Diversifying Diversification: Downside Risk Management with Portfolios of Insurance Securities
研究了黄金、瑞士法郎、日元、债券期货、标普500看跌期权和趋势跟踪策略六种分散化证券，发现组合使用这些策略能更稳健地管理下行风险，避免过度依赖单一策略。
Investors are always in search of diversifying securities and strategies to assist in downside risk management. The authors consider six popular diversifying securities: gold, Swiss franc, Japanese yen, bond futures, S&P 500 80% strike put options, and trend-following strategies. Using 50 years of data, the authors demonstrate that a portfolio approach to diversification strategies results in more robust outcomes when combined with a portfolio that has large equity exposure. Although each of the individual securities can be more or less beneficial in specific periods and environments, the authors conclude that a simple portfolio approach to diversification, whether optimized or not, allows investors to robustly manage risk while not being overly concentrated. <b>TOPICS:</b>Portfolio construction, risk management, security analysis and valuation, currency, options <b>Key Findings</b> ▪ Many securities and strategies, such as gold, yen, Swiss franc, bond futures, S&P 500 Index put options, and trend following, have all been used for downside risk mitigation. ▪ Over 50 years of history, each of these strategies assists in mitigating risk and improving the performance of a portfolio with S&P 500 exposure. ▪ However, by diversifying diversification (i.e., by combining these strategies), we demonstrate that more robust portfolio outcomes can be realized without the possibility of hindsight bias or over-reliance on one risk mitigation strategy.