期待はずれな結果を招かないよう、リスク管理者に問うべき質問(英語版のみ)

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作成者 Michael Armitage |  2018年7月6日

超低ボラティリティーおよび年間2桁リターンに慣れてしまった投資家は、2月に打撃を受けました。

米国および日本の株価は約10%、中国の株価は約9%、ユーロ圏の株価は約8%下落しました。オーストラリアの株価は若干ましで、数回の取引時間にわたって6%失った程度でした。これは米国の力強い経済成長が連邦準備金制度(Federal Reserve)に対して予想よりも速いペースで金利引き上げを迫るであろうというグローバルな懸念の高まる中で発生しました。

この市場センチメントの突然の変化は、オプションボラティリティーの急上昇を伴いました。CBOE Volatility Index(VIX)は、2月5日午後の約18から2月6日の朝の取引開始前に50以上まで跳ね上がりました。(VIXは、過去平均の約20に対し、昨年の取引の大部分で非常に低い10から12の間でした。)

長期的視点で投資することは重要ですが、現実的には、多くの投資家は長引く株価低迷や過剰ボラティリティーの影響を簡単に乗り越えることができないという現実があります。

Loss averse investors (counterintuitively, including younger investors) are prone to lock in losses by selling, while older investors nearing retirement or drawing down savings suffer catastrophic sequencing risk.

Explicit portfolio protection and hedging strategies remain crucial strategies for many investors. These strategies must be efficient and effective, but just as crucially, they must also be reliable.

The last thing an investor needs is to find out after the next crisis that the operational capability of their risk manager failed just when it was needed most. Here are our top questions that investors should ask of their risk manager to ensure they can expect reliable implementation of their protection:

1. Does your risk manager have competing priorities?

Conflicts of interest abound in the financial services industry. Some can be managed while others are best avoided entirely.

For example, some fund managers that offer risk management overlay strategies (such as options or futures) for institutional clients may run their own products and hedge funds. In situations of high market stress and dislocations, the question is what is the risk manager’s priority–their flagship fund or a client’s overlay?

This is a particularly sensitive area when it comes to options market-based strategies because, in periods of significant market losses, liquidity in option markets can quickly dry up. A client of a fund manager may be inadvertently competing in the market against their own fund manager.

Another example involves banks. Bank relationships are, by nature, transactional—they are trying to make money from their clients on each transaction. When markets are stressed, clients are most vulnerable to market pricing.

2. Is your risk manager available in time zones outside of your home territory?

Risk and market movements don’t wait for Australian hours. Boutique fund managers offering risk management strategies may not have trading desks around the world or 24-hour trading desks in Australia. The proverbial ‘two men and a dog’ operation may be at a significant disadvantage when they wake up and find the market has dramatically moved as happened in February.

3. Does your risk manager have the experience and global relationships to handle large market dislocations?

Proven experience managing substantial risk exposures for the largest financial institutions through major crises should be sought after characteristics of a preferred risk management partner.

When the next crisis occurs, you want to be assured that you are being managed by a seasoned professional with global relationships. The last thing you want to find out after the fact is that your risk manager was not up for the task.

4. Does your risk manager have limited bandwidth to handle your requests, especially in stressed periods?

Risk management ability should be based on systems and processes built from the ground up to handle large derivatives trading volumes–the type which have been proven over the long-term by managing the risk exposures of some of the largest financial institutions in the world.

It requires an interconnected global platform and specialist team to ensure that risk management is applied when it needs to be and won’t fall down because of poor technology, key person risk or another weak link in a short chain.

5. Does your risk manager have the team depth and experience to analyse a broad set of instruments and strategies?

Does your risk management team consist of just a handful of people or one individual, who perhaps has other duties (such as picking stocks)? Is the risk manager’s team only able to provide solutions with a singular focus—for example, put options? Risk management is highly technical, particularly when markets are stressed, and requires a well-resourced and experienced team to deliver.

Being prepared means the design and set-up of robustly tested strategies (prior to any market event) is your best defence. The ideal risk management partner will have a deep team of various experienced specialists providing knowledgeable advice on solutions that are agnostic to particular instruments. Instead, solutions should focus on the most efficient path to providing highly predictable outcomes with honest assessments of the pros and cons of each of potential strategy.

Why Milliman

Milliman Financial Risk Management (Milliman FRM) employs over 150 professionals operating 24 hours a day from three global trading locations (Sydney, London and Chicago). The team is composed of actuarial rigour, capital markets experts and purpose-built technology.

Whether large or small, our clients are all granted global presence monitoring their risk exposures in real time. Milliman FRM provides advisory, hedging and consulting services across US$153 billion in global assets (as of December 31, 2017) to some of the world’s largest firms.

Milliman emphasizes the following key elements in the delivery of world class risk management services:

  • A fiduciary partnership not in competition with its clients
  • Global execution capability managing risk 24 hours a day with local market presence in each major trading time zone overseen by established capital market practitioners
  • Purpose-built technology powering one of the world’s largest risk management platforms
  • Experienced specialist staff comprising actuaries, derivatives experts, academics, quantitative software developers, consultants and portfolio managers, providing research and implemented consulting
  • Dedication to full transparency and client service

For more information about Milliman FRM’s risk management services, contact Milliman Head of Fund Advisory, Michael Armitage, at Michael.Armitage@milliman.com.

Disclaimer

This document has been prepared by Milliman Pty Ltd ABN 51 093 828 418 AFSL 340679 (Milliman AU) for provision to Australian financial services (AFS) licensees and their representatives, [and for other persons who are wholesale clients under section 761G of the Corporations Act].

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Past performance information provided in this document is not indicative of future results and the illustrations are not intended to project or predict future investment returns.

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