GMO: Your Portfolio Obsession Is Forcing Bad Calls

GMO is urging investors to stop obsessing over their portfolios and pay more attention to factors beyond their holdings that are more difficult to measure — or risk failure in meeting their goals.

投资者tend to ignore assets and liabilities that lie outside their portfolios because they lack the “quantitatively well-estimated characteristics” they can easily rely on to measure performance, according to the fund manager’s first-quarterletter to clients. Their preference for simpler analysis of historical returns has led them to build portfolios that solve the “wrong problem,” wrote Ben Inker, GMO’s head of asset allocation, in the letter.

“No investment portfolio exists in a vacuum,” Inker said. “It is almost certain that investors would achieve better overall outcomes if they recognized the risks outside of their portfolios that really matter and invested accordingly.”

Conventional wisdom in portfolio construction is flawed because it misses the larger objective that a portfolio is meant to serve, leading to bad investment decisions, according to the letter. Investors should shift their mindset to consider factors like the potential for the sponsor of a pension plan to make additional contributions when needed, or the type of mission that a charitable foundation supports.

When investors such as pensions, foundations and sovereign wealth funds take the harder path of determining “the nature of the true problem” they’re trying to solve, Inker said, they are likely to benefit from insights that would not have occurred to them otherwise. For example, private foundations aren’t all equally impacted by an economic downturn.

一个基础集中在当地社区喂养穷人会发现“需要喂养饥饿的需要在凹陷中养成沮丧”，“墨水师。但私营基金会支持癌症研究的成本不会看到成本的类似上升，因为他说，对治愈的需求不受经济环境的影响。

“这些负债的性质强烈建议，这两个投资组合应该对股票和债券有不同的分配，”墨水师写道。“相同的风险厌恶”将为癌症治疗基金会提供75％的股票和25％的债券组合，建议股票投资组合组合为49％，饥饿的基础债券中的51％。

“一旦我们超越投资组合，风险和相关性的估计必须判断呼叫，”Inker表示。“投资者或风险管理人员不能简单地依靠历史回报的协方差矩阵来估计整体风险。”

养老基金经理部分考虑了由于会计标准的较大框架，迫使他们承认其负债如何因利率而异，根据GMO，他们可以做得更好。

“In worrying about the funding ratio of the pension rather than simply the volatility of the portfolio, they are moving in the right direction,” he said. “But most pension fund managers tend to stop there, failing to fully take into account the assets outside of the portfolio that are relevant to the overall problem.”

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They often fail to consider the additional contributions the pension fund’s sponsor may make to the portfolio, according to Inker. “Because the sponsor’s ability to make these contributions varies depending on economic circumstances, all deteriorations in the funding ratio of the pension fund are not equal,” he said. “A deterioration that occurs when the cash flow position of the sponsor is worse than average is significantly worse than one that occurs when sponsor cash flow is strong.”

在他的信中引用的另一个例子中，Inker表示，商品收入支持的主权财富基金对现金流量不同的风险不同于源于制造商贸易盈余的资金。“如果这两个主权财富基金有其他风险的厌恶，他们应该用物质不同的投资组合结束，”他说。

根据GMO，工人的投资组合应考虑他们的工作类型 - 不仅仅是在进行分配决策时退休的程度。虽然教师，制造工人和金融服务员工的员工可以基于年龄的年龄对风险相同，但其理想的投资组合可以根据其劳动力收入的波动以及如何与股票市场相关而有所不同。

“如果我们在劳资收入和股票回报之间承担强大的协方差，例如金融服务业的工人可能是案件，我们得到了40多岁或以上的工人的有趣结果，应该缺少股票的股票退休，“Inker说。

“While this runs counter to the standard advice and most traditional retirement glide paths, it does make plenty of sense when you think about how a depression impacts someone who is relatively close to retirement versus someone who has already retired,” he said. A depression could be far worse for someone who is five years from retirement, as the likelihood of that person becoming unemployed is “material,” according to Inker.

Of course, shifting investor mindsets is easier said than done.

Investment professionals are up against practical hurdles when making decisions based on “theoretical superiority,” according to GMO. Should the right portfolio for a particular institutional investor’s mix of assets and liabilities underperform peers, “it is not clear whether an investment committee will care much about the theoretical superiority,” Inker said.