聊聊你的书：为什么动量投资有效

今天的Animal Spirits节目由纳斯达克Dorsey Wright赞助播出。

Today's Animal Spears Talk Your Book is brought to you by Nasdaq Dorsey Wright.

请访问nasdaq.com/nasdaqdorseywright，了解更多关于他们的动量策略、SMA、ETF等产品。

Go to nasdaq.com slash Nasdaq dorsey Wright to learn more about their whole suite of momentum strategies, SMAs, ETFs, and more.

网址是nasdaq.com/nasdaqdorseywright。

That's nasdaq.com slash Nasdaq Dorsey Wright.

欢迎收听Animal Spirits，一档关于市场、生活和投资的节目。

Welcome to Animal Spirits, a show about markets, life, and investing.

迈克尔·巴特尼克和本·卡尔森将在这里聊聊他们正在读的书、写的文章和看的节目。

Join Michael Batnick and Ben Carlson as they talk about what they're reading, writing, and watching.

迈克尔和本的所有观点仅代表他们个人，不代表Ritholtz财富管理公司的立场。

All opinions expressed by Michael and Ben are solely their own opinion and do not reflect the opinion of Ritholtz Wealth Management.

本播客仅供信息参考，不应作为任何投资决策的依据。

This podcast is for informational purposes only and should not be relied upon for any investment decisions.

Ritholtz财富管理公司的客户可能持有本播客中讨论的证券。

Clients of Ritholtz Wealth Management may maintain positions in the securities discussed in this podcast.

欢迎收听《动物精神》，我是迈克尔和本。

Welcome to Animal Spirits with Michael and Ben.

迈克尔，今天节目我们请到了约翰·刘易斯。

Michael, on today's show, have John Lewis.

约翰是纳斯达克多尔西·赖特的高级投资组合经理，持有CMT证书。

John is a CMT senior portfolio manager at Nasdaq Dorsey Wright.

他所在的公司是美国最大的动量交易平台之一，我想是这样。

One of the largest momentum trading platforms in The US, I guess.

但肯定得是，对吧？

But there is has to be, right?

我之前没意识到，约翰告诉我们他们有150亿美元。

So I didn't realize John told us there $15,000,000,000.

这对我来说是个新消息。

That was news to me.

在动量领域，这规模相当大了。

That's pretty big for the momentum space.

对。

Yeah.

我会说是最大的。

I would say the largest.

对。

Yeah.

我说“我会说”的时候，我确定你知道，肯定有排名第一的。

And when I say I would say, I'm sure you you know, there's gotta be a number one.

所以你可以去核实一下。

So you can fact check me there.

但在我看来，他们就是第一。

But according to me, they're the number one.

对。

Yeah.

所以我们之前聊过，为什么价值就是这样一个巨大的因子。

So we've talked about this in the past why there's value is just this mammoth factor.

肯定是最庞大的那个，不知道大多少倍，但确实很巨大，因为价值投资是讲得通的。

Gotta be the biggest one by I don't know what how many times, but it's huge because value makes sense.

动量投资就说不通了。

Momentum does not.

价值投资我一下子就理解了。

Value made sense to me immediately.

价值投资指数基金。

Value investing index funds.

对我来说，那瞬间就豁然开朗了。

That to me, light bulb went off immediately.

我明白了。

I get it.

我完全理解。

I totally understand it.

动量投资我花了很长时间才弄懂，得读克利夫·阿斯纳斯、韦斯·格雷和梅布·费伯这些人的东西，才能理解动量投资背后的理念。

Momentum took me a lot longer to understand, and I had to read people like Cliff Asness and Wes Gray and Meb Faber to understand this idea behind momentum investing.

比如说，这为什么会有效呢？

Like, why would this work?

这看起来太简单了。

It seems so simple.

傻瓜都能做到，对吧？

A dummy can do this, right?

好吧，我要买一只上涨的股票？

Well, I'm gonna buy a stock that goes up?

太好了。

Great.

这看起来太简单了。

It seems so simple.

但是当你给它加上一个流程，加上一些规则，把它系统化，然后说我要有买入纪律，也要有卖出纪律，并且我要利用市场参与者的行为，那么对我来说，哦，明白了。

But then when you put a process behind it and put some rules behind it and systematize it and say I'm gonna have a buy discipline here and I have a sell discipline here and and I'm gonna take advantage of the behavior of market participants, then to me, oh, okay.

现在我懂了。

Now I get it.

行为学那部分，让我一下子豁然开朗了。

The behavioral side, that's when it clicked for me.

关键就在于人的行为。

It's behavior.

你刚才说的价值投资那块，真的特别有道理。

The value piece makes so much sense as you were saying.

比如，花七毛钱买一块钱的东西，这逻辑太通了。

Oh, I'm gonna buy a dollar for 70¢.

他们没告诉你的是，华尔街现在不再以70美分的价格抛售美元了。

What they don't tell you is that Wall Street doesn't sell dollars for 70¢ anymore.

对。

Right.

确实如此。

True.

没错。

Yes.

对。

Yeah.

对。

Yeah.

对。

Yeah.

以前是50美分。

Used to be 50¢.

可能又是通货膨胀在作怪。

Maybe that's inflation kicking in again.

而且很明显，动量策略不是那种一直有效的策略。

And obviously, momentum is not it's the kind of thing that doesn't work all the time.

没有什么是永远有效的。

Nothing does.

但我觉得，特别是对于理财顾问圈的人来说，他们非常看好价值投资。

But I think especially if you think about people in the financial advisor community, there was a huge buy in into value.

对吧？

Right?

想想DFA是怎么做到这么大的，他们的成功很大程度上就靠这个策略。

Think about how big DFA got, and that was kind of what they were made on.

对吧？

Right?

我觉得跟理财顾问解释起来最简单的方式是：如果你的客户组合里已经有价值因子了，那动量因子就是用来对冲的那个部分。

And I think the easiest way to explain it to advisors is if you have a value factor in your client portfolios, momentum is the offset piece.

这就是阴阳平衡的道理。

It's the yin and yang.

就像跷跷板的两端一样。

It's the other side of the teeter totter.

它们可以互相补充，因为在经济周期的不同阶段和市场环境下，有时候价值投资表现更好，有时候动量策略更胜一筹。我觉得这种思路是非常合理的。

It's they can complement one another because there are times when value works way better and other times momentum works way better depending on where we are in the cycle and the economic environment, and I think that's that's the idea to me that makes sense.

我们的目标不一定是追求巨大的超额收益，而是稳健为主。

It's like not necessarily we're going for huge alpha, but it's no.

这是分散风险的部分。

It's the diversification piece.

这就是我觉得动量策略有道理的原因。

That's why momentum makes sense to me.

接下来我们会和纳斯达克道氏科技的John Lewis深入探讨这些内容。

Anyway, we get into a lot more of that with John Lewis from Nasdaq Dorsey Wright.

下面就是我和John的对话。

So here's our discussion with John.

约翰，

John,

欢迎参加节目。

welcome to the show.

大家好。

Hey, guys.

谢谢邀请我。

Thanks for having me.

所以今天我们聊的是动量策略。

So we are talking about momentum today.

用尤金·法玛的话来说，这算是市场里最顶级的异象之一了。

One of one of, I guess, in Jude Fama's words, the premier market anomaly.

这种效应确实存在。

It's this type of thing that exists.

大家都清楚它存在。

Everybody knows it exists.

但听起来这似乎有点反直觉。

And yet it sounds like dumb.

感觉这不该是这样才对。

It sounds like it shouldn't.

比如，等一下。

Like, wait a minute.

你是说，如果我买入那些正在上涨的东西，也就是追高、越涨越买，然后系统地持续这么做，其实背后真有道理，而且确实有效？

You're telling me that if I buy things that are going up, like buy high and buy higher and, you know, just keep doing that systematically, it actually there's actually something there that works.

对，确实有效。

And, yeah, it does work.

效果非常好。

Works very well.

但投资者似乎对它配置得很少。

But investors seem to be very underinvested to it.

至少在我考虑ETF的时候是这样。

At least when I'm look like, thinking about ETFs.

价值型ETF、股东收益率和品质型ETF里有数百亿美元的资金。

There's tens, hundreds of billions of dollars in value ETFs and shareholder yield and quality.

而不知为何，动量策略似乎不太受投资者青睐，尽管大家都知道它是有效的。

And for some reason, momentum doesn't seem to get a lot of love from investors, even though it's very well understood to have legitimacy.

是的。

Yeah.

我觉得你说得对。

I mean, think that's right.

而且你说过这概念有点傻，我同意。

And and you said it's kind of a a dumb concept, and I agree.

我常开玩笑说，要是聊起股票，我就是鸡尾酒会上最不懂行的人，因为人家问你喜欢哪只股票，你说因为它在涨。

Like, I make a joke that I'm the dumbest person at the cocktail party if we start talking about stocks because why do you like this stock?

因为它在涨嘛。

Because it's going up.

而且涨得越多，我就越喜欢它。

And if it goes up more, I like it even more.

所以这是一个概念，你知道的，它看起来好像不太合理，但实际上非常合理，而且效果很好。

So it is a concept that, you know, it doesn't seem like it should make sense, but it really does and it works really well.

你说得很对，投资者在这个因子上的配置确实太少了。

And you're totally right that investors are really under allocated to that factor.

当你把动量放在整个投资组合的背景下考虑时，比如它对价值因子和其他那些东西来说是很好的分散风险工具。

And when you think about momentum in an overall portfolio context, like it's a great diversifier to value in those other things.

所以是的，我一直不明白为什么它的口碑这么差，为什么大家都不愿意去投资它。

So yeah, I've never understood why it's got such a bad rap and why people are so unwilling to do it.

我觉得部分原因是行为层面的，因为这个因子本质上就是行为性的。

I think part of the reason is behavioral and because the factor really is behavioral in nature.

而且我认为价值投资这个理念从直觉上就能立刻让人理解。

And I think the whole idea of value investing makes sense intuitively right away.

我是花五毛钱买一美元的东西，对吧？

I'm buying a dollar for 50¢ or whatever it is, right?

这个概念很合理。

That concept makes sense.

动量策略要求你暂时抛开基本面，因为市场里存在各种非理性行为，比如损失厌恶、近因偏差和确认偏误等等，这些疯狂的行为恰恰构成了动量的基础。

Momentum requires you to kind of take the fundamentals out of it and go, sometimes there's this hurting and there's recency bias and confirmation, all these crazy things that people do, that and like makes up momentum.

我觉得人们很难真正理解这一点。

I think it's harder for people to wrap their brains around it.

我确实觉得，比如说，嘿，这只股票过去三个月涨了100%，我要买入它。

I I certainly think like, hey, I'm gonna buy this stock that's up a 100% in the last three months.

我还要加仓。

I'm gonna buy more of it.

我觉得对很多人来说真的很难做到。

I think it's really hard to do for people.

强迫自己去做这件事很难。

It's hard to like force yourself to do that.

所以我想问的是，这就是为什么对大多数人来说，它几乎必须基于规则吗？

And I I guess the question is, is that why it almost for most people, it almost has to be rules based?

我是说，我觉得是这样。

I I mean, I think so.

我认为如果没有非常严格且系统化的方法，做动量投资真的非常困难。

I think it's really, really difficult to do momentum without like a really disciplined and systematic way to do it.

这是我们非常关注的一点，你知道，动量因子其实挺简单的。

And that's one of the things that we really focus on a lot is, you know, the momentum factor is kinda easy.

对吧？

Right?

就像，根据过去的表现给股票排名是很容易的。

Like, you're not it's pretty easy to rank stocks on trailing performance.

对吧？

Right?

那为什么不是每个人都能做到呢？

And why can't everyone do it?

很多问题其实出在执行上，也就是真正落地的时候。

They get a lot of it comes down to the implementation, kinda where the rover meets the road.

这其实是投资中最不吸引人的部分。

That's really the unsexy part of investing.

但我确实认为，如果没有一个好的流程，这事儿就成不了，因为你可能会在错误的时机放弃。

But I do believe like if you don't have a good process for this, it's not going to work because you are going to kind of give up on it at the wrong time.

你会在错误的时机重新入场，而这样的错误你没有太多机会去犯。

You'll get back in at the wrong time and you just don't get many chances to get that wrong.

对吧？

Right?

如果做不对，长期下来就会毁掉你的收益。

It just kind of destroys your returns over time if you don't get it right.

看起来动量是双向的。

It seems like momentum works both ways.

你想买上涨的股票，避开下跌的股票。

You wanna buy stocks that are going up and you you wanna avoid stocks that are going down.

今天早上我读了TriVariant的Adam Parker的研究，他谈到了财报发布前会发生什么。

I was reading research from Adam Parker at TriVariant this morning, and he was talking about what happens going into earnings.

他说，引用一下，便宜的股票如果动量不好，在财报发布前并不会被解除风险。

And he said, quote, cheap stocks with bad momentum are not, quote, derisked into the print.

他们正确预测了业绩不及预期，而业绩不及预期只是对价格走势的确认。

They are anticipating the miss correctly, and the miss is a confirmation of the price action.

动量不好但便宜的股票，因为业绩不及预期而受到的惩罚从未如此之大。

Stocks with bad momentum that are cheap have never been punished more for missing.

所以市场是有智慧的。

So the market, there is wisdom.

股票价格里确实有信号，尽管我觉得很多传统投资者会说，价格只是你今天能卖出的价格。

There is signal in stock prices even though I think a lot of traditional investors say, ah, this the price is just what you could sell it at today.

它并不能告诉你长期的情况。

It tells you nothing about its long term.

它也不能告诉你企业的价值。

It tells you nothing about the value of a business.

也许从长期来看确实如此，但在短期内，股价中绝对有信号。

And maybe that's true over the very long term, but in the near term, there is absolutely signal in stock prices.

是的，绝对是这样。

Yeah, absolutely.

我觉得你说得对。

And I think you're right.

从长期来看，基本面确实会胜出。

Like over the very long term, the fundamentals do kind of win out.

对吧？

Right?

我的意思是，你不能永远维持高估值，但我们真正关注的是中期的时间跨度。

I mean, you can't you can't survive at at massive multiples forever, but we're looking really at the intermediate term time horizon.

对吧？

Right?

而这正是动量策略所有超额收益的来源。

And that's really where all the alpha is for for momentum.

而且你可能会看到一些与基本面或类似因素严重脱节的情况。

And you can get some pretty big dislocations away from fundamentals or things like that.

很多这些真正优秀的动量股，基本面分析师群体并没有完全理解它们。

And a lot of these stocks that are really good momentum names, they're not fully understood by the fundamental analyst community.

我觉得这就是为什么它们在一到三年这样的时间跨度内能成为如此出色的赢家。

And I think that's why they turn out to be like such good winners over you know, one, two, three year time horizon type of thing.

你之前提到，动量因子本身也可以是一个很好的分散化工具。

So you mentioned earlier the fact that the momentum factor itself can also be a good diversifier.

因为我觉得有些人进入动量投资时想的是，我要跑赢市场，而且从历史上看，这个因子确实表现强劲，但我想让你谈谈分散化收益来自哪里，因为我觉得有趣的是，很多人只是假设动量就是科技和成长股，但显然它们不是一回事。

Because I think some people go into momentum thinking yes, I'm gonna outperform the market, and historically it's shown that that factor has been very strong, but I want you to talk about like where do the diversification benefits come from, because I think it's interesting in the fact that a lot of people just assume, well momentum is tech and growth, and obviously it's not the same thing.

有时候确实如此，但在我看来，它几乎像一种变色龙策略，板块在不断变化，获胜的股票类型也可能并且将会改变。

Sometimes it is, but the way that I see it, it's almost like a chameleon strategy that the sectors are constantly changing and the types of stocks that are winning can and will change.

所以我很好奇，从分散风险的角度你怎么看这个问题？

So I'm just curious what you think about it from a diversification perspective.

是的，Ben，我觉得你这么说很到位。

Yeah Ben, I think that's a good way to put it.

它确实有点像变色龙那种感觉，对吧？

It is kind of like a chameleon type of thing, right?

我的意思是，它会变。

I mean, will change.

它会在风格箱里来回移动之类的。

It will kind of go around the style box and things like that.

而且我觉得本质上，当我们看动量，然后拿它和价值来比较，对吧？

And I think essentially when we look at momentum and let's just compare it to value, right?

所以我们真的是从两个完全不同的角度来处理投资这个问题。

So we're really coming at the investment problem from two completely different angles.

所以动量投资长期来看可以非常非常好。

So momentum investing can be very, very good over time.

价值投资也一样。

So can value investing.

但价值投资者寻找的是那些被低估的股票。

But a value investor is looking for things that have been beaten down.

他们希望这些股票回归均值，然后就会卖出，对吧？

They want those stocks to revert to the mean and then they're out, right?

因为那时候它们已经充分估值了。

Because they're fully valued.

而动量投资者真正关注的是那些已经展现出超越其他所有股票能力的股票，你买入它们，希望这种趋势继续下去。

A momentum investor is really looking at stocks that have demonstrated the ability to outperform everything else in the universe and you buy those and you want that trend to continue.

对吧？

Right?

所以你们实际上处于周期的不同阶段。

So you're really at two different parts of the cycle.

因此，当动量策略表现好的时候，价值策略往往表现不佳，反之亦然，对吧？

And so when momentum strategies do well, very often value doesn't and vice versa, right?

所以当你把这两种策略放在一起时，一个在涨的时候另一个在跌。

So when you put these two things together, one is zigging while the other zagging.

你可能有两个策略在比如五年的时间跨度内都能跑赢市场，但会有那么一两年的时间，一个有效而另一个不行，反之亦然。

You may have two strategies that are able to outperform over say a five year time horizon, but there'll be, you know, one to two year stretches where one's working and one's not and vice versa.

这基本上就是让整体回报随时间变得更加平滑。

It just kind of smooths out the ride over time.

这些超额收益是负相关的。

Those the excess returns are negatively correlated.

说白了就是，你看，当价值投资表现好的时候，动量投资可能就不太好，反过来也一样。

And that's just a fancy way of saying, hey, look, you know, when value is doing well, momentum might not be in vice versa.

约翰，你之前提到过，股价和动量组合之间可能存在根本性的脱节，跟这些公司的基本面情况不一致。

John, you mentioned earlier the potential fundamental disconnect between the stock prices and the momentum basket and the underlying fundamentals of these companies.

当然我们在2020年、2020年底到2021年确实看到了这种情况。

And sure we saw that in 2020, late twenty twenty, 2021.

但大多数情况下，那些股票价格显示出动量的公司，其盈利也在呈现动量。

But more more often than not, companies that are exhibiting momentum in their stock prices are also seeing momentum in their earnings.

而且市场通常并不笨。

And the market is generally not dumb.

事实上恰恰相反。

In fact, it's the opposite.

市场是很聪明的。

The market is pretty smart.

而且它通常能判断正确。

And it usually gets it right.

股价表现好的公司，通常也是业务表现好的公司。

The companies that are performing well are or the companies whose stock prices are performing well are generally the companies whose businesses are performing well.

你能多讲讲这种动态吗？

Can you talk more about that dynamic?

对。

Yeah.

我是说，这通常是对的，对吧？

I mean, that's generally true, right?

那些具有良好动能特征的公司在业务方面往往有很多优势，无论是新产品、大的长期趋势，还是类似的东西。

The companies with good momentum characteristics often have a lot going for them on the business side of the equation, whether it's a new product, a big secular trend, something like that.

很少会出现那种昙花一现的名字，根本没有理由涨上去，比如那些所谓的meme股之类的。

It's very rare that you get these like fly by night names that really have no reason being, you know, up there and maybe like the meme stocks or something like that.

对吧？

Right?

那其实是一种不同的现象。

Like, that was kind of a different phenomenon.

我不会真的把那些归类为高动能的股票。

I wouldn't really classify those as kind of high momentum names.

但那些就像是动能的“浴盐”版本。

But Those like the bath salt version of momentum.

对。

Yeah.

确实。

Exactly.

那绝对是佛罗里达男版的了。

The Florida man version for sure.

对。

Yeah.

那段时间确实挺难熬的，你懂的，顺便提一句。

That was that was kinda tough when that was happening, you know, just kinda side note.

就像那些东西会偷偷溜进你的屏幕里，看到那些玩意儿真的不太好。

Like, those would sneak into your screens and things like that, and and it was, you know, not not not great to see that's kinda stuff getting in there.

想想苹果电脑，对吧，我记得他们刚推出iPod的时候，这显然暴露了我的年龄，这可不太好。

If you think about something like Apple Computer, right, I remember when they first came out with the iPod, which I'm obviously dating myself, which is not good.

我老了。

I'm getting old.

约翰，抱歉。

John, I'm sorry.

你知道我怎么看出你在暴露年龄吗？

You know how I know you're dating yourself?

你叫它苹果电脑。

You called it Apple Computer.

对。

Yeah.

对，没错。

Yeah, exactly.

你知道，最初他们推出iPod的时候，我就想，这不就是个随身听吗，只不过不用再放磁带了，对吧？

You know, at first they came out with an iPod and I was just like, well, this is just a Walkman that just has, you you don't put a tape in it anymore, right?

然后突然之间，他们建起了这个平台，这门生意，真是门好生意。

Well, all of a sudden, like they build this platform, that business, it's a great business.

他们不断在这个业务上迭代。

They keep iterating off of that business.

很长一段时间里，那都是一只势头很猛的股票。

That was a great momentum stock for a long time.

另一只长期势头强劲但没人想到的股票，是叫美国塔的公司。

Another great momentum stock for a long time that nobody even thinks about was something called American Tower.

他们建这些手机信号塔。

Like they build these cell phone towers.

现在数据满天飞，但情况已经不一样了。

With all of this data flying around and it's not the case anymore.

我说的是很多年前，这个算一个例子。

I'm talking about years ago how this is one.

这只是一个老例子，但你知道，那种建设规模在当时是件大事。

This is just kind of an old example, but, you know, that build out was a big thing.

那里有大量的商业动能。

There was a ton of business momentum there.

就像，没人知道那个名字。

Like, nobody knew that name.

我们把它放在一些指数里，放了很长时间。

We had it in some of our indexes and things like that for a really long time.

所以我想稍微聊聊今年的动能。

So I wanna talk about momentum this year a little bit.

如果你看看今年大多数动量策略的表现，随便挑一个出来，它们年初的表现都惊人地好。

If you look at most of any momentum strategy, pick one out of a hat this year, it had an unbelievable start to the year.

我觉得按某些指标来看，这大概是动量因子有史以来最好的开局之一，对吧？

I think by some measures, like one of the best starts ever for the momentum factor, right?

有些策略的涨幅在30%到40%之间，一直持续到六月底左右，也就是上半年的大部分时间。

Certain strategies are up anywhere from 30 to 40% really through, I don't know, the end of June or so, probably the first half of the year.

动量策略当时的表现真的非常强劲。

It was really strong for momentum.

Dorsey Wright有很多动量策略。

Like, you have plenty of momentum strategies at Dorsey Wright.

我相信你们上半年的表现一定很出色。

I'm sure you guys had a great first six months of the year.

我挺好奇的，因为有些策略已经重新回归了。

I'm curious because I mean, some of these strategies have come back in.

毕竟那种业绩不可能一直持续下去。

Like, that that performance couldn't have lasted forever.

对吧？

Right?

你不可能让百分之四十的六个月回报永远持续下去。

You couldn't can't have forty percent six month returns go forever.

对于这种本质上波动很大的策略，你如何设定合理的预期？

How do you try to set the right expectations for a strategy like this that is inherently volatile?

就像迈克尔说的，动量是双向的，尤其是在表现很好的时候。

Like like Michael said, momentum goes both ways, especially when things are going really well.

当人们看到这么好的表现，眼睛都亮了，说“天哪”，你如何试着降低他们的预期？

How do you try to temper expectations when people because that's when people's eyes get really big and they go, oh my gosh.

他们想继续踩油门，追求更多更多更多。

Let's like keep putting our foot on the gas and going for more and more and more.

而且显然，就像我们说的，这种好事不可能永远持续。

And and obviously, like we said, that stuff, it it just can't last forever.

它最终会耗尽自己。

It it has to exhaust itself eventually.

对。

Yeah.

你说得完全没错。

And and you're you're absolutely right.

所以这种状态不可能一直持续下去。

So it it can't last forever.

我觉得关键是要非常坦诚地说明这个策略的目标是什么，以及潜在的风险有哪些。

And what you have to do is just, I think, very open and honest about what the strategy is there to do, what the potential pitfalls are.

我觉得你还得跟客户把话说明白：这可不是那种让你只做半年、进进出出、试图去择时的策略。

And I think you also have to be really upfront with people about, hey, you know, this is not something that we just want you to do for six months and kind of be in and out of it and try to time it and things like that.

你得像对待价值策略或低波动率策略那样，真正投入并坚持下来。

Like, you really do need to kind of be committed to these strategies just like you do for a value strategy or low volatility or or anything like that.

所以这也是我们在道富环球投资管理（Dorsey Wright）一直强调的观点，过去二三十年我们都在反复传达这个理念。

So I think that's, you know, one thing we've done at Dorsey Wright where we've been just been kind of hammering that same message for twenty, twenty five years.

我认为这样做确实能帮客户建立合理的预期。

And I think, you know, that does set expectations.

我觉得大家心里大概都有数，知道要面对什么情况。

I think people kind of know what they're getting into.

对，我是说，今年市场波动真的挺大的。

But yeah, I mean, this year has been, it's been really volatile.

尤其是最近这一个月，波动明显加剧了。

The volatility has definitely picked up this last month.

而且就像你刚才说的，今年开局确实不错。

And again, like you said, great start to the year.

然后我们看到，这个月到目前为止，很多那些股票都已经回调了。

And then we've seen, know, a lot of those names correct a lot so far this month.

我们经常收到这样的咨询，就是有人手里的股票赚了很多钱，对吧？

We get questions all the time from people who've got huge gains in stocks, right?

比如几年前买了英伟达、特斯拉，或者亚马逊、苹果这些科技巨头之一的股票。

I bought this stock a few years ago in Nvidia or Tesla or whatever, know, Amazon, Apple, one of these big tech stocks.

他们的问题总是：我该怎么知道什么时候该卖出呢？

And the question is always, how do I know when to sell it?

因为我不想看到这些收益蒸发掉，或者大部分收益都没了，但也不想太早退出。

Because I don't wanna get into a situation where I see these gains evaporate or most of the gains evaporate, but I also don't want to get out of it too soon.

万一这只股票继续涨，来一波跨时代的行情呢？

And what if this thing just keeps going on a generational run?

我觉得买股票对大家来说真的很容易。

Like, is a quite like, I think it's it's really easy for people to buy stocks.

对吧？

Right?

你可以因为股票在涨，比如追涨，就买它。

You can buy a stock because it is going up like momentum.

你也可以因为股票跌了50%，觉得是个好机会，就买它。

You can buy a stock because it's down 50% and you think it's a great deal.

但知道什么时候卖股票，我觉得是比较难的事情之一。

Knowing when to sell stocks, think is one of the harder things.

如果我说错了，你可以纠正我。

You can correct me if I'm wrong.

几乎没有哪个投资者是因为特别擅长卖股票而出名的。

There's there are no investors who are really well known for being really good at selling stocks.

对吧？

Right?

这确实是一项很少有人具备的技能。

It's just it's a skill that not many people have.

所以我很想知道，想请你谈谈动量策略中卖出这一块。

So I'm curious, I want you to talk about the sell side of momentum.

对。

Yeah.

对于你说的那些，我确实没有什么要纠正的。

So there are certainly no corrections that I have for you there.

卖出确实非常难，比买入要难得多。

It is very difficult and the selling is way more difficult than the buying.

我们的做法是，努力保持整个投资组合的总体特征，让它处于这种高动量的区域。

The way we look at it is what we're trying to do is keep the overall profile of the portfolio right into this kind of high momentum area.

所以从我的角度来看，从商业角度来看，进进出出的那些个股名字其实并不重要。

So when I look at it and when we look at it from a business standpoint, the individual names that are coming in and out are irrelevant.

对吧？

Right?

我们更关注的是，嘿，我们需要保持这种动量特征在里面。

We are really more focused on, hey, we need to keep this profile of momentum in there.

而且我们需要年复一年地保持这种整体高动量的投资组合。

And we need to have this kind of overall like high momentum portfolio kind of year after year.

所以当我们给股票排名时，可能会从0到100来排。

So when we rank stocks, we might rank them like from zero to a 100.

对吧？

Right?

而且我们有预设的卖出阈值。

And we have predetermined sell thresholds.

所以在某些策略中，如果某只股票跌出我们排名的前一半，我们可能会卖出；在其他策略中，可能要求是排名的前四分之一。

So in some strategies, we might sell something if it falls out of the top half of our ranks and other strategies, maybe it's the top quartile of our ranks.

但这已经是预先设定好的。

But that's already kind of predetermined.

一旦触及这些阈值，我们就卖出并继续前进。

And when it hits those thresholds, we sell it and we move on.

我们通过所有测试知道这样做是有效的。

Like we know from all of our testing that that works.

我百分之百承认，对于任何一只股票，如果有人密切关注或者比我更了解情况，他们可能能更好地把握时机。

I will 100% admit that with any one stock, like anyone that's following that very closely or has some kind of better knowledge than I do, like you could time that better.

我们也会像其他人一样犯错。

Like we're gonna make mistakes just like everybody else.

但我们知道的是，日复一日地坚持这样做，长期来看是有效的。

But what we do know is that constantly doing this like day after day after day, that works over time.

所以卖出方面确实有些混乱，我们有很多股票后来反弹了，我们本不该卖，但这正是纪律的一部分，保持冷静，不带情绪。

And so it is kind of messy on the sell side and we have plenty of things that turn around and we should have never sold them, but you really, that's kind of part of the real discipline and staying like unemotional about it.

你只需要做你该做的事。

You just have to do what you need to do.

再说，明天发生什么就是什么。

And you know, what happens tomorrow is what happens tomorrow.

要是得买回来，那就买回来呗。

And if you have to buy it back, you buy it back.

那这种策略具体是怎么制定的呢？

So what goes into a strategy like this?

在‘我要买入上涨的股票’这个基础之上，还要加多少复杂的条件和细节？

How many bells and whistles are on top of, all right, I want to buy stocks that are going up.

我想给它们分配适当的权重。

I want to weight them appropriately.

那具体是个什么流程呢？

What does that all, what does that process?

其实没你想的那么花哨复杂。

It's actually a lot fewer bells and whistles than you'd think.

你可以用过去十二个月的累计回报率，非常简单地操作，然后把股票放进投资组合里。

You can do it very, very simply with, a trailing twelve month price return and put the stocks into the portfolio.

我们的做法稍微有点不同。

We do it a little bit differently.

我觉得我们有一套我们认为效果更好的方法。

I think we have a way that we think works a little better.

Dorsey Wright 还以点线图技术闻名，我们在那里做了很多动量分析。

Dorsey Wright's also really known for point and figure charting, and we do a lot of momentum there.

但我们已经预先建好了规则。

But we kinda we have the rules prebuilt.

如果做的是主动管理的独立账户，我们可能会持有20到25只股票，所以相当集中。

If we're doing like a an active separately managed account, you know, we might have 20 to 25 names, so it's fairly concentrated.

但我们确实相信，如果要选主动管理，就要追求高的主动份额。

But we we really do believe, like, you know, if you're going active management, you want high active share.

我们不是要去模仿指数。

We're not trying to mimic the index.

我们会和它有很大的不同。

We'll differ from it a lot.

我们其中一个指数，你知道的，可能会按季度再平衡，而且我们有自己的股票排名方法。

One of our indexes, you know, we might rebalance those quarterly and, you know, we have a way to rank the stocks.

然后，在我们的指数中，我们通常按因子来分配权重。

And then we we generally weight in our index by factor.

所以，动量表现更好的股票会在指数中获得更高的权重。

So the better momentum names are gonna get a higher weight in the index.

因此，我们一般不按市值来加权。

So we don't We tend not to market cap weight here.

我觉得从长远来看，还有更高效的办法。

We think there's kind of like more efficient ways to do it over time.

约翰，稍微跑个题。

John, hard digression.

我本来应该一开始就提这个的。

I should have led the show with this.

我对Dorsey Wright这家公司多少有些了解，但在我所知道的机构里，他们算是少数能把技术分析做成大型、且备受尊重的资产管理公司的例子。

I know the legend of Dorsey Wright a little bit, but I feel like they're one of the only names that I know of that has managed to turn technical analysis into like a large, well respected asset manager.

其实我对你们具体是怎么做到的了解不多。

And I really don't know a whole lot about how you all did that.

能简单讲讲这段历史吗？

What's the what's the short history there?

好的。

Yeah.

简短来说，Dorsey Wright是由Tom Dorsey和Watson Wright在1987年创立的。

So the short history, I mean, Dorsey Wright was founded by Tom Dorsey and Watson Wright all the way back in 1987.

他们主要是一家研究机构。

And it was primarily a research shop.

他们在1994年开始管理少量资金，但大概在2005年左右，我们才真正加快了步伐。

They started managing a small amount of money in 1994, but we really kind of accelerated that in like 2005, give or take.

我2002年从商学院毕业后就加入了Dorsey Wright。

I started at Dorsey Wright in 2002, like right out of business school.

之后我们做了大量研究，把这种动量因子系统化地建立了起来。

And then we we did a bunch of research and we kind of systematized this momentum factor.

我觉得这其实是我们工作中非常重要的一部分，就是逐渐意识到，如果我们有一套系统化的方法来应用这个动量因子，那我们就真的能做到。

I think that was like a really big part of of what we do is is kind of coming to the realization that, hey, if we had the systematic way of implementing this factor, we can really do it.

这些年里，我想我们也有过起伏，但整体表现还不错。

And over the years, I think we've had our ups and downs, but we've done pretty well.

也有一些其他公司找上门来，希望我们能跟他们合作开发一些产品之类的。

We've had different firms come to us for, work with them on different products or things like that.

所以现在我们管理的资产规模大约是150亿美元，而且这些都是由我们实际在管理的，对吧？

So now we're about 15,000,000,000 in assets under management and that's all technically managed, right?

核心就是动量因子策略。

It's really momentum factor based.

我们主要是看不同的市场板块。

And we just kind of look at different universes.

不管是新兴市场、成熟市场，还是小盘股、大盘股，我们都能做。

We can do it in emerging markets, developed markets, small cap, large cap.

所以这块业务我们发展得挺快，现在算是纯技术派资产管理里规模比较大的机构之一了。

And so we've really grown that business and we are kind of one of the biggest like pure technical asset managers out there.

我很好奇，因为现在研究这些东西的时候，你真的可以深入到很细的细节，然后改变你的时间窗口。

I'm curious how much, because you can get into the really the minutiae now when researching this stuff and change your endpoints.

我想知道动量策略有多少其实只是你随便选一个价格上的时间框架，对吧？

I wonder how much of a momentum strategy really is just you pick whatever time frame you want in terms of price, right?

过去六个月、九个月、十二个月，随便你用哪个动量周期。

The last six months, nine months, twelve months, whatever you use for momentum.

其中有多少其实只是由那个最初的选择决定的，而不是其他那些花哨的附加条件？

How much of it is really just driven by that that initial decision versus all the other bells and whistles that you can put on it?

比如说，多少算太多？在让这种策略变得太复杂方面，多少算过头了？

Like how much is I I guess how much is too much in terms of making a strategy like this too complicated?

我觉得很容易就把它弄得太复杂，过度优化。

I think you can very easily make it too complicated and too over optimized.

而且我确实觉得很多人一直在不断调整策略，试图解决上周的问题或者去年的问题。

And I do think a lot of people are constantly jiggering with the strategy to kind of solve, you know, last week's problem or last year's problem.

对我们来说，在构建这些策略的时候，我们意识到的一点就是，我们不可能在每个时间周期都做到最优，但我们做了大量的研究。

For us, I think the one of the realizations when we were putting these strategies together is like, look, we're not gonna be optimal in every time horizon, but we've done a ton of research.