of a loan or bond depends on interest rates, so those investments flip the interest rate coin. The value of an oil company depends on the supply-and-demand-for-oil coins.

Once it becomes clear that companies or investments flip different risk coins, then building a diversified portfolio becomes a hunt in part for investments that flip different coins and take different risks. Some risks are truly independent, but some are related. Companies in very different businesses, very different locations, or both may show returns that look relatively independent. Companies in the same or similar business may show returns that look related or correlated.

In practice, companies and investments usually take multiple dimensions of risk. And each investment's performance may show different sensitivity to each dimension of risk.⁶ Items on a menu of investments could show sensitivity to interest rates or corporate profits or the weather or new technologies, and a given investment may be more sensitive to one risk than to another.

Instead of thinking of a menu of investments as a list of instruments or companies or funds, it is better to think of the risk dimensions packed into a given investment—the list of risk coins being flipped or the risks embedded in each item on the menu. Some investments involve the same or similar risks; other investments involve very different risks. Some involve concentrated risks; others involve a broad set of risks. Some risks actually offset others. By looking through the individual items on the infinite list of investments to the underlying risk dimensions, the actual number of choices that an investor has to make goes down dramatically. Even a few risk dimensions can be combined in different amounts to create an infinite list of investments. But the underlying risk dimensions are much smaller, and the investor's challenge much more manageable.

Because each item on the investment menu involves a different set of risks and different sensitivity to each risk, an investor can shape the return, risk, and correlation among elements of a portfolio by combining different items from the menu. The investor can choose which risks to take and which risks to avoid. And as different dimensions of risk come in and out of a portfolio, then performance of the portfolio changes. Rather than choosing from a menu with an infinite set of discrete investments, an investor builds a portfolio from an underlying set of broader risks.