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桥水报告解读:那么投资回报率更高?金融经济学

????地理多样化可能是救命稻草,但大多数投资组合都是高度地理集中的原创:情报机构投机情报机构内容摘要今天为您提供了一份关于投资组合地理集中度的分析报告。本文的主要目的是说明地理分权在投资组合构建中的优势。对于一个投资组合,增加投资组合的灵活性是获得持续回报和维持财富的最佳方式。实现持续回报和保持财富的最佳方法是建立尽可能灵活的投资组合,以适应世界的各种可能性。为了找出投资者在经验之外的脆弱性,桥水发现,历史上不同国家不同环境下的压力测试组合是有价值的。一个常见的弱点是地理集中。在过去的一个世纪里,投资者曾多次集中在一个国家,但他们目睹了自己的财富被地缘政治动荡、债务危机、货币改革或泡沫破灭所吞噬,而其他国家的市场仍然保持着灵活性。即使没有这样的极端事件,在任何给定的时间,表现最好的国家和表现最差的国家之间总是存在巨大的差异。此外,没有一个国家一直表现得比其他国家更好,因为比其他国家更好的表现可能导致估值相对较高,然后反转。一个地域多元化的投资组合并不试图预测谁会在某个特定的时间获胜,而是创造一个更稳定的回报流,通常在任何时间点表现几乎都是最好的单一国家。因此,区域多元化对投资者来说既有利又无弊。未来几十年,地区多元化可能比我们作为投资者的生活经历更为重要。在桥水大部分的工作生活中,由于全球化和资本的自由流动,各国的经济和市场越来越与美国作为主导经济力量和维护者的支持交织在一起。稳定的全球地缘政治秩序。展望未来,中国以其独立的货币政策和信贷体系,正在成为一个独立的经济和金融重心,这将使世界更加多样化、更少单极性和更少的相互联系。同时,国家内部和国家之间冲突风险的增加也增加了产生不同结果的可能性。此外,在过去的十年中,地理多样化的紧迫性有所减弱,因为大多数资产和投资组合都产生了巨大的回报。未来较低的资产回报率使多样化和有效的风险承担对投资者更为重要。为了说明地理多样化的影响,我们首先研究了各个国家的回报流特征,相对于每个国家投资组合的平均权重,每年进行再平衡。下表显示了1900年以来股票市场的累计现金回报率,桥水的可靠数据可以追溯到100多年前。如果投资者在20世纪初集中在俄罗斯或德国,他们的大部分或全部财富都会损失,下面所示的五个国家的投资组合权重几乎与表现最佳的国家持平。回顾1950年以来更广泛的股票和债券市场,你可以看到等权投资组合一直表现良好。20世纪上半叶,虽然没有一个单一的股票市场遭受过德国和俄罗斯那样多的损失,但各国股票市场的表现仍然大相径庭,美国股票市场的波动性与其他国家相同。在下表中,灰色线代表国家,美国用深灰色标记,等量的组合用红色标记。地理上分散的投资组合之所以表现出色,是因为它们将损失降到最低,创造更稳定的回报流,并实现更快的复苏。无论起点是什么,这种基本情况都是及时有效的。如下图所示,显示了各国和多元化投资组合的10年滚动收益率和风险率。即使多元化投资组合是在经济环境中创建的(桥水称之为全天候投资组合,在增长或通胀上升或下降时均衡执行),增加地理多样性(如桥水的全天候投资组合)也具有重要价值。下面的图表重复了上面显示的前两个观点,这次是针对特定国家的全天候组合和我们自己的地理多样性全天候组合。随着市场走向均衡定价,表现最好和最差的股票会随着时间而波动。为了更好地了解投资者在任何特定时间的经验,请

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