Cliff Asness on Marvel vs. DC and Why Never to Share a Gym with Cirque du Soleil (Ep. 5 - Live at Mason)

On momentum and value investing

关于动力和价值投资

Cliff, when I think of your work, the very first word which comes to my mind is momentum.

克里夫，当我想到你的作品时，我想到的第一个词就是动力。

Could you first give us just the super short version of what a momentum trading strategy is?

Could you first give us just the super short version of what a momentum trading strategy is?

People have a lot of theories.

人们有很多理论。

Analysts’ coverage, Wall Street doesn’t cover them as much, perhaps whatever degree of inefficiency in the market is larger for small‑caps.

华尔街分析师的报道并没有那么多，也许市场的低效率程度对于小盘股来说更大。

But it’s a nearly ubiquitous finding.

但这是一个几乎无处不在的发现。

Anything you find works in large‑caps tends to work somewhat better in small.

任何你发现在大盘中有效的东西往往在小盘中效果更好。

With that said, I think it is a fairly unintuitive idea.

With that said, I think it is a fairly unintuitive idea.

To some, it’s very intuitive.

对于某些人来说，这是非常直观的。

Just buy what’s going up.

只买正在上涨的东西。

To someone who studies markets, particularly for Gene Fama like I did, the idea that you can beat markets — and we do more than just momentum.

对于研究市场的人来说，尤其是像我这样研究吉恩·法玛（Gene Fama）的人来说，你可以击败市场 ——而且我们所做的不仅仅是动力。

(Tyler, he’s promised me he’ll get to that.) But it’s a very unintuitive idea if you think markets are anywhere near highly efficient.

(Tyler, he’s promised me he’ll get to that.) But it’s a very unintuitive idea if you think markets are anywhere near highly efficient.

I think that dissuades some.

我认为这阻止了一些人。

It nowhere nearly works all the time.

它几乎在任何地方都有效。

One thing I should really be careful about.

我真的应该小心一件事。

I throw out the word “works.” I say “This strategy works.” I mean “in the cowardly statistician fashion.” It works two out of three years for a hundred years.

我扔掉了“有效”这个词。我说“这个策略有效”。 I mean “in the cowardly statistician fashion.” It works two out of three years for a hundred years.

We get small p-values, large t-statistics, if anyone likes those kind of numbers out there.

We get small p-values, large t-statistics, if anyone likes those kind of numbers out there.

We’re reasonably sure the average return is positive.

我们有理由确信平均回报率为正。

It has horrible streaks within that of not working.

它有不工作的可怕条纹。

If your car worked like this, you’d fire your mechanic, if it worked like I use that word.

If your car worked like this, you’d fire your mechanic, if it worked like I use that word.

I think it is harder than you might guess, even if something works long term, to have it go away because a lot of investors can’t live through the bad periods.

我认为，即使某些东西长期有效，要让它消失也比你想象的要困难，因为很多投资者无法度过糟糕的时期。

They decide why it’s never going to work again at the wrong time.

They decide why it’s never going to work again at the wrong time.

If your car worked like this, you’d fire your mechanic, if it worked like I use that word.

If your car worked like this, you’d fire your mechanic, if it worked like I use that word.

I think it is harder than you might guess, even if something works long term, to have it go away because a lot of investors can’t live through the bad periods.

我认为，即使某些东西长期有效，要让它消失也比你想象的要困难，因为很多投资者无法度过糟糕的时期。

They decide why it’s never going to work again at the wrong time.

They decide why it’s never going to work again at the wrong time.

When you back out, what’s the actual vision of human nature?

When you back out, what’s the actual vision of human nature?

What’s the underlying human imperfection that allows it to be the case, that trading on momentum across say a 3 to 12 month time window, sorry, investing on momentum, will work?

人类的根本缺陷是什么，导致这种情况，即在 3 到 12 个月的时间窗口内进行动量交易，抱歉，动量投资会起作用？

What’s with us as people?

我们作为人怎么了？

What’s the core human imperfection?

人类最不完美的核心是什么？

The first is called underreaction.

第一个称为反应不足。

Simple idea that comes from behavioral psychology, the phenomenon there called anchoring and adjustment.

来自行为心理学的简单想法，那里的现象称为锚定和调整。

News comes out.

消息传出。

Price moves but not all the way.

价格会变动，但不会一直变动。

People update their priors but not fully efficiently.

人们更新他们的先验知识，但效率不高。

Therefore, just observing the price move is not going to move the same amount again but there’s some statistical tendency to continue.

因此，仅仅观察价格变动不会再次出现相同的幅度，但有一些统计趋势会持续下去。

Take a wild guess what our second best, in my opinion, explanation for momentum’s efficacy is?

在我看来，我们对动量功效的第二个最佳解释是什么？

It’s called overreaction.

这就是所谓的过度反应。

When your two best explanations are over- and underreaction, you have somewhat of an issue, I admit.

When your two best explanations are over- and underreaction, you have somewhat of an issue, I admit.

Overreaction is much more of a positive feedback.

过度反应更多的是一种积极的反馈。

It works over time because people in fact do chase prices.

随着时间的推移，它会发挥作用，因为人们实际上确实在追逐价格。

So if you do it somewhat systematically and before them you make some money.

So if you do it somewhat systematically and before them you make some money.

One of the hard things you find out in many fields but I found out in empirical finance is those might be the right explanations but they’re not mutually exclusive.

你在许多领域发现的困难之一，但我在实证金融中发现，这些可能是正确的解释，但它们并不相互排斥。

Remember the movie Highlander?

还记得电影《汉兰达》吗？

You and I talk about sci‑fi.

你和我谈论科幻小说。

Credit: Nick Donner Photography

图片来源：尼克·唐纳摄影

Both of these things can be true.

这两件事都可能是真的。

There could be underreaction and ultimately, people can go too far.

There could be underreaction and ultimately, people can go too far.

Very often in finance, let me give you two other possible explanations also.

Very often in finance, let me give you two other possible explanations also.

Every empirical regularity, meaning something that works or is terrible with some predictability, it does so for one of three reasons.

Every empirical regularity, meaning something that works or is terrible with some predictability, it does so for one of three reasons.

The worst one is complete accident.

最糟糕的情况是彻底的事故。

You’ve data mined.

您已经挖掘了数据。

I sat there in my dissertation in 1990.

1990年我坐在那儿写论文。

I found this empirical relationship with a big t‑stat but I really checked 63 things so the t‑stat is a bit of a lie, and it never works again.

我发现这种经验关系与一个大的 t 统计数据有关，但我确实检查了 63 件事，所以 t 统计数据有点谎言，而且它再也不起作用了。

Momentum in my opinion — this is editorial — has survived 200 out-of-sample tests, through time, different asset classes.

在我看来，Momentum 已经经受住了 200 次样本外测试，随着时间的推移，不同的资产类别。

I don’t believe that one but to be intellectually honest, you never reduce that probability to zero.

I don’t believe that one but to be intellectually honest, you never reduce that probability to zero.

You just make it lower.

你只要把它调低一点就可以了。

As it works again, you go “chance you’re just lucky, smaller.”

As it works again, you go “chance you’re just lucky, smaller.”

Second reason is a behavioral story.

第二个原因是行为故事。

Someone out there is making a mistake.

有人犯了错误。

I gave you two.

我给了你两个。

Underreaction and overreaction are both the behavioral story.

Underreaction and overreaction are both the behavioral story.

They’re both somebody out there making an error, doesn’t mean markets are terrible by any means.

They’re both somebody out there making an error, doesn’t mean markets are terrible by any means.

I’m a big believer in markets but at the margin, they’re making an error and you take advantage of it.

我是市场的忠实信徒，但在边际上，他们犯了错误，而你却利用了它。

The third is risk.

三是风险。

In a rational world, you get paid.

在理性的世界里，你会得到报酬。

Momentum would work in a rational world if the short-term 6 to 12 month winner were in some deep, important sense riskier than the losers.

Momentum would work in a rational world if the short-term 6 to 12 month winner were in some deep, important sense riskier than the losers.

You receive a signal about the world.

您收到有关世界的信号。

It’s to some extent a private signal and you over-interpret that signal and you think it’s a signal about the whole world so you overreact.

在某种程度上，这是一个私人信号，你过度解读了这个信号，你认为这是一个关于整个世界的信号，所以你反应过度。

That leads to some price movement, which is propagated through time.

这会导致一些价格变动，并随着时间传播。

But, at least some people think, past that 12-month time window, momentum ceases, and there’s even a bit of price reversal.

但是，至少有些人认为，过了 12 个月的时间窗口，势头就会停止，甚至会出现一些价格反转。

Eventually, you learn that you’ve been overreacting by thinking your private information is more general, more systematic than it is and then things snap back a bit.

最终，你发现你反应过度了，认为你的私人信息比实际情况更普遍、更系统，然后事情就会恢复一点。

Does that psychological hypothesis explain this mix of price reversal in the longer term and momentum in the shorter term?

这种心理假设是否可以解释长期价格反转和短期动量的这种组合？

Do you think that makes sense or not?

你认为这有道理吗？

One thing that Tyler just referred to is if anything pride of place came before momentum and is a super important strategy to us.

泰勒刚才提到的一件事是，如果有任何地方自豪感先于动力，这对我们来说是一项非常重要的战略。

He’s asking me about momentum because that was a very early part of my work in adding it to the lexicon.

He’s asking me about momentum because that was a very early part of my work in adding it to the lexicon.

But value investing at a longer time horizon, buying what’s cheap in pretty much any way — price divided by something reasonable, price divided by earnings, books, sales.

但价值投资是在更长的时间范围内，以几乎任何方式购买便宜的东西 ——价格除以合理的价格，价格除以收益、书籍、销售额。

Just buying five-year losers, five-year stocks that have suffered, and selling or underweighting the opposite is also a very good strategy, very much the opposite in spirit to momentum.

只买入五年来的失败者、五年来遭受损失的股票，然后卖出或减持相反的股票也是一个非常好的策略，这在精神上与势头非常相反。

Now, in the value world they have the same fight.

现在，在价值世界里他们有同样的斗争。

Does cheap beat expensive because it’s riskier?

便宜打败贵是因为风险更大吗？

I don’t think they’ve done a very good job of identifying the risk but I find it inherently more plausible that something priced to a long-term lower level might have a risk element to it than a much more short-term phenomenon like momentum.

我不认为他们在识别风险方面做得很好，但我发现，与动量等更短期的现象相比，定价为长期较低水平的东西可能含有风险因素，这本质上更合理。

One thing nice — and I don’t think it’s dispositive and I think both momentum explanations can coexist — and by the way, there are others.

有一点很好 ——我不认为它是决定性的，我认为两种动量解释可以共存 ——顺便说一句，还有其他解释。

I’ve given you my two favorites, there are others.

我给了你我最喜欢的两个，还有其他的。

One thing nice about the overreaction reason for why momentum has worked over time is it is consistent with the behavioral version of value too.

过度反应之所以能随着时间的推移而发挥作用，其好处之一是它也与价值的行为版本一致。

If you’re going to get overpriced or underpriced, one would imagine at some point, you overshot something.

如果你的定价过高或过低，人们会在某个时候想象你的定价过高了。

On less than perfect market efficiency

论不完美的市场效率

That suggests people are systematically overconfident.

这表明人们系统性地过度自信。

If the fundamental human bias is overconfidence and that leads to overreaction, do we then have some kind of plausible — these metaphysical human microfoundations — for why securities markets stay imperfectly priced?

如果人类的基本偏见是过度自信并导致过度反应，那么我们是否有某种合理的 ——“这些形而上学的人类微观基础”——来解释为什么证券市场的定价仍然不完美？

People individually make errors.

人们个别地会犯错误。

Errors are not riskless for even informed people to arbitrage away.

即使是消息灵通的人也可以利用错误进行套利。

I think looking at the world, I share your intuition.

我认为放眼世界，我分享你的直觉。

I think it’s backed up by the data that the most common error is two kinds.

我认为有数据支持最常见的错误有两种。

They’re not exactly the same thing but overconfidence and over extrapolation.

它们并不完全相同，只是过度自信和过度推断。

There is evidence on this outside of just returns to momentum.

除了势头恢复之外，还有证据表明这一点。

People look at the actual news that came out, try to gauge what the reaction should be, things like that.

人们会查看实际发布的新闻，尝试判断应该有什么反应，诸如此类。

I do think there are things when it comes to processing new information, I do think there is an underreaction in that sense, an anchoring and adjustment.

我确实认为在处理新信息时存在一些问题，我确实认为在这个意义上存在反应不足，即锚定和调整。

People do all kinds of psychological experiments.

人们做各种各样的心理实验。

You show people a whole lot of numbers and you show them numbers out here.

你向人们展示了大量的数字，你向他们展示了这里的数字。

They should move X, they move half-X.

他们应该移动 X，他们移动了 X 的一半。

I really do think — this is one thing that makes it very hard, when I go to academic seminars where people are fighting about this.

我确实认为——当我去参加学术研讨会时，人们都在争论这个问题，这是一件让事情变得非常困难的事情。

There aren’t many things in my life where I’m a peacemaker.

在我的生活中，我充当和事佬的事情并不多。

If I see a fire, I’m far more inclined to throw gasoline on it than water.

如果我看到火，我更倾向于往上面泼汽油而不是水。

It could be both and just to make our lives really hard, the mix of what’s more important doesn’t have to be the same at all points in time.

这可能是两者兼而有之，只是为了让我们的生活变得非常艰难，更重要的事情的组合不一定在所有时间点都是一样的。

Let me give you an example.

让我举个例子。

I didn’t start out a perfect efficient marketer.

我一开始并不是一个完美高效的营销人员。

I wrote my dissertation for Gene on momentum.

我为 Gene 写了关于动量的论文。

I was already showing a heretical drift at that point.

那时我已经表现出了异端倾向。

He was quite good about it, by the way.

顺便说一句，他对此很擅长。

The technology bubble, living through that, where momentum worked but the other thing we believe in many strategies actually, but the other biggest, the second biggest one, the tie for the biggest one is value investing again.

技术泡沫经历了这一时期，动力发挥了作用，但我们实际上相信许多策略的另一件事，但另一个最大的、第二大的、与最大的战略的联系再次是价值投资。

Some of you, distressingly fewer and fewer, look like you actually remembered it live.

你们中的一些人，令人痛苦的是，越来越少，看起来像是真的记得这件事。

If everyone did them yesterday, they would go away.

如果昨天每个人都这么做了，他们就会消失。

They work in my opinion — again using my version of “work” — in kind of a sweet spot.

在我看来，他们工作 ——再次使用我的“工作”版本—— 在某种程度上是一个最佳点。

Good enough to be really important if you can follow discipline, not so good enough that the world looks at it and goes, “this is easy.” They’re excruciating at times and I hate those times.

如果你能遵守纪律，那么好到真的很重要，但还不够好，以至于全世界都会说“这很容易”。他们有时令人痛苦，我讨厌那些时候。

I won’t pretend I’m neutral as to those times.

我不会假装我对那些时候保持中立。

Credit: Nick Donner Photography

图片来源：尼克·唐纳摄影

I will tell you.

我会告诉你。

I’m in public here, I’m with someone I admire greatly, this is going to be on the Internet.

我在公共场合，和我非常敬佩的人在一起，这将出现在互联网上。

I’m still more scared of Gene.

我还是更害怕吉恩。

Because it failing is a perfect Chicago, Gene Fama, efficient markets dissertation.

因为它失败了，这是一篇完美的芝加哥论文，吉恩·法玛的《有效市场》论文。

“Look at what these crazy people on Wall Street do.

“看看华尔街这些疯狂的人做了什么。

They make all these indicators, and they’re throwing away their money.”

他们制定了所有这些指标，却在浪费钱。”

To his credit, he immediately said, “If it’s in the data, write the paper.” Now, we don’t agree fully on it.

值得赞扬的是，他立即说道：“如果数据中有，就写论文。”现在，我们并不完全同意。

We don’t agree on two things.

我们在两件事上意见不一。

For all I know, he changed his mind yesterday, but as of yesterday, I don’t think we agree on this.

据我所知，他昨天改变了主意，但截至昨天，我认为我们在这一点上尚未达成一致。

Value investing, remember, I think works for a mix of both behavioral and perhaps some risk reasons.

请记住，价值投资既适用于行为原因，也可能适用于某些风险原因。

I think they’re hard to identify, but I’m more than willing to say that might be a big part of it.

我认为它们很难识别，但我非常愿意说这可能是其中的重要组成部分。

I think Gene would say it’s mostly or all risk.

我想吉恩会说这大部分或全部都是风险。

I don’t think he’s very positive on the behavioral explanation.

我认为他对行为解释不是很积极。

Momentum — Gene’s a risk guy, he’s an efficient markets guy.

动量 — 吉恩是一个风险专家，他是一个有效的市场专家。

I think Gene is still cynical about it.

我认为吉恩对此仍然愤世嫉俗。

I know his latest paper — he and Ken French write if not the best among the best papers in finance.

我知道他最新的论文——他和肯·弗伦奇（Ken French）撰写的论文即使不是金融领域最好的论文中最好的。

I read every one to this day.

直到今天我都读了每一本。

It doesn’t mean I agree with every word.

这并不意味着我同意每一个字。

They started out with a so‑called three-factor model about 20 years ago.

大约 20 年前，他们开始使用所谓的三因素模型。

What drives return on an individual stock?

是什么推动了个股的回报？

The market’s return and your sensitivity to that.

市场的回报以及你对此的敏感度。

Value’s return and how much of a value stock you are.

价值的回报以及你的价值股有多少。

Size’s return, a small firm effect it’s called — how small you are.

尺寸的回归，一种小公司效应，它被称为 —— 你有多小。

They’ve added to that over time.

随着时间的推移，他们不断增加这一点。

They’ve added an investment effect of firms that, for instance, reduce their share count tend to do better.

他们增加了公司的投资效应，例如，减少股份数量往往会做得更好。

There are theories as to why.

有一些理论可以解释为什么。

And a profitability factor.

还有盈利因素。

All else equal, more profitable firms seem to outperform less profitable firms.

在其他条件相同的情况下，利润较高的公司似乎胜过利润较低的公司。

Again, that’s a very strong effect that holds up.

再说一遍，这是一个非常强烈的效应。

I wrote a piece on our blog saying something, “our factor model goes to six.” For those of you who are curious, it was a reference to Spinal Tap where our amps go to 11.

我在我们的博客上写了一篇文章，说：“我们的因子模型达到了六。”对于那些好奇的人来说，这是对 Spinal Tap 的参考，我们的放大器转到 11。

I take the other side from them.

我从他们那里看到了另一面。

I love these guys.

我爱这些家伙。

We agree on 9 out of 10 things.

我们在十分之九的事情上达成一致。

I don’t see how momentum is not their sixth factor.

我不明白动力为何不是他们的第六个因素。

It adds a tremendous amount of return versus their model.

与他们的模型相比，它增加了巨大的回报。

I take the other side from .

我从另一边拿。

I love these guys.

我爱这些家伙。

We agree on 9 out of 10 things.

我们在十分之九的事情上达成一致。

I don’t see how momentum is not their sixth factor.

我不明白动力为何不是他们的第六个因素。

It adds a tremendous amount of return versus their model.

与他们的模型相比，它增加了巨大的回报。

The numbers I gave you that you can add versus, say, the Russell 1000, 125 basis points, understates the power greatly because momentum is also in geek speak negatively correlated with value.

我给你的数字你可以加上，比如罗素 1000，125 个基点，大大低估了力量，因为用极客的话来说，动量也与价值负相关。

In English, a good year for momentum is often a bad year for value, and vise versa.

用英语来说，势头良好的一年往往是价值糟糕的一年，反之亦然。

That’s easy to create, if you just do the opposite with your left hand as your right hand.

如果你用左手做右手做相反的事情，那么这很容易创造。

It’s not easy to create two strategies that both go up on average.

制定两种平均都会上涨的策略并不容易。

That’s difficult.

这很难。

That shows up statistically in a model.

这在模型中以统计方式显示出来。

It becomes even stronger.

它变得更加强大。

So, I don’t understand why.

所以，我不明白为什么。

I think they should have it as a sixth factor.

我认为他们应该把它作为第六个因素。

If you can get Gene to leave Chicago, which is far more difficult than anything else we’re talking about, he can tell you why it’s not a six factor.

如果你能让吉恩离开芝加哥，这比我们谈论的任何其他事情都困难得多，他可以告诉你为什么这不是六个因素。

But it should be.

但应该如此。

On the inscrutability of risk

论风险的不可预测性

Now, when I read the very latest papers on risk, let me tell you what I see.

现在，当我阅读有关风险的最新论文时，让我告诉你我所看到的。

I see talk of the third moment of probability distributions, the fifth moment, words like coskewness, terms like the U‑shaped pricing kernel, and talk of the volatility of volatility.

我看到关于概率分布的第三矩、第五矩的讨论，诸如协偏度之类的词，诸如 U 形定价内核之类的术语，以及关于波动率的波动性的讨论。

I’m just waiting on the paper on the volatility of the volatility of volatility.

我只是在等待波动性波动性的论文。

When I read all this as an outsider, I conclude we don’t know anything about risk.

当我作为一个局外人读到这一切时，我得出的结论是我们对风险一无所知。

These are Ptolemaic epicycles.

这些是托勒密本轮。

Within a pretty broad range of asset classes, is it possible risk doesn’t really explain anything about asset prices?

在相当广泛的资产类别中，风险是否有可能无法真正解释资产价格的任何问题？

True or false?

是真是假？

What do you say?

你怎么说？

OK.

好的。

Of everything you said, a fair amount of those risk models I think are utter nonsense.

在你所说的一切中，我认为相当一部分风险模型完全是无稽之谈。

I don’t think the fifth moment — I’m going to insult someone I care about now by accident, I don’t even remember who wrote this.

我不认为第五个时刻 —— 我会无意中侮辱我现在在乎的人，我什至不记得是谁写的。

I don’t think the fifth moment is a good measure.

我认为第五时刻不是一个好的衡量标准。

I don’t even think skewness — skewness is bad stuff.

我什至不认为偏度 ——偏度是坏事。

Even if selling worth makes money on average, occasionally really bad stuff happens, more often than really good stuff.

即使出售价值平均可以赚钱，偶尔也会发生真正糟糕的事情，而不是真正好的事情。

Coskewness, which sounds like one of the geekier things Tyler said, very hard to identify, very hard to prove, very hard to isolate in the data.

Coskewness，这听起来像是泰勒所说的最怪异的事情之一，很难识别，很难证明，很难在数据中分离出来。

But coskewness at least makes sense to me as a real risk factor.

但偏度至少对我来说是有意义的，它是一个真正的风险因素。

What that means is not only do very bad things happen more often than you would imagine, but they happen while other very bad things — largely the market crashing, for instance.

这意味着不仅非常糟糕的事情发生的频率比你想象的要高，而且它们发生的同时还有其他非常糟糕的事情——例如，主要是市场崩溃。

If something has occasional giant losses, but those are at very good times, and makes money on average, very reliably, that might stink occasionally, but it’s something you can live with.

如果某件事偶尔会出现巨额亏损，但那是在非常好的时期，并且平均赚钱，非常可靠，这可能偶尔会很糟糕，但这是你可以忍受的事情。

If something is extremely bad at the same time everything else in your life is extremely bad —

如果某件事同时极其糟糕，那么你生活中的其他一切都极其糟糕——

And I say, “ammunition and canned goods.” And I don’t think there’s a better answer for that.

我说：“弹药和罐头食品。”我认为对此没有更好的答案。

But I do think something like coskewness — it’s a geeky idea — I think it’s very hard to establish and prove.

但我确实认为像 coskewness 这样的东西 ——这是一个极客的想法 —— 我认为它很难建立和证明。

The data is not really even there.

数据实际上并不存在。

Momentum itself, getting back to that one, it has negative skewness.

回到动量本身，它具有负偏度。

The geeks call that a bad left tail.

极客们称之为糟糕的左尾。

Nassim Taleb would call it a black swan event.

纳西姆·塔勒布（Nassim Taleb）将其称为黑天鹅事件。

It has standard deviations you’re not supposed to see.

它有你不应该看到的标准偏差。

Big events.

大事件。

They have tended to be more, maybe this is luck, but they have tended to only occur in strong markets, not in weak markets.

它们往往更多，也许这是运气，但它们往往只发生在强势市场，而不是弱势市场。

We don’t like that, but we don’t worry about that as much.

我们不喜欢这样，但我们也不太担心。

To be honest, when it comes to value, Ken and Gene have never embraced this story.

说实话，说到价值，肯和吉恩从来不接受这个故事。

I don’t embrace it either, but I give it some credence.

我也不接受它，但我给予它一些信任。

Value, buying cheap and selling expensive, has a little better of a risk story on this front, because it has suffered empirically in the Great Depression, in the global financial crisis.

价值，廉价买入和高价卖出，在这方面的风险故事要好一些，因为它在大萧条和全球金融危机中经历了经验性的损失。

Probably not enough.

可能还不够。

It probably is not enough to explain it.

恐怕还不足以解释它。

But that is the exact kind of measure of risk that should work.

但这正是应该起作用的风险衡量标准。

Does it hurt you?

它伤害你吗？

This is a terrible English sentence, and I apologize in advance.

这是一个糟糕的英语句子，我提前道歉。

“Does it hurt you when it hurts to be hurt?” is an English language version of risk.

“当你受到伤害时，你会感到痛苦吗？”是风险的英文版本。

Any good quantitative measure, no matter how geeky you make it, should get back to that.

任何好的定量测量，无论你做得多么古怪，都应该回到这一点。

If it’s a good measure of risk, it doesn’t just hurt occasionally.

如果这是一个很好的风险衡量标准，那么它就不仅仅是偶尔造成伤害。

It hurts you when it hurts to be hurt.

当你受到伤害而感到痛苦时，你就会感到痛苦。

If it’s a good measure of risk, it doesn’t just hurt occasionally.

如果这是一个很好的风险衡量标准，那么它就不仅仅是偶尔造成伤害。

It hurts you when it hurts to be hurt.

当你受到伤害而感到痛苦时，你就会感到痛苦。

One kind of wonderful thing, and if we’ve done anything, if there’s something I can brag about, a lot of these things we’ve participated in the research — we’ve written the leapfrogging papers — we have been early in saying, “Let’s go look outside of stocks.

这是一件美妙的事情，如果我们做了什么，如果有什么我可以吹嘘的话，我们参与了很多研究 ——我们写了跨越式的论文 ——我们很早就说过，“让我们看看股票之外的地方。

Let’s look at bonds.

我们来看看债券。

Let’s go look at currencies.

我们来看看货币。

Let’s go look at commodities.”

我们去看看大宗商品吧。”

The things that I’m talking to you about in somewhat different forms “work” for all these things.

我正在以不同的形式与你们谈论的事情对所有这些事情都“有效”。

But let me talk about stocks, because it’s the easiest.

但让我谈谈股票，因为这是最简单的。

It’s the most common language.

这是最通用的语言。

Stocks that are low risk, backwards to theory, right?

低风险的股票，回到理论，对吧？

Risk should get paid.

风险应该得到补偿。

Stocks that have low betas, low volatilities, low fundamental risks like low leverage, outperform in a fairly strong way.

贝塔值低、波动性低、基本面风险（例如低杠杆）的股票表现相当强劲。

Fischer Black found that.

费舍尔·布莱克发现了这一点。

If anyone wants to be masochistic and ask me why I tell you about leverage aversion and the fact that no one does what you’re supposed to do in theory — low risk outperforms.

如果有人想受虐并问我为什么告诉你杠杆厌恶以及没有人做你理论上应该做的事情这一事实  –  低风险优于大盘。

Other one is profitability.

另一方面是盈利能力。

This is a real anomaly.

这是一个真正的反常现象。

Stocks out there that make more money and make more money consistently — nothing about price, it’s not a value factor — more money by their book value, scaled by their sales, outperform.

那些赚更多钱并且持续赚更多钱的股票——“与价格无关，这不是价值因素”——“按账面价值计算更多的钱，按销售额衡量，表现更好。”

On debt and diversification

关于债务和多元化

Because we could borrow some money, buy some typically low beta stocks, and actually improve the quality of our portfolio.

因为我们可以借一些钱，购买一些典型的低贝塔股票，并实际上提高我们投资组合的质量。

That’s something else which doesn’t quite happen as much as it should.

这是另一件事，但并没有像它应该发生的那样发生。

That seems to be almost the opposite of overconfidence.

这似乎与过度自信几乎相反。

Is it just debt aversion?

仅仅是规避债务吗？

We were brought up, don’t get into debt.

我们是长大的，不要负债。

Let me step back.

让我退后一步。

I’m going to draw in my hand an efficient frontier.

我要在手中画出一条有效的边界。

I promise you it is a perfect artistic rendering.

我向你保证这是一个完美的艺术渲染。

Many of you, I know, have seen it before.

我知道，你们很多人以前都看过它。

If you haven’t, on the X‑axis you have risk.

如果你没有，那么在 X 轴上你就有风险。

On the Y‑axis you have expected return.

在 Y 轴上，您期望得到回报。

Everyone in the world wants to move up, to the left.

世界上的每个人都想向上移动，向左移动。

You want less risk and you want more expected return.

您想要更低的风险，并且想要更高的预期回报。

On the third week of finance class, they teach you — we should all agree, but of course we don’t — but we should all agree on the best portfolio of risky assets.

在金融课的第三周，他们教你 —— 我们都应该同意，但我们当然不同意 —— 但我们都应该就风险资产的最佳投资组合达成一致。

We should all own the same one, because it’s the highest return for risk.

我们都应该拥有同样的，因为它是最高的风险回报。

Those of us who are aggressive should apply some leverage to it.

我们这些积极进取的人应该对其施加一些影响。

Those of us who are not aggressive, who are conservative, should de‑lever, add cash, make it less risky.

我们这些不激进、保守的人应该去杠杆化，增加现金，降低风险。

Why do you do that instead of simply moving your money from low return to high?

为什么要这样做，而不是简单地将资金从低回报转向高回报？

Because you have to get undiversified.

因为你必须变得单一化。

If you move your money from low expected return to high expected return risky assets, you lose diversification.

如果你将资金从低预期回报转移到高预期回报风险资产，你就会失去多元化。

Ultimately, if you want as much expected return as the best asset out there, you have to be only in that asset.

最终，如果你想要与最好的资产一样多的预期回报，你就必须只投资该资产。

Applying leverage to the entire portfolio, you maintain the benefit of diversification.

将杠杆应用于整个投资组合，您可以保持多元化的好处。

What Fischer showed is, imagine leverage is very costly or just no one would do it.

费舍尔所展示的是，想象一下杠杆的成本非常高，或者根本没有人会这样做。

He points out that low-risk assets are orphans now.

他指出，低风险资产现在已成为孤儿。

Low-risk assets function in a portfolio in an important way, to make your return for risk better.

低风险资产在投资组合中发挥着重要作用，可以提高您的风险回报。

But they often don’t make your top line better.

但它们通常不会让你的收入变得更好。

They don’t literally make you more money.

他们实际上并没有让你赚更多的钱。

They make you more money for the risk taken.

他们为你承担的风险带来更多的钱。

That’s very boring, if you don’t apply leverage.

如果你不运用杠杆，那就非常无聊了。

You don’t make more money.

你赚不到更多的钱。

Most people are interested in some version that makes them more money.

大多数人都对某些能让他们赚更多钱的版本感兴趣。

And Fischer showed that if that’s true, which I believe it is and I think he was right, those assets that are orphaned will be a little too cheap, because no one wants them.

费舍尔表明，如果这是真的，我相信这是真的，而且我认为他是对的，那么那些孤立的资产将有点太便宜了，因为没有人想要它们。

People who want to be aggressive will a little too much be willing to be undiversified.

想要进取的人会有点过于愿意单一化。

Again, leverage is not riskless.

再次强调，杠杆并非没有风险。

In the perfect theoretical world, not everyone should leverage to the moon if you’re very aggressive.

在完美的理论世界中，如果你非常激进，那么并不是每个人都应该利用月球。

But neither is concentration, neither is moving your money into fewer and fewer assets.

但集中度也不是，将资金转移到越来越少的资产上也不是。

We don’t tell people leverage is riskless.

我们不会告诉人们杠杆是无风险的。

We do tell people we think people think it’s over-risky versus concentration.

我们确实告诉人们，我们认为人们认为与集中相比风险太大。

So I don’t even know if it’s risk aversion versus another.

所以我什至不知道这是否是风险规避与另一种风险规避。

It’s risk aversion.

这是风险规避。

It’s more I think people misappropriate the risk of one thing against another.

我认为更多的是人们滥用一件事的风险来对抗另一件事。

Maybe it’s neither a borrower nor a lender be, your idea that people are just taught that leverage is bad.

也许它既不是借款人也不是贷款人，你认为人们只是被教导杠杆是不好的。

But I think people prefer concentration risk to leverage risk to their detriment.

但我认为人们更喜欢集中风险而不是利用风险来损害他们的利益。

On the next bubble, or lack thereof

在下一个泡沫或缺乏泡沫时

There can be bubbles.

可能会有气泡。

They may be hard to identify.

他们可能很难识别。

So, if you were pressed, today in the world, the US, the global economy, if you had to pick what is most likely to be a bubble, are you willing to give us your opinion?

那么，如果你被问到，今天的世界，美国，全球经济，如果你必须选择什么最有可能是泡沫，你愿意给我们你的看法吗？

You like low prices.

你喜欢低价。

You don’t like high prices.

你不喜欢高价。

That number is more expensive in roughly 90 percent of 100 some odd plus years of history.

在过去 100 多年的历史中，大约有 90% 的时间这个数字都比较昂贵。

That is a terrible forecaster for the next month or the next year.

对于下个月或明年来说，这是一个糟糕的预测。

Do not do anything.

不要做任何事情。

That is not just a legal, it’s a human disclaimer.

这不仅仅是法律上的，也是人类的免责声明。

But over the next 10 years, nothing is perfect even over 10 years.

但在接下来的10年里，即使超过10年，也没有什么是完美的。

But it’s statistically powerful.

但它在统计上很强大。

When things are expensive, you’ve made less money.

当东西很贵时，你赚的钱就会减少。

When things are cheap, you’ve made more money.

当东西便宜时，你就赚了更多的钱。

Bonds are the same idea.

债券也是同样的想法。

A measure for bonds that is very analogous to a PE for stocks is the yield on a government bond minus an economist’s forecast on inflation.

债券的衡量标准与股票的市盈率非常相似，是政府债券的收益率减去经济学家对通胀的预测。

People call that a real yield.

人们称之为真正的收益率。

It’s what you should care about.

这是你应该关心的。

The nominal yield doesn’t really matter.

名义收益率并不重要。

It’s what you consume in.

这就是你消耗的东西。

That is worse lower.

那就更差了。

This is a yield, not a price, so lower is bad.

这是收益率，而不是价格，所以越低越好。

But that is worse than roughly 90 percent of history.

但这比历史上大约 90% 的情况还要糟糕。

The portfolio of half stocks and half bonds, if you take those two measures, scale them and combine them, is the worst ever.

一半股票和一半债券的投资组合，如果你采取这两种措施，扩大规模并将它们结合起来，那就是有史以来最糟糕的。

How is it the worst ever, when the two are 90th percentile?

当两者都处于第 90 个百分位时，这是有史以来最糟糕的情况吗？

Well, I think you all have probably figured it out.

嗯，我想大家应该已经明白了。

They’re not usually 90th percentile bad at the same time.

它们通常不会同时达到 90% 的糟糕程度。

It’s a bit of a puzzle why they are, but they are.

为什么会这样有点令人困惑，但确实如此。

Having said that, Tyler, I’m still going to be a coward.

话虽如此，泰勒，我仍然会是一个胆小鬼。

We get to about the worst ever.

我们遇到了有史以来最糟糕的情况。

We’ve hit this level before for portfolio.

我们的投资组合之前已经达到过这个水平。

I used to think 100th percentile was pretty impressive in my career.

我曾经认为在我的职业生涯中取得第 100 个百分位是相当令人印象深刻的。

Now, you never go past the 100th percentile.

现在，你永远不会超过第 100 个百分位数。

You’re a math guy.

你是一个数学家。

You know how it works.

你知道它是如何运作的。

In the technology bubble, the Shiller CAPE is probably 50 percent higher than it had ever been if you excluded the period right around that.

在科技泡沫时期，如果排除该时期附近的时期，希勒 CAPE 可能比以往高出 50%。

Japanese stocks, in ’89, ’90, got to levels like that.

日本股市在 89、90 年代就达到了这样的水平。

You might call it an inverse bubble.

你可以称其为逆泡沫。

I think US stocks in the early ’80s maybe got to a similar extent, well past anything we’ve ever seen on the downside, in the very early ’80s.

我认为 80 年代初的美国股市可能也达到了类似的程度，远远超过了 80 年代初我们所见过的任何下跌幅度。

I was willing to call those bubbles, and did real time.

我愿意称这些为泡沫，而且是实时进行的。

I wrote that piece you’re talking about.

你说的那篇文章是我写的。

I will use it, but I hope I have a higher standard than many.

我会使用它，但我希望我的标准比许多人更高。

Many in our field, have I think, dumbed the word bubble down to mean something we think is kind of expensive.

我认为，我们这个领域的许多人都把泡沫这个词简单化为我们认为有点昂贵的东西。

That’s not a bubble.

那不是泡沫。

A bubble to me is something still subjective, because your answer may not be the same as mine, but is something I’ve tried my best to come up with future assumptions of growth, be it for a stock, inflation if it’s a bond, and current price, and I can’t come up with assumptions that would lead any rational investor, subjective again, to want to own this.

泡沫对我来说仍然是主观的，因为你的答案可能与我的不同，但我已经尽力提出了未来增长的假设，无论是股票，通货膨胀（如果是债券）还是当前价格，我无法提出会导致任何理性投资者（再次主观）想要拥有它的假设。

Credit: Nick Donnor Photography

图片来源：尼克·唐纳摄影

When we did that for stocks, anywhere late ’99 to 2000, we assumed very aggressive future returns.

当我们对股票进行这样的分析时，从 99 年末到 2000 年，我们假设未来的回报非常激进。

We took Wall Street’s long-term forecasts, which were nuts, they had never been achieved before, current prices, and we came up with, if that happens, we make less than bonds.

我们采用了华尔街的长期预测，这些预测很疯狂，以前从未实现过，按照目前的价格，我们得出的结论是，如果发生这种情况，我们的收入将低于债券。

We were willing to use the word bubble now.

我们现在愿意使用“泡沫”这个词。

Right now, this 100th percentile, US stocks and bonds.

现在，这个百分位是美国股票和债券。

So you invest half your money in stocks, half your money in bonds.

因此，您将一半的资金投资于股票，一半的资金投资于债券。

Historically, you’ve made about five percent over inflation.

从历史上看，你的收入比通货膨胀率高出大约百分之五。

We think it’s priced now, at this level, to make about 2.5 percent over inflation.

我们认为，目前的定价，在这个水平上，将比通胀高出约 2.5%。

So, most likely, when you take a whole bunch of expensive things and they get very expensive, and you put them together, you are right.

所以，很可能，当你拿了一大堆昂贵的东西，它们变得非常昂贵，然后你把它们放在一起时，你是对的。

You always can pick a most.

你总是可以选择一个最多的。

But if you ask me the follow up question, “do you think it’s a bubble?” I will say no. I think it’s an expensive market.

但如果你问我后续问题，“你认为这是泡沫吗？”我会说不。我认为这是一个昂贵的市场。

A bubble is something where you say this cannot last, and I would not say that.

泡沫就是你说它不能持续的东西，我不会这么说。

I look at the carry trade.

我看一下套利交易。

Companies, especially in emerging economies, borrowing in US dollars, typically at quite low rates, and forgetting a bit about future currency risk or future revenue and growth risk on their side.

公司，尤其是新兴经济体的公司，通常以相当低的利率借入美元，却忘记了未来的货币风险或未来的收入和增长风险。

And there being this extreme flow of liquid financial capital into those companies, not really quite backed by forthcoming realities which will match the expectations behind that borrowing.

流动性金融资本大量流入这些公司，但并没有真正得到即将到来的现实的支持，而这些现实将符合借款背后的预期。

I’m not sure exactly what’s the single asset price here I want to call a bubble, but that’s my biggest worry, where I think maybe the market isn’t pricing that whole combination correctly.

我不确定这里我想称之为泡沫的单一资产价格到底是多少，但这是我最大的担忧，我认为市场可能没有正确定价整个组合。

Now, are you less worried than I am?

现在，你是不是比我更不担心了？

So you might very well be right.

所以你很可能是对的。

But again, even though I’m the bubble guy now, I’m the momentum guy, I think as people who try to beat the markets everyday for a living, I’m a startlingly strong believer in efficient markets relative to the norm.

但再说一次，尽管我现在是泡沫派，但我是动力派，我认为作为每天试图击败市场谋生的人，我对相对于常态的有效市场有着惊人的坚定信念。

I think what you’re saying has truth to it, but maybe largely in prices already.

我认为你说的有道理，但可能很大程度上已经体现在价格上了。

Now, personally, I don’t think this at all.

现在，就我个人而言，我根本不这么认为。

But what’s your opinion?

但你的意见是什么？

When I talked about bonds, I said they were more expensive than 90 percent of recorded history.

当我谈到债券时，我说它们比 90% 有记录的历史还要贵。

Actually, the low 90s, now.

事实上，现在是90年代初期。

That is not a commercial for forward-looking bond returns.

这不是前瞻性债券回报的广告。

That is saying I reserve the word bubble for something that cannot work out.

这就是说，我保留“泡沫”这个词来形容那些无法解决的事情。

I sit down and I go, how would it work out for a bond investor?

我坐下来想，这对债券投资者来说会怎么样？

It’s very hard to work out for a cash investor.

对于现金投资者来说，要解决这个问题非常困难。

You’ve got me there.

你已经找到我了。

But cash is largely — it’s a government set rate.

但现金很大程度上是政府设定的利率。

It’s not a market rate.

这不是市场利率。

For me, to come up with a scenario, not a prediction, not something I think is a good bet, but a reasonable scenario that could happen in the next 20 years, for instance, for a workout, I need one word.

对我来说，要提出一个场景，而不是预测，不是我认为是一个好的赌注，而是一个未来 20 年内可能发生的合理场景，例如，对于一次锻炼，我需要一个词。

Japan.

日本。

It wasn’t that hard.

这并不难。

I think it’s an expensive asset.

我认为这是一项昂贵的资产。

I think equities are actually shockingly similarly expensive.

我认为股票实际上同样昂贵得令人震惊。

I think people focus on bonds for a bunch of reasons.

我认为人们关注债券有很多原因。

They focus on bonds because the yields seem much more measurable.

他们关注债券，因为收益率似乎更容易衡量。

I think equity valuations, things like Shiller’s CAPE and many other measures, are actually about as good for forecasting equity returns as bond yields are long term forecasting bonds.

我认为，股票估值，比如席勒的 CAPE 和许多其他指标，实际上对于预测股票回报来说，就像债券收益率是长期预测债券一样。

I think the last 20, 30 years, equities look better versus bonds than they have in a while, but that’s because the tech bubble dominates a lot of the last 20, 30 years.

我认为过去 20、30 年里，股票相对于债券的表现比过去一段时间要好，但那是因为科技泡沫在过去 20、30 年的大部分时间里占据主导地位。

Over the last 100 years, we actually find we’re picking on bonds.

在过去的 100 年里，我们实际上发现我们在选择债券。

We’re nervous because multiple asset classes look not bubble‑ish, but pretty darn expensive at the same time.

我们很紧张，因为多种资产类别看起来并不存在泡沫，但同时又非常昂贵。

That’s what worries me.

这就是我担心的。

That also leads into, if a lot of the world, be they institutions that need formal forecasts of what they’re going to make in their portfolio — or my dad.

这也导致了世界上很多机构需要对其投资组合的收益进行正式预测，或者是我父亲。

My dad is planning his retirement, 20, 30 years ago.

20、30 年前，我父亲正在计划退休。

Always had the same sheet of paper.

总是有同一张纸。

He never showed it to me, but it was, how much do I need to retire?

他从未向我展示过，但我需要多少钱才能退休？

I’m pretty sure it was off by a factor of 10.

我很确定它相差了 10 倍。

I don’t know which direction it was off on.

我不知道它偏向哪个方向。

My dad was a trial lawyer.

我父亲是一名出庭律师。

It skips a generation.

它跳过了一代人。

He’s not a math guy.

他不是一个数学家。

But I’m sure he had, how much I need to live on, what I think I can make on my money.

但我确信他知道我需要多少生活费，我认为我能用我的钱赚多少钱。

The number that fell out was how much he needed to retire.

得出的数字是他退休时需要多少钱。

People still do that.

人们仍然这样做。

Institutions do it very formally.

机构的做法非常正式。

They make forecasts of what they’re going to make in their portfolio.

他们对自己的投资组合将做出什么预测。

I’m sure there’s a lot of my dads out there.

我确信那里有很多我的父亲。

They probably use a spreadsheet now.

他们现在可能使用电子表格。

If they’re using anything like history and if we’re right that high prices on both stocks and bonds lead to lower than normal returns, it doesn’t have to be a bubble.

如果他们使用历史之类的东西，并且如果我们认为股票和债券的高价导致低于正常的回报是正确的，那么它不一定是泡沫。

We don’t need to see a crash.

我们不需要看到崩溃。

We don’t need to see a fix.

我们不需要看到解决办法。

But, they’re using too high of an assumption.

但是，他们使用的假设太高了。

It’s a problem going forward, and it makes the whole retirement problem a bigger problem.

这是一个未来的问题，它使整个退休问题成为一个更大的问题。

On things under- and overrated

关于被低估和高估的事情

I will say fairly rated, and much better rated than I gave it credit for in the past.

我想说的是，评价相当不错，而且比我过去给予的评价要好得多。

I don’t know how he got that ability.

我不知道他是如何获得这种能力的。

It’s a mutant ability, but he had it.

这是一种变异能力，但他有。

In sports or some other area of your choosing, which is the extreme outlier which strikes you as the most amazing?

在体育运动或您选择的其他领域中，哪个极端异常值让您觉得最令人惊奇？

And you just say, “oh my God, I can’t believe there’s a Wayne Gretzky,” or a fill‑in‑the‑blank-there for me, other than Gretzky.

你只是说，“天哪，我不敢相信除了格雷茨基之外，还有韦恩·格雷茨基”，或者是一个为我填空的人。

Everything else, the crash of ’87 was a 20 standard deviation event.

除此之外，87 年的崩盘是一个 20 个标准差的事件。

Nothing.

没有什么。

Wayne Gretzky, pretty good.

韦恩·格雷茨基，不错。

The Cirque du Soleil people —

太阳马戏团的人们——

The Cirque du Soleil people were in the gym, and you don’t want to ever do that.

太阳马戏团的人在健身房里，你永远不想这样做。

It is one of the most demeaning, humbling experiences.

这是最有辱人格、最卑微的经历之一。

DC is much better now, but when I was a kid, they exaggerated all the powers much more.

DC现在好多了，但当我还是个孩子的时候，他们更加夸大了所有的力量。

Marvel had realistic superpowers.

漫威拥有现实的超能力。

You could run at 500 miles per hour, not the speed of light.

你可以以每小时 500 英里的速度跑步，但不是光速。

DC would go with the speed of light.

直流电将以光速行进。

You have no idea.

你不知道。

Actually, you might, but this is one of the things comic geeks will fight about.

事实上，你可能会这样，但这是漫画极客们会争论的事情之一。

And they’ve had this, about five times in the comics.

他们在漫画中已经经历过大约五次。

They’ve had races between them.

他们之间进行过比赛。

Of course, they try to cheat and make them tie.

当然，他们会试图欺骗并让他们打平。

I know you tried to come up with that.

我知道你试图想出这个办法。

I subscribe to a theory that is on the Internet.

我赞同互联网上的一个理论。

It has a name, but I’ve forgotten the name, but it’s a documented theory.

它有一个名字，但我忘了名字，但它是一个有据可查的理论。

But it says the Flash should win, because the specialized power should win.

但它说闪电侠应该获胜，因为专业力量应该获胜。

I love if people listen to me.

我喜欢人们听我说话。

I believe in what I’m saying.

我相信我所说的。

But if you go spend your life listening to man named Jack Bogle, you won’t do terribly.

但如果你一生都在听杰克·博格尔的讲话，你的表现不会很好。

On small-time investing

关于小额投资

But there is the phenomenon that I still want to look into more, because someone has to be making this money.

但有一个现象我仍然想进一步研究，因为必须有人在赚钱。

This is going to sound stupid.

这听起来很愚蠢。

No one’s figured out who’s making the money.

没有人知道谁在赚钱。

But Jack Bogle quotes these numbers a lot.

但杰克·博格尔经常引用这些数字。

There are all these paradoxes where the average mutual fund investor seems to get out and in at the wrong times.

存在所有这些悖论，普通共同基金投资者似乎在错误的时间退出和进入。

Remember I talked about value and momentum?

还记得我谈到过价值和动力吗？

If you’re going to be momentum, you’ve got to really do it.

如果你想成为动力，你就必须真正做到这一点。

You’ve got to be disciplined.

你必须遵守纪律。

You’ve got to come in every day, and you’ve got to count on these under- and overreaction things.

你必须每天都来，你必须依靠这些反应不足和过度的事情。

If you wait five years and buy what’s worked for five years, you can call that a negative value investor or a momentum investor working with the wrong numbers.

如果你等了五年并购买了五年有效的东西，你可以称其为负价值投资者或使用错误数字的动量投资者。

I do think that is one of the things people do too much out there.

我确实认为这是人们做得太多的事情之一。

It’s probably the biggest —

这可能是最大的——

Somebody is making that money.

有人正在赚这些钱。

Maybe we’re making some of that money.

也许我们正在赚一些钱。

Maybe it’s the flipside.

也许这是另一面。

It’s very hard to track.

很难追踪。

The worst case is if someone — I don’t think many professional traders can make money trading in and out constantly.

最糟糕的情况是，如果有人 — 我认为很多专业交易者都无法通过不断进出交易来赚钱。

I think pretty much nobody in an expected sense — of course, some will get lucky — should do that casually.

我认为几乎没有人在预期的意义上 ——“当然，有些人会很幸运”—— 应该随意地这样做。

So, if you’re doing that, you’re making a giant error.

所以，如果你这样做，你就犯了一个巨大的错误。

But if you’re even looking at it and going, “I used like this, but the three to five, it’s been tough.

但如果你看着它并说，“我就是这样使用的，但是三到五个，这很艰难。

Get me out.” If you’re getting out because you feel sick to your stomach about it, you’re making a mistake.

放我出去吧。”如果你因为感到胃部不适而离开，那么你就犯了一个错误。

On the fairness of high frequency trading

论高频交易的公平性

I think the world has gotten more just and fair.

我认为世界变得更加公正和公平。

I’m going to say something potentially controversial.

我要说一些可能引起争议的事情。

Something that is often attacked, the high frequency trading, has made the world more just and fair, particularly for small investors.

经常受到攻击的高频交易使世界变得更加公正和公平，特别是对于小投资者而言。

High frequency trading has made the world more just and fair, particularly for small investors.

高频交易使世界变得更加公正和公平，特别是对于小投资者而言。

High frequency traders have — I watched the Republican debates last night, so I know to change the topic to something I’m comfortable with.

高频交易员 — 我昨晚观看了共和党的辩论，所以我知道将话题改为我喜欢的话题。

They do a lot of different things, but the core trading strategy is just to do the other side of whatever you want to do.

他们做很多不同的事情，但核心交易策略就是做你想做的事情的另一面。

So, if you want to trade, sell X, they’ll buy it from you.

所以，如果你想交易，卖掉 X，他们就会从你那里购买。

They charge a little thing called the bid‑ask spread.

他们收取一点称为买卖价差的费用。

They will buy it from you for a little less than they’ll sell it to you for.

他们从您那里购买的价格会比卖给您的价格低一些。

It’s very competitive.

竞争非常激烈。

They fight with each other to do your trade, so they can’t just charge any bid‑ask spread they want.

他们互相争斗来完成你的交易，所以他们不能随意收取他们想要的任何买卖价差。

They get attacked because they charge a bid‑ask spread, and when you ask them to do a lot, they start moving the prices, because they’re getting scared you might know something they don’t know.

他们受到攻击是因为他们收取买卖差价，当你要求他们做很多事情时，他们开始调整价格，因为他们害怕你可能知道他们不知道的东西。

But we’ve always had to trade with someone else.

但我们总是不得不与别人进行交易。

We’ve always needed market makers out there.

我们一直需要做市商。

It used to be much more expensive.

它曾经要贵得多。

Worse bid‑ask spreads, worse execution, particularly for the small person.

更糟糕的买卖差价，更糟糕的执行力，尤其是对于小投资者来说。

There is some controversy with high frequency.

存在一些高频度的争议。

I mean small investors, not literally small people.

我指的是小投资者，而不是字面上的小人物。

You know that, right?

你知道，对吧？

For very large investors, you’re trading very large amounts of money.

对于非常大的投资者来说，你正在交易大量的资金。

I believe high frequency has made our trading costs cheaper, but there’s at least an argument for the other side.

我相信高频使我们的交易成本更便宜，但至少有另一方的论据。

Some will say, market impact.

有人会说，市场影响。

The price moving on you when you try to execute and buy or sell a lot of a stock is bigger now.

当你尝试执行并买入或卖出大量股票时，你所承受的价格现在会更大。

I don’t think so, but that’s a fair argument.

我不这么认为，但这是一个公平的论点。

Credit: Nick Donner Photography

图片来源：尼克·唐纳摄影

There’s no argument for the little guy.

对于这个小家伙来说，没有什么可争论的。

What you worry about in trading is something called front running.

您在交易中担心的是所谓的抢先交易。

Someone figuring out what you’re doing and doing it before you.

有人知道你在做什么并在你之前做。

There’s the illegal version, where someone actually gets a peek at what you’re doing, which they’re not supposed to get.

有一个非法版本，有人实际上看到了你正在做的事情，这是他们不应该看到的。

Then there’s the completely legal version.

然后就是完全合法的版本。

People notices trades occurring and prices moving, and think, “Oh, I better get in front.

人们注意到交易的发生和价格的变动，然后想：“哦，我最好走在前面。

Maybe this is a wave.” There’s nothing illegal about that, but it still costs you money.

也许这就是一波浪潮。”这并不违法，但仍然要花钱。

No one bothers, no one front runs a small dollar investor.

没有人打扰，没有人在前面跑一小笔美元投资者。

And it’s not because people are nice, and kind, and care about — there’s no money.

这并不是因为人们很好、很友善、关心 —— 没有钱。

You want to rob banks, not people.

你想抢劫银行，而不是人。

So, there’s no money in it.

所以，里面没有钱。

The small investor, I think, unambiguously has a fairer, cheaper world.

我认为，小投资者无疑拥有一个更公平、更便宜的世界。

Now, I’ll dig myself a hole.

现在，我给自己挖个坑。

I don’t think they should trade very much.

我认为他们不应该进行太多交易。

That was our earlier question.

这是我们之前的问题。

On how well hedge funds hedge

关于对冲基金对冲的效果如何

For most people, is it worth it?

对于大多数人来说，值得吗？

The data on hedge fund returns, I’ve put a lot of time in trying to what is actually the net return.

关于对冲基金回报的数据，我花了很多时间来尝试了解实际的净回报。

Forget about the risk-adjusted return, but just the net return.

忘记风险调整后的回报，只考虑净回报。

How much comes from linear and nonlinear strategies?

有多少来自线性和非线性策略？

It makes my head spin.

这让我头晕目眩。

It confuses me in the kind of way where as a naive outsider, I get a little scared.

这让我感到困惑，作为一个天真的局外人，我有点害怕。

What should I think of hedge funds and how good they are?

我应该如何看待对冲基金以及它们有多好？

Overall, again not a question about what you’re doing.

总的来说，这又不是关于你在做什么的问题。

I think if you have to go buy one of every hedge fund that will take your money, which is a subset of hedge funds.

我认为，如果你必须去购买每一种对冲基金，它都会拿走你的钱，这是对冲基金的一个子集。

Some of them are closed.

其中一些已关闭。

You’d probably be better off figuring out what their average exposure to the stock market is and go buying an index fund.

您最好弄清楚他们对股票市场的平均敞口是多少，然后去购买指数基金。

I live in Greenwich, Connecticut.

我住在康涅狄格州格林威治。

In some parts of the world, if you said, “my daddy runs a hedge fund,” I’d say, “what’s a hedge fund?” In Greenwich, Connecticut, the kids say, “what kind of hedge fund is your daddy running?

在世界某些地方，如果你说，“我爸爸经营一家对冲基金，”我会说，“什么是对冲基金？”在康涅狄格州格林威治，孩子们说：“你爸爸经营着一家什么样的对冲基金？

Is he event arbitrage?

他是事件套利吗？

Trend following?

趋势跟踪？

What does dad do?”

爸爸是做什么的？”

In some parts of the world, if you said, “my daddy runs a hedge fund,” I’d say, “what’s a hedge fund?” In Greenwich, Connecticut, the kids say, “what kind of hedge fund is your daddy running?

在世界某些地方，如果你说，“我爸爸经营一家对冲基金，”我会说，“什么是对冲基金？”在康涅狄格州格林威治，孩子们说：“你爸爸经营着一家什么样的对冲基金？

Is he event arbitrage?

他是事件套利吗？

Trend following?

趋势跟踪？

What does dad do?”

爸爸是做什么的？”

I am going to be persona non grata, but I think hedge funds — and there is a lot of complexity to this answer.

我将成为不受欢迎的人，但我认为对冲基金 ——这个答案非常复杂。

They are a universe of smart people, they are doing some good strategies, some I mentioned to you, already.

他们是一群聪明人，他们正在采取一些好的策略，其中一些我已经向你提到过。

They seem to have grasped the momentum strategy, not so much value oddly enough.

他们似乎已经掌握了动量策略，但奇怪的是并没有那么大的价值。

But they seem to definitely incorporate the momentum strategy.

但他们似乎确实采用了动量策略。

There are so-called arbitrage strategies — they don’t use the word like academics.

有所谓的套利策略——他们不像学者那样使用这个词。

Academics or almost academics like me, use it to mean riskless profits.

学者或几乎像我这样的学者，用它来表示无风险利润。

They mean, a trade that has reliably worked over time where they go long and short, fairly similar things, they are clearly not riskless.

他们的意思是，随着时间的推移，一种长期有效的交易，无论是做多还是做空，都非常相似，但它们显然并不是没有风险的。

But, something like a merger, A is buying B, if the deal closes, it’s going to go to here.

但是，就像合并一样，A 正在购买 B，如果交易完成，它就会转到这里。

A is going to fall, B is going to rise.

A会下跌，B会上涨。

The day it is announced, it only goes to here, because there is some chance this deal does not happen, antitrust, the market, shareholder activism, somebody else.

当它宣布的那天，它只会到这里，因为这笔交易有可能不会发生，反垄断，市场，股东激进主义，其他人。

What the merger arbitrageur — and my finest achievement today is saying that word in front of you, that’s a hard word to say — buys B, and sells A, and if it happens, they make a little money, and if it fails, they lose a lot of money.

兼并套利者 ——我今天最好的成就就是在你们面前说这句话，这是一个很难说的词 —— 买B，卖A，如果发生了，他们赚了一点钱，如果失败了，他们就损失了很多钱。

I am dying to do this, I have not done it yet, I have talked about it for two years, I am about ready to try it.

我很想这样做，我还没有这样做，我已经谈论了两年，我准备尝试一下。

I want to ask one of my two older kids, they are a set of twins, they are 12 years old, “Does this sound like a good idea to you?” I’d have to hold their attention throughout this whole thing.

我想问我的两个大孩子中的一个，他们是一对双胞胎，今年 12 岁，“这对你来说听起来是个好主意吗？”我必须在整个过程中吸引他们的注意力。

There’s about a 98 percent chance they say, “No. That sounds like a terrible idea to me, you can lose a lot, you can make a little.

大约有 98% 的可能性他们会说：“不。这对我来说听起来是一个糟糕的主意，你可能会失去很多，但你也可以赚到一点。”

Who wants to do that?” I’d be the proudest pop on Earth if either one of them kind of paused and said, “how often do both of those two things happen, Dad?” Because, that’s the proper question.

谁愿意这么做？如果他们中的任何一个停下来问：“爸爸，这两件事发生的频率有多高？”因为，这是正确的问题。

It turns out, if you do this rather with zero skill, you do every merger that ever comes along.

事实证明，如果你以零技能来做这件事，你就能完成每一次合并。

Maybe you can do better, maybe not, but you just do this every time, you’ve made a lot of money over time.

也许你可以做得更好，也许不能，但你每次都这样做，随着时间的推移，你赚了很多钱。

You get killed occasionally, you are basically selling insurance, when the deals don’t happen, you lose a lot of money.

你偶尔会被杀，你基本上是在卖保险，当交易没有发生时，你会损失很多钱。

Hedge funds have figured that out, there are lot of other things they figured out like this, that’s the good part.

对冲基金已经意识到了这一点，他们还发现了很多其他类似的事情，这是好的部分。

The bad part is they do not, as a group (and keep in mind, this is self-serving, but we run things people would call hedge funds, not all of our business by any means, we think we are not doing this, we don’t think we are the only ones giving clients the fair deal, I am talking about the industry as a whole) doesn’t hedge enough.

糟糕的是，作为一个群体，他们并没有（请记住，这是自私的，但我们经营人们称之为对冲基金的东西，无论如何不是我们所有的业务，我们认为我们没有这样做，我们不认为我们是唯一给客户公平交易的人，我说的是整个行业）没有足够的对冲。

I know that sounds stupid given the name, but if anyone likes geek numbers like correlation, for the last seven years, an index of hedge funds has been about 0.8 correlated with the S&P 500.

我知道这听起来很愚蠢，但如果有人喜欢相关性之类的极客数字，那么在过去七年里，对冲基金指数与标准普尔 500 指数的相关性约为 0.8。

That means if you tell me what happened in the S&P 500, I got a pretty good idea what’s happening in the hedge funds.

这意味着如果你告诉我标准普尔 500 指数发生了什么，我就很清楚对冲基金发生了什么。

The word “hedging “almost by definition refers to removing that risk.

“对冲”一词几乎按照定义就是指消除这种风险。

Trying to create returns that go up on average but at different times than stocks.

试图创造平均回报，但与股票不同的时间。

You can get that again from Mr. Bogle for about 11 basis points, near a tenth of a percent.

您可以以大约 11 个基点（接近百分之一）的价格从博格尔先生那里再次获得该价格。

They don’t hedge enough and they charge a lot.

他们的对冲力度不够，而且收费很高。

I will never — you have a shot, Tyler, I don’t have a shot — I will never get an economic law named after me.

我永远不会——“你有机会，泰勒，我没有机会”——“我永远不会得到以我命名的经济法。

I gave that up when I went to try to make money.

当我去尝试赚钱时，我就放弃了。

If I got one, I’d want it to be: There’s no investment process so good that there’s not a fee high enough that can’t make it bad.*

如果我有一个，我希望它是这样的：没有一种投资过程如此完美，以至于没有足够高的费用不会让它变坏。*

“I will never get an economic law named after me.

“我永远不会有一部以我的名字命名的经济法。

I gave that up when I went to try to make money.

当我去尝试赚钱时，我就放弃了。

If I got one, I’d want it to be: There’s no investment process so good that there’s not a fee high enough that can’t make it bad.”

如果我得到了一个，我希望它是这样的：没有一个投资过程如此完美，以至于没有足够高的费用不会让它变坏。”

But I think counterexamples are probably more powerful than anything else.

但我认为反例可能比其他任何东西都更有力量。

That counterexample of what happens when you take liberty away will be with us for a really long time.

当你剥夺自由时会发生什么的反例将伴随我们很长一段时间。

I don’t think we’re near there yet.

我认为我们还没有接近那个目标。

I might be a raving lunatic but I’m not that much a raving lunatic.

我可能是一个疯狂的疯子，但我还没有那么疯狂。

I wouldn’t have wished it.

我本来不希望这样的。

It wasn’t worth the cost but he’s helped the cause of liberty.

这不值得付出代价，但他帮助了自由事业。

Thank you, Joe.

谢谢你，乔。

On Ayn Rand

安·兰德

I have a lot of friends who I agree with who’ll say “we have too much regulation,” I’ll go “check.” They go, “We have a byzantine crazy tax code that often — not just that they’re high — they create a lot of odd incentives for trade-offs that shouldn’t exist.” I’ll go “check.”

我有很多我同意的朋友会说“我们的监管太多”，我会去“检查”。他们说，“我们有一个拜占庭式的、疯狂的税法，它常常 —— 不仅仅是税法很高 —— 它们为不应该存在的权衡创造了很多奇怪的激励机制。”我去“检查一下”。

“We should have hard money.” “No check,” and they think that would fix everything.

“我们应该有硬通货。” “不检查”，他们认为这可以解决一切问题。

I don’t fully get it.

我不太明白。

Ayn Rand, the name of her philosophy was Objectivism and she just told you it was objectively right that gold is the standard of value.

艾因·兰德（Ayn Rand），她的哲学的名字是客观主义，她只是告诉你黄金是价值标准是客观正确的。

She’s unkind to silver frankly.

坦白说，她对银很不友善。

I think it’s a larger virtue.

我认为这是一个更大的美德。

Benevolence, charity is one of the things in her world — and my favorite thing, which you didn’t ask about her, is “you own your own life.” It’s one line.

仁慈、慈善是她世界里的事情之一——而我最喜欢的事情，你没有问过她，就是“你拥有自己的生活”。这是一行。

I’m in love with that.

我很喜欢这个。

But the idea of a virtue being the desire to help other people — not someone forcing you to, which she was dead set against, but wanting to help other people — I disagree with her on.

但美德的观念是帮助别人的愿望 ——不是有人强迫你这样做，她坚决反对，而是想要帮助别人 ——我不同意她的观点。

But I think people come off and think that she’s snarlingly against it.

但我认为人们会认为她强烈反对。

I don’t think she was for it enough, but I think she was rather passive and said it.

我认为她还不够支持，但我认为她很被动地说了这句话。

If you care about it, she talked about examples — giving up your own life to save someone else.

如果你关心的话，她会举一些例子——“为了拯救别人而放弃自己的生命。”

If you value that person more than yourself, it’s rational.

如果你看重那个人胜过看重你自己，这是理性的。

Do it.

做吧。

So I don’t think she was quite as nasty about that.

所以我认为她对此并没有那么讨厌。

Nastier than I think she should have been, but not quite as nasty.

比我想象的更讨厌，但也没有那么讨厌。

And she could have used an editor.

她本可以使用编辑。

I admit that.

我承认这一点。

On training up a child

关于培养孩子

My parents shared that way too much with me.

我的父母与我分享了太多这样的事情。

I’ve told them that.

我已经告诉他们了。

I had a sense of impending doom as a child that I think was oddly a positive for achievement.

当我还是个孩子的时候，我就有一种厄运即将来临的感觉，我认为这对于取得成就来说是一种奇怪的积极因素。

It made me very focused on not being nervous about those kind of things, but doesn’t make you a happy, relaxed person and is impossible to turn off after it’s no longer useful.

它让我非常专注于不要对这类事情感到紧张，但不会让你成为一个快乐、放松的人，而且在它不再有用之后就不可能关闭。

My parents shared that way too much with me.

我的父母与我分享了太多这样的事情。

I’ve told them that.

我已经告诉他们了。

I had a sense of impending doom as a child that I think was oddly a positive for achievement.

当我还是个孩子的时候，我就有一种厄运即将来临的感觉，我认为这对于取得成就来说是一种奇怪的积极因素。

It made me very focused on not being nervous about those kind of things, but doesn’t make you a happy, relaxed person and is impossible to turn off after it’s no longer useful.

它让我非常专注于不要对这类事情感到紧张，但不会让你成为一个快乐、放松的人，而且在它不再有用之后就不可能关闭。

There’s this idea.

有这个想法。

There’s something called the Fed model for valuing stocks that says when interest rates and inflation are low you should pay a higher PE for stocks.

有一种叫做美联储股票估值模型的东西，它说当利率和通货膨胀较低时，你应该为股票支付更高的市盈率。

In theory it’s a very weak model because it deals with what are called nominal interest rates, not real interest rates.

从理论上讲，这是一个非常弱的模型，因为它处理的是所谓的名义利率，而不是实际利率。

Unlike bonds, when inflation’s low you expect earnings to grow slower.

与债券不同，当通胀较低时，您预计收益增长会较慢。

Forget all the math.

忘记所有的数学。

There’s this puzzle that the world seems to follow the Fed model.

令人困惑的是，世界似乎都在追随美联储的模式。

They price stocks according to it.

他们根据它来定价股票。

It’s a very strong empirical regularity.

这是一个非常强的经验规律。

When interest rates are low those PEs are higher and vice versa — though they do vary.

当利率较低时，这些市盈率较高，反之亦然——尽管它们确实有所不同。

One thing we found — I wrote this as a Financial Analysts Journal article circa — I wrote one in 2001 and a follow‑up in 2004 — that how much more they demand in return, or how much cheaper they need stocks to be — when they’re cheaper they return more — how much excess return they need on stocks versus bonds is a function very strongly of the last 20 years’ relative volatility of stocks and bonds.

我们发现一件事 —— 我大约在《金融分析师杂志》上写了这篇文章 —— 我在 2001 年写了一篇文章，并在 2004 年写了一篇后续文章 —— 他们需要多少回报，或者他们需要股票便宜多少 —— 当股票更便宜时，他们回报更多 —— 他们对股票相对于债券需要多少超额回报是最后一个函数的强烈函数股票和债券20年的相对波动率。

In English, I called 20 years a generation.

用英语，我称之为20年一代。

I didn’t monkey around with that too much.

我并没有对此胡思乱想太多。

I checked.

我查了一下。

It works for 10 years, it works for 30 years.

它可以工作10年，也可以工作30年。

It’s not cherry‑picked.

它不是精心挑选的。

But if the last 20 years had experienced a wild ride on stocks versus bonds they demanded a very high return, going forward.

但如果过去 20 年经历了股票与债券的疯狂上涨，那么他们对未来的回报要求非常高。

I got there, if you didn’t notice.

如果你没注意到的话，我已经到了。

I’ve written on this.

我已经写过这一点。

I believe it.

我相信。

You can’t make a lot of money, by the way, trading on a 20-year phenomenon.

顺便说一句，你不可能通过 20 年的现象进行交易赚很多钱。

Clients don’t really enjoy the whole, well, I’ve been wrong for 19 years, but give me one more year.

客户并不真正喜欢整个过程，好吧，我已经错了 19 年，但请再给我一年。

I never give the short answer, but the short answer is I found the same thing myself.

我从来没有给出简短的答案，但简短的答案是我自己也发现了同样的事情。

I think it’s directly reflected in the numbers.

我认为这直接反映在数字上。

I think people are somewhat a prisoner of their experience.

我认为人们在某种程度上是自己经历的囚徒。

I’ve looked back at the financial crisis and the key moments in it.

我回顾了金融危机及其关键时刻。

A lot of arguments.

很多争论。

I’m not even going to get into the partisan arguments.

我什至不打算参与党派争论。

The right says government did it.

右派说是政府干的。

The left says Wall Street did it.

左派说是华尔街干的。

Great shocks.

巨大的震撼。

You know what did it, if I had to pick one thing, that one primary cause of the financial crisis?

如果我必须选择一件事，那就是金融危机的主要原因，你知道是什么造成的吗？

The assumption that real estate prices can’t go down.

假设房地产价格不会下跌。

The government made this assumption, the people who say these terrible quantitative models were way off.

政府做出了这样的假设，而人们则说这些可怕的定量模型离我们很远。

At the end of the day, somewhere in this giant model, in a thousand lines of computer code, there was, “What’s the worst case 10‑year return for real estate?” If that worse case was not losing money, it’s garbage in, garbage out.

归根结底，在这个巨大模型的某个地方，在一千行计算机代码中，有一个问题：“房地产十年最坏情况的回报是多少？”如果最糟糕的情况不是赔钱，那就是垃圾进，垃圾出。

You can have the best model in the world.

你可以拥有世界上最好的模型。

That’s a problem.

这是一个问题。

When Lehman failed, we went into a huge spiral, because people were pretty much convinced that the government wouldn’t let anyone fail.

当雷曼兄弟倒闭时，我们陷入了巨大的漩涡，因为人们非常相信政府不会让任何人倒闭。

When money markets, when the famous Reserve Fund broke the buck — this is money markets that are supposed to return you a dollar for a dollar.

当货币市场，当著名的储备基金打破一美元时——这就是货币市场，应该以一美元回报你。

It’s always been a fiction, by the way.

顺便说一句，这一直是虚构的。

You’ve been lied to for years.

你被骗了很多年。

Money markets own portfolios of short-term bonds that move in value.

货币市场拥有价值变动的短期债券投资组合。

They allow them to round to (I could be off by a decimal place) to only two decimal places.

它们允许四舍五入（我可能会小数点后一位）仅保留两位小数。

That’s not a lot.

这并不多。

Two decimal places for short-term securities means most of the time, almost all the time it rounds to a dollar.

短期证券的小数点后两位意味着大多数情况下，几乎所有情况下都四舍五入为一美元。

Therefore, there’s an illusion, but they’re risky.

因此，这是一种幻想，但它们是有风险的。

That is to me a very dangerous asset, because it tells people there’s no risk when there’s actually is risk.

这对我来说是一项非常危险的资产，因为它告诉人们没有风险，而实际上存在风险。

I’m not saying you have to go out a billion dollars.

我并不是说你必须花十亿美元。

No one wants an NAV.

没有人想要资产净值。

What’s your NAV?

您的资产净值是多少？

Pi.

圆周率。

No one wants that.

没有人想要这样。

But it’s so short, it artificially looks stable.

但它太短了，人为地看起来很稳定。

When you tell the world there’s risk in something, and then bad things happen, it’s not fun.

当你告诉世界某件事存在风险，然后糟糕的事情发生时，这并不有趣。

It’s still bad things.

这仍然是坏事。

But, they tend to deal with it much better.

但是，他们往往能更好地处理这个问题。

Many people have observed, the Internet tech bubble that I keep talking about, when that came down, the economic consequences, the threats to our system were far more benign.

很多人都观察到，我一直在谈论的互联网科技泡沫，当泡沫破裂时，经济后果以及对我们系统的威胁要温和得多。

I think that’s because no matter how crazy they might have gone, nobody thought they’re utterly riskless.

我认为这是因为无论他们有多疯狂，没有人认为他们完全没有风险。

They didn’t act as a group as if there was no possible problem.

他们并没有表现得好像没有任何问题一样。

Equity losses are expected.

预计会出现股权损失。

Bond losses are not expected.

预计不会出现债券损失。

So I will say this.

所以我会这么说。

If you truly can take all the risk out, great.

如果你真的可以消除所有风险，那就太好了。

If you tell everyone it’s risky and it’s risky, great.

如果你告诉每个人这是有风险的，而且是有风险的，那就太好了。

I think the thing people don’t appreciate is how dangerous things are that you think protect you, but only mostly protect you.

我认为人们没有意识到的是，你认为可以保护你的事物是多么危险，但实际上只是在很大程度上保护你。

I think the thing people don’t appreciate is how dangerous things are that you think protect you, but only mostly protect you.

我认为人们没有意识到的是，你认为可以保护你的事物是多么危险，但实际上只是在很大程度上保护你。

That might be true.

这可能是真的。

You can take this logic too far, right?

你可能把这个逻辑看得太过分了，对吧？

Maybe we all drive more aggressively because we’re wearing a seat belt, and we know we can hit the breaks and we won’t go through the windshield.

也许我们都开车更激进，因为我们系了安全带，而且我们知道我们可以刹车，而且不会穿过挡风玻璃。

I’m not going to sit here and say that’s a bad idea.

我不会坐在这里说这是一个坏主意。

The effect still exists, by the way.

顺便说一句，效果仍然存在。

You probably drive a little too aggressively, and you probably have an extra accident or two because of the seat belt.

您可能驾驶得有点过于激进，并且由于安全带的原因，您可能会发生一两起额外的事故。

My logic doesn’t mean it’s always bad to take preventative action.

我的逻辑并不意味着采取预防措施总是不好的。

But, if you thought as we sometimes do in finance, like money market funds, that you could do anything in a car because you’re wearing a seat belt, that’s kind of the money market analogy I’m making.

但是，如果你像我们有时在金融领域所做的那样，比如货币市场基金，你可以在车里做任何事情，因为你系了安全带，这就是我所做的货币市场类比。

I think those are the most dangerous things.

我认为这些是最危险的事情。

Q&A

问答

Now AQR, you’ve lead with mutual funds.

现在，AQR，您已通过共同基金领先。

Do you think in the next few years, due to changes in regulation, that the alternatives industry will do more distribution to non-accredited investors?

您认为在未来几年中，由于监管的变化，另类投资行业是否会向非认可投资者进行更多分配？

How will the industry handle that opportunity?

业界将如何把握这一机遇？

When you look at the mutual fund industry — and they’re often called liquid alts, the hedge fund–like strategies that have started to appear in the mutual fund world — and, we do some of these.

当你观察共同基金行业时——它们通常被称为流动替代品，即已经开始出现在共同基金世界中的类似对冲基金的策略——而且我们做了其中的一些。

I think they’ve largely been replicating some of the same problems.

我认为他们很大程度上重复了一些相同的问题。

I think they’re not fully, as a group, and we’re in there, and I clearly like ours, but as a group I think they’re not fully hedged and are probably still too expensive.

我认为作为一个团体，他们还没有完全实现，而我们就在那里，我显然喜欢我们的，但作为一个团体，我认为他们没有完全对冲，而且可能仍然太贵。

I do think that same intellectual battle will go on.

我确实认为同样的智力斗争将会继续下去。

But I think there are still reasonable strategies at the core doing reasonable things, and not everyone is in the same position as Mr. Rubenstein.

但我认为核心还是有合理的策略在做合理的事，并不是每个人都和鲁宾斯坦先生处于同样的境地。

A lot of people actually do want more assets.

很多人实际上确实想要更多的资产。

So, I do think that will get bigger.

所以，我确实认为这会变得更大。

So, who’s on the opposite end of the trade?

那么，谁是交易的另一端呢？

I mean, it is individual investors that are trying to stock pick, or are they other stupider professional managers?

我的意思是，是个人投资者在选股，还是其他更愚蠢的职业经理人？

Backing up, you’re not going to believe me, you’re going to think I’m just copying you.

备份，你不会相信我，你会认为我只是在抄袭你。

But myself and a colleague, Antti Ilmanen — he’s Finnish, he didn’t just have odd parents — have been planning, we haven’t written it yet, to write a paper with the literal title, “Who is On the Other Side?” Just a little shorter version of what you said, because we do think that is a very disciplining question.

但我和我的一位同事安蒂·伊尔曼宁（Antti Ilmanen）——他是芬兰人，他不仅仅是有奇怪的父母——我们一直在计划写一篇论文，其字面标题是“谁在另一边？”只是您所说的内容的简短版本，因为我们确实认为这是一个非常有纪律的问题。

I’ve written — I wrote something in the Financial Analysts Journal on 10 different things in finance that I thought were kind of interesting, short observations.

我在《金融分析师杂志》上写过一些关于金融领域 10 个不同事物的文章，我认为这些内容是有趣的简短观察。

One of them was your point precisely, where I said people think if they follow systematic strategies like we do, even low turnover — value happens to be what’s called a low-turnover strategy — momentum changes its mind.

其中之一正是你的观点，我说人们认为如果他们像我们一样遵循系统化策略，即使是低周转率 ——“价值也恰好是所谓的低周转率策略”—— 动量会改变想法。

You have to trade momentum more than value.

你必须交易动力而不是价值。

So, systematic and low turnover, they’ll call passive.

因此，系统性和低流动性，他们会称之为被动。

Mainly a fight about semantics, but I don’t like that term because, to me, like I think for you, passive should be something we can all do.

主要是关于语义的争论，但我不喜欢这个词，因为对我来说，就像我对你的想法一样，被动应该是我们都可以做的事情。

If we all try to do value, we can’t all do it.

如果我们都尝试创造价值，我们就不可能都做到。

Value, even if it’s systematic, simple to explain, works on average, still requires exactly what this man just said.

价值，即使它是系统的、解释简单的、平均有效的，仍然需要完全符合这个人刚才所说的。

If you’re overweight cheap stocks, somebody has to be overweight expensive stocks.

如果你增持廉价股票，那么有人就必须增持昂贵股票。

I will say a lot of it gets back to the exact conversation I started out with Tyler.

我想说，其中很多内容都可以追溯到我与泰勒开始的确切对话。

There are two possible reasons someone can choose to be on the other side of you.

有人选择站在你的另一边可能有两个原因。

You have to start out right there, thinking about both of them.

你必须从那里开始，考虑这两个问题。

One is what you’re talking about works, my use of the word “works,” for risk reasons again.

一是你所说的作品，我再次出于风险原因使用“作品”这个词。

Same thing.

同样的事情。

Cheap stocks are inherently riskier.

廉价股票本质上风险较高。

There is some scenario where they get killed in a depression, and that’s risk.

在某些情况下，他们会在经济萧条中丧生，这就是风险。

You are willing to bear that risk.

你愿意承担这个风险。

Someone else is not.

其他人则不然。

They willingly and consciously, maybe implicitly — we do a lot of things in economics that just kind of happens even though we don’t say it — but they in some sense willingly take a lower return because they don’t want that risk.

他们心甘情愿、有意识地，也许是含蓄地——“我们在经济学中做了很多事情，即使我们不说出来，这些事情也确实发生了”——但从某种意义上说，他们愿意接受较低的回报，因为他们不想承担这种风险。

Right there, might be true, might not be, but it’s a perfectly logically valid story for who is on the other side.

就在那里，可能是真的，也可能不是，但对于另一边的人来说，这是一个完全逻辑上有效的故事。

The other is hope springs eternal for value.

另一个是希望的价值永恒。

There are a number of people who simply see whatever has been going on.

有很多人只是看到正在发生的事情。

Who’s been beating earnings for the last few years?

过去几年谁的盈利一直超出预期？

Whose products have been popular?

谁的产品受到欢迎？

That company probably should be worth more.

那家公司可能应该更值钱。

They go too far.

他们走得太远了。

They over‑extrapolate.

他们过度推断。

The behavioral story, the other version besides risk.

行为故事，除了风险之外的另一个版本。

Both those stories, you’re exactly right, do require someone on the other side but no means — I’m you asked — do I think these things could be used for everyone to outperform?

这两个故事，你说得完全正确，确实需要有人站在另一边，但没办法 —— 我是你问的 —— 我认为这些东西可以让每个人都表现出色吗？

This is not Lake Wobegon.

这不是沃比冈湖。

We can’t all beat the index.

我们不可能全部打败指数。

It’s actually a precise mathematical identity.

它实际上是一个精确的数学恒等式。

Having said that, I think there are risk premiums and there are behavioral biases that lead some to willingly or accidentally underperform.

话虽如此，我认为风险溢价和行为偏差会导致一些人有意或无意地表现不佳。

You have to have the story for each one.

你必须为每一个故事讲述故事。

Your other question, about why would it persist, Tyler asked a version of it, too.

你的另一个问题，关于为什么它会持续存在，泰勒也问了它的一个版本。

I think they can persist because they’re pretty good but not extremely good.

我认为他们能够坚持下去，因为他们还不错，但还不是特别好。

We look at this, the value effect.

我们看看这个，价值效应。

It’s been a good five years or so for the set of these three or four anomalies I’ve talked about — value, low risk, momentum, profitability.

对于我谈到的这三四个异常现象来说，已经过去了五年左右的时间——价值、低风险、动力、盈利能力。

It’s been a bad five years for value.

对于价值来说，这是糟糕的五年。

The pricing of cheap versus expensive is not egregiously weird, but it’s about historically normal when they’ve on average probably looked a little too cheap if you’re a behaviorist.

便宜与昂贵的定价并不是非常奇怪，但这在历史上是正常的，如果你是一个行为主义者，它们平均看起来可能有点太便宜了。

What happened?

发生了什么？

Of all these three or four I’ve talked about, that’s the one that’s been around the longest.

在我谈到的所有这三、四个中，这是存在时间最长的一个。

It’s very hard to arbitrage this away.

很难利用这一点进行套利。

Somebody is on the other side.

有人在另一边。

Value goes through some horrible periods and hope springs eternal.

价值会经历一些可怕的时期，而希望却是永恒的。

Credit: Nick Donner Photography

图片来源：尼克·唐纳摄影

I do think it’s a great question because you must always ask that question.

我确实认为这是一个很好的问题，因为你必须总是问这个问题。

I put it even starker sometimes.

有时我说得更严厉。

It’s not a good title for a paper but, “whose money are you taking?” You know the old joke if you’re at a poker table for five minutes and you haven’t figured out who the sucker is, it’s you.

对于一篇论文来说，这不是一个好的标题，但是“你拿了谁的钱？”如果你在牌桌上呆了五分钟，但还没弄清楚谁是傻瓜，你就知道这个老笑话了，那就是你。

Why am I making this extra money?

我为什么要赚这些额外的钱？

If you don’t ask your question, you’re not doing your job.

如果你不问问题，你就没有做好你的工作。

Remember, I stuck this in, that hedge funds seemed to have figured out and incorporate.

请记住，我坚持这一点，对冲基金似乎已经弄清楚并合并了。

This is just empirically — if you look at their returns, look at what strategies they’re correlated to and not, they seem to show that they’ve figured out some of the momentum strategy.

这只是经验上的——如果你看看他们的回报，看看他们与哪些策略相关，哪些策略不相关，他们似乎表明他们已经找到了一些动量策略。

They seem to buy more expensive, not cheap stocks.

他们似乎购买更昂贵的股票，而不是便宜的股票。

Maybe they buy the right ones, maybe they figure it out, but they are fighting the value effect.

也许他们买了正确的东西，也许他们弄清楚了，但他们正在与价值效应作斗争。

I think at least some of it is coming even from the very “smart” investors.

我认为至少其中一部分甚至来自非常“聪明”的投资者。

Other restrictions, like, remember, we talked low-risk investing for the Fisher Black reason, being effective because people are restricted from leverage.

其他限制，例如，记住，我们谈论低风险投资是出于费舍尔布莱克的原因，之所以有效，是因为人们受到杠杆作用的限制。

Professional mutual fund managers have that restriction left and right.

专业共同基金经理左右都有这种限制。

Whether they do it consciously or they’re just led to it, they get pushed into higher beta stocks.

无论他们是有意识地这样做还是只是被引导这样做，他们都会被推入更高贝塔值的股票。

They get pushed into taking more risk and probably overpay for them.

他们被迫承担更多风险，并且可能为此付出过高的代价。

I like that example better than we’re talking mom and pop’s money, but that’s probably in there, too, to some extent.

我更喜欢这个例子，而不是我们谈论妈妈和爸爸的钱，但这在某种程度上也可能在那里。

But, keep in mind, I’m being nice.

但是，请记住，我很友善。

I’m advising mom and pop not to trade.

我建议妈妈和爸爸不要进行交易。

They should go to Jack.

他们应该去找杰克。

What are your thoughts both as a momentum trader and from a fundamental standpoint?

作为动量交易者和基本面观点，您有何想法？

Does that train continue or is it time to get out?

火车继续行驶还是该下车了？

These techniques, not only do they work on average over the long term, but you need a broad cross‑section all the time.

这些技术不仅能长期有效，而且始终需要广泛的横截面。

They’re really, really bad at things like, “What do you think of this sector?” I don’t know the answer, first of all.

他们真的非常不擅长诸如“你觉得这个行业怎么样？”之类的问题。首先，我不知道答案。

This will be the third.

这将是第三次。

I told you active management is too expensive, hedge funds are not a good idea.

我告诉过你主动管理太贵了，对冲基金不是一个好主意。

Now I’m going to tell you I don’t know if we’re overweight or underweight biotech.

现在我要告诉你，我不知道我们是否超重或过低的生物技术。

Everyone write that down.

每个人都写下来。

I actually like telling people this.

我其实很喜欢告诉别人这些。

When I go on something, I don’t do it too often, like TV, we coach them.

当我做某事时，我不会经常做，比如电视，我们指导他们。

Don’t ask me about individual stocks.

别问我个股的事。

We’re long and short thousands of things based on these quantitative measures, and we’re doing that intentionally.

我们根据这些量化指标做多或做空数千种东西，而且我们是有意这样做的。

You could be cheap, good momentum, profitable, low beta, and the CEO could have a scandal tomorrow.

你可能很便宜，势头良好，有利可图，贝塔值低，而首席执行官明天可能会遇到丑闻。

These are statistical averages.

这些是统计平均值。

You want to spread your bet.

你想分散你的赌注。

You want to make a lot of them.

你想做很多。

A quantitative systematic manager like me shouldn’t know a lot.

像我这样的量化系统经理不应该知道很多。

I could go memorize all 5,000 positions.

我可以记住所有 5000 个位置。

Biotech, I have no idea, but I think it’s instructive why I have no idea.

生物技术，我不知道，但我认为这对我不知道的原因很有启发。

If I have an idea, worse, if I have a very strong opinion, I’m just doing my stuff wrong.

如果我有一个想法，更糟糕的是，如果我有非常强烈的意见，那么我只是做错了事情。

There are people who may or may not be good at that, but you do not come to a systematic quant manager — if your systematic manager says, “here’s what you do: put it all on biotech” — run.

有些人可能擅长，也可能不擅长，但你不会遇到系统化的量化经理 ——如果你的系统化经理说，“这就是你要做的：把一切都放在生物技术上” —— 运行。

Even the most insane billionaire cannot afford a hundredth of what frigging Tony Stark or Bruce Wayne have.

即使是最疯狂的亿万富翁也买不起托尼·斯塔克或布鲁斯·韦恩所拥有的百分之一。

It’s infuriating.

真令人气愤。

I’ve done well.

我做得很好。

I’m not the most insane out there.

我不是那里最疯狂的人。

But if I wanted to go build a Batcave at my house, it would take approximately 600 times my wealth, and everyone would know about it.

但如果我想在家里建一个蝙蝠洞，大约需要我600倍的财富，而且每个人都会知道。

I’ve done well…

我已经做得很好了……

ut if I wanted to go build a Batcave at my house, it would take approximately 600 times my wealth, and everyone would know about it.

但如果我想在家里建一个蝙蝠洞，大约需要我600倍的财富，而且每个人都会知道。

There was a character named Hank Pym, one of the original Avengers.

有一个角色名叫汉克·皮姆，是最初的复仇者联盟成员之一。

Avengers were, of course, as you all know, Thor, Hulk, Iron Man, Giant-Man, which is Hank Pym, and the Wasp.

当然，众所周知，复仇者联盟包括雷神、绿巨人、钢铁侠、巨人族（即汉克·皮姆）和黄蜂女。

He is a loser.

他是一个失败者。

Giant-Man was just a big guy.

巨人人只是一个大个子。

He wasn’t even stronger than a regular guy!

他根本就不比普通人强！

He was just big!

他只是大了而已！

Everyone beat up Giant-Man.

每个人都殴打巨人。

Then he used the same powers to shrink — and control ants, of course, because those go together.

然后他使用同样的力量来缩小——当然，并控制蚂蚁，因为它们是相辅相成的。

Then, he became an alcoholic, and then he hit his wife in the comic books.

然后，他变成了一个酒鬼，然后他在漫画书中打了他的妻子。

That’s easy to hate.

这很容易让人讨厌。

But I hated him even before the spousal abuse.

但我什至在虐待配偶之前就恨他。

We’ve seen people heeding this advice and flowing in.

我们看到人们听取了这个建议并涌入。

Do you think that in and of itself — more people going to passive strategies — could open up more potential for active managers and more anomalies?

您认为就其本身而言——“更多的人采用被动策略”——是否可以为主动型管理者和更多异常现象带来更多潜力？

Instinctively, you want to say it’s going to be easier to beat the market if fewer people are trying.

本能地，你想说，如果尝试的人越少，打败市场就会更容易。

If you’re a PhD student in finance, this is what you do at 3 AM in your bull session is, “what happens if everyone indexed?” No one who has gone through a PhD program in finance or probably economics has not done that.

如果你是一名金融学博士生，那么你在凌晨 3 点的牛市会议中所做的就是“如果每个人都指数化会发生什么？”没有人没有完成过金融或经济学博士学位课程。

We really don’t know.

我们真的不知道。

People will actually argue over this.

人们实际上会为此争论。

Then you try to get a little more realistic.

然后你尝试变得更现实一点。

What if almost everyone indexed?

如果几乎每个人都索引怎么办？

Feels very obvious that it would be easier to win.

感觉很明显，获胜会更容易。

On the other hand, this constraint that was brought up already, that the average can’t beat the average, whose money are you taking?

另一方面，已经提出的这个限制，即平均水平不能超过平均水平，你拿谁的钱？

If everyone else is passive, how do you induce them to take a bet away from passive?

如果其他人都是被动的，你如何诱导他们放弃被动下注？

My sense — I think you could literally mathematically disprove this, so it’s a sense of what would happen if we got close, not all the way — is it would easier and you could fool people if you were the one with some information.

我的感觉 ——我认为你可以从字面上从数学上反驳这一点，所以这是一种如果我们接近而不是一直走下去会发生什么的感觉——如果你是掌握一些信息的人，那就更容易，你可以愚弄人们。

Information would be easier to get.

信息会更容易获得。

The informationless trader, you could push away more by just bidding more for their stock.

对于无信息的交易者来说，你可以通过提高他们的股票出价来推开更多。

In the short term, you could capture some of their profits.

短期内，你可以获取他们的部分利润。

Still hard to make the math work.

仍然很难让数学发挥作用。

Because if you really push them away, they have to tilt away, and they’re trying to be passive.

因为如果你真的把他们推开，他们就不得不离开，而且他们会试图变得被动。

If everyone else is trying to be fully market cap weighted, whom do you trade with?

如果其他人都试图完全加权市值，那么您与谁进行交易？

No one is willing to underweight.

没有人愿意减重。

You’ve actually brought up a paradox that people are still fighting about.

你实际上提出了一个人们仍在争论的悖论。

I think in a more realistic scenario — I do know this — more people chasing my strategy is not good for me.

我认为在更现实的情况下 —— 我确实知道这一点 —— 更多的人追逐我的策略对我没有好处。

But, in general, it’s really hard to figure out.

但总的来说，这确实很难弄清楚。

But a question everyone talks about, so I’m glad you ask, so I could fail at it also.

但这是每个人都在谈论的问题，所以我很高兴你问，这样我也可能会失败。

* Cliff’s economic law has been edited for clarity.

* 为清晰起见，对克里夫的经济法进行了编辑。

The Mercatus Center gratefully acknowledges the assistance of T.J.

Mercatus 中心衷心感谢 T.J.

Whittle in curating most of the hyperlinks found in this transcript.

惠特尔整理了这份文字记录中发现的大部分超链接。