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1、Desk Strategy13 March 2020 GlobalQUANTITATIVEO MACQUARIEThis publication has been prepared by Macquaries Quantitative Strategy team and is not a product of the Macquarie Research Department.ContentsA practical guide to volatilemarkets1Introduction2Some good news for activemanagers3Avoid Distress Ris
2、k4Beware of fickle forecasts7Know your market risk10Managing Style Risk16Appendix20StrategistsMacquarie Securities (Australia) LimitedJohn Conomos, CFA +61 2 8232 5157 Chanel Stuart-Findlay +61 2 8232 0811 Jeremy Lamplough +61 2 8232 1060Vivian Chua +61 2 8232 1731Macquarie Capital LimitedAlvin Chao
3、 +852 3922 1108Global DynamicsA practical guide to volatile marketsKey pointsThe market has caught a case of the Coronavirus introducing extreme uncertainty about future Uncontrollable5 events. We focus on risks investors can control in such extreme environments presenting a practical guide on how o
4、ne can manage these risks. We look at different sources of risk to a portfolio, namely market risk, style risk, forecast risk and distress risk.Focus on what you can controlMarkets were priced for perfection at the end of 2019 and after some early optimism in January global stocks have caught a viru
5、s. No-one knows how events will unfold therefore we present practical advice on what you can control in these extreme environments.Encouragingly for active managers some of the better active returns have historically come in periods of market distress.Avoid Distress RiskWhen growth is slowing and fo
6、recast risk is high, investor attention shifts to the balance sheet and those that are not robust will come under significant pressure. One of the biggest risks for a fund manager from a performance and reputational perspective is holding these stocks. We utilise the Campbell-Hilscher-Szilagy (CHS)
7、distress risk model to screen for stocks in segments of the market exposed to impacts of the virus and an oil price shock.Be aware of Forecast RiskSell-side analysts tend to be slow in updating earnings numbers during highly volatile macro environments. Any strategy based on earnings forecasts will
8、be vulnerable and estimates are unlikely to keep up with reality. Quantitative strategies can improve signals by accounting for this staleness. Active managers have a strong opportunity to differentiate themselves as the realised fundamentals will likely be materially different from the forecasts.Ma
9、nage Market RiskWhat is forecastable in these environments is that returns will be more volatile. Stock correlations have skyrocketed implying investors need to hold more stocks to reach the same level of diversification. For those using risk models one should understand there is likely to be higher
10、 estimation error in these periods.Understand Style RiskStyle investing will also be at the whim of market sentiment. Risk-off markets in their current state favour Low Volatility, Large Caps and Momentum whilst Value bears the brunt of the pain. Style volatility equals inconsistent returns therefor
11、e diversified strategies w川 win out over short term style timing. Sharp turning points still present the biggest challenge for systematic investors.In these environments it is important for investors to focus on the things they can control. There will be temptation to be a hero however the ultimate
12、objective is to survive through the downturn and partake in the recovery.Sales and Trading personnel at Macquarie are not independent and, therefore, the information herein may be subject to certain conflicts of interest, and may have been shared with other parties prior to publication. Note: To the
13、 extent Macquarie Research is referenced, it is identified as such and the associated disclaimers are included in the published research report Please refer to the important disclosures .Know your market riskIncreased volatility likely to stayWhile forecasting returns in an uncertain market is nearl
14、y impossible, the one thing that is forecastable is that returns will be more volatile. As can be seen in Fig 13, the VIX hit its highest levels since the GFC and high uncertainty surrounding the spread of Covid-19 means there are no signs of volatility abating anytime soon. This requires a renewed
15、focus on portfolio risk.Fig 13 OBOE Volatility Index (VIX) is the highest it has been since the GFCThe VIX hit the highest level since the GFCThe VIX hit the highest level since the GFCSource: Macquarie Quantitative Strategy, FactSet, March 2020The key to successful risk management is a thorough und
16、erstanding of your model of choiceMarket risk increased by more than 30% over the past week, meaning monthly models are underestimating riskWhile risk forecasts are a useful guide, it is not a silver bulletFortunately, these days investors have a wide array of risk model providers to choose from to guide them through these choppy
