摘要
「進攻贏得比賽，防守贏得冠軍」——費格遜爵士。
隨著多支英超聯賽球會正在亞洲各地進行季前賽，有效防守的重要性表露無遺。無論足球隊採取4-4-2、4-2-3-1、3-4-3或其他陣形，所有成功策略均包括後衛球員。後衛為球隊帶來穩定性，抵禦波動及意外威脅，確保球隊在壓力下維持效能。同樣地，防禦型投資配置（例如系統化低波動策略）能成為投資組合的中流砥柱，在各種市況下提供韌性。
混亂賽場
踏入「下半場」，全球股市在今年前七個月經歷動盪，其特點是非避險與避險情緒交替出現。這段時期由多項因素主導，包括關稅不確定性及其後續協議／延期、《大而美法案》（One Big Beautiful Bill Act）等政策發展、中東地緣政治緊張局勢以及美國企業的業績期較預期佳。最近，美國勞動市場出現隱憂，加上川普總統公佈關稅措施，導致標普500指數在8月1日下跌1.6%，創下2025年5月以來最大跌幅。
不確定性仍然是全球市場的核心主題。政策方向、貿易關稅結果及經濟增長軌跡仍然充滿變數。
雖然美國企業獲利強勁，但數據顯示，相關不確定性現已滲透至企業獲利的層面。根據彭博編制的文字記錄分析，自4月初以來，「不確定」及「不確定性」等詞彙在企業的業績電話會議、會議簡報及相關活動中出現了大約3,100次，創下20多年來的季度新高，甚至超越2008年全球金融危機及2020年新冠疫情期間的高峰。顯而易見，不確定性的水平持續上升。
圖1：「不確定」及「不確定性」的提及次數
資料來源：彭博。註：數據截至5月29日收市。包括業績電話會議、會議簡報及其他活動的文字紀錄。
在這環境下，亞洲及新興市場股市跑羸美國及已開發市場股市。美元指數年初至今下跌9%，此趨勢歷來利好新興市場資產，並預計將會持續，加上亞洲及新興市場的估值亦見吸引，為相關資產帶來優勢，以吸納尋求從以美國為主的投資組合分散投資的資金。
採取積極防守策略
面對波動市況，亞洲市場的集中度不斷提高，亞太區（日本除外）的有效股票數目現時遠低於長期平均值。「有效股票數目」有助說明市場指數的多元化程度，其根據赫芬達爾—赫希曼指數（赫芬達爾指數）的倒數計算得出，後者是衡量集中度的常用指標。赫芬達爾指數的數值越高，有效股票的數目便越低，市場指數的集中度便越高。見圖2。台灣的情況尤其明顯，僅有三隻有效股票。集中度日益上升的趨勢突顯了分散投資的迫切需要，並鞏固了在亞洲市場進行積極管理的價值。
圖2：有效股票數目
資料來源：瀚亞投資及MSCI。截至2025年5月30日。
因此，對於已持有亞洲股票或打算增加配置的投資人而言，系統化低波動策略似乎相當適合當前的波動時期。系統化低波動策略不會追逐可能導致投資組合過度集中的短期趨勢，相反，該策略源於以穩健投資原則的統計平均值為基礎的長線投資理論，並以低波動異常現象為核心依據。這種異常現象以及實踐者的優化經驗顯示，價格波動較低、配息率吸引，以及具備多元因子超額報酬特點的股票，往往能夠隨著時間而提高經風險調整報酬。
超過24年的歷史數據支持了這一觀點——亞洲低波動策略（以MSCI所有國家亞太區（日本除外）最低波動指數代表）的12個月滾動報酬在市場受壓以及適度或穩定增長時期持續跑贏大盤，這一領先表現涵蓋報酬率介乎-20%至+20%的各種市場情景。值得注意的是，當市場報酬率介於+10%至+20%時，低波動風格跑贏大盤的機率超過50%，反映了即使市況適度向好，相關策略亦表現穩健。圖3清晰顯示了這種動態。
圖3：低波動策略領先市場的成功率
資料來源︰瀚亞投資、MSCI。截至2025年7月31日。低波動策略以MSCI所有國家亞太區（日本除外）最低波動指數代表。請注意，使用該等指數作為各資產類別／行業過往表現的代表具有限制。以上圖表僅供參考用途，並不是有關市場的未來表現或可能取得之表現的指標。
穩定得分
雖然年初至今的股市升勢集中，且偏向高增長、高波動股票，但8月初的市場拋售以及可能維持一段時間的區間震盪時期，突顯了防禦型配置在投資組合中的持久重要性。正如後衛是足球隊的致勝關鍵，低波動策略發揮著關鍵作用，能夠減低下行風險並隨著時間而實現穩定報酬，有助投資組合抵禦市場動盪。
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