The author examines over 50 years of equity returns and finds distinct risk characteristics across different time horizons. Defensive, lower beta equities have had smaller monthly losses than their beta would suggest, making them attractive for conservative investors with shorter holding periods. In contrast, the volatility of cyclical, higher beta companies has been increasingly favorable over longer holding periods, bolstering risk-adjusted returns for long-horizon growth investors. This suggests that investors who align the mix of defensive and cyclical stocks to their goals and investment horizon can mitigate risks more effectively than those who simply hold the broad market and add bonds. TOPICS: Portfolio construction, equity portfolio management, analysis of individual factors/risk premia Key Findings • Defensive, lower beta equities have had smaller monthly losses than their beta would suggest, making them attractive for conservative investors with shorter holding periods. • The volatility of cyclical, higher beta companies has been increasingly favorable over longer holding periods, bolstering risk-adjusted returns for long-horizon growth investors. • Investors who align the mix of defensive and cyclical stocks to their goals and investment horizon can mitigate risks more effectively than those who simply hold the broad market and add bonds.

中文翻译：

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时间范围，风险及其对股权选择的影响

作者研究了50多年的股权收益，并发现了不同时期的独特风险特征。防御性较低的beta资产每月损失比其beta预期的要小，这使其对于持有期较短的保守投资者具有吸引力。相反，周期性的，较高贝塔值的公司的波动性在较长的持有期内越来越有利，这为长期增长的投资者提供了风险调整后的收益。这表明，将防御性和周期性股票的组合与他们的目标和投资范围相匹配的投资者比仅持有大盘并增加债券的投资者更有效地减轻了风险。主题：投资组合构建，股权投资组合管理，单个因素/风险溢价分析主要发现•防御性，Beta版本较低的股票每月损失比Beta版本所暗示的要小，这使其对于持有期较短的保守投资者具有吸引力。•周期性的，较高贝塔值的公司的波动性在较长的持有期内变得越来越有利，这为长期增长型投资者提供了风险调整后的收益。•使防御性和周期性股票的组合与他们的目标和投资范围保持一致的投资者比那些仅持有广阔市场并增加债券的投资者可以更有效地减轻风险。