下行风险:为什么投资者害怕亏钱，而不仅仅是波动性
你知道，在我二十年的金融生涯中，我见过无数投资者与风险的概念斗争。但事实是:在他们的心中，并不是所有的风险都是平等的。虽然学者和量化分析师可能会对波动性——那条显示股票价格波动的曲线——感到痴迷，但真正让大多数人夜不能寐的并不是波动本身，而是亏损的幽灵。我的朋友们，这就是下行风险的本质。
关于不利结果的潜在性，特别是财务损失的概率和幅度。想一想:如果你的投资组合某一天剧烈上涨，而第二天又暴跌，抹去那些收益，甚至更多，这真的重要吗？可能不重要。正如拉里·斯威德罗(Larry Swedroe)明智地指出的，引用了哈维尔·埃斯特拉达(Javier Estrada)在2025年6月的一项研究，“投资者主要关注下行风险——损失的风险——而不是仅仅关注收益的波动性”(Alpha Architect，“波动性是下行风险的良好衡量标准吗？"，2025年7月11日)。这不仅仅是金融术语；这是一个深刻的人类关切，根植于我们对损失的厌恶。
多年来，收益的标准差——普通的波动性——一直是衡量风险的首选指标。它易于计算，广为人知，并且随处可得。但是，你问，这种区别为什么重要？因为我们的脑袋天生就对损失的痛苦感受得比同等收益的快乐要强烈得多。这被称为损失厌恶，它在投资中是一种强大的力量。因此，虽然波动性捕捉了上涨和下跌的运动，但大多数投资者在失眠的夜晚中只关心那枚硬币的一面。
现在，金融界一直存在一个长期争论:波动性真的可以代表下行风险吗？哈维尔·埃斯特拉达在2025年6月的研究《波动性:下行风险的死对头》对此进行了深入探讨。他查看了截至2024年12月的47个国家的市场数据，并比较了资产在使用波动性与其他一系列下行风险指标时的排名。而他的"中心发现”，正如Alpha Architect所报道的，非常有趣:“尽管波动性有其局限性，但通过比较资产在使用波动性与替代下行风险指标时的排名，波动性作为下行风险的有效替代品” (Alpha Architect, “波动性是下行风险的良好衡量标准吗？”, 2025年7月11日)。因此，尽管纯粹主义者可能会反对，但似乎波动性并不是一个糟糕的代理，至少在排名资产时是如此。不过，对于全面的风险管理，您需要更具针对性的工具。
如果波动性不是全部，那么我们用来量化潜在损失的工具是什么？有一整套工具，它们提供了更为细致的视角。
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扭曲风险度量 These are fascinating mathematical tools that let us adjust the probability distribution of outcomes to better reflect an investor’s true risk appetite – especially their aversion to extreme losses. As the Financial Edge team explains, these measures “distort the actual probability of outcomes… placing greater focus on the adverse outcomes (such as extreme losses) and less on the moderate ones” (Financial Edge, “Distortion Risk Measures", July 14, 2025). This kind of flexibility is a godsend for assessing catastrophic potential and it’s even used in regulatory and stress-testing frameworks.
Two prominent examples you’ll often hear about are:
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Value at Risk (VaR) This tells you, with a certain probability, the maximum you could expect to lose over a specific time horizon. For instance, a 95% VaR of $1 million over one day means there’s a 5% chance of losing more than $1 million in a single day.
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Conditional Value at Risk (CVaR) (also known as Expected Shortfall) This goes a step further than VaR. While VaR tells you the threshold of loss, CVaR tells you the average loss you can expect to incur if that threshold is breached. It’s essentially the average of the worst-case scenarios, making it particularly useful for tail risk events.
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其他重要的下行指标 Beyond distortion measures, several other metrics offer different lenses through which to view downside risk. Javier Estrada’s study highlighted many of these:
* **Semi-Deviation (SSD)**
Unlike standard deviation, which considers all deviations from the mean (both up and down), semi-deviation only accounts for deviations *below* the mean. It's a direct measure of downward volatility.
* **Probability of Loss (PL)**
Simply, the likelihood of an investment experiencing a negative return over a given period.
* **Average Loss (AL)**
The average magnitude of losses when they occur.
* **Expected Loss (EL)**
A forward-looking measure of the expected amount of loss over a specific period, often used in credit risk.
* **Worst Loss (WL)**
The single largest loss recorded over a specified period. It's brutal but direct.
* **Maximum Drawdown (MD)**
This is a personal favorite for many long-term investors. It measures the largest percentage drop from a peak to a trough in an investment's value before a new peak is achieved. It shows the maximum pain an investor would have endured.
这不仅仅是理论构想；下行风险在现实经济和企业中每天都在发生。
宏观经济逆风:尼日尔与英国的案例 Just last week, the IMF Executive Board completed its reviews for Niger, noting that while growth in 2024 was estimated at a robust 10.3% (driven by crude oil exports and agriculture) and expected to remain strong at 6.6% in 2025, there was still “significant uncertainty around the baseline and downside risks are elevated” (IMF, “IMF Executive Board Completes the Seventh Review of the Extended Credit Facility Arrangement and the Third Review of the Arrangement under the Resilience and Sustainability Facility with Niger", July 14, 2025). See? Even strong growth can have lurking risks when uncertainty is high.
And closer to home for some, the UK economy offered another fresh example. After contracting unexpectedly for a second month in May 2025, official data showed a 0.1% fall in GDP following a 0.3% drop in April. This weak performance, driven by declines in industrial output and construction, "poses downside risks to expectations the economy grew in the second quarter" (Yahoo Finance, “UK economy shrinks again in May, raising new worries over outlook", July 11, 2025). The market even started pricing in a potential Bank of England interest rate cut. When growth falters, those downside risks to future forecasts become very real.
微观层面的暴露:碳排放与特有风险 On the company level, new research continues to uncover previously overlooked sources of downside risk. For instance, a September 2025 study in the International Review of Financial Analysis found that “firms’ carbon emissions significantly contribute to higher idiosyncratic risk” (ScienceDirect, “Carbon emission and idiosyncratic risk: Role of environmental regulation and disclosure", September 2025). Idiosyncratic risk, in simple terms, is the risk specific to a particular company, not the broader market. So, if a company is a big carbon emitter, it faces a higher chance of specific adverse events that could hit its stock price hard. The good news? The study also suggests that “environmental disclosure reduces risks by helping investors assess carbon exposure” (ScienceDirect, “Carbon emission and idiosyncratic risk: Role of environmental regulation and disclosure", September 2025). Transparency, it seems, can mitigate these specific downside exposures.
那么，作为投资者和金融专业人士，我们如何应对这个难题呢？在我的职业生涯中，我发现减轻下行风险并不是完全消除它——这是不可能的——而是要聪明地管理它。
以下是我发现至关重要的几种策略:
- 多样化，多样化，多样化 This is the old chestnut for a reason. Spreading your investments across different asset classes, industries and geographies reduces the impact of a single negative event. If one part of your portfolio takes a hit, the others might cushion the blow. It won’t protect you from a systemic market crash, but it’s your first line of defense against idiosyncratic risks.
压力测试与情景分析 Don’t just look at what could happen; look at what would happen if things went really wrong. Using tools like VaR and CVaR, combined with thinking through specific “what-if” scenarios (like a sudden recession, a commodity price shock or a major geopolitical event), can reveal vulnerabilities before they become painful realities. I’ve personally conducted countless stress tests for portfolios and it’s always an eye-opener.
主动风险管理与监控 It’s not a set-it-and-forget-it game. Keep an eye on the macro environment – those elevated downside risks in Niger or the shrinking UK economy are signals. Monitor your portfolio’s specific exposures. If you’re invested in firms with high carbon emissions, for example, are they increasing their environmental disclosures? Are they adapting?
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理解您自己的行为偏差 This one is crucial. We all suffer from loss aversion. Acknowledging this helps you avoid panicked decisions during market downturns. It also explains why investors often seek “downside protection” in their investment choices, as research has shown that beliefs about beta can relate to desires for both upside participation and downside protection (Oxford Academic, “Beliefs about beta: upside participation and downside protection", 2025). Knowing yourself is the first step to truly managing risk.
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质量胜于数量 Often, focusing on high-quality assets – companies with strong balance sheets, consistent cash flows and defensible competitive advantages – provides a natural buffer against downside shocks. They tend to weather economic storms better than their speculative counterparts.
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外卖: 下行风险是投资者真正关心的风险:损失的潜在可能性。虽然波动性可以作为一个代理，但深入理解需要特定的指标，如VaR、CVaR和最大回撤。从面临高度不确定性的国家经济到与碳暴露作斗争的个体公司，现实世界的例子比比皆是。有效管理下行风险并不是避免所有风险，而是理解其真实性质，量化其潜在影响，并在不可避免的风暴云聚集时实施强有力的资本保护策略。
投资中的下行风险是什么？
下行风险是指投资中潜在的财务损失，侧重于不利结果而不仅仅是波动性。
扭曲风险度量如何帮助投资者？
扭曲风险度量调整概率分布，以反映投资者的风险偏好，强调极端损失以便更好地评估风险。
标签: 投资风险指标
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