ABSTRACT

Investment portfolios are typically created to minimise the level of risk for a required level of return. This paper highlights the importance of the choice of risk metric in this process. The theoretical nature of volatility as a risk measure is reviewed, as are those of three commonly used alternatives: Conditional Value at Risk (CVaR), Omega Ratio and the Wang Transform Risk Measure. The Wang measure is a new measure in a multi-asset portfolio management context. The practical implications of the application of these four different risk metrics are then reviewed in the context of a South African multi-asset class portfolio targeting CPI + five per cent. The results illustrate that the choice of risk measure results in significantly different asset allocation (both strategically and tactically) and related performance outcomes. This highlights the importance for investment managers of the selection of risk measures in a multi-asset portfolio construction context.

摘要

通常创建投资组合以使所需回报水平的风险最小化。本文强调了在此过程中选择风险度量标准的重要性。回顾了波动性作为风险度量的理论性质，以及三种常用替代方法的波动性：条件风险价值（CVaR），欧米茄比率和Wang转换风险度量。Wang度量是多资产投资组合管理环境中的一种新度量。然后，在针对CPI + 5％的南非多资产类别投资组合的背景下，对应用这四种不同风险指标的实际含义进行了评估。结果表明，风险度量的选择会导致资产分配（战略上和战术上）和相关绩效结果显着不同。