Christopher Brightman, CIO of Research Affiliates, discusses why investors in the All Asset strategies should assess risk more as the potential to meet (or miss) wealth accumulation goals, and less as a function of short-term price changes or returns relative to traditional benchmarks. Katy Sherrerd, CEO of Research Affiliates, discusses how a corporate culture that fosters collective intelligence while avoiding groupthink leads to winning outcomes for the firm’s employees, partners and clients. As always, their insights are in the context of the PIMCO All Asset and All Asset All Authority funds.
Research Affiliates的首席信息官Christopher Brightman讨论了为什么所有资产策略中的投资者应该更多地评估风险作为满足（或错过）财富积累目标的潜力，而不是相对于传统基准的短期价格变化或回报的函数。 Research Affiliates首席执行官Katy Sherrerd讨论了如何在避免集体思维的同时培养集体智慧的企业文化，从而为公司的员工，合作伙伴和客户赢得胜利。与往常一样，他们的见解是在PIMCO All Asset和All Asset All Authority基金的背景下。
Q: What are the biggest risks facing investors in the All Asset strategies?
Brightman: Like all portfolios composed of capital market securities, the All Asset strategies expose investors to the absolute risk of short-term price changes. Investment professionals often quantify this short-term price risk using annualized standard deviation of returns, a statistical measure more commonly referred to as “volatility.” We believe a level of volatility of around 10% is appropriate for multi-asset portfolios, including those that center on Third Pillar assets (including real assets, emerging markets and high yield bonds). That level is roughly between the levels for stocks and bonds, given approximate long-term historical volatility of around 15% for the U.S. stock market and around 5% for an aggregate bond market portfolio (proxied by the S&P 500 and the Bloomberg Barclays U.S. Aggregate Bond Index, respectively).
What does an annualized volatility of 10% mean? For a hypothetical normal return distribution with an average annual real return of 5% and volatility of 10%, in two years out of three, the annual real return will fall within a range of −5% and +15%. This range is the “fat middle” of the distribution of potential returns. But let’s not forget about the tails of the distribution. In one year out of 20, the annual real return drawn from this hypothetical distribution will fall outside of the range of −15% and +25%.
年化波动率为10％意味着什么？对于假设的正常收益分布，平均年实际收益率为5％，波动率为10％，在三年内的两年中，年度实际收益率将在-5％和+ 15％的范围内。这个范围是潜在回报分布的“胖中间”。但是，我们不要忘记分布的尾巴。在20年中的一年中，从该假设分布中得出的年度实际回报将超出-15％和+ 25％的范围。
Let’s now shift our focus for a moment from absolute risk to relative risk, or what we refer to as “maverick risk.” We believe John Maynard Keynes’ maxim pithily expresses the idea behind maverick risk: that it is more acceptable “to fail conventionally than to succeed unconventionally.”1 From a maverick risk perspective, return outcomes are measured on a relative basis, versus peers or traditional benchmarks. Because the All Asset strategies are designed and managed to serve as investors’ source of diversification away from mainstream stocks and bonds, investors in these strategies will of course experience ample maverick risk. Though interestingly, this measurement of risk says little about an investor’s absolute outcome.
Investment professionals quantify maverick risk as the standard deviation of the difference in returns between a portfolio and its benchmark, commonly called tracking error. The tracking error of the All Asset strategy relative to its primary benchmark (Bloomberg Barclays U.S. TIPS 1–10 Year Index) has been 6.53%, and the tracking error of the All Asset All Authority strategy relative to its primary benchmark (the S&P 500) has been 11.34% (since inception, through 28 February 2019).
投资专业人员将特立独行风险量化为投资组合与其基准之间回报差异的标准差，通常称为跟踪误差。 All Asset策略相对于其主要基准（Bloomberg Barclays US TIPS 1-10年指数）的跟踪误差为6.53％，All Asset All Authority策略相对于其主要基准（标准普尔500指数）的跟踪误差为11.34％（自成立以来，至2019年2月28日）。
Returning to absolute risk in the near term, what events could cause a large decline in prices for capital market securities over the coming months? We can readily identify hypothetical and entirely plausible economic or geopolitical scenarios that might cause investors to try to reduce their exposure to risk assets in concert. For instance, a disorderly liquidity squeeze could be the unintentional result of quantitative tightening, a debt crisis in China triggered by a trade war with the U.S., or a solvency crisis for European banks precipitated by a hard Brexit. Of course, these potential problems aren't mutually exclusive; we could very well experience two or even all three in 2019.
Key to a more complete understanding of capital market risk, however, is the observation that market crashes often follow long periods of rising prices without any obvious geopolitical or economic catalyst – for example, the popping of the Japanese bubble in stocks and real estate in 1990 and the collapse of global technology stocks in 2000. From these historical events, we believe that high-priced, low-yielding assets, such as developed market government bonds and U.S. stocks today, might have lower potential to meet long-term goals than lower-priced, higher-yielding assets, such as high yield bonds and emerging market equities today.
然而，更全面了解资本市场风险的关键在于观察到市场崩溃往往伴随着长期价格上涨而没有任何明显的地缘政治或经济催化剂 - 例如1990年日本泡沫在股市和房地产市场的爆发2000年全球科技股的崩溃。从这些历史事件中，我们认为高价，低收益的资产，如发达的市场政府债券和今天的美国股票，可能比较低的资产具有更低的实现长期目标的潜力。高收益债券，高收益债券和新兴市场股票。
For long-term investors, risk may be defined less by the short-term price changes of securities within our portfolios and more by the potential failure to meet our wealth accumulation goals. Accordingly, a more appropriate, if admittedly less precise, quantification of risk for long-term investors may be an estimated probability of reaching, or failing to reach, long-term return requirements. Research Affiliates offers investors interactive tools to help quantify the probability of a portfolio achieving a range of real returns over a 10-year horizon using transparent and well-documented methodologies for estimating asset class and portfolio return forecasts.
对于长期投资者而言，风险可以通过我们投资组合中证券的短期价格变化来减少，更多的是由于未能实现我们的财富积累目标。因此，对长期投资者而言，更为恰当的（如果不太准确的话）风险量化可能是达到或未达到长期回报要求的估计概率。 Research Affiliates为投资者提供交互式工具，帮助量化投资组合在10年内实现一系列实际回报的概率，使用透明且记录完备的方法估算资产类别和投资组合回报预测。
We believe today’s high prices and low yields for a traditional portfolio consisting of 60% U.S. stocks and 40% U.S. aggregate bonds may present a significant risk to investors, in terms of an inability to meet long-term wealth accumulation goals. Our methodologies estimate that a traditional 60/40 portfolio (proxied by the S&P 500 and the Bloomberg Barclays U.S. Aggregate Bond Index) has less than a 50% probability of producing more than a 2.5% annualized real return, and a small but significant probability of producing less than 0% real return over the coming decade.
In contrast, for a portfolio favoring lower-priced and higher-yielding assets, such as “Third Pillar” assets including non-U.S. stocks and credit strategies,2 this methodology estimates a greater than 50% probability of achieving a 4% real return or above and less than a 5% probability of achieving a 1% real return or below over the coming decade. In other words, we believe this style of portfolio, in the go-forward environment, presents less risk to investors as defined by a likelihood of meeting long-term wealth accumulation goals, even though it may have elevated levels of maverick risk (or return differentials) relative to traditional benchmarks.
Said plainly, for long-term investors, we believe high prices and low yields indicate a lower potential to meet longer-term goals, while the reverse is true for low prices and high yields – and volatility provides opportunity. In the current environment, we think investors should consider Keynes’ maxim – and the tradeoff between failing conventionally and succeeding unconventionally – very carefully.
明确地说，对于长期投资者而言，我们认为高价格和低收益率表明较低的潜力可以实现长期目标，而低价格和高收益率则相反 - 波动性提供了机会。在当前的环境下，我们认为投资者应该非常谨慎地考虑凯恩斯的格言 - 以及在传统和非传统的失败之间的权衡。
Q: How will Research Affiliates’ recent governance changes, including your transition to CEO, influence management of the All Asset strategies?
问：Research Affiliates最近的治理变化，包括您向CEO的过渡，将如何影响All Asset策略的管理？
Sherrerd: Quite simply, the management of the All Asset strategies benefits tremendously from our long-held commitment to creating a corporate culture that allows teams to perform at their highest levels. I am a big proponent of the benefits of collective intelligence – particularly in our industry, where even the smartest member of a team can benefit from hearing different points of view – and the need to be deliberate in creating an environment conducive to productive collaboration.
Sherrerd：很简单，All Asset策略的管理从我们长期致力于创建企业文化的承诺中获益，该企业文化允许团队在最高级别上执行。我非常支持集体智慧的好处 - 特别是在我们的行业中，即使是最聪明的团队成员也能从听取不同观点中受益 - 并且需要有意识地创造有利于高效协作的环境。
Over the past four decades, my passion and experience have centered on management and leadership in the investment industry, which is complementary to the primary skills of my partners – and co-portfolio managers for the All Asset strategies – Rob Arnott and Chris Brightman. I joined Research Affiliates in November 2006 to help build a high-functioning and sustainable firm, and one of our early initiatives was to cultivate a corporate culture that would support winning outcomes for our clients, partners and employees. A key driver of our culture then, as it is today, was a shared belief in the benefits of collaboration and the value of diverse opinions.
在过去四十年中，我的热情和经验集中在投资行业的管理和领导力，这是我的合作伙伴的主要技能的补充 - 以及All Asset战略的联合投资组合经理--Rob Arnott和Chris Brightman。我于2006年11月加入Research Affiliates，帮助建立一个高效且可持续发展的公司，我们早期的一项举措是培养一种企业文化，以支持我们的客户，合作伙伴和员工取得成功。如今，我们文化的一个关键驱动因素是对协作的好处和不同意见的价值的共同信念。
In a recent piece titled “The Winning Formula,” I shared three elements of our firm’s management that I view as crucial for long-term success: mission, team and culture. The influence of firm culture is deeper and more impactful than many assume. First, a culture founded on core values3 inherently influences our people, who are critical to the long-term success of our firm, our partners and our clients. Leadership, research, strategy development, product development and relationship management efforts that benefit the All Asset strategies all spring forth from our people.
Second, and importantly, beyond supporting individuals alone, a sustainable culture has the potential to foster high-functioning teams and raise levels of collective intelligence. Studies have shown that randomly selected groups of people perform better than the single most intelligent person (as measured by IQ) in the group. And based on my research, a corporate culture that embraces diversity and nurtures inclusion raises collective intelligence levels and reduces groupthink, which in turn leads to more effective leadership and management practices, better decision-making outcomes and greater creativity and innovation.4 Accordingly, we are intentional about fostering two elements necessary for raising collective intelligence levels and minimizing groupthink: 1) ensuring cognitively diverse teams and 2) fostering environments that value curiosity, respect and independent – particularly dissenting – views.
其次，重要的是，除了单独支持个人之外，可持续文化还有可能培养高效的团队并提高集体智慧水平。研究表明，随机选择的人群比群体中最聪明的人（以智商衡量）表现更好。根据我的研究，包含多样性和培养包容性的企业文化提高了集体智慧水平，减少了集体思维，从而导致更有效的领导和管理实践，更好的决策结果以及更大的创造力和创新.4因此，我们有意识地培养提高集体智力水平和最小化群体思维所必需的两个要素：1）确保认知多样化的团队和2）培养重视好奇心，尊重和独立 - 特别是异议 - 观点的环境。
Our advisors at Research Affiliates have studied the relationship between culture and long-term value, and the results support our approach. In a 2011 study,5 Alex Edmans found that firms whose employees have high levels of job satisfaction – as measured by those listed in Fortune magazine’s “100 Best Companies to Work for in America” – also tend to deliver high long-term stock returns. Over a 26-year span ending 2009, these firms beat their peers by 2.4% to 3.7% per year. And in a 2018 study, Campbell R. Harvey and his coauthors also found that cultural values and norms are positively correlated with firm value, innovation and ethical outcomes.6
我们在Research Affiliates的顾问研究了文化与长期价值之间的关系，结果支持我们的方法。在2011年的一项研究中，5 Alex Edmans发现员工具有高水平工作满意度的公司 - 以“财富”杂志“100家最适合在美国工作的公司”所列的公司衡量 - 也倾向于提供高额的长期股票回报。在截至2009年的26年间，这些公司每年击败同行2.4％至3.7％。在2018年的一项研究中，Campbell R. Harvey及其共同作者也发现文化价值观和规范与公司价值，创新和道德结果正相关.6
Over the past decade, we have embraced the importance of building a high-functioning, sustainable culture. In a world and an industry where the only constant is change, this commitment is essential to deliver on our mission of conducting research and advancing innovative products for the benefit of investors in the All Asset strategies.