斯賓塞新浪財經專欄：經濟危機後的投資策略

導讀：2001年諾貝爾經濟學獎獲得者邁克爾-斯賓塞今日為新浪財經獨家撰文表示，經濟危機後，投資者需要在投資策略時考慮到系統性風險的可能性。中短期的經營收益不應該被視為長期投資回報的精確信號。

以下是文章全文：

投資人已經在目前的經濟危機受到重創，他們正在吸取經驗教訓和進行投資戰略的調整。

在我看來，給投資人最核心的教訓是：不是所有的風險組成都是靜態的，而是演變成各種尚未充分理解的方式，且政府的監管並不能完全解決這些問題。出于這個原因，市場的自我調整能力應該發揮作用，這需要在投資策略考慮到系統性風險的可能性。

一個整體的系統性威脅可能出現的方式是難以檢測的，當然，重大的系統性中斷不會每年都發生。相反，不穩定性逐漸積聚，直到系統受到震撼和重置，而這種強烈的震撼和重置的具體時間是無法預測的。這意味著正待解決的系統性風險，比起那些為投資者更為關注的非系統性的、固定投入的風險，對它的解決需要更長的時間。

我們來考慮一個10年期投資，假設有9年的“正常”的平均回報，緊接著一個由系統性風險所造成的“糟糕”的一年。在這種情況下，作為一個例子，如果在正常情況下一個投資策略每年的回報率為8%，在第十年的時候產生一個20%這樣大的震動，就會將平均的每年投資回報率減少3.19個百分點，至4.81%。

會計的系統性風險帶來一系列影響。例如，捐贈或養老基金的支付策略將考慮更加長遠的、潛在的衝擊調整後的平均回報，而不是一個簡單的加權平均收益或過去的期末資產價值(現在通常的做法)的平均回報。

當然，你可以認為，危機後的監管改革將最終解決定期的系統性風險問題，我們將回到更舒適的世界，只有相對固定的風險，而不會有定期的不平衡。但是，我不會賭這種情況出現。

目前，毫無疑問，在定期的系統性風險上採取更加保守的做法而產生的競爭和其他後果，在不同機構會有所不同。問題不在于表明只有一個正確的答案，而是投資戰略和支出的決定應該考慮到較長期的風險層面。對最終做決策的投資者在確定是否會產生較高的投資回報，和檢驗震蕩後的平均回報是否值得的戰略上，這顯得更為真實可信。

當投資回報在一個時期內似乎異常的高，並且看起來似乎還在持續，但是會有某樣東西，即使我們事先不知道是什麼，極有可能將其擊落下來。

這一點對大投資者尤其重要，成功\的價值投資者可以通過避免投資他們認為被高估資產來降低投資風險。不過，他們也並非無懈可擊，因為即使是公平合理的價值投資，或者更確切地說，被低估了的價值投資，都不可避免一場危機或重置資產價格下調的壓力後所積聚的系統性風險。

顯然，正確的判斷是必需的。我的選擇是假設衝擊相對頻繁，但他們的規模和概率有所不同。明智的做法可以規避中級衝擊。這也可能有助于減輕較大衝擊的影響，並在嚴重衝擊期間來增加淨回報潛力(盡管它也可能降低在輕度衝擊中獲得的回報潛力)。

至少在一個地區，有關流動性管理，許\多投資者從危機中吸取了慘痛的教訓。問題的重點一直在于現金流的挑戰，來自大流動性的投資組合和大規模的系統性衝擊，造成了現金流模式的不利變化。

但有兩個其他的流動性管理方面的問題值得關注。首先，非流動性投資限制投資者的投資能力：即限制他們調整自己的投資組合以規避在早期預警之後越演越烈的系統性風險。其次，在滿目瘡痍時候，流動性組合創造投資機會，例如資產價格低迷和投資能力結合起來進行投資，而其他方面則不能或不會產生這樣的機會。

這意味著，流動性具有很大的潛在價值，這種價值體現于系統性問題出現時。這個價值應該是“補充”到投資回報率上的，原因是在“正常”時期的各類流動性資產的回報，影響了流動性和非流動性資產的相對吸引力，並且影響各類投資者對資產分配所作出的選擇。

所有這一切都突出了對性能和賠償的新標准的需要，來彌補定期的系統性風險，特別值得注意的是債務和流動資金。低負債，高流動性應該倍受重視來避免現金流困難，確保更大的調整資產分配的靈活性，並創造在經濟危機後的機會。

也許\最重要的是，當短期和中期的經營收益，特別是在一個時期內收益率非常高的時候，是不應該被視為長期投資回報的精確信號。投資策略不應該依據的假設是所有的時間都是“正常”的時代，而周期性動蕩才是不正常的。評估系統性風險和不穩定的投資時間的挑戰恰恰就是挑戰本身，而不是忽視現象的各種理由。

以下是邁克爾-斯賓塞文章的英文原文。

Investors have been hit hard by the current crisis. Lessons are being learned and investment strategies revised。

The central lesson for investors seems to me to be that not all components of risk are static, but rather evolve in ways that are not yet fully understood – and that government regulation cannot fully address. For that reason, the ability of markets to self-correct should play a role as well, which requires that investment strategies attempt to take the possibility of systemic risk into consideration。

Threats to the system as a whole can arise in a manner that is difficult to detect, and that can cause risk-mitigation strategies that work well in normal times to malfunction. Of course, major systemic disruptions do not occur every year. Instead, instability builds up until the system is shocked and resets, with the exact timing unpredictable. This means that addressing systemic risk requires a longer timeframe than that associated with the non-systemic, stationary risks to which investors devote most attention。

Consider a ten-year period and assume that there are nine years of “normal” average returns, followed by a “bad year” caused by the systemic risk component. In that case, as an example, if an investment strategy yields an 8% annual return in normal times, a large shock of 20% at ten year intervals would reduce the average 10 returns by 3.19 percentage points, to 4.81%。

Accounting for systemic risk has several implications. For example, an endowment or pension fund might consider basing its payout decisions more on long-run, potential shock-adjusted average returns than on a simple weighted average of past returns or end-period asset values (the normal practice now)。

Of course, you can argue that post-crisis regulatory reform will eventually resolve the problem of periodic systemic risk, and that we will return to the more comfortable world of relatively stationary risk without periodic imbalances. But I would not bet on this happening。

The historical evidence suggests that systemic risk is persistent and resistant to regulatory efforts to eliminate it. Financial innovation will proceed along with regulatory arbitrage. And, while the international dimensions and sources of systemic risk are increasingly important, thus far we have only limited demonstrated capacity, if any, for dealing with them。

There are, no doubt, competitive and other consequences to adopting a more conservative approach that factors in periodic systemic risk, and they will vary across institutions. The point is not to suggest that there is one right answer, but rather that investment strategy and payout decisions should take into account the longer-term dimensions of risk. This is true even for investors who ultimately decide that strategies aimed at generating higher normal and post-shock average returns are worth it。

One can think of periodic systemic risk as an inherent tendency toward reversion to the mean: short- and medium-term returns can deviate considerably and for extended periods from the expected long-run returns associated with various investment strategies and capabilities. Put another way, when returns seem abnormally high for an extended period, they probably are, and something – even if we don’t know in advance what – is likely to bring them down。

This is particularly relevant to large investors who, unlike traders, cannot totally ignore macroeconomic fundamentals without abandoning reasonable diversification. Successful value investors may mitigate risk by shunning what they consider to be overvalued assets. Nevertheless, they are not invulnerable, because even fair valuations – or, indeed, undervaluations – are not exempt from the downward pressures of a crisis or the resetting of asset prices after a build-up of systemic risk。

Clearly, judgment is required. My preference is to assume that shocks arrive relatively frequently, but that they vary in size and probability. A sensible approach could be to hedge against intermediate-level shocks. That might also help mitigate the impact of larger shocks and increase the net return potential during severe shocks (though it might also lower the return potential for more mild shocks)。

In at least one area, liquidity management, many investors learned painful lessons from the crisis. The focus has been appropriately on the cash-flow challenges that come from a combination of large illiquid investment portfolios and large systemic shocks that cause adverse shifts in the cash flow models。

But there are two other aspects of liquidity management that deserve attention. First, illiquid investments limit investors ability to adjust their portfolios in response to early warnings of an increase in systemic risk. Second, in times of widespread distress, liquid portfolios create investment opportunities, as depressed asset prices (often overly so) combine with the capacity to invest while others cannot or will not。

This means that liquidity has potentially significant value, which rises when systemic problems emerge. This value should be “added” to the return that is attributed to various classes of liquid assets in “normal” times, thereby affecting the relative attractiveness of liquid and illiquid assets – and influencing the asset-allocation choices made by various classes of investors。

All of this highlights the need for new benchmarks for performance and compensation that factor in vulnerability to periodic systemic risk, with special attention to debt and liquidity. Low debt and high liquidity should be valued for avoidance of cash-flow distress, ensuring greater flexibility in adjusting asset allocation, and creating opportunities in the aftermath of a crisis。

Perhaps most importantly, short- and medium-run returns, especially during periods when they are high, should not be taken as accurate signals of long-run returns. Investment strategies should not be based on the assumption that all times are “normal” times, and that periodic instability is abnormal. The challenges of assessing systemic risk and the timing of instability are just that – challenges, not reasons to ignore the phenomenon。