Revisiting The Capital Asset Pricing Model文档格式.docx

Revisiting The Capital Asset Pricing Model文档格式.docx

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PortfolioSelection,"

Markowitz'

sseminalworkonriskandreturn—firstpublishedin1952andupdatedin1959—thatpresentedaso-calledefficientfrontierofoptimalinvestment.Whileadvocatingadiversifiedportfoliotoreducerisk,Markowitzstoppedshortofdevelopingapracticalmeanstoassesshowvariousholdingsoperatetogether,orcorrelate,thoughthequestionhadoccurredtohim.

SharpeacceptedMarkowitz'

ssuggestionthatheinvestigatePortfolioTheoryasathesisproject.Byconnectingaportfoliotoasingleriskfactor,hegreatlysimplifiedMarkowitz'

swork.Sharpehascommittedhimselfeversincetomakingfinancemoreaccessibletobothprofessionalsandindividuals.

Fromthisresearch,Sharpeindependentlydevelopedahereticalnotionofinvestmentriskandreward,asophisticatedreasoningthathasbecomeknownastheCapitalAssetPricingModel,ortheCAPM.TheCAPMrattledinvestmentprofessionalsinthe1960s,anditscommandingimportancestillreverberatestoday.In1990,Sharpe'

sroleindevelopingtheCAPMwasrecognizedbytheNobelPrizecommittee.SharpesharedtheNobelMemorialPrizeinEconomicSciencesthatyearwithMarkowitzandMertonMiller,theUniversityofChicagoeconomist.

Everyinvestmentcarriestwodistinctrisks,theCAPMexplains.Oneistheriskofbeinginthemarket,whichSharpecalledsystematicrisk.Thisrisk,laterdubbed"

beta,"

cannotbediversifiedaway.Theother—unsystematicrisk—isspecifictoacompany'

sfortunes.Sincethisuncertaintycanbemitigatedthroughappropriatediversification,Sharpefiguredthataportfolio'

sexpectedreturnhingessolelyonitsbeta—itsrelationshiptotheoverallmarket.TheCAPMhelpsmeasureportfolioriskandthereturnaninvestorcanexpectfortakingthatrisk.

MorethanthreedecadeshavepassedsincetheCAPM'

sintroduction,andSharpehasnotstoodstill.AprofessoroffinanceattheStanfordUniversityGraduateSchoolofBusinesssince1970,hehascraftedseveralfinancialtoolsthatportfoliomanagersandindividualsuseroutinelytobettercomprehendinvestmentrisk,includingreturns-basedstyleanalysis,whichassistsinvestorsindeterminingwhetheraportfoliomanagerisstickingtohisstatedinvestmentobjective.TheSharperatioevaluatesthelevelofriskafundacceptsvs.thereturnitdelivers.

Sharpe'

slatestprojectischaracteristicallyambitious,combininghisdesiretoeducateamassaudienceaboutriskwithhislongtimeloveofcomputers.Technologyisdemocratizingfinance,andSharpeishelpingtopushthispowerfulrevolutionforward.ThroughFinancialEngines,SharpeandhispartnerswillbringprofessionalinvestmentadviceandanalysistoindividualsovertheInternet.

Whatdoyouthinkofthetalkthatbetaisdead?

TheCAPMisnotdead.Anyonewhobelievesmarketsaresoscrewythatexpectedreturnsarenotrelatedtotheriskofhavingabadtime,whichiswhatbetarepresents,musthaveaveryharshviewofreality.

"

Isbetadead?

isreallyfocusedonwhetherornotindividualstockshavehigherexpectedreturnsiftheyhavehigherbetasrelativetothemarket.Itwouldbeirresponsibletoassumethatisnottrue.Thatdoesn'

tmeanwecanconfirmthedata.Wedon'

tseeexpectedreturns;

weseerealizedreturns.Wedon'

tseeex-antemeasuresofbeta;

weseerealizedbeta.Whatmakesinvestmentsinterestingandexcitingisthatyouhavelotsofnoiseinthedata.Soit'

shardtodefinitivelyanswerthesequestions.

Wouldyouapproachastudyofmarketriskdifferentlytodaythanyoudidbackintheearly1960s?

It'

sfunnyhowpeopletendtomisunderstandtheCAPM'

sacademic,theoreticalandscientificprocess.TheCAPMwasaverysimple,verystrongsetofassumptionsthatgotanice,clean,prettyresult.Andthenalmostimmediately,weallsaid,let'

sbringmorecomplexityintoittotrytogetclosertotherealworld.Peoplewenton—myselfandothers—towhatIcall"

extended"

capitalassetpricingmodels,inwhichexpectedreturnisafunctionofbeta,taxes,liquidity,dividendyield,andotherthingspeoplemightcareabout.

DidtheCAPMevolve?

Ofcourse.AretheresultsmorecomplicatedshalljustexpectedreturnisalinearfunctionofbetarelativetotheStandard&

Poor'

s500-StockIndex?

Ofcourse.Butthefundamentalidearemainsthatthere'

snoreasontoexpectrewardjustforbearingrisk.Otherwise,you'

dmakealotofmoneyinLasVegas.Ifthere'

srewardforrisk,it'

sgottobespecial.There'

sgottobesomeeconomicsbehinditorelsetheworldisaverycrazyplace.Idon'

tthinkdifferentlyaboutthosebasicideasatall.

WhataboutHarryMarkowitz'

scontributiontoallofthis?

Markowitzcamealong,andtherewaslight.Markowitzsaidaportfoliohasexpectedreturnandrisk.Expectedreturnisrelatedtotheexpectedreturnofthesecurities,butriskismorecomplicated.Riskisrelatedtotherisksoftheindividualcomponentsaswellasthecorrelations.

Thatmakesriskacomplicatedfeature,andonethathumanbeingshavetroubleprocessing.Youcanputestimatesofrisk/returncorrelationintoacomputerandfindefficientportfolios.Inthisway,youcangetmorereturnforagivenriskandlessriskforagivenreturn,andthat'

sefficiencyalaMarkowitz.

WhatstandsoutinyourmindwhenyouthinkaboutMarkowitz'

scontribution?

Ilikedtheparsimony,thebeauty,ofit.Iwasandamacomputernut.Ilovedthemathematics.Itwassimplebutelegant.Ithadalloftheaestheticqualitiesthatamodelbuilderlikes.Investmenttextsinthepre-Markowitzeraweresimplistic:

Don'

tputallyoureggsinonebasket,orputtheminabasketandwatchitclosely.Therewaslittlequantification.

Tothisday,peoplerecommendacompartmentalizedapproach.Youhaveonepotforyourcollegefund,anotherforyourretirementfund,anotherforyourunemploymentfund.People'

stendencieswhentheydealwiththeseissuesoftenleadtosuboptimalsolutionsbecausetheydon'

ttakecovarianceintoaccount.Correlationisimportant.Youwanttothinkabouthowthingsmovetogether.

TellusaboutyourrelationshipwithMarkowitz.

Harrywasmyunofficialdissertationadvisor.In1960,heandIwerebothattheRANDCorporation.MyofficialadvisorattheUniversityofCaliforniaatLosAngelessuggestedIworkwithHarry,butHarrywasn'

tontheUCLAfaculty.IintroducedmyselftohimandsaidIwasagreatfanofhiswork.

WithMarkowitz'

sencouragement,youdelvedintomarketcorrelation,streamliningPortfolioTheorywiththeuseofasingle-factormodel.Thisbecamepartofyourdissertation,publishedin1963as"

ASimplifiedModelofPortfolioAnalysis."

Ididmydissertationunderastronglysimplifiedassumptionthatonlyonefactorcausedcorrelation.TheresultIgotwasinthatsetting,priceswouldadjustuntilexpectedreturnswerehigherforsecuritiesthathadhigherbetas,wherebetawasthecoefficientwith"

thefactor."

PortfolioTheoryfocusedontheactionsofasingleinvestorwithanoptimalportfolio.YouwonderedwhatwouldhappentoriskandreturnifeveryonefollowedMarkowitzandbuiltefficientportfolios.

Isaidwhatifeveryonewasoptimizing?

They'

veallgottheircopiesofMarkowitzandthey'

redoingwhathesays.ThensomepeopledecidetheywanttoholdmoreIBM,buttherearen'

tenoughsharestosatisfydemand.SotheyputpricepressureonIBMandupitgoes,atwhichpointtheyhavetochangetheirestimatesofriskandreturn,becausenowthey'

repayingmoreforthestock.Thatprocessofupwardanddownwardpressureonpricescontinuesuntilpricesreachanequilibriumandeveryonecollectivelywantstoholdwhat'

savailable.Atthatpoint,whatcanyousayabouttherelationshipbetweenriskandreturn?

Theansweristhatexpectedreturnisproportionatetobetarelativetothemarketportfolio.

InapaperIfinishedin1962thatwaspublishedin1964,Ifoundyoudidn'

thavetoassumeonlyonefactor.Thatbasicresultcomesthroughinamuchmoregeneralsetting.Therecouldbefivefactors,or20factors,orasmanyfactorsastherearesecurities.InaMarkowitzframework,wherepeoplecareabouttheexpectedreturnoftheirportfoliosandtheriskasmeasuredbystandarddeviationtheresultsheld.Thatpaperwascalled"

CapitalAssetPrices:

ATheoryofMarketEquilibriumUnderConditionsOfRisk."

EugeneFamacalledittheCapitalAssetPricingModel.That'

swherethenamecamefrom.

TheCAPMwasandisatheoryofequilibrium.Whyshouldanyoneexpecttoearnmorebyinvestinginonesecurityasopposedtoanother?

Youneedtobecompensatedfordoingbadlywhentimesarebad.Thesecuritythatisgoingtodobadlyjustwhenyouneedmoneywhentimesarebadisasecurityyouhavetohate,andtherehadbetterbesomeredeemingvirtueorelsewhowillholdit?

Thatredeemingvirtuehastobethatinnormaltimesyouexpecttodobetter.ThekeyinsightoftheCapitalAssetPricingModelisthathigherexpectedreturnsgowiththegreaterriskofdoingbadlyinbadtimes.Betaisameasureofthat.Securitiesorassetclasseswithhighbetastendtodoworseinbad