The Art and Science of Alpha and Risk

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Watch the debut of our three-part roundtable, as an all-star panel of asset managers discusses the challenges they face today in finding alpha.

即使是Alpha的概念也是通过资产经理以多种方式查看的。它是u-wen Kok，首席投资官，RS投资开发的市场集团核心信念，“规划阿尔法实际上是可能的。”尽管数据现在达到了主要的证券市场，但Kok认为实现可持续优势是一个现实的长期目标。“当我们发现乖乖的管理人员时，我们投资这些人，因为我们认为市场仍然存在效率低下，”Kok说。

En route to a sound, enduring advisor-client relationship—fueled by growth—how data is handled matters greatly. “A generation ago, an analyst did the job of a detective,” says Brian Reich, President and Managing Partner, Atrato Advisors. “Today, it’s more the job of a filter, separating signal from noise.”

与真实价值的任何奖励一样，alpha最好被视为马拉松而不是冲刺。通过阶段更长的地平线和耐心，波动是宝贵的。“在一天结束时，市场的时间将决定你的成功，”Hank Smith，Co-Coherford官员，哈克史密斯，Haverford Cotor。“The longer you can be an investor, whether you’re one point ahead of whatever index or one point behind—if you’ve been invested for 30 years, you will be extremely satisfied with the amount of money you’ve made in equities.”

在波动时期的弹性

“The question we ask is, how do we structure a portfolio that ensures clients can stay invested through all cycles?” says Smith. “If we can do that, we are creating alpha.”

汤姆森路透社，汤森路透社，苏森路透社，汤森路透社的Pradeep Menon称，风险管理本身是艺术和科学的组合。“对其科学进行了很多，这就是您需要具有正确的数据，以正确的方式捕获它，具有普遍的方法。这是最低限度的。实际上，它的艺术 - 专业知识 - 然后接管。“

There’s no substitute for expertise, says Menon. “In the end, I think the underlying theme is transparency. You need to understand and communicate risks, whether it’s with your regulator, your client, or your investor, and say, ‘What are you comfortable with?’

“If you manage risk to a number, you go to sleep with a smile on your face—and you wake up dead,” Menon continues. “You’d rather be approximately right than precisely wrong—and understand that these are all assumptions, that we have the underlying math and the models and the science taken care of. It’s the art and the communication that really matters.”

Managing risk is intellectually more interesting than observing performance, because it’s always forward-looking. Risk also takes many forms and shadings, playing that two-way game of beta: smooth and safe, or choppy and thus open to opportunity. “I’m a long-only manager, so risk for me would be under-performance of our portfolios against our benchmarks,” says Kok. “Likewise, if the benchmarks are going up, we need to outperform the benchmarks. But the downside is more important. We have good downside capture in our funds, but the task is to do better than the benchmarks in both ways.”

随着“风险的艺术和科学”，随着Menon描述它，从风险管理学科中汲取了很多最好的脑电。这些是人们以不断的方式“情景”的人。如Stuart Peskin所述的投资总署，标准寿命投资所述的过程借鉴了多个子专业。“我们首先承担思考与历史的一定程度相似的情景的挑战，重要的是，经济上是合理的，”Peskin说。“然后我们将其进一步迈出一步，并咨询货币市场或股权市场的主题专家，并决定市场举措可能在该特定情况下。”

他的团队已经无休止地完成了这次钻井，偶尔证明概念的时刻作为事件模仿情景。“We had been modeling a potential China crisis for quite a long time, and until the summer of 2015 we really didn’t have a way to analyze whether we’d got our thinking right in terms of the overall market impacts, and from a proportional standpoint,” recalls Peskin. “But indeed, when it came through, we saw the movements in markets that were quite close to what we thought would be the outcome.”

没有边界 - 以及客户如何批评投资组合管理。这包括谨慎的诉讼。“事实证明，有些周期，我们的绝对退货基金不会表现出大量波动，”纸皮纸纸皮纸。“那个点，客户可能会开始问，”你有足够的风险吗？“

根据Peskin，这需要创造一个需要思考所提供的信息;它是否显示了投资组合中采取的风险量，并以足够透明的方式这样做？“We need to be sufficiently clear and consistent in our reporting,” says Peskin, “so the client can see there are indeed a lot of different moving parts to the portfolio, and an appropriate level of investment risk when the environment isn’t generating much portfolio volatility.”

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