저자: 미상 · 외국인
요약 보기
하워드 막스 『투자에 대한 생각』 19장 낭독. 가치 창출 투자자의 성과는 비대칭적이어야 함을 설명. 인덱스 수익 모방은 쉽지만 위험조정 수익으로 시장을 이기는 것은 어려움. 베타는 시장 민감도, 알파는 개인 투자 역량으로 정의. 알파는 존재하며 상승장엔 시장보다, 하락장엔 덜 잃어야 한다는 기준 제시. 단일 연도 성과는 실력 판단 근거로 부족.
다듬은 글
19. The most important thing is to add value. The performance of value-adding investors is asymmetrical; the percentage of gains they obtain from the market is greater than the percentage of losses they suffer. We can only count on the ability to add more value in favorable environments than to lose in hostile environments.
This is the asymmetry we seek. It is not difficult to present a performance equal to that of the market in terms of risk and return. The difficult part is to present a performance better than that of the market and add value. This requires greater skill and perception about investments. So at this point, almost at the end of the book, we take a three- sixtieth turn and return to the first chapter and the exceptional ability of second-level thinkers.
The objective of this chapter is to explain what adding value means for older investors. To do this, I will introduce two terms from investment theory: one is Beta, a measure of the relative sensitivity of a portfolio to market movements; the other is Alpha, which I define as the individual ability to invest or the capacity to generate performance that is not related to market movements.
As I mentioned earlier, obtaining the same returns as the market is easy; an index fund... Passive investing will produce exactly that result by positioning all assets in a given market index in proportion to its capitalization. It thus mirrors the characteristics of the selected index, for example, potential gain, risk of loss, Beta or volatility, growth, price (high or low), quality (lack of quality), and guarantees that return.
It is the symbol of investment without added value. Let's say, then, that all stock investors start not with a blank sheet of paper but with the simple possibility of emulating some index. These investors can passively buy a quantity weighted by the market capitalization of each stock that makes up the index; in this case, their performance will be the same as the index.
Or they can try to beat the market performance through active investments. Active investors have a series of options available. First, they can decide whether their portfolio will be more aggressive or more defensive than the index, either on a permanent basis or in an attempt to anticipate the market.
If investors choose the aggressive path, for example, they can increase the market sensitivity of their portfolios by increasing the weight of index stocks that tend to fluctuate more than others, or by using leverage. These actions will increase the systematic risk of the portfolio, that is, its Beta.
However, theory states that while this may increase a portfolio's return, the return differential will be entirely explained by the increased systematic risk assumed. Thus, these actions will not improve the portfolio's risk-adjusted return. Secondly, investors may choose to deviate from the index to exploit their ability to select stocks by buying a larger quantity of index stocks, decreasing the weight of some, excluding others, and adding stocks that are not part of the index.
By doing so, they will alter their portfolios' exposure to specific events that occur in certain companies. Thus, there are price movements that affect only certain stocks, not the entire index. As the composition of these portfolios diverges from the index for non-systematic, we could say peculiar, reasons, their return will also deviate in the long term.
However, unless investors originate from exceptional insight, these deviations will be undone, and their risk-adjusted performance will converge to that of the index. Active investors who do not possess the exceptional insight described in Chapter 1 are no better than passive investors, and the performance of their portfolios should not be better than that of a passive portfolio.
They may strive to cling to the offensive or defensive, or trade a storm. However, its risk-adjusted performance is not expected to be better than that of a passive portfolio and could be worse due to the unsystematic risks assumed and the transaction costs that are unnecessary. This does not mean that if the market index rises 15%, all active investors who do not add value will obtain returns of 15%.
They will all have different active portfolios, and some will perform better than others. However, they will not consistently or reliably collectively reflect the market composition, but each will have its peculiarities. Risk-tolerant and aggressive investors, for example, should earn more than the index in good periods and lose more in bad periods.
This is where Beta comes in. By the word Beta, the theory refers to the relative volatility or the relative sensitivity of the portfolio's return to the market return. A portfolio with a beta above one is expected to be more volatile than the benchmark market, and another with a beta below one is expected to be less volatile.
When we multiply the market return by Beta, we obtain the expected return of a given portfolio, excluding unsystematic sources of risk, if the market rises 15%. A portfolio with a beta of 1.2 should offer returns of approximately 18%. Alpha theory analyzes this information and states that the higher return is explained by the increase in Beta or Systematic Risk.
It also states that returns do not increase to compensate for any risk other than systematic risk. Why not? According to the theory, the risk that markets compensate for is only that considered intrinsic and inescapable in an investment – systematic risk or non-diversifiable risk. The rest of the risk comes from decisions to hold certain specific stocks – non- systematic risk.
But if this risk can be eliminated through diversification, investors should be compensated by receiving higher returns for assuming it. According to the theory, then the formula to explain the performance of portfolio Y is as follows: The return of a portfolio is equal to its Beta multiplied by the market return, and alpha – the return related to skill – is added to obtain the total return.
The theory obviously says that alpha does not exist. Although I do not accept the identity between risk and volatility, I insist on considering the return of a portfolio in light of its overall risk, as discussed earlier. A manager who earned... 18% with a risky portfolio is not necessarily better than someone who has obtained 15% with a lower-risk portfolio.
Risk-adjusted return is key, but the only tool we have to calibrate it is monitoring volatility. I believe that the best way to assess risk is developed subjectively, not with scientific calculations. Of course, I also don't accept the idea that the Alpha term in the equation should be zero. Investment ability exists, although not everyone has it.
Only by considering risk-adjusted return can we determine if an investor has exceptional perception or investment ability, or Alpha, if they are able to add value. The alpha-beta model is an excellent way to evaluate portfolios, portfolio managers, investment strategies, and asset allocation schemes.
It's an organized way to calculate what part of the return originates from the environment and how much comes from the added value of the manager. For example, it's obvious that this manager has no skill. What is clear in these tables is that beating the market and being a great investor are not synonyms.
Look at years one and two; in the third example, it's not just the return that matters, but also the risk we assume. To achieve this, it's important to keep these considerations in mind when evaluating an investor's skill and comparing the track record of a defensive investor to that of an aggressive investor.
We can call this process style adjustment. In a bad year, defensive investors lose less than aggressive investors; they added value. Not necessarily in a good year; aggressive investors earn more than defensive investors; they did a better job. Few people would say yes without deeper analysis. A single year says almost nothing about the manager's skill, especially when the results are aligned with what would be expected.
Based on the investor's style, it means relatively little that the aggressive investor obtains high returns in a rising market or that the conservative investor is able to minimize losses in a falling market. The real question is how they perform in the long term and in places where their style is inadequate.
The following chart tells this story. The key to this matrix is symmetry, or the symmetry of performance. Investors who lack skill only earn the market return according to the dictates of their style. Without skill, aggressive investors move a lot in both directions, and conservative investors... Defensive investors move little in any direction; these investors contribute nothing beyond their chosen style.
They perform well when their style favors them, but poorly when it doesn't. On the other hand, the performance of value-adding investors is asymmetrical; the percentage of market gains they obtain is greater than the percentage of losses they suffer. Skilled aggressive investors do well in bullish markets but don't lose all their gains in bearish markets, while skillful defensive investors lose relatively little in bearish markets and participate reasonably well in bullish markets.
Everything in the investment field is a double-edged sword that operates symmetrically, except for superior skill. We can only rely on skill to add more value in favorable environments than to lose in hostile environments. This is the asymmetry we seek; superior skill is the prerequisite for this. See how I describe Octay's performance aspirations in years when the market is good; we just need to be average.
Everyone makes money in good years. I still haven't found anyone who could convincingly explain to me why... It's important to beat the market when the market is doing well, not just in good years. It's enough to stay average; however, there are periods when we consider it essential to beat the market.
This occurs in years when the market is bad. Our clients don't want to bear the full weight of the losses when they occur, and neither do we. Therefore, our goal is to outperform the market when it's doing well and better when it's doing poorly. At first glance, this may sound like a modest goal, but it's actually very ambitious.
To stay aligned with the market when it's doing well, a portfolio needs to incorporate a good amount of Beta and correlation with the market. Now, if Beta and correlation help us in ups and downs, wouldn't it be expected that they would harm us in downs? When we are consistently able to lose less than the market in downs and also participate fully when the market rises, this can only be attributed to JFA (Joint Financial Act) or skill.
This is an example of value-added investing, and when it occurs over decades, it can only be explained by the manager's skill. Asymmetry should be the goal of every investor.
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