Cliff Asness - "...但别开放到脑子掉出来" (S3E13)

你想知道一件特别尴尬的事吗？

You want to know something really embarrassing?

二十五年前，三十年前读博士时，我的资格考试之一就选了统计学。

Doctoral program twenty five, thirty years ago, one of my prelim exams, decided to take in statistics.

直到现在，每次我都得重新思考和回忆哪个是一类错误，哪个是二类错误。

I still have to think through and remember which is type one and type two.

三十年来，每次都是这样。

Every single frigging time for thirty years.

这真让人精疲力尽。

It's quite exhausting.

你可能会觉得，他们本可以想出比一类错误、二类错误更好的说法。

You would think they could come up with a better phrasing than type one and type two.

是啊。

Yeah.

一个能说明实际情况的术语。

Something that indicated what was going on.

但这又是一个非常好且非常难的问题。

But it's another really good and really hard question.

首先，你必须区分我们在公开场合谈论和不断撰写的内容，与我们内部可能实际做的事情。

First, you have to distinguish what we yap about in public and write about constantly from what we might do internally.

我不想过多涉及AQR的业务，但 broadly 来说，我们以两种不同的方式实现因子。

I don't want to get too much into AQR's business, but very broadly speaking, we implement factors in two different ways.

一种我们称之为风格，我们诚实地告诉人们，我们正在做的一些事情大多是公开已知的。

In one way we call styles, which we're honestly telling people we're doing things that are mostly publicly known.

并不是说如果我们认为某些方法简单、容量大且能稍作改进，我们就不做一点调整，但本质上，我们只是对一些我们认为长期表现优异的风格进行敞口，但这并不是阿尔法收益，而且我们对此收取的费用低得多。

Not that we're not above a little tweaking if we think we have something that's really easy and high capacity and can make it a little better, but it's really exposure to some what we think are great long term styles, but it is not alpha and we charge a lot less for it.

这是一个不同的概念。

It's a different concept.

然后我们还有完全模型版本，这些版本仍然对因子有很高的敞口。

And then we have kind of full model versions, which are still very exposed to the factors.

每五年，我们会有一个梦想：如果我们对冲掉所有因子风险，只保留我们自己的技能，会怎么样？

One dream every five years, we say, what if we hedged out all the factor risk and only had our own skill?

我必须再次向自己证明，我们需要将这个杠杆再提高九倍。

And I have to reprove to myself that we'd have to lever that another nine times to one.

因为其中一个讽刺之处，也是有趣的一点是，你剔除的风险越多，就需要越多的杠杆。

Because one of the ironies, which is an interesting thing is the more risk you take out, the more leverage you need.

我不再赘述我们之前讨论的内容，但我们写了一篇新的论文，将行业概念扩展到低风险投资。

Not to segue back to what we were talking about before, but we wrote another paper extending the industry concept to low risk investing.

每当人们谈论低风险投资时，都会从行业角度来谈。

Whenever people talk about low risk investing, talk about it in terms of industries.

结果发现，如果你不进行行业押注，效果会更好。

Turns out it works better if you don't take an industry bet.

但你必须提高投资组合的杠杆，因为你已经剔除了相当一部分风险。

But you got to lever the portfolio more because you've taken out a fair amount of the risk.

如果整个机制的原理是风险厌恶和杠杆厌恶，这或许就是为什么你能获得更高的夏普比率。

And if the whole thing works because of risk aversion, leverage aversion, that could be why you get a higher Sharpe ratio.

因此，在我们的风格投资组合中，再次强调，我们并非不希望在边缘上做得更好，但核心仍然是执行我们认为的、对公众已知策略的绝佳版本。

So in our styles portfolios, it really is again, not above trying to make it a little better at the edges, but it's largely about doing what we think is a really great version of stuff that is publicly known.

正如我们所见，公开已知的信息并不会让某件事变得容易坚持。

And as we've seen publicly known stuff doesn't make something easy to stick with.

我实际上认为这是短期的噩梦，但长期来看却是积极的，因为我认为这正是它没有被套利消失的原因。

I actually think that's a short term horror and a long term positive because I think it's why it doesn't get arbitraged away.

信不信由你，两年前半，我最常被问到的问题是：为什么没人这么做并把它套利掉？

Believe it or not, two and a half years ago, the most common question I got was why doesn't everyone do this and arbitrage it away?

而现在，最常见的问题是：怎么可能有人这么做？

And now the most common question is, how can anyone do this?

我希望两年前半那些人能问问现在这些人这个问题。

I wish those people two and a half years ago could ask the question of those people now.

而且，说实话，我也不介意自己问这个问题。

And, you know, I'm not above asking that myself.

因此，在我们真正致力于追求阿尔法而非风格的地方，我们有像你所描述的那些做法。

So in the places where we consider kind of where we're really instilling pursuit of alpha, not a style, we have things like you're describing.

我们会根据我们的信心程度按比例进行这些操作。

We do them proportional to our confidence.

它们仍然不是当前情况的主流。

They're still not the lion's share of what's going on.

我们坚持的不是那些更广为人知、经济上看似合理的策略，而是因为信仰。

We don't stick with the more known economically strong rationaled things because of religion.

我们坚持它们，是因为它们让我们更加坚信。

We stick with it because it makes us believe in it more.

当你测试像价值、低风险、动量这样的策略时，不仅针对全球股票，还包括选择股票市场、债券市场、收益率曲线的位置、信用和商品，各自都有其独特的方式。

When you test something like value, low risk, momentum, in not just for stocks around the world, but for picking stock markets, picking bond markets, for where to be in a yield curve, for credit, for commodities, all in their own fashion.

而且这些策略经得起考验。

And they hold up.

当我所说的经得起考验是指正向的夏普比率，不是吉姆·西蒙斯那样的，但它们确实经得起考验。

And when I say hold up positive Sharpe ratios, not Jim Simons, but they hold up.

你的信心会大幅提升，而几乎出于其本性，这些策略更倾向于属于那种一次性、类型二错误风险较高的情况。

Your confidence goes way up and almost by their nature, more one off type two error risk things.

几乎出于其本性，要获得那种跨越两百年、在所有市场都经过前后测试的普遍性数据，是极其困难的。

Almost by their nature, it's going to be hard to get that ubiquitous two hundred years back test, front test, do it in every market.

这通常是一种更定制化的东西。

It's usually a more bespoke kind of thing.

所以，即使你有一个故事和强有力的证据，你也缺乏同样普遍的证据。

So even if you have a story and strong evidence, you don't have the same ubiquitous evidence.

所以我们确实会做这些事情。

So we absolutely do those things.

我们并不认为自己在回避这些。

We don't think of ourselves as eschewing those.

我们认为自己是根据信心的大小来比例性地执行这些。

We think of ourselves as doing them in proportion to our confidence.

但我们最有信心的，是一些我们写过的东西。

But the thing we have most confidence in are some of the things we've written about.

你如何在工艺和阿尔法之间划线？

Where do you draw the line between craftsmanship and alpha?

总有一天，你会问我一个我真正能回答的问题，对吧？而不是一直滔滔不绝地举例子。

At some point, you're gonna ask me a question that I can actually answer, right, as opposed to filibustering and giving you examples.

因为，你知道，根本没有确切的答案。

Because, you know, there is no literal answer.

我们称其为工艺，这个术语来自我同事们写的一篇论文。

We call craftsmanship, this term comes from a paper my colleagues wrote.

他们对此很了解，所以这不会让他们感到惊讶。

They know this, so this won't surprise them.

我讨厌这个术语。

I hate the term.

我告诉他们，我觉得这个标题非常做作。

I told them, I think it's very pretentious title.

当然，不是立刻，但不久之后，我们就经历了一段糟糕的回撤。

Of course, not immediately, but not long thereafter, we went into a bad drawdown.

所以你永远不希望把自己称为工匠。

So you never wanna refer to yourself as a craftsman.

然后别人就会问：‘你到底建了些什么？’

Then it's like, oh, what'd you build there?

所以我觉得这种说法显得很做作。

So I thought it was a pretentious way to phrase it.

我的同事对我说：好吧，那你来提个标题。

And my colleague said to me, all right, suggest the title.

我说，用拉尔夫·克拉姆登的名言来说，我什么也想不出来。

And I said, in the immortal words of Ralph Cramden, I had nothing.

我想不出更好的标题了。

I couldn't come up with a better one.

尽管我不喜欢这种语气，但它确实概括了这个想法。

And it does sum up the idea even if I don't like the tone.

但我们把工艺精神理解为：好吧，你相信价值。

But we think of craftsmanship as alright, you believe in value.

你是分散投资于多个因素，还是坚持你认为最好的那个？

Do you diversify across many factors or do you stick with the one you think is best?

你们如何在可以做到的流动性股票中实现等权重？

How do you implement equal weight among liquid stocks that you can do that?

你不能对任何规模都很小的股票进行等权重配置。

You can't do equal weight in any size for very small stocks.

信号加权，这是一种更极端的方法，根据价值信号的强弱成比例分配权重。

Signal weighting, which is even more extreme, which goes proportional to how strong the value signal is.

市值加权，具有最终的流动性。

Cap waiting, which has the ultimate liquidity.

你会把这些方法混合使用吗？

Do you blend these?

交易，你能多高效地进行交易？

Trading, how efficiently can you trade?

这是一门手艺。

That's a craft.

这不属于经济学。

That's not economics.

这是你需要不断练习并不断提升的技能。

That's something you work at and you get better at.

因此，在很多方面，我们认为工艺技巧是相对细小的事情。

So in a lot of ways, we think of craftsmanship as relatively small things.

当你把它们全部结合起来时，它们可能会累积成大的东西，但这些并不是新的因子。

They may add up to something big when you put them all together that aren't a new factor.

我不会把工艺技巧称为一个新的因子。

A new factor I would not call craftsmanship.

我把那称为研究。

I call that research.

它可能在一段时间内会产生超额收益。

It would probably be alpha for a while.

很久以前，我们就这个问题写过一篇论文。

And then we wrote a paper a long time on this.

那仅仅是一份白皮书。

It was just a white paper.

事物会经历从超额收益到普通收益的历程。

Things take a journey from alpha.

如果它们非常容易套利，它们可能会一路跌至零，我不确定‘套利化’这个词对不对，但我还是要用它。

They can journey all the way to zero if they are very arbitrageable, not actually sure that's a word, but I'm going to use it.

我认为最容易受到这种影响的是那些强调快速行动的策略。

I think the things most susceptible to that are strategies where it's about moving fast.

这些策略往往有其生命周期，可能在一段时间内表现优异，你不该回避它们，但它们也可能消失。

Those tend to have a half life to them and may be great for a while and you shouldn't avoid them, but they can go away.

但其他一些策略，即使被广泛知晓后，执行起来依然令人痛苦，并逐渐演变为一种风格暴露。

But others, when they become known are still painful to stick with and move to becoming a style exposure.

而有趣的是，工艺技巧其实也是如此。

And the funny thing about craftsmanship is it's just the same thing.

它是一种来自微小改进的提升，具有正的风险调整收益。

It's an improvement from a small thing that has a positive risk adjusted return.

在这种情况下，每一个微小改进都相对微不足道，对吧？

In this case, each one because they're minor has a relatively tiny, right?

如果你采用略有不同的权重方案，你可能会觉得自己的夏普比率提高了0.02。

If you do a slightly different weighting scheme, you think your Sharpe ratio got better by 0.02.

从基本原理来看，如果你喜欢它，并且它在许多地方都经受住了考验，你可能会去做。

And on first principles, you like it and it held up in a lot of places, you might do it.

但一个夏普比率仅为1的策略，会让人震惊于它可能轻易经历一个下跌的十年。

But a one Sharpe ratio shocks people with the fact that it can easily have a down decade.

即使事物服从正态分布，我们谈论的是根号10，这已经是三倍标准差了。

Even if things were normally distributed, we're talking about square root of 10, it's a three kind.

即使像股市这样夏普比率只有0.5，甚至更低至0.4，也可能在瞬间经历一个下跌的十年。

It's rare, but a point five sharp ratio like the stock market or less, it's even point four, that can have a down decade in a heartbeat.

所以当你进入0.02这样的水平时，如果你在等待确凿的证据证明你是对的，那将需要很长时间。

So when you get into point o two, if you're waiting for proof you're right, it's gonna take a long time.

因此，我们非常依赖常识，以及尽可能多的样本外证据。

So we rely a lot on common sense, on as much out of sample evidence as we can get.

但同样，我又在啰嗦了，因为工艺与阿尔法之间并没有明确的界限。

But again, I am filibustering again because there is no bright line between craftsmanship and alpha.

如果世界已经知道了它，那它肯定是工艺，而不是阿尔法。

If the world knows about it, it's certainly craftsmanship, not alpha.

如果某件事更偏向于执行层面，尽管严格来说不是，但我们仍会将其称为对投资者而言的阿尔法，我们通常称之为工艺。

If it's something that is more implementation oriented, tend to call it even though it's not it's still alpha in a sense to the investor, we tend to call it craftsmanship.

如果某件事是一个前所未闻的新因子，我们显然会称之为阿尔法，然后它会随着时间自行发展，但并没有明确的划分标准。

If something is a new factor no one ever heard of, we would clearly call that alpha, and then it would take a path of its own through time, but there are no bright line tests.

顺便说一句，归根结底，我们所有人——你、我、每个人——都花了大量时间试图为这些概念命名并界定其语义。

Ultimately, by the way, we all, you, me, everyone spends a ton of time trying to put nomenclature around this and trying to put semantics.

但归根结底，我们其实并不在意。

Ultimately, we don't really care.

我们只希望它在长期内有效，并在通往长期目标的过程中尽量减少我们的痛苦。

We want it to work over the long term and cause us as little pain as possible in getting to the long term.

但我认为这些讨论很重要，因为一个连贯的理论框架可能会让你更有信心。

But I guess these discussions are important because having a coherent intellectual framework probably gives you some faith.

但有时我觉得，AQR在世界上可能对此负有一半责任，我们把这种区分过度强调了。

But sometimes I think we may be in AQR is probably half responsible for this in the world, but over beat to death these distinctions.

好吧，关于这种信念，我们已经花了大量时间讨论坚持到底的重要性。

Well, that line of faith, we've been spending a lot of time discussing stick to itiveness.

这个词可能也不太合适，但我还是要用它。

That's probably not a word either, but I'm gonna use it.

我把它送给你。

I'm gonna give it to you.

谢谢。

Thanks.

这个观点涉及它是数据驱动的、有经济依据的，还是行为学依据的，以及你是否有能力长期坚持某个因子，从而对其产生一定的信心。

And this idea of whether it's data driven economic rationale, behavioral rationale, having the ability to stay with a factor long enough that you do have a certain amount of faith with it.

我很好奇，你最近有没有改变过什么看法？

I'm curious, what is something that you've actually changed your mind about recently?

我以为发生大流行的可能性非常低。

I thought there's a very low probability we'd have a pandemic.

抱歉。

Sorry.

我想有一件事，我们对此一直公开表示过。

I guess one thing, we've been public about this.

这又是同事的一篇论文，但过去五年左右，我的观点从认为规模效应微弱，转变为认为它为零。

Again, this was a colleague's paper, but I have moved in the last maybe five years from thinking the size effect was underwhelming to thinking it's zero.

对于一个曾师从基因、导师是尤金·法玛的人来说，我依然对法玛怀有深厚的感情和尊重，但能做出这样的转变并不容易。

Which for a TA of genes who, and a dissertation advisor being Gene Fama, and I still have great affection and respect for Gene to move there.

这对我来说是个艰难的转变。

That was a hard one for me.

我可能因为先验信念而转变得比应该的更慢，但事实上，原始结果被高估了，这一点广为人知，并非作者的过错；不过，我认为作者低估了退市收益的严重性。

I maybe moved there slower than I should because of a prior, but if anything, the original results were overstated and this is widely known, it's not the author's fault, but the crisp, I believe, understated how bad delisting returns were.

当然，小盘股的退市率高于大盘股。

And of course, small stocks delist more than large stocks.

因此，这一效应比最初认为的要小。

So the effect is smaller than originally was.

贝塔值解释了其中大部分原因。

Beta accounts for most of it.

此外，如果考虑到小盘股流动性较差这一因素，你可以用简单的滞后贝塔来调整。

And then if you adjust for the fact that small stocks are less liquid, you could do this with simple lag betas.

对于95来说，这根本就是无足轻重的。

It's literally nothing for 95.

它解释了大量风险。

It explains a lot of risk.

比如，如果你想解释一个投资组合的方差——如你所知，这与是否存在正收益是不同的——那你确实应该纳入小盘股因素。

Like if you wanna explain a portfolio's variance, which as you know is different than whether there's a positive mean, yeah, you certainly should include small.

但这听起来可能微不足道，对于我这样学术背景的人来说，却感觉意义重大。

But this might sound minor, but for someone with my kind of intellectual roots, it felt big.

我已经从认为规模效应很小，转变为认为它根本不存在。

I have moved from thinking the size effect was small to thinking it's nonexistent.

现在，对于规模效应的支持者，我想指出几点。

Now for fans of size, I point out a few things.

第一，我们认为大多数异象至少在毛收益层面——能捕捉到多少净收益是另一个问题——但在小盘股中更强。

One, we do think most anomalies at least gross, how much you can capture net is a different question, but at least gross are stronger in small.

我认为人们混淆了这两点。

And I think people mix these two.

如果你相信小盘价值股，这并不等同于相信小公司效应。

If you believe in small value, that's not the same as believing in the small firm effect.

价值投资在小盘股中可能表现更好，这完全是合理的。

And value might work better in small and that's completely legitimate.

此外，经过贝塔调整后，小盘股的贝塔值显著高于大盘股。

Also adjusting for beta, Small stocks have considerably higher betas than large stocks.

而且，当你使用流动性调整并加入一些滞后项时，情况尤为明显。

And again, particularly when you do this liquidity adjusted with some lags.

哦，我最喜欢的一个观点，我还没写出来，先给你剧透一下。

Oh, one of my favorite things, I haven't written this up yet, I'll give you a preview.

当你在月度层面进行分析时，小盘股的贝塔值高于大盘股。

When you do this at the monthly level, small stocks have a larger beta than large stocks.

但当你加入至少一个月甚至更长的滞后项后，你会发现贝塔值甚至更高。

But when you add in at least a one month or even longer lags, you find it's even larger.

实际情况是，小盘股并不总是交易，或者交易频率远低于大盘股。

And what happens is they don't always trade or don't trade nearly as frequently as large stocks.

所以当整个市场波动时，有些股票还没有交易。

So when the whole market moves, some of them haven't traded.

因此，当它们最终交易时，会根据之前的波动做出反应。

So they move in response to prior moves when they finally trade.

它们确实已经发生了变动。

They really have moved.

只是你没有看到而已。

You just haven't seen it.

但你看到的是，我会编造一些数字，从1.2到1.33的贝塔值。

But what you go is I'll make up the numbers that go from a 1.2 to a 1.33 beta.

完全正确，我在方向上是对的，但不要依赖这些数字。

Completely, I'm getting it directionally right, but do not go with those numbers.

如果你在日频级别上做这个分析——我以前从未这样做过——但我从肯的网站上获取了数据并做了日频分析，发现日频级别的小盘股贝塔值低于1，情况是一样的。

If you do this at the daily level, which I had never done before, but I got this just from Ken's website and did the daily, the beta of small is less than one at the daily level, and it's the same thing going on.

在日频级别上，流动性不足的影响要强得多，因为不交易的股票数量更多。

The illiquidity effects are just way stronger at the daily level, the amount of things not trading.

然后滞后效应就像疯了一样出现。

And then the lags come in like maniacs.

所以这完全是同样的情况，你会得到同样的结果。

So it's the same exact thing and you get the same result.

当你加入足够多的滞后项时，就不再有溢价了。

When you put enough lags in, you don't have a premium.

但我认为，对于一个长期仅持小盘股的投资组合，其贝塔值低于一，或者对于一个多空投资组合，在日频水平上出现负贝塔，并看到它延伸至显著为正并消除溢价。

But I think going to a beta on a long only small portfolio of less than one or a long short portfolio, a negative beta at the daily level and seeing that extend to healthily positive and wiping out the premium.

我还没有把这一点写出来。

I haven't written that up yet.

如果你马上写出来，我会非常不高兴。

If you write it up immediately, I'm gonna be very upset.

它下周一就要发表了。

It's getting published next Monday.

我认为这单独来看还不能算作一篇可发表的文章。

I don't think it's standalone a publishable thing.

这只是一个巧妙的方式来说明这本书。

It's just a neat way to illustrate this book.

再说一遍，我通常会花十一分钟不直接回答你的问题，最后才绕回来。

Again, I tend to spend eleven minutes not answering your question to finally bring it back.

我对规模效应的看法，已经从最初的些许怀疑，转变为彻底背离了我原有的信仰。

I've gone from somewhat skeptical about the size effect to a complete heretic from my upbringing.

下一个问题，我有点不敢问，因为我觉得这可能跟我们之前的对话有点重复，所以也许你能用十秒钟回答一下。

This next question, I'm a little afraid to ask because I think it might be a little redundant to our conversation, so maybe it'll be your ten second answer.

但我很好奇，作为你

But I am curious as as you

我看起来像是那种会给出很多十秒答案的人吗？

Have I struck you as someone who gives many ten second answers?

你身上可能就有这种潜质。

You might have it in you.

你永远说不准。

You never know.

问题是，当你展望未来时，你最缺乏信心的策略或因子是什么？

The question, I guess, as you look forward, which strategy or factor do you have the least conviction in?

而你最有信心的又是哪一个？

And which one do you have the most conviction in?

我可以根据当前的估值来回答吗？

Can I answer conditionally on current valuations?

当然可以。

Absolutely.

花十分钟吧。

Take ten minutes.

你想怎么做都行。

Whatever you wanna do.

如果你要根据当前估值来回答，那就太明显了。

Well, if you're answering conditional on current valuations, it's too obvious.

我写过关于更多偏向价值投资的内容。

I've written about tilting more towards value.

我曾说过，我们认为市场择时和因子择时是一种罪过。

I've said we think market timing and timing factors are a sin.

这是一种投资上的罪过，而不是道德上的罪过，但我们认为偶尔可以轻微地犯一点罪，而且不能犯得太严重。

An investing sin, not a moral sin, but we think one should sin a little, rarely and not a huge amount.

意思是，当你有某种观点时，这种观点应该基于比单纯主观判断更正式的依据。

Meaning when you do have an opinion, an opinion should be coming from something more formal than just an opinion.

我们的方式是，除非情况真的达到极端程度，否则我们不会这么做。

The way we describe it is we won't do this unless things are really epic extremes.

然后，我们也不会过度倾斜，以至于长期结果严重偏离最优水平。

And then we will not tilt so much that the long term results would be way off of optimal.

现在，最优并不是仅仅靠优化器算出来的。

Now optimal is not just an optimizer.

这其中仍然需要一些判断。

There's some, again, judgment in it.

但从技术术语来说，你在优化时会遇到一个相当平坦的表面。

But you have in geek speak a fairly what's called a flat surface in optimization.

想象你相信价值、动量、低波动和盈利能力。

Imagine you believe in value momentum, low vol and profitability.

我这是在简化，但事实就是这样。

I'm oversimplifying, but that's it.

这些因子的确切组合，如果你是30-30-20-20，而我是20-20-30-30，我们的预期收益会非常相似。

The exact mix of those, if you're thirtythirtytwenty 20 and I'm twentytwentythirtythirty, we're to have pretty similar means.

从长期回测来看，我们无法判断谁的选择真正更好。

We're not gonna be able to tell from long term backtest who's really better or whose choice is really better.

但在短期内，我们会出现相当大的偏差。

And we'll have some considerable deviation over short terms.

这会让人们感到惊讶。

It surprises people.

这些是相关性较高的投资组合，但仍然会有偏差。

These are correlated portfolios, but we'll have deviation.

因此，当我们进行倾斜时，不会偏离到让长期收益脱离这个平坦区域的程度。

So when we will tilt, we won't tilt so much that that long term would be off of that flat surface.

所以如果我们错了，我们仍然在最优解的合理范围内。

So if we're wrong, we're still with inhaling distance of optimal.

但现在我们已经写了大量关于这个的内容。

But now we've written a ton about this.

这和99年的情况如出一辙，但从未如此迅速地错得这么离谱。

Another version of the same thing as 99, never been this wrong about this, something this quickly.

我觉得我们在错误程度上已经超过了99年。

I think I've exceeded 99 for how wrong we are.

去年年底，我们谈到转向价值股，因为当时它看起来确实便宜得接近科技泡沫水平，意味着便宜股和昂贵股之间的价差被拉得很大。

And late last year, we talked about tilting towards value because it did look kind of near tech bubble level cheap, meaning the difference between cheap and expensive was stretched.

而在我们的衡量标准中，它现在已经比科技泡沫时期的便宜程度更甚了。

And it's moved to considerably more in our in our measures than than tech bubble level cheap.

这里有一件事，虽然不完全是你的问题，但如果你在1999年或2000年问我：我这一生还会再看到这种情况吗？

Here's something you it's not exactly your question, but if you had asked me in ninety nine, two thousand, will I ever see this again in my career?

我会犯下投资中很多人常犯的错误。

I would have made the same error many make in investing.

我会说，不，那是个黑天鹅事件。

I would have said, nah, that's a black swan.

那是比黑天鹅还要黑的事情。

That's whatever's blacker than a black swan.

这种事情不会再发生了。

That's not going to happen again.

这是我们百年数据中见过的最疯狂的事情。

It's the craziest thing we've seen in a hundred years of data.

我们认为，如果非要比较的话，很难判断哪个更极端，因为那时那些极其昂贵的公司实际上是一些更差的公司。

And we think if anything, it's hard to judge which is more extreme because back then the companies that were super expensive were actually worse companies.

而如今，这些公司本身并不差，只是定价荒谬地高。

Nowadays they're not worse companies, they're just ridiculously priced.

所以也许两者处于相似的水平，但我从未想过在我的职业生涯中会再次见到这种情况，而我们确实见到了。

So maybe they're similar levels, but I wouldn't have thought we'd see that again in my career and we certainly have.

但说了这么多铺垫，我跟你说过，这不是个十秒能答完的问题。

But with all that preamble, told you, not a ten second answer.

我无法回避我公开说过的话。

I can't run away from things I've said publicly.

价值，不是在一个一个月的时间范围内。

Value, not on a one month horizon.

我们已经非常清楚地证明了，就我而言，没有人——但我们确实不知道如何预测这一点。

We've proven quite clearly that we, and to my mind, no one, but we certainly don't know how to forecast that.

但在我们1999年所用的三年时间框架内，我们经历的这一切让我对未来更有信心，而且理应如此。

But on, call it, that same three year horizon we used in 'ninety nine, the hell we've lived through makes me more confident going forward and it should.

如果你对价值更有信心，我认为你就应该对动量没那么有信心。

And if you're more confident about value, I think you got to be less confident about momentum.

并不是说你要完全放弃这种策略，因为我们可能在很长一段时间内都错得离谱。

Not so much that you leave that flat surface because we could be wrong about this for a long time.

但最后一部分是显而易见的，或者说是个送分题。

But the last part is a giveaway or is a a gimme.

对吧？

Right?

因为如果你有两个高度负相关的因素，而你对其中一个最有信心，那么你对另一个最没信心，这几乎是必然的。

Because if you have two highly negatively correlated factors and you're most confident in one, it's gonna be pretty odd if you're not least confident in the other.

我知道你最近花了很多时间讨论、研究并深入探讨价值因子，所以也许我会把这个问题放一放。

I know you've been spending a lot of time discussing and researching and doing deep dives into the value factor lately, so maybe I'll I'll set that one aside.

但除此之外，你目前觉得哪些研究领域最有趣，真正激发了你个人的好奇心？

But what other areas of research are you finding to be the most interesting today that are really piquing your personal curiosity?

‘好奇心’这个词用得真好。

Curiosity is really the right word.

我已经太老了，不适合去做大数据和机器学习的人了。

I am too old to be the guy doing big data and machine learning.

我们经常开玩笑。

We joke very often.

当然，这两者是分开的，但人们总是把它们当作一个词来说，尽管它们常常配合得非常好——以前我们没有的那些大规模非结构化数据集。

These are of course two separate things that people always say as if they're one phrase, though often they do work very well together, big unstructured data sets we didn't have before.

我们确实在追求这一点。

We do pursue that.

还记得我们讨论过那些不属于风格的阿尔法收益吗？我们确实一直在追求这些。

Remember we talked about things that are alpha that aren't styles and we absolutely do pursue.

很难不觉得这是最引人入胜的，因为它实在太与众不同了。

It's hard not to have that be the most fascinating thing just because it's so different.

我有一个普遍的看法，甚至不确定我公司里的每个人都认同：你在这些领域发现的任何东西，都会被更快地套利掉。

I have a general view that I'm not even sure everyone on my firm shares that anything you find there will be arbitraged away faster.

这并不是价值效应。

It's not the value effect.

关键在于成为第一个发现新解析方法、新数据集的人——必须是真正意义上的第一个，或至少是首批之一，然后这个世界的相关部分会变得更加高效。

It's being the first to a new parse, a new data set are gonna have to be literally the first, but among the first and then that part of the world will get more efficient.

我认为这将是一场持续不断的军备竞赛。

I think it'll be more of a continuing arms race going on.

但再次强调，你可别让我来构建这些东西。

But again, you don't want me building this.

我至今还在用Fortran编程。

I still program in Fortrend.

我不认识任何从事大数据工作的人会大量使用Fortrend代码，但我们正在直觉地运用它。

I don't know anyone working in big data who really uses a lot of Fortrend code, but we're doing it intuitively.

我非常喜欢它。

I love it.

我得小心点。

I gotta be careful.

我不希望过分夸大我对它的喜爱。

And I don't wanna overdo how much I love it.

实际上，我对它未来会有多重要仍持中立态度，但我热爱研究它。

I'm actually still agnostic on how much it's gonna matter going forward, but I love the study of it.

这很有趣，很新颖，有潜力带来真正的不同。

It's fun, it's new, it has potential to be really different.

但目前尚不确定我们或任何人是否真的能用它彻底改变世界。

But the jury is still out on whether we or anyone will actually revolutionize the world with this.

你认为在投资的哪些领域，纯粹的系统性方法会遇到更多困难，甚至根本行不通？

Are there any areas of investing that you think purely systematic approach would struggle more or perhaps even not work at all?

大多数情况下不会。

Mostly no.

但你得通过一些测试。

But you gotta pass a few tests.

你需要有长期且可靠的数据，并且这些数据必须是可交易的。

You gotta have good data over a long period and reliable data, and it's gotta be tradable.

大多数量化方法都不是沃伦·巴菲特。

Most quantitative approaches are not Warren Buffett.

我偏好的持有期限是永久。

My preferred holding period is forever.

所以任何流动性差的资产，我都无法想象如何用系统化方法来做风险投资。

So anything illiquid, I can't imagine how you'd use a systematic approach to do venture capital.

弄清楚为什么谷歌会打败雅虎，我认为这发生在风险投资阶段之后。

Figuring out why Google's gonna kick Yahoo's butt, which I think happened post the venture stage.

但你明白我的意思。

But you get what I'm saying.

对我来说，很难想象一个系统化的过程。

It's pretty hard for me to imagine a systematic process.

我们曾在私募股权领域有所涉猎，因为至少那些是已经存在多年的真正公司。

We've dabbled in the private equity side because there are at least real companies that have been around.

我会保持开放的心态，如果两年后我跑回来对科里说：‘我想回到播客里谈谈AQR私募股权系统化基金’，我现在就说，这种情况发生的可能性相对很小，但我认为这可能性非常小。

And I'll keep an open mind and we'll, if I come out two years later and say, Corey, I wanna come back on the podcast and talk about the AQR Private Equity Systematic Fund, I'm saying right now there is a relatively small chance of that occurring, but I think it's pretty darn small.

我非常乐意这么做，因为私募股权方面，我住在康涅狄格州的格林威治，所以我有很多私募股权界的朋友。

And I'd love to do that because while private equity I live in Greenwich, Connecticut, so I have a lot of private equity friends.

我认为这是这个世界绝对需要的东西。

I think it's something the world absolutely needs.

有些东西它并不需要，比如多空策略。

Some things it doesn't, it doesn't need long short.

我认为多空策略实际上对世界有帮助。

I think long short actually helps the world.

我认为它让市场更有效率、更具流动性，但你完全可以想象一个没有多空产品的世界，尽管这很遗憾。

I think it makes markets more efficient and more liquid, but you can imagine a world without long short products, sadly enough.

私募股权领域存在一些符合这一特征的公司和机构，它们必须获得投资。

Private equity, there are firms, companies that fit this and they have to be invested in.

因此，这个资产类别应该存在。

So this asset class should exist.

我写过不少关于人们高估透明度的愤世嫉俗的观点。

I have written quite a few cynical things about people overvaluing the opacity.

我曾探讨过，我们可能把流动性折价的方向搞反了——正因为缺乏流动性且无法按市价估值，这反而是一种优势。

I've written about how we may have the illiquidity premium backwards, where the fact that it's illiquid and you can't market to market is actually a positive.

我喜欢说，如果我们是私募股权，我们并没有亏损。

And I love to say, if we were private equity, we're not down.

我们并没有经历价值回撤。

We're not having a value drawdown.

不，我们尚未实现这些收益。

No, we haven't realized those returns yet.

顺便说一句，我认为从长期来看，我们不会亏损。

And by the way, I don't think we will be down on a long term horizon.

所以相反的观点是，是的，我们知道这确实让我们成为更好的投资者。

So the counterargument is, yes, we know this just makes us better investors.

我对这个反论持保留态度。

I'm iffy on that counterargument.

这确实是事实，但对我们这些被要求按市值计价的人来说，这也很令人沮丧，因为长期以来，我们一直被告知按市值计价是一个优势，而现在却恰恰相反。

It is true, but it's also somewhat frustrating to those of us, and you're in this world too, who are mark to market being actually worse for what we were all told was a feature over time.

尽管我有这么多抱怨，但我还是要说，我有充分的动力去打造一个更系统化、收费更低的私募股权产品，就像我们过去在许多风格化投资上所做的那样。

With all that ranting and raving, I'm saying I have every incentive in the world to do a better private equity product that's systematic, that charges much lower fees as we've done on a lot of the style stuff over time.

但我并不认为这在未来有可能实现，尤其是在短期内，原因在于这些情况都是定制化的，数据质量不佳，而且根本无法交易。

But I don't see it as likely ever and certainly not in the near future with the reasons being the situations are bespoke, the data is not great and it certainly can't trade.

所以，如果两年后我说，我们找到了一种被动方式，成为私募股权界的杰克·博格尔，高效地实现投资，同时避免柠檬问题——如果你是那些不做尽职调查的人，你肯定会担心这种做法。

So again, if two years from now I say we figured out a passive way to be the Jack Bogle of private equity and to do it efficiently and not to have a lemons problem, which you worry a lot about approach like that if you're the people not doing the due diligence.

阿尔法收益很难获得，但负阿尔法收益似乎更容易出现。

Alpha is hard, but negative alpha seems to be easier.

所以我有充分的理由说，你可以做到这一点。

So I have every incentive to say you can do that.

我非常乐意。

I'd love to.

我不认为这会发生。

I don't think it'll happen.

所以这些事情。

So those things.

几乎任何其他流动性好的东西。

Pretty much anything else that's liquid.

我还应该提到，流动性好、数据充足，并且足以实现广泛分散。

I should also mention liquid, good data and enough to diversify across.

在我们最具灵活性的投资组合中，只需承担极小的风险，采用传统的趋势择时策略，但相比其他所有因素，这微不足道，非常小。

Literally, it will take a tiny amount of risk in our most unconstrained portfolios and just old school TAA direction of the market, but trivial compared to everything else, very small.

很难对这一点充满信心。

It's hard to get a lot of confidence in that.

因此，会有一个非常出色的独立系统性流程。

So there'd be a really good standalone systematic process.

你需要相当程度的分散投资。

You'd need a fair amount of diversification.

你不会用系统性方法来挑选单只股票。

You don't use a systematic process to pick a single stock.

顺便说一下，人们总是问我最喜欢哪只股票。

All the time, by the way, people ask me what my favorite stock is.

你可能也经常遇到这种情况。

You probably get this too.

尤其是媒体，我第一次上电视时，我总共上过电视大约十次，他们重播了其中一些片段。

The media in particular, first time I ever went on TV, I've only been on TV about 10 times, They rerun a few of the things.

所以我认为人们以为我上过更多次。

So I think people think I've done it more often.

但很可能第一次，当然他们在我上电视的十次中重播了六次，有人问我最喜欢哪只股票。

But probably the first time, certainly they did it maybe six of 10 times I've been on TV, somebody asked me what my favorite stock is.

于是我开始真正去了解我们投资组合里的内容，以便能回答这个问题。

And I've started actually discovering what's in our portfolio just so I can answer that.

当我第一次被问到这个问题时，我想我有点答错了。

When I first was answering it, I think I flubbed it a little bit.

随着时间推移，我把它当作一种方式，来传达我们对这个问题并没有强烈看法。

Over time, I use it as a way to teach that we don't have strong opinions about that.

主动的主观型基金经理的优势在于，他们能深入了解整个情况，然后采取集中持仓。

Active discretionary managers have an advantage where they get to know everything about a situation and then they take a concentrated position.

他们的劣势在于，他们必须采取集中持仓。

Their disadvantage is they got to take a concentrated position.

因此，他们必须非常正确，而且由于不够可靠，他们也得不到因子带来的太多好处。

So they really have to be right and they don't get the benefit of the factor as much because it's not as reliable.

我第一次遇到这种情况是在1996年，在高盛公司。

First time I encountered this was 1996 at Goldman Sachs.

我刚组建了量化研究团队。

I had just started the quant research group.

当时有一个独立的量化股票团队，由一位很棒的人领导，他正在与另一位杰出的主观股票选择者交谈。

There was a separate quantitative equity group run by a great guy talking to another great guy who was a discretionary stock picker.

这位主动选股者非常兴奋。

The discretionary stock picker was super excited.

他们刚刚加了一只股票。

They had just added a stock.

多年来我一直说，那是菲利普莫里斯。

For years I've said, it's Philip Morris.

我不知道那是不是真的菲利普莫里斯。

I have no idea if it was actually Philip Morris.

多年来我一直是这么讲这个故事的。

That's how I've been telling the story for years.

这个故事是真的。

The story is true.

我不确定那是不是菲利普莫里斯。

I don't know if it was Philip Morris.

但我们刚刚把菲利普莫里斯以最大权重加入投资组合。

But we just added Philip Morris to the portfolio of maximum weight.

我们几乎从不这样做。

We almost never do this.

我们对此感到兴奋。

We're excited about it.

他问量化团队：你们对菲利普莫里斯怎么看？

He asked the quant, What do you guys think of Philip Morris?

量化团队回答说，用那句经典的话：我不知道。

And the quant says, in the immortal words, I don't know.

而主动管理者看起来就像来自火星和金星那样截然不同。

And the discretionary manager looks like him from, you know, Mars and Venus kind of thing.

但如果你有数百甚至数千只股票，无论是做多/超配还是做空/低配，你都是在押注整体趋势，而不是个别股票。

But if you have, make up your number, hundreds, even thousands of stocks, long or overweight and short or underweight, you are betting on average phenomenon, not individual names.

如果你对这些具体股票了解很多，这有点奇怪。

It is kind of weird if you know a lot about the specific names.

你可以研究它们，但你得记住大量信息。

You can study them, but you'd have to memorize tons.

所以我总是讲这个故事，试图说明这两种方法之间的差异。

So I always tell that story to try to give the idea of the difference between the two.

但如果没有足够的分散化来使其回归，我也认为系统性方法并不充分。

But without enough diversification to bring it back, I also don't think a systematic approach.

但除此之外，我之前已经列举了很多例子。

But almost anything else, I listed a lot of them earlier.

我认为这是可以适用的。

I think it is amenable.

如果你的结果是真实的，基于真实的人类偏见或你获得溢价的实际风险，它们应该适用于许多决策。

If your results are real, if they're based on actual human biases or actual risks that you get a premium for, they should work for many, many decisions.

事实上，这是我们判断是否真正相信的一个标准。

In fact, that's one of the criteria we use for whether we really believe.

我常说的是，这一切都始于美国股票。

I'm fond of saying that this all started with US equities.

而且，如果我们出于某种疯狂的原因只能交易美国股票，我们仍然会对核心因子更有信心，因为它们在其他地方也表现稳健。

And if for some insane reason we had to only trade US equities, we'd still feel much better about the core factors because they hold up everywhere else.

所以，请跟着我思考这个问题。

So stick with me on this question.

这有点阴森，但我真的很想知道你会怎么回答。

It's a little bit morbid, but I'm really curious how you're gonna answer it.

让我们暂时假设，当你走到生命尽头时，遇见了圣彼得。

So let's pretend for a moment you get to the end of your life and you meet St.

彼得在天堂门口对你说：‘克里夫，感谢你对金融领域的贡献。’

Peter at the Pearly Gates and he says, Cliff, thank you for your contributions to finance.

因为你做出了这么多贡献，你可以问任何关于市场的问题，我会告诉你永恒的真相。

Because you've done so much, you can ask any question you want about the markets and I will tell you the eternal truth.

你会问什么问题？

What question do you ask?

首先，我喜欢你这个奇怪的假设，即一个量化投资经理在这个情境中只能上升，不能下降。

First, I do like your odd assumption that a quantitative investment manager can go up, not down in this scenario.

你真是太好了。

That's very kind of you.

我只能抱有希望。

I have to hope.

我的意思是，我也身处同样的境地。

I mean, I'm in the same boat here.

我给你两个。

I'll give you two.

一个是关于市场的。

One's about markets.

另一个则更具竞争性。

One's a little more competitive in its nature.

这几乎是顺口一提，但我们永远无法知道市场有多有效。

This is almost a throwaway, but we're never gonna know how efficient the market is.

我认为从长期来看，市场确实相当有效。

I think it's certainly quite efficient in a long run horizon.

我认为它很少会极度无效。

I think it's rarely wildly inefficient.

即使我在芝加哥写论文时，其中很大一部分内容就是关于价格动量的。

Even when I wrote my dissertation in Chicago, a big part of it was on price momentum.

你听过那个笑话吧，尤金·法玛对此特别在行。

You've heard the joke, Gene Fama was great about it.

他说：'只要数据里有，就写成论文。'

He said, If it's in the data, write the paper.

但当我告诉他我想写一篇关于动量失败的论文时，我吓得要死。

But I was terrified in telling him I wanted to write it unsuccessful.

如果动量失效，那会是一篇出色的芝加哥大学论文。

Momentum failing would have been a great Chicago dissertation.

但动量成功却很难。

Momentum succeeding was difficult.

但动量是很难与有效市场假说相调和的现象之一。

But momentum is one of the harder ones to reconcile with efficient markets.

多年来，人们当然尝试过，也提出了一些理论。

People have certainly tried over the years, there are some theories.

如果你相信事物存在动量，那么你基本上已经倾向于认为市场至少不是完全有效的。

If you believe there's momentum to things, I think you're most of the way towards believing markets are at least not perfectly efficient.

我还应该提一下，尤金·法玛不会告诉你市场是完全有效的。

I should mention also Gene Fama won't tell you they're perfectly efficient.

我旁听了他的课三次，一次是作为学生，两次是作为助教，只是为了确保自己能回答学生的问题。

I sat through his class three times, once as a student and twice as a TA, just to make sure I kind of could answer the students' questions.

每年他可能都会这么做——虽然我最近没问他，但他总会在课程早期某个时候看着全班说：市场几乎可以肯定不是有效的，或者不是完全有效的。

And every year, he probably still does that I haven't asked him in a while, he looks at the class at one point early and says markets are almost assuredly not efficient or not perfectly efficient.

然后你会听到掌声。

And you get guests.

只有在芝加哥大学的金融课上，这句话才会引发掌声。

Only in pharma's class in Chicago could that statement elicit guests.

他只是说，这只是一个谱系上的一个点。

He just says it's a point on a spectrum.

显然，法玛认为市场比大多数人认为的更有效。

Clearly, Gene thinks they're more efficient than most people.

所以我想请圣彼得具体给我解释一下这一点。

So I would like to ask Saint Peter exactly to explain this one to me.

我相当确信它们并非显而易见。

I'm pretty convinced they're not the obvious.

这几乎是一种同义反复。

It's almost a tautology.

它们并非完全有效。

They're not perfectly efficient.

我相当确信，我不会使用‘非理性’这个说法。

I'm pretty convinced, I wouldn't use the phrase irrational.

我使用的是‘不够完全理性’这个表述。

I use the phrase less than perfectly rational.

你和我都偶尔会犯错，我们都会做出非理性的事情。

You and I both make errors on occasion, we both can do irrational things.

我想我们会接受我们并非完全理性的结论。

I think we'd accept the verdict that we're not perfectly rational.

如果有人称我们是非理性的，我想我们会感到被冒犯。

I think we'd be insulted if someone called us irrational.

这有点不同。

That's a little bit different.

所以我想问一下圣彼得。

So I'd like to ask St.

彼得，这一点。

Peter that.

从纯粹竞争的角度来看，这很奇怪，我一边问一边在脑子里梳理这个问题。

And then in a purely competitive way, this is odd, I'm working this out of my head as I'm asking this.

我想问他们，谁是最优秀的管理者？

I'd like to ask them, who are the best managers?

给我列出前十名。

Give me the top 10.

但我有一个非常具体的方式想问这个问题。

But I have a very specific way I wanna ask it.

我希望得到事前的评估。

I want an ex ante.

每个人一生中都经历过好运或坏运。

Everyone's had good or bad net luck in their life.

市场和这个行业具有路径依赖性。

And markets and this business is path dependent.

因此，运气可能非常重要，但圣彼得也可以从事前角度给出回答。

So luck can matter a lot, but so Saint Peter can answer ex ante.

也许这个人之所以彻底失败，是因为早期承担了过多的风险。

Maybe the person was a total failure because they took way too much risk early on.

从事前角度看，无论他们是否量化，都应以风险调整后的美元收益来衡量。

Had ex ante the most, be they quantitative or or not, and answer in a risk adjusted dollars sense.

在对冲基金界，有不少人热衷于围绕夏普比率展开无谓的争论。

There are a fair amount of people, particularly in the hedge fund world that get into these blanking contests over Sharpe ratio.

这很好。

Well, that's great.

我们希望获得尽可能高的夏普比率。

We want the highest Sharpe ratio we can get.

但真正重要的是你能为客户创造多少风险调整后的美元收益。

But what's relevant is how many risk adjusted dollars you can create for clients.

风险调整意味着杰克·博格尔做了一件了不起的事，但如果我们做同样的事，并不会为客户创造财富。

Risk adjusted means Jack Bogle did a tremendous thing, but us doing the same thing doesn't create wealth for clients.

而是一种尚未纳入他们投资组合的策略。

But a style that's not in their portfolio yet.

所以我经常考虑写一篇文章。

So I've often thought about writing a piece.

现在写这个会很危险，因为当情况不顺时，事情可能会反噬你，但我想写一篇赞美低夏普比率策略的诗。

This would be dangerous to write right now because things can get turned on you when things are not going so great, but an ode to low Sharpe ratio strategies.

我说的低，是指我们希望尽可能把它们提高到最高水平。

And when I say low, I mean, we wanna make them as high as we can make them.

我们之前谈到的工艺水准。

The craftsmanship we talked about earlier.

但价值投资，尤其是在大盘股中，并没有太大的优势。

But value, particularly in large cap, not a huge edge.

它只是长期以来 everywhere 都存在的一种优势。

It's just an edge that's existed everywhere for a long, long, long time.

你可以向投资组合中加入大量资金，因为这些策略通常具有非常高的容量。

And you can add a lot of dollars to portfolios because these things tend to be very, very, very high capacity.

并非无限，任何事物都不是无限的，那太荒谬了，但确实容量非常高。

Not infinite, nothing is, that's ridiculous, but certainly very high capacity.

因此，我想从这个角度了解风险调整后的资金。

So I would like to know in that sense, risk adjusted dollars.

显然，我通过将问题聚焦于此而非夏普比率，略微偏向了像我这样的人。

And clearly I'm altering the question to favor people like me a little bit by making it that sense, not Sharpe ratio.

在同等风险或容量下，更高的夏普比率确实能增加收益，但两者都算数。

For the same amount of say risk or capacity, higher Sharpe ratio definitely adds to it, but both count.

谁是最优秀的？

Who have been the best?

我不指望自己会出现在这份名单上。

I don't expect to be on this list.

这更像是自我吹嘘，但我非常想知道，在风险调整后的美元收益角度，历史上最优秀的基金经理是谁。

It's on an ego fest, but I'd be fascinated to know the ex ante best managers ever in a risk adjusted dollar sense.

结果可能会令人惊讶。

It might be surprising.

你已经做过数十次采访、播客、演讲和圆桌对话，可能被问过数百个问题。

You have done dozens of interviews, podcasts, talks, fireside chats, been asked probably hundreds of questions.

你希望有人问你但从未有人问过的一个问题是什么？

What is the one question you wish someone would ask you but never has?

我不能选那个‘圣彼得’的问题吗？

I can't go with that Saint Peter one?

不行。

Nope.

必须得是不一样的问题。

Gotta be different.

因为那正是我没想到自己希望被问到的问题，但我确实希望被问到。

Because that was the question I didn't know I wished to be asked, but I did wish to be asked.

我希望被问到的问题是，好吧，我要作弊一下这个问题。

The question I would like to be asked, all right, I'm gonna cheat the question.

我希望在2023年有人问我：天啊，你就是靠坚持这一点赚了这么多钱？

I would like to be asked in 2023, oh my God, you made tons of money by sticking with that.

为什么这件事对全世界来说都不明显呢？

Why was this not obvious to the whole world?

我期待有人问我这个问题。

I am looking forward to being asked that question.

我相信我终将被问到这个问题。

And I do believe I will be asked that question.

那你的答案会是什么？

And what's your answer gonna be?

我的答案是，坚持这一点要难得多，而且你需要牺牲一些内在的东西。

My answer is it's way harder and you sacrifice some of your internal organs to stick with this.

而你的生命会比预期提前十四年结束。

And the end of your life comes fourteen years earlier than it was supposed to.

他们不会直接把风险溢价送给你。

They don't hand you the risk premium.

一位伟人曾说过：没有痛苦，就没有溢价。

A great man once said, no pain, no premium.

好吧，Cliff，最后一个问题是给你。

Alright, last question for you, Cliff.

2020年对这么多人来说都是颠倒混乱的一年。

2020 has been an upside down year for so many people.

你对未来有什么期待？

What are you looking forward to in the future?

这可以是关于事业的，也可以是个人的。

And this can be business or just personal.

要个人回答的话，你得好好想想。

To answer personally, you gotta think about this.

这是一个后疫情时代的世界，真正的问题在于，你最想念的是什么？

It's a post COVID world, and the question really comes down to what do you miss the most?

对我来说，我怀念很多东西。

For me, I miss a ton of things.

我相信我们都一样。

I'm sure we all do.

但我有两件事特别怀念，而且它们是相关的。

But there are two things I miss tremendously, and they they're related.

和朋友一起去餐厅吃饭。

But going to restaurants with friends.

这答案可能不算震撼，抱歉。

It's not exactly, I'm sorry, an earth shaking answer.

在这方面我并不独特，但我们已经多次和朋友通过Zoom喝鸡尾酒了。

I'm not unique on this, but we've done the Zoom cocktails with friends numerous times.

就连这种形式也渐渐让人厌倦了。

Even that's getting a little old.

这和坐在餐厅里待两个半小时，和你爱的人喝掉比应该更多的酒完全不一样。

It's not the same thing as sitting around a restaurant for two and a half hours or people you love killing more wine than you should.

这也很平凡。

And this is also very prosaic.

这并不比其他人或许多人特殊，但现场体育赛事。

It's not different than anyone else or many other people, but live sporting events.

我觉得这已经持续很久了。

And I think it's a long time.

餐厅，我觉得我们可以通过桌间距等方式应对。

Restaurants, I think we can do with table distancing and whatnot.

在疫苗问世之前，我根本不可能坐在洋基体育场——他们的座位设计得小得离谱，就是为了最大化收益，这些该死的资本家。

Until a vaccine happens, the notion that I'm gonna sit in Yankee Stadium, they make the seats pretty damn small to maximize revenue, those damn capitalists.

百老汇演出更糟。

Broadway shows, even worse.

他们像疯子一样把你塞进去。

They cram you in like maniacs.

所以，认为我们中的任何人在未来不久就能安心这样做，让我感到非常难过，因为我热爱体育。

So the notion that any of us will be comfortable doing that in the near future is very sad to me because I love sports.

我热爱现场体育赛事。

I love live sports.

我并不声称自己擅长这些，但我热爱它们。

I'm not claiming to be good at any of these, but I love them.

所以我真的很期待，但遗憾的是，这还需要很长时间。

So I am really looking forward to though I think that's sadly a ways off.

我告诉你，很多人说我不期待的一件事，就是我的孩子们重新获得自由。

I'll tell you one a lot of people say I'm not looking forward to is my kids having their liberty again.

我家里有四个青少年。

I have four teenagers in my house.

这就像最后的狂欢，好好享受与他们共度的时光。

It's like a last hurrah to spend a lot of time loving that.

偶尔，你可能也会剪掉这段，但有时候他们会来打断播客，让我去修理家庭影音系统，因为我是家里的IT专员。

Occasionally, as you probably will edit out, but occasionally they come and interrupt the podcast to ask me to fix the home AV system because again, I am the home IT man.

这很重要，我明白。

It's a priority, I get it.

但我不断提醒自己，在一个非常狭隘的意义上，很多人已经去世了。

But I do keep reminding myself that in one very narrow sense, you know, a lot of people have died.

我不是说这是好事，但从一个非常个人的狭隘角度来看，这件事唯一给予的礼物，就是能和即将上大学的青少年度过最后一批宝贵的家庭时光。

I'm not saying this is a good thing, but in a very narrow personal sense, the one gift from this whole thing is like a last amount of serious family time with teenagers who are gonna go to college soon.

好了，Cliff，我只想说这真是一次愉快的交谈。

Well, Cliff, I just wanna say this has been a pleasure.

我无法用言语表达对你抽出时间的感激。

I can't thank you enough for your time.

这真的是一种荣幸。

It has been a real honor.

我刚才已经说过。

I as said it.

我一直是你的粉丝，也读过很多你的研究。

Longtime fan, big reader of your research.

能够提出这些问题真的是一种乐趣。

Getting to ask these questions has been a real joy.

所以谢谢你。

So thank you.

长期听众，第一次打电话。

Longtime listener, first time caller.

不。

No.

这太棒了。

This was great.

这些问题是我收到过的最好的问题之一，和你交谈非常愉快。

These were some of the best questions I've ever gotten, and it was a pleasure to talk at you.