投资者正在坚持过时的策略 - 在最糟糕的时间里

Despite the longest economic expansion in U.S. history, the gap between the present value of liabilities and assets at U.S. state pensions is measured in trillions of dollars. To make matters worse, pensions are now faced with the reality that standard diversification — including extremely low-yielding bonds — may no longer serve as an effective hedge for equity risk.

While I was at卡伯，担心2016年出现了关于现代产品组合理论规定的标准投资组合多样化的有效性。我们开始认识到，组合风险和股票风险的管理是长期复合回报的关键驱动因素。随后，我们开始探索标准多样化的替代品，包括尾风险的对冲。目前，重新思考基础产品组合建设和风险缓解的必要性甚至更大 - 正如现代货币理论中的崛起，以支持金融市场可能被放错了。

在2020年2月的美国股权市场中最近的最新峰值，平均值资助比率对于国家养老金仅为72％（范围从33％到108％）。由于全球大流行，最近近期金融市场的动荡毫无疑问，这种情况毫无疑问。在最糟糕的时间内，必须提高养老金捐款的程度越来越多，如果经济被抛入长期经济衰退，仍然可以看到。

A considerable body of evidence shows these资金问题are connected with how most pension portfolios have been constructed for more than a decade. Without changing the approach, it seems unlikely that funded status can be improved in the coming decade through investment performance alone.

I focus on a typical passive benchmark consisting of a 60 percent allocation to the Standard & Poor’s 500 Index and a 40 percent allocation to the Bloomberg Barclays US Aggregate Bond Index to illustrate the shortcomings of standard diversification since the global financial crisis of 2008 (GFC). Public pensions funds have steadily increased the allocation to alternative assets including private equity and real estate — reaching at present an average allocation of 28 percent to these investments. This overdiversification has only made matters worse. A recent纸by Richard Ennis shows that 46 public pension funds have underperformed a passive benchmark by about 1 percent per year in the period from July 2009 to June 2018. CalPERS, the largest U.S. pension, ranks near the bottom, underperforming by 2.36 percent.

The traditional 60/40 mix of stocks and bonds, commonly portrayed as an optimal portfolio, is supposed to mitigate the effects of this sort of extreme market volatility and deliver returns that pension fund managers can rely on. But the 60/40 mix is an artifact from another time. The optimal mix presumes it is possible to achieve a high rate of return while simultaneously constraining volatility. In practice, it limits portfolio volatility in benign market environments over the short term while making huge sacrifices in long-run performance. The so-called optimal portfolio is, in effect, the worst of all worlds. It offers scant protection against tail risk and, at the same time, achieves an under-allocation to riskier assets with higher returns in long periods of economic expansion, such as the past decade.

理解这一点的基本方法是比较60/40投资组合的表现，以及从2008年1月到2019年12月的全部期间的贡献，其中包括GFC奖励和2009年4月至2019年12月的恢复期。该下表显示了标准普尔500指数的返回，Bloomberg Barclays美国汇总债券指数，每月60/40混合重新平衡。

众所周知的是，包括GFC的全部期间的复合年增长率（CAGR）几乎与恢复期相同。随着股市在恢复期间加剧，债券的分配创造了4.8％的拖累，减少了60/40投资组合的全额投资的16.3％的CAGR。

Even over the full period spanning the GFC, the large allocation to bonds still failed to provide enough protection to add value over the cycle — reducing the CAGR by 170 basis points. Astonishingly, this occurred in spite of concurrent bull-market rallies in bonds and equities during the recovery. Pension funds adopting the standard diversified portfolio failed to achieve a sufficient rate of return to improve funded status meaningfully.

有一个有效的理由持有一些分配给债券。保持流动性是一种。但是，投资者必须认真考虑有限的多样化和风险缓解福利 - 并探索其他途径。使用股权遏制选项的直接尾部风险套路已成功地进行了成功的方法。尾风险对冲提供了历史上发生的极端市场的保护，这些频率远远超出了正常返回分布所预测的频率。

适当托管的基于选项的尾部风险对冲可以提高CANGRS失败的CAGR。随着时间的推移，无论临时市场崩溃如何，这可以提高资金比率。通过多样化在追求更高的锐利比率的标准风险减缓几乎均匀地将典型养老金的复合级别降低到全部市场周期。

To be clear, there is no free lunch, as the ideal options strategies trade small losses over extended periods when equities are rising for extremely large gains during the less frequent but devastating drawdowns. However, when executed correctly, and in the appropriate size relative to the overall portfolio, the long-term benefits in terms of CAGR can be substantial, as investors can maintain a greater allocation to equities due to the risk reduction from direct hedging.

At present, return targets for state pension funds are 7 percent or greater. Looking to the future, it is unclear how pension funds with a required return of 7 percent will be able to maintain or improve funded status with standard diversification. Today’s exceptionally low bond yields do not bode well for achieving such return targets with a typical allocation to fixed income. To make matters worse, such balanced portfolios are likely to provide less protection than in 2008 during a future crisis of similar magnitude. The next financial crisis with a 30 percent or greater decline in equities may deliver a fatal blow.

Recent experience and longer history shows that the assumed negative correlation between bonds and equities is not as reliable as we would hope for. That means state pension funds are unlikely to achieve the 7 percent return necessary to stay afloat if they continue to blindly follow the standard diversification strategy. Rather, pension funds should explore alternative approaches to ensure that the money is there when teachers and firefighters and other essential workers choose to retire.

Until then, diversification for its own sake is not a strategy for success.

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Ron Lagnadois a director at Universa Investments and a senior member of the firm's research group. He was previously a senior investment director at CalPERS.