저자: KenFisher · 외국인
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결론: 베타는 과거 변동성만 측정할 뿐 미래 위험을 예측하지 못하므로, 베타로 포트폴리오를 결정하면 손해를 본다. 베타의 기원과 금융 도입 배경: 베타는 스위스 수학자 오일러의 수학적 연구에서 파생되어 1950년대 금융에 도입되었다. 과거 변동성이 큰 주식은 더 위험하다는 전제가 깔려 있었다. 과거 변동성과 미래 위험의 차이: 베타는 과거 위험을 측정하는 것이지 미래 위험을 측정하지 않는다. 통계적으로 개별 주식이나 시장의 과거 가격 움직임은 미래를 예측하지 못하는 것으로 입증되어 왔다. 반례: 오랫동안 안정적이던 주식이 약세장 후반에 크게 하락하면 베타는 올라가지만, 하락 이후 오히려 위험이 줄어들 수 있다. 하락 전이 더 위험했다고 보는 것은 난센스다. 현대 포트폴리오 이론의 배경: 1951년 연구(마코위츠 계열)는 미래 기대수익 대비 미래 변동성이 낮은 자산이 포트폴리오 가치를 더한다는 개념을 제시했다. 학계는 분산과 공분산을 측정하기 위해 베타를 채택했고, 이것이 널리 수용되었다. 비판: 금융 학교에서 배운 베타는 관행적 신화에 가깝고 실무에 그대로 적용되지 않는 이론이다. 여전히 많은 사람들이 베타를 사용하고 있다. 결론적 주장: 베타로 포트폴리오 결정을 내리면 해를 입는다. 베타는 과거 위험을 측정할 뿐이며, 미래를 예측하는 데 사용하면 안 된다. 언급된 자산 및 방향: 개별 종목·시장·특정 자산에 대한 가격 방향 예측 발언은 없음. 조건 및 리스크: 베타 기반 의사결정의 위험성 강조. 출연자 전망: 특정 자산에 대한 가격 전망은 없음.
다듬은 글
the presumption as beta was deployed into Finance was that if stocks were more volatile in the past they're riskier there's actually no part of anything in finance that's ever shown not to be true let me take you through that so in finance and much of the rest of life you know there's just a lot of nonsense Finance has a lot of nonsense in it that's not very good things of course too also but one of the things that evolved in the 1950s that's just nonsense is the creation of beta as a finance tool uh originally created by a guy named sure like sure beta works and the reality of beta is that it was created uh derived from the mathematical work and uh in the 18th century of Leonard uh Euler in Switzerland to measure in a fairly complex mathematical way the past volatility of something relative to the body that it comes from in this case a stock versus the mark and the presumption as beta was deployed into Finance was that if stocks were more volatile in the past they're riskier there's actually no part of anything in finance that's ever shown that to be true let me take you through that we have many many stocks and in in um my book debunkery this is a debunk number 19 beta measures risk every month I do one of these beta doesn't measure risk beta measures former risk which actually has nothing to do with future risk statistically it's been demonstrated for a long time that single stock price action or Price action of the market as a whole does not predict the future once you get that you realize that a stock having been more volatile in the past doesn't mean it will be or won't be more volatile in the future might be might not be let me give you an example if a stock has been very stable for a long time and then falls to the floor like maybe it's stable stable stable stable not going up in a bull market much and then you get into a bear market and early on in the bear Market it doesn't go down much and then in the back part of the bear Market it goes down a lot more than the market it's beta will rise is it riskier now than it was before well I don't know let's think about that if it keeps going down yeah maybe if it stops going down the drop probably made it less risky you follow let's think that through more fully stock goes along not going anywhere then drop the huge amount then keeps going along was it more risky before the drop and that's pretty obviously nonsense that it was more risky before the drop you follow that statistically beta doesn't tell you anything about the future but there's a reason it was created portfolio Theory as we understand it in modern Finance derives from uh very specific work done in 1951.
that basically explains something co-main variance optimization that says that the purpose of a stock or category or new entrant into a portfolio only adds value if it has low future volatility relative to future expected return compared to the portfolio that's entered into by entering the stock into the portfolio you bring down the total portfolio volatility relative future expected returns that's what that says so the effect of that as it was evolved is they need to measure things they need to find ways to measure volatility and you know this was defined as measures of variance and covariance and academics would use beta derived from the Schuler mathematics to create beta which became very widely accepted but once you get the notion that prior price action tells you nothing about future price action you also get the notion that beta only tells you about risk in the past it doesn't tell you about risk in the present future and so lots of folks still today particularly those that spend a lot of time studying Finance in school and kind of didn't get that lesson that this part of what they teach you in finance in school is just something that's been long accepted as mythology that's conventional but it is mythology it's not actually real it's theory that doesn't practically translate into real world there's still people using paid all the time ironically and I challenge you to do this if you go and try to find uh on internet search Google whatever history of beta it's actually not that easy to find the history of beta you can find lots of folks using beta and telling you why beta is good others telling you why beta is bad like I am but I'm just going to tell you if you try to make portfolio decisions based on beta and you can get this yeah out of my section 19 on the debunkery and the debunking of beta as a measure of risk beta measures risk of the past it doesn't measure risk for that stock or group of things in the future and using it as if it predicts the future will hurt you
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