저자: HowardMarks · 외국인
요약 보기
저수익 시대의 투자 방법 여섯 가지를 제시하고, 어느 것도 완전히 만족스럽지 않다고 결론짓는다. 여섯 가지 대안: ① 과거 수익률을 기대하며 기존 방식 유지(현실성 없음), ② 기존 방식을 유지하되 낮은 수익률 수용(현실적이나 재미없음), ③ 위험을 줄이고 더 낮은 수익을 수용, ④ 현금화 후 적당한 시점 대기(타이밍 어려움), ⑤ 오히려 더 많은 위험을 감수, ⑥ 대체투자·비시장 자산·숙련된 매니저에 더 투자. 효율적 시장 가설에 따르면 초과수익은 불가능하고 수익은 시장 수익률×베타로만 결정되므로, 고수익을 원하면 위험을 더 져야 한다. 낮은 수익의 베타 시장에서는 기대수익이 낮다고 평가한다. 고수익 달성 방법은 세 가지: 위험 증가, 운(luck)에 의존, 또는 비효율적 시장에서 알파 획득. 비효율 시장은 가격이 공정가치에서 벗어날 수 있을 뿐 항상 저평가는 아니며, 매니저 선택 실패 위험(매니저 리스크)이 존재한다. 액티브 운용은 시장이 완전 효율적이지 않고 알파를 내는 숙련 투자자가 있다는 믿음에 기반하지만, 알파 추구가 무위험인 것은 아니라고 강조한다. 특정 자산·종목에 대한 가격 방향 예측 발언은 없음.
다듬은 글
so how should you invest in a low return world and i've come up with six possibilities i've put them up here and i'm not aware that there are any others number one invest as you always have and expect your historic returns well that's actually a fake because nothing in my opinion offers the return that it historically has offered so that's a red herring i just want to make sure i had your attention the second one invest as you always have and settle for today's low returns that's more like it that's more realistic that's more prudent it's just not much fun and for many organizations it doesn't fit the business plan the third is to reduce your risk to prepare for a market correction and accept still lower returns and that's even less fun the fourth is to go all the way towards defense go to cash except they return closer to zero and wait for a better environment to put that cash to work that's very challenging because you know going to cash is an extreme action for an active investor and not only do you have to be right but you have to be right quick because if it takes you two years to be right you'll you'll have dug a hole that you if the market keeps going up in those two years and you were wrong to go to cash you'll have dug a hole so deep you may never get out of it and by the way you may not have a shovel anymore because you may have you may have lost your job so that's number four then there's number five which is to do the opposite to take on more risk in the low return world in order to try to get the returns that you used to get with safety that has obvious merits and demerits and number six is to put more into what you would call special niches and special people that is bet more on alternatives non-market private and hopefully skilled managers now the important thing is that none of these alternatives is completely satisfactory everyone has a downside including number six because you go into special asset classes with hope what you believe is are special managers and you expose yourself to manage your risk the risk that you thought you were finding somebody with alpha he or she actually turns out to have negative alpha and underperforms so as i say none is completely satisfactory but i think there are no others so now let's talk about pursuing superior returns through number six according to the efficient martha market hypothesis which i was taught here at chicago there are no mispricings to find and no such thing as the skill to find them that is to say you can't beat the market you can't have alpha you can't contribute through active management and that means that an investor's return will be nothing but the product of the market's performance and the portfolio's degree of sensitivity to that market performance systematic risk or what we call beta market times beta you know performance is alpha manager skill plus beta times the market's return efficient market hypothesis is there is no such thing as manager skill so it's all beta times the market and if that's true then the only way to try for a higher return in an efficient beta market is to take on more risk and for the reasons described earlier today's beta markets are generally offer unusually low prospective returns you have to decide for yourself whether you accept these as the premises there are really only three ways to strive for high returns in a low return world increase your risk as just described rely on getting lucky or locate inefficient markets where it's possible to profit from alpha or personal skill and of course locate managers who have that alpha the mere fact that a market is an inefficient market and by the way i believe that a there are no markets which are perfectly efficient and b there are markets which offer inefficiency that's the ones we try to work in but people say oh i'm going into xyz because it's an inefficient market merely going into an inefficient market does not mean they hand out money it doesn't mean that everybody goes into that market and makes an above average return or an above average risk return risk adjuster return what it means is that unlike the efficient markets where there's no such thing as lock a skill or unskill and as a consequence everybody performs about the same in the long run in the inefficient markets their their prices deviate from fair value so there is scope for a superior manager to do above average through the application of alpha or an inferior manager to perform below average due to the presence of what you might call negative alpha so uh these are the ways to to have superior returns and uh i believe that in order to participate in active management which is why i suppose we're all here who here manages an index fund not too many okay so we're all active managers we all think that that we can make uh value accretive decisions in order to do it active investing it has to be based on the belief that a markets exist that are less than fully efficient that offer the possibility of superior risk-adjusted returns and b there are people with the skill to identify the bargains and add value by actively managing assets if you don't believe both of those two things then you shouldn't be an active manager but pursuing alpha is not risk-free engagement in active management has to be based on the belief that those two things exist but pursuing alpha is not risk-free inefficiency only means that asset classes as i mentioned are able to deviate from fair value not that they're always bargains assets can be overpriced as well as underpriced in an inefficient market clients count on alpha managers abilities to tell the cheap ones from the expensive ones the potential for choosing the wrong managers introduces manager risk into the equation in the alpha in the inefficient market categories thus there is no surefire way to access high returns in a low return world even in alpha markets as should be expected one of the underlying beliefs of my philosophy and i hope of yours is that most of the time they don't give away money for nothing uh that's what the if the efficient market hypothesis really says and but the question is will you try you
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