摘要
投資人往往會根據他們對未來報酬、波動性和相關性的預期配置資本，基本原則是把投資分散到互不相關的資產，藉此提高投資組合的穩定性和減低風險。這是一般由股票和債券組成的多元資產投資組合背後的理念。
傳統以來，股票和債券會呈相反的走勢，提供了自然的避險作用，成為60/40股債組合長期以來能抵禦各種市場衝擊的策略。然而，近期如 2022 年的市場失調事件，央行連續多次大幅升息，導致環球股票和債券市場大幅回落，股債這種負相關性完全崩潰。
市場崩潰，令更穩健完善的風險管理架構更見重要，而改為採用避險策略以抵禦市場跌幅的投資人愈來愈多。
了解及評估市場回撤
穩健完善的風險管理架構必須考慮市場崩潰的性質和動態，並了解他們是如何出現及隨時間發展。
主要跌幅指標包括：
- 最大跌幅-投資組合價值從高峰到谷底的跌幅。
- 跌幅持續時間-從高峰到谷底的時間。
- 恢復時間-跌幅恢復到之前高峰所需的時間。
下跌方式各有不同：
- 大幅下跌，例如2020年初新冠疫情對市場造成的衝擊，突如其來且情況嚴重。
- 逐步下跌，例如2022年的升息周期，跌幅是隨著時間慢慢展開，並曠日持久。
了解市場跌幅及其特色，對於設計有效針對各種市場受壓情境的多重風險管理配置至關重要。
以多重風險管理配置避險極端風險
避險雖然可避免造成虧損，但避險成本往往會蠶食長期表現。然而，對於不少投資人（尤其是跌幅受限的機構投資人）來說，選擇不進行避險並非可行的選項。因此多重風險管理配置可發揮作用。
多重風險管理配置是緩減風險的避險策略，會一併用於投資組合以避險極端風險，不會減少投資組合的長期報酬。多重風險管理配置不會單靠成本高昂的單一避險，它是一種結構化的避險方法，可應付各種市場跌幅，透過採用不同策略攤分成本，並將資金部署到最具效益的地方。
構建多重風險管理配置的三大支柱架構：
1.直接避險
這包括認沽期權等工具，在市場大幅回調時發揮作用。這些策略為投資組合資產提供高度的負相關性，可受惠於市場波動性急升。然而，在策略執行過程中需要付出預期成本。
2.替代性避險
這包括在市場緩慢下跌時表現理想的策略，例子包括趨勢追蹤策略，或抵禦跌市能力較佳的優質股票配置。
3.利差交易
利差交易可產生報酬以抵銷直接避險的成本。這些策略的選股不包括預期會在市場欠佳時跑輸大盤的產品。
個案研究：採用多重風險管理配置的60/40股債投資組合
為闡述多重風險管理配置的優點，我們把三大支柱應用在一個美國60/40股債投資組合（60%標準普爾500指數，40%美國固定收益），並於2012年7月至2025年4月期間進行回溯測試。
雖然投資組合的長期表現強勁，但非避險投資組合卻有多次顯著跌幅，例如2020年第一季（新冠疫情）和2022年全年（通脹引發拋售）。風險管理配置避險投資組合按以下配置組成：50%直接避險，20%替代性避險及10%利差交易。
圖1：投資組合表現比較（非避險與避險）
資料來源：瀚亞投資及彭博，截至 2025年4月30日
雖然避險投資組合在漲幅強勁的年份表現稍微遜色（每年落後50至200個基點），但在極端風險事件期間，表現卻明顯跑贏大盤，既減少跌幅也加快了反彈，因此在長期取得較佳的經風險調整報酬。
圖2：2012年7月至2025年4月的部分跌幅統計數字
資料來源：瀚亞投資及彭博，截至2025年4月30日
圖3：跌幅表現指標
資料來源：瀚亞投資及彭博，截至2025年4月30日
利用多重風險管理配置平衡風險和報酬
綜合三大支柱的多重風險管理配置架構為多元資產投資組合提供一個舒緩市場顯著跌幅的方法。雖然多重風險管理配置在長期牛市中的表現或會遜於非避險投資組合，並會面臨替代性避險和利差交易帶來的負面影響，但這些風險可透過策略性分散投資和持續監察表現來管理。
相比以期權為主的傳統避險做法，這種多元化架構可更有效針對極端風險，同時減低表現受拖累的情況。隨著市場發展，多重風險管理配置有助大大提升現金投資組合的構成。
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