whitepaper_risk_on_risk_off教程.pdf

Risk On, Risk Off Wai Lee, Ph.D. The phrase “Risk On, Risk Off” may have become ingrained in the vernacular of Managing Director global investors. We attempt to crystallize what “Risk On, Risk Off” really means by Chief Investment Officer and analyzing an extreme state of the market when correlation of all assets are perfect. Director of Research We derive a set of normative results in relation to the investment opportunity set on Quantitative Investment Group how assets should behave. While our results do not provide guidance on interpolation Neuberger Berman between a particular state and the extreme state of perfect correlation, we believe that our analysis can serve as a compass for our investment decision-making process November 2011 in the event we believe that we are moving towards or away from a “Risk On, Risk Off” environment. Investment implications in relation to a risk-parity portfolio, global asset allocation, and active portfolio management are discussed. Ever since the global financial crisis came to a head in 2008, “Risk On, Risk Off ” and “correlations go to one” have become the most widely used phrases in describing investment and asset price behavior. Generally speaking, 2008 was a “risk off ” year in which investors were said to “de-risk” either by deleveraging or by selling existing risky positions across the board and going to cash. For a large part of the year, 2009 was a “risk on”