下行風險:為什麼投資者害怕虧損，而不僅僅是波動性
你知道，在我二十年的金融航行中，我看到無數投資者在風險的概念上掙扎。但事實是:在他們的心中，並非所有風險都是平等的。雖然學者和量化分析師可能會對波動性著迷——那條顫動的線顯示了股票價格的波動程度——但真正讓大多數人夜不能寐的並不是變化本身，而是損失金錢的幽靈。這就是，朋友們，下行風險的本質。
這是關於不利結果的潛在性，特別是財務損失的概率和幅度。想一想:如果你的投資組合某一天劇烈上漲，但第二天卻暴跌，抹去那些收益，甚至更多，這真的重要嗎？可能不重要。正如拉里·斯威德羅(Larry Swedroe)明智地指出的，引用了哈維爾·埃斯特拉達(Javier Estrada)於2025年6月的研究，“投資者主要關心的是下行風險——損失的風險——而不是僅僅是回報的變異性”(Alpha Architect，“波動性是否是下行風險的良好衡量標準？"，2025年7月11日)。這不僅僅是金融術語；這是一種深刻的人類關切，根植於我們對損失的厭惡。
多年來，回報的標準差——簡單的波動性——一直是衡量風險的首選指標。它易於計算，廣為人知，並且隨處可得。但你問，這種區別為什麼重要？因為我們的大腦對損失的痛苦感受遠比對等額獲利的快樂感受來得強烈。這被稱為損失厭惡，它在投資中是一種強大的力量。因此，雖然波動性捕捉了上行和下行的變動，但大多數投資者在失眠的夜晚中，實際上只關心這枚硬幣的一面。
現在，在金融界一直存在著一個長期的辯論:波動性真的可以代表下行風險嗎？哈維爾·埃斯特拉達(Javier Estrada)於2025年6月的研究《波動性:下行風險的死對頭》深入探討了這一問題。他查看了截至2024年12月的47個國家的市場數據，並比較了使用波動性與其他多種下行風險指標對資產的排名情況。而他的"核心發現”，正如Alpha Architect報導的那樣，十分有趣:“儘管波動性有其局限性，但通過比較使用波動性與替代下行風險指標對資產的排名，波動性作為下行風險的有效替代品” (Alpha Architect，“波動性是否是下行風險的良好衡量標準？"，2025年7月11日)。因此，儘管純粹主義者可能會反對，但看來波動性畢竟不是一個糟糕的代理，至少在資產排名方面是如此。不過，對於全面的風險管理，您需要更具針對性的工具。
如果波動性不是全部，那麼我們用來量化潛在損失的工具是什麼？有一整套武器，它們提供了更細緻的觀點。
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扭曲風險度量 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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其他重要的下行指標 Beyond distortion measures, several other metrics offer different lenses through which to view downside risk. Javier Estrada’s study highlighted many of these:
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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.
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Probability of Loss (PL) Simply, the likelihood of an investment experiencing a negative return over a given period.
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Average Loss (AL) The average magnitude of losses when they occur.
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Expected Loss (EL) A forward-looking measure of the expected amount of loss over a specific period, often used in credit risk.
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Worst Loss (WL) The single largest loss recorded over a specified period. It’s brutal but direct.
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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.
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這不僅僅是理論構想；下行風險每天都在真實的經濟和企業中發生。
宏觀經濟逆風:尼日爾與英國的案例 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.
- 微觀層面的風險:碳排放與特有風險 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.
所以，作為投資者和金融專業人士，我們該如何應對這個難題呢？在我的職業生涯中，我發現減輕下行風險並不是完全消除它——這是不可能的——而是要智慧地管理它。
以下是我認為必不可少的幾個策略:
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多樣化，多樣化，多樣化 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.
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壓力測試與情境分析 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.
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主動風險管理與監控 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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了解您自己的行為偏差 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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質量勝於數量 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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外賣: 下行風險是對投資者真正重要的風險:損失的潛力。雖然波動性可以作為一個代理指標，但深入理解需要具體的指標，如VaR、CVaR和最大回撤。從面臨高度不確定性的國家經濟到與碳暴露掙扎的個別公司，現實世界的例子層出不窮。有效管理下行風險並不是避免所有風險，而是理解其真正的本質，量化其潛在影響，並在不可避免的風暴雲集時實施穩健的資本保護策略。
投資中的下行風險是什麼？
下行風險是指投資中潛在的財務損失，重點在於不利結果，而不僅僅是波動性。
扭曲風險度量如何幫助投資者？
扭曲風險度量調整概率分佈，以反映投資者的風險偏好，強調極端損失以便更好地評估風險。
標籤: 投資風險指標
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