卡伦·罗什谈构建完美投资组合的艺术

关于房子，我觉得另一件有趣的事是，假设你完全拥有这套房子，它值一百万美元之类的。

And then the other thing with houses that I think is interesting, which is like, you could look at, may maybe I'll say you own a house outright and it's like, oh, it's worth a million dollars or something like that.

但你其实卖不了，因为卖了之后你还得再买一套房子。

You can't really sell it because then you have to buy a house.

嗯。

Mhmm.

所以我也不是很确定。

And so it's like, I'm not even sure.

因为我总得有个地方住。

Like, I gotta live somewhere.

所以你没法像卖股票、然后拿钱去买别的东西那样，把房子变现到同样的程度？

And so you can I don't you can't monetize that to the same degree you could, you know, sell your stock and buy stuff?

但跟我们说说，人们应该怎么思考这个问题。

But talk to us about how one should think.

我们来开始谈吧。

Let's start this.

一个人应该如何看待自己的住房在其整体投资组合中的作用？

How one should think about the role of their home in their overall portfolio?

我认为这是最难购买的资产，因为它是一种你希望获得回报的工具。

It's the hardest asset to buy, I think, because it is it's an instrument that you want to generate a return on.

所以你想对它做一些财务分析，你知道，没人想在2007年左右买房子，然后眼看着它跌了30%。

So you wanna do, like, some financial analysis on it and, you know, try to nobody wants to buy a house in, you know, 2007 or something and then see it go down 30%.

但你的房子也是你居住的地方。

But also, your house is where you live.

你将在那里抚养孩子，吃大部分的饭，做那些生活中看似无聊但实际上对你至关重要的小事。

Where you're gonna raise your kids, and you're gonna eat most of your meals, and where you're gonna do all the little boring things in life that are actually really important to you.

因此，它有一部分非常个人化，这在某种程度上让所有的财务计算都失效了。

And so there's this really personal part of it that it makes the to some degree, it throws all the financial math out the window.

但从基本角度来看，回到你2016年的购买，我想说，你的时机真是太棒了，因为

But from a basic you know, first of all, going back to your 2,016 purchase, I would say, you know, that was unbelievable timing because

哦，谢谢。

Oh, thank you.

谢谢。

The Thank you.

你可以说，经历新冠疫情期间，任何有杠杆的房产——你有房贷吗？

You could argue that going through COVID I mean, any house that was leveraged did you have a mortgage?

有。

Yeah.

有。

Yeah.

所以，任何有杠杆的房产都是最好的抗通胀工具。

So any house that was leveraged was the best inflation hedge.

对。

Right.

对。

Right.

你甚至可以说，这是过去五十年来最好的抗通胀投资，因为它提供了这种稳定的确切性。

Maybe maybe the best inflation hedge trade of the last fifty years, you could argue, just in terms of just providing this stable level of certainty.

是的。

Yeah.

你知道，低抵押贷款是一种对冲通胀的手段。

You know, the low mortgage is an inflation hedge.

你获得了50%的价格上涨，或者大概类似的比例。

The you got 50% price appreciation or probably something like that.

所以这也挺有意思，当你回想起我之前没完全回答的关于黄金的问题时。

So that's interesting too to think about that when you know, kind of going back to the question on gold that I didn't fully answer.

当一种资产在短期内大幅上涨时，会发生什么？

What happens when an asset goes up so much in the short term?

我通常这样想：比如说，住房通常只产生很低的实际回报，或者从历史上看，甚至没有产生实际回报。

The way I like to think of it at least is that let's say that housing typically generates a low real return or, you know, even historically, it hasn't generated a real return.

我看待这类问题的方式是，在那些我称之为价格压缩的环境中。

The way that I like to think about things like that are environments where you get these, what I call a price compression.

某个资产类别出现了巨大的繁荣。

You get a huge boom in an asset class.

这在固定收益市场中更容易理解，比如当债券市场大幅下跌时，利率上升，所有数学计算都会完全改变。

And it's almost easier to think of this in, like, a fixed income market where, like, when the bond market goes down a lot, interest rates go up, the math completely changes on all.

对。

Right.

所以现在很多人说，债券已经死了。

So a lot of people these days are saying, like, bonds are dead.

但我会说，不。

And I would say, like, no.

债券实际上可能更具吸引力，因为从收益率角度来看，相对于价格下跌，未来的回报现在更加稳定、更有可能实现。

Bonds are actually probably more attractive because mathematically, from a yield perspective relative to the falling price decline, the the future returns are much more stable now, much more probable.

那么，在房地产价格上涨50%的环境下，或者去年黄金涨了多少？

And so what happens in an environment where you get a 50% increase in real estate or, you know, what was gold up last year, year?

65%。

65%.

假设我们大方一点，说黄金在未来许多年里每年仍能保持8%的涨幅。

You know, let's say that let's just be generous and say gold is gonna continue to do 8% per year for the next, you know, however many years.

当65%的回报全部压缩在一年内实现时，我认为这会增加金融顾问所说的‘回报序列风险’的概率，这意味着未来回报将变得更加波动的可能性大大增加。

When you get 65% of that return all crunched down into one year, I think what happens is you create a higher probability of what a financial adviser would call sequence of returns risk, which means that the probability that the future returns are gonna be much more volatile becomes much higher.

因此，关于房地产，我现在并不特别看好未来的房价，因为我们刚刚经历了一轮大牛市。

And so that's one thing with real estate is that, like, I'm not super optimistic about future real estate prices for now because we went through this big boom.

这造成了价格压缩，导致大量回报集中在一年内实现。

It creates this price compression, and you get lots of returns into one year all crammed up.

这意味着未来出现横盘或表现平平的回报的可能性相当高。

And that means that the likelihood of either sideways or, you know, not great returns is is pretty probable.

因此，展望未来，我认为应该把房子看作一块位于增值土地上的大宗商品。

So, you know, going forward, you know, I think that it's good to think of your house as basically a it's a block of commodities on an appreciating piece of land.

关于房地产，重要的一点是，我在书中经常提到，必须从实际回报的角度来思考一切。

And, you know, the thing that's important with real estate is I talk about this a lot in the book that you have to think of everything in terms of real, real returns.

这意味着你需要剔除通货膨胀以及所有其他成本。

And that means you have to back out inflation, and you have to back out all the other costs.

我可能拥有世界上最糟糕的购房故事：2017年，我在加利福尼亚买了一栋带小溪的房屋。

And that's the thing that, you know, I have probably the worst housing story in the world because in 2017, I bought a house in California that had a small waterway on it.

而我不知道的是，在加利福尼亚州，任何有水体的房产几乎都是你能想象到的最糟糕的许可噩梦。

And without knowing that, which I should have probably known in the state of California, anything with water on it in the state of California is basically the biggest permitting nightmare that you could possibly imagine.

这会牵涉到环保署。

It gets the EPA involved.

这会牵涉到海岸委员会。

It gets the Coastal Commission involved.

这会牵涉到州鱼类和野生动物部门。

It gets the State Department of Fish and Wildlife involved.

突然间，你就能深入了解这些政府机构是如何协同工作的。

And all of a sudden, you get an introspective look at, you know, how all these government agencies work together.

我现在真的很好奇。

And now I'm really curious.

你当时想做什么？

What were you trying to do?

我们只是想简单地翻新一下房子。

We were literally just trying to remodel the house.

是的。

Yeah.

所以我们买了这栋老房子

So we bought this old

完全没碰水吗？

touching the water at all?

没有。

No.

我们根本没碰水。

We weren't touching the water at all.

事实上，那条水道，我的意思是，圣地亚哥每年只有10英寸的降雨量。

And in fact, the water is not even I mean, San Diego gets 10 inches of rain a year.

所以，你知道，降雨量非常非常少。

So, you know, that's very, very little rain.

因此，我们称之为水道的这条沟，其实一年只有十天左右才有水。

And so this waterway, we call it, is really it only has water in it, I mean, ten days a year or something.

太疯狂了。

It's crazy.

很干燥。

It's dry.

这可不是什么泻湖之类的东西。

It's not like it's a lagoon or something.

这是

This is

你的自由意志主义弧线真是疯狂啊，是啊。

a wild how your libertarian arc Yeah.

这其实很有趣，因为我妻子非常非常自由派，我们在办理许可手续时，她说：这些人在试图把我变成一个自由意志主义者。

Well, it's really funny because my wife is very, very liberal, and we were going through the permitting process, and she was like, these people are trying to turn me into a libertarian.

不。

No.

我懂。

I I get it.

哦，实际上，既然你提到了你妻子，我得问一下。

Oh, actually, since you brought up your wife, I gotta ask.

书里有一处你提到‘娶了一个投资组合’，然后你加了一个小注释，说‘向我妻子道歉’，接着又说‘我只是在测试我妻子是否真的读了这本书。’

There's a bit in the book where you talk about marrying a portfolio, and then you have a tiny footnote that says apologies to my wife, and then it says, I'm just testing if my wife actually reads this.

她读了吗？

Did she read it?

她发现了。

She caught it.

她实际上是这本书的第一位编辑。

She actually was the first editor of the book.

所以她……啊。

So she Aw.

她确实仔细读了，而且发现了这一点。

And she did go through it, and she caught it.

她并没有全部交给GPT去处理，尽管她一直试图说服我这么做。

She didn't just jam it all through GPT, which she kept trying to convince me to do.

但不，这很有趣。

But no, it's funny.

里面还有一个关于我岳母的脚注，她还没发现。

There's another footnote about my mother-in-law in there that she has not caught yet.

哦，那个是什么？

Oh, what's what's that one?

我没看到那个。

I didn't see that one.

所以她在疫情期间被困在我们这里，我开玩笑说，我刚在疫情后有了第一个女儿，然后封锁开始了，国际旅行也停了。

So she got trapped with us during COVID, and I make the joke that I had just had my first daughter right after COVID, and, you know, the shutdown happens, the international travel shutdown happens.

她住在法国。

She lives in France.

所以她恰好来我们这儿探望宝宝的出生，结果被困在这里六个月。

So she was just happened to be visiting us for the the baby's arrival, and she gets trapped with us for six months.

我每天早上在淋浴时哭泣，但不是因为孩子。

And I'd make this joke about how I was crying in the shower every morning, not because of the baby.

你之前说，是对着袜子尖叫吧。

Screaming into a sock, I think you said.

我们再回头说说债券，确实，当涉及到债券时，投资者的行为往往完全背道而驰。

Just going back to bonds for a second, it is true that, you know, you see investors behave in exactly the opposite way that they should be behaving when it comes to bonds.

如果你喜欢收益率为2%的债券，那在收益率达到7%时，你更应该喜欢才对。

If you like bonds at a 2% yield, you should love them at, like, a 7% yield.

谈谈

Talk

再多说一点你刚才提到的黄金和房地产的动量因素吧。

a little bit more about, you know, what you're talking about just now with gold and real estate is a momentum factor.

对吧？

Right?

过去几年，动量策略的表现似乎非常好。

And momentum seems to have done very, very well over the past few years.

这就是我们为什么说资金流向先于基本面的原因。

I mean, this is why we say flows before pros.

对吧？

Right?

我们能只是跟着其他人做吗？

Can we just follow what everyone else is doing?

现在好像就是这样。

That seems to be the way now.

嗯。

Yeah.

天啊。

I gosh.

我的意思是，存在动量。

I mean, there's there's momentum.

存在动量因子，而动量因子是投资组合构建中更学术化的版本，我在因子投资章节中特别谈到了，也就是所谓的截面动量。

There's the momentum factor, and the momentum factor this is the more academic version of, you know, portfolio construction where in the factor investing chapter, I talk very specifically about, you know, it's called cross sectional momentum, basically.

这基本上就是选择过去表现良好的股票，并预期它们在未来会继续表现良好。

And this is basically picking the stocks that have performed well in the past with expectation that they continue to perform well in the future.

奇怪的是，数据实际上表明这确实是一个现象。

And they weirdly the data actually shows that that is a thing.

因此，这让像尤金·法玛这样的人感到沮丧。

And so it it frustrates people like Gene Fama

是的。

Yeah.

有效市场假说的代表。

Of the efficient market hypothesis.

但在当今世界的情境下，这个动量因子基本上就是所有科技股，所有表现最好的东西。

But it's interesting because in the context of today's world, that momentum factor is basically just everything tech, everything that's performed the best.

因此，你所选择的这些股票，奇怪的是，多年来一直持续有效、有效、再有效。

And so you're which has, you know, weirdly continued to work and work and work throughout the years.

所以

And so

于是你就形成了这种自我强化的循环。

And you get this, like, self reinforcing cycle.

对吧？

Right?

嗯。

Yeah.

而且还有一个章节，我觉得甚至比动量因子更有趣，那就是趋势跟踪，它与前者有很大不同，因为这些交易员并不只是回顾过去，试图选股然后将其外推到未来。

And there's also you know, the one chapter that I actually thought was almost even more interesting than the momentum one is one that's related, which is called the trend following And that is very different in the sense that these guys, these traders are they're not necessarily just looking at the past and trying to you know, they're not picking stocks necessarily and then extrapolating it into the future.

这些人只是在寻找趋势，他们可能在查看图表数据之类的。

These guys are just trying to find trends, and they're looking maybe they're looking at, you know, chart data or whatever.

而且这是一种可以应用于任何市场的策略。

But and they're it's a go anywhere strategy.

所以这个策略最有趣的一点是，它是真正与所有其他策略完全不相关的策略之一。

So one of the most interesting things about this strategy is that it is one of the truly, fully uncorrelated strategies to everything else.

它在最近几年经历了一次大规模的复兴。

And it's had this sort of big resurgence in the last.

在金融危机后，它变得非常流行，因为……

It became very popular after the GFC because it

哦，是的。

Oh, yeah.

它远远超越了所有其他策略，且与其他资产完全不相关，具有巨大的非对称回报，但随后经历了一个长达十年的停滞期。

It beat the pants off of everything and was uncorrelated, had these huge asymmetric returns, and then went through this period of, like, a ten year lag.

它经历了我之前提到的那种情况，就是价格压缩。

And it had kind of like what I was referring to earlier where you had this, like you had that price compression.

趋势跟随策略的所有表现都上升了。

The trend following things all went up.

所有这些CTA基金都上涨了50%、100%。

All these CTA funds go up, you know, 50, a 100%.

嗯。

Mhmm.

然后它们全都滞后了，并且持续了很长时间。

And then they all lag for and they lag for a long time.

寻找不相关资产的关键在于，这些不相关的工具有时并不是像股票和债券那样的现金流生成型资产。

And that's the thing about finding uncorrelated assets is that sometimes these uncorrelated instruments, they're not like cash flow generating instruments like stocks and bonds necessarily.

然而，趋势跟踪者会经历长达十年的滞后期，这会暴露人们各种行为偏差。

So the trend followers, though, they go through this ten year period of lagging, which exposes people to all these behavioral biases.

我记得CTA基金也成了每一年市场发生问题时的便利替罪羊。

I remember CTAs also became a really convenient scapegoat for every year that was happening in the market.

它们就像多策略基金一样。

They were like the multistrats

是当今的。

of today.

对吧？

Right?

我忘了我们以前在2010年代初多么频繁地谈论CTA基金作为重要驱动因素。

I forgot how much we used to talk about CTAs in the early twenty tens as an important driver.

实际上，我们能稍微聊一下科技股吗？

Actually, can we talk a little bit about tech stocks for a second?

因为这在我看来非常重要，我一直在思考这个问题。

Because this strikes me as very important, and I think about this all the time.

你知道吗？

You know?

你看到摩根大通做的基金经理调查了吗？

You see these surveys that Bank of America does of fund managers.

比如，世界上最多人持有的交易是什么？

Like, what's the most crowded trade in the world?

科技股。

Tech.

他们从2013年左右就开始这么说。

They've been saying that since, like, 2013.

你知道吗？

You know?

但它依然表现强劲。

And it still just performs.

还有许多其他连锁影响。

And all these other there are all kinds of other knock on things.

你知道吗？

You know?

人们总在谈论美国市场和国际市场的配置差异。

It's like people talk about US versus international exposure.

但归根结底，当我们谈论美国市场时，这其实就是对科技股的一种押注。

But at the end of the day, this is just a bet on tech when we're talking about The US.

嗯。

Mhmm.

我经常思考科技股的另一点是，撇开投资组合构建的理论不谈，这些公司赚的钱多得惊人，而且每年赚得越来越多。

And the other thing I think about tech a lot is that setting aside sort of theories of portfolio construction, these companies make gobs of money, and they make more and more and more and more each year.

你知道，我们最近做了一期节目，邀请了高盛首席股票策略师本·斯奈德。

You know, we recently did an episode, and Ben Snyder, the top equity strategist of Goldman was on.

他说，大型科技公司贡献了标普500指数33%的盈利。

He's like, well, the big tech companies is, 33% of S and P 500 earnings.

我听了之后很受触动。

And I listened to that.

我当时就想，那剩下的67%的总收益也得被它们吞掉。

I was like, well, that's another 67% of total earnings for them to gobble up.

但我觉得，这一定让基金经理们抓狂吧，因为只有一个行业，而且这还是一种新奇现象。

But it strikes me that like, can you just talk like, it must drive portfolio managers crazy that there's this one sector and, you know, this is a novelty.

对吧？

Right?

因为这些大公司增长速度远超其他大多数公司，而在许多情况下，大公司通常意味着成熟和缓慢增长。

Because these are big companies that are growing faster than almost anyone else, which is not the case in many environments when we associate big companies with maturity and slow growth.

所以，这种现象已经持续了多年，感觉完全颠覆了其他所有策略。

So, like, there is this thing going on for years and years and years that just sort of feels to bust every other strategy.

而且如果你

And if

没有超配科技股，很可能表现就落后了。

you're not overweight tech, you're probably underperforming.

没错。

Yeah.

这真的让很多人感到极度沮丧，尤其是那些没有参与动量交易、更偏向价值投资的人，或者那些深知小盘股长期跑赢大盘的人。

And it's really frustrated the hell out of people, especially the factor investors who haven't been in the momentum trade, who have been more value oriented or, you know, the people who know that small has outperformed large in the long run.

一切都彻底颠倒了。

Like, it's all been flipped on its head.

是的。

Yeah.

所以，我再次回到时间跨度的问题上，至少我是这样看待这个问题的：在当前环境下，科技和成长股非常有趣，而且回溯到纳斯达克泡沫时期，实际上很多人会做这样的类比。

And so I again, going back to the time horizon thing, the way that at least I try to think about this is tech and growth is really interesting in the current environment because and going back to the Nasdaq bubble, you can actually you know, a lot of people make that corollary.

关于纳斯达克泡沫的有趣之处在于，如果你在泡沫顶峰买入并持有至今，年化收益率大约有8%。

And the interesting thing about the Nasdaq bubble is that if you bought the very tippy top of the Nasdaq bubble and held on to today, you've made, like, 8% per year.

这已经很棒了。

It is great.

你表现得非常好，这很疯狂，但你经历了极端的收益波动风险，因为确实如此。

You've done really, really well, which is crazy, but you had this crazy sequence of returns risk because Yeah.

是的。

Yeah.

尤其是在实际购买力方面，你在那段时间经历了长达十五年的创伤性下跌。

Especially in real terms, you went through this traumatic, like, fifteen year downturn over that period.

所以，与当时相比，有趣的是，正如你所说，这些实体完全不同。

So the interesting thing, you know, compared to then is that, like you said, these entities are completely different.

当时每个人都预期互联网会成为一个大趋势，而它确实成为了。

Like, everybody was expecting the Internet to be a big thing, and it was.

现在每个人都预期人工智能会成为一个大趋势，我认为它也会成为。

And everybody expects AI to be a big thing, and I think it will be.

但那个时代与这个时代之间的有趣区别在于，这些公司赚的钱比人类历史上任何实体都多。

But the interesting difference between that environment and this environment is that these companies are they make more money than any entities have ever in human existence.

所以这与……完全不一样。

So this is completely different than the

而且每年它们都超越了分析师的预期。

And every year they beat analyst experts.

这太疯狂了，而且它们的增长速度也快得离谱。

It's crazy, and they're growing crazy, crazy fast.

这几乎令人难以置信。

So it's almost unbelievable.

但关键是，我们要回到价格压缩和时间跨度的整个概念上。

But the the thing is kinda going back to that whole idea of, like, price compression and thinking about time horizons.

我是这样想的，我在书中专门写过这一点，我最喜欢写的章节之一是我称之为‘前瞻资本组合’的原始策略。

The way I think about it is that and I write about this specifically in in probably my favorite chapter to write in this book was an original strategy that I call the forward cap portfolio.

我选取了五个重大的宏观经济趋势，将它们全部提炼出来，并试图将数据推演到未来。

And what I did was I took five huge macroeconomic trends, and I distilled them all down, and I tried to extrapolate data out into the future.

其中一个重要的趋势是科技，我以电子商务零售额为例，我说，目前电子商务零售额占总零售额的百分比大概是25%。

And one of the big ones is tech, where I look at something like ecommerce retail sales, and I say, you know, this is currently whatever it is, 25% of all e commerce retail sales as a percentage of total retail sales is 25%.

而这个数字，未来某时可能会升至50%、60%甚至70%。

And that number, you know, is probably gonna go to 50 or 60 or 70% at some point in the future.

所有的零售额最终都会变成电子商务销售额，没错。

All retail sales will just turn into ecommerce sales Yeah.

总有一天会这样。

At some point.

就像你说的，电商还有75%的增长空间。

Like you said, like, you know, this is there's 75% more for ecommerce to

去吞噬。

gobble up.

我相信这一点。

I believe that.

所以如果你相信这一点，并且想投资科技，那你应该持有哪些资产呢？

And so if you believe that and you wanna buy technology, well, what should you own?

你应该持有像标普500指数目前35%那样的市值加权比例，还是应该提升到50%或60%？

Should you own the market cap weighting of 35% like it is now in the S and P 500, or should you go to, like, 50 or 60%?

我在书中对此的表述是：你应该滑向冰球可能要去的地方，而不是当你购买市值加权指数基金时，你只是在跟着冰球滑动，这确实是个不错的策略。

And the way I kind of frame it in the book is it's skating to where the puck maybe is going rather than when you buy a market cap weighted index fund, what you're doing is you're basically skating with the puck, which is it's a good strategy.

它非常有效，但你并没有真正试图滑向冰球将要去的方向。

It works really well, but you're not necessarily trying to skate to where the puck is going.

所以我正在做大量的推测。

And so I'm doing a lot of guesswork.

这显然非常主动，而且这其中涉及大量估算。

It's obviously very active, and, you know, there's a lot of there's a lot of estimates that are involved in all of this.

但如果你向前看，我认为说四十年或五十年后，科技股在标普500中的市值可能达到50%、60%甚至70%，并不算离谱。

But if you think forward, like, I don't think it's unreasonable to say that in forty or fifty years, the market cap of technology in the S and P 500 might be fifty, sixty, 70%.

谁知道呢？

Who knows?

毕竟，一切可能都会变成科技相关，但棘手的地方在于，尤其是在估值极高的时候，我谈到过，估值相当于对未来的高预期。

Like, everything's probably turning into a a tech But two the tricky part about that is that when especially when valuations are really high, I I talk about how valuations are the equivalent of high expectations.

当预期非常高时，稍微一点表现不佳就足以让人失望。

And when expectations are really high, it doesn't take much to disappoint.

因此，当预期极高时，你的容错空间会变得非常小。

So your margin for error when expectations are really high is just really low.

这就导致了短期内可能出现更高的收益序列风险。比如，如果我跟一个刚毕业、在华尔街找到好工作的20岁年轻人谈话，我可能会告诉他：你的投资期限很长，可以非常激进，不如直接买个成长型基金，然后把经纪账户密码忘掉四十年。

So what that does is it causes this potential where you have higher sequence of returns risk in the short term where you know, I would say if I'm talking to, you know, a 20 year old who's coming out of college, just got a great job on Wall Street or something, I might tell him, well, hey, your time horizon is so long and you could be so aggressive, you should maybe just go buy a growth fund and just, you know, lose the password to your brokerage account for, like, forty years.

没错。

Yeah.

打开账户，你可能会发现自己的表现非常出色。

And open it up, and you'll probably have done really well.

但如果你五年后回头看，它可能已经下跌了50%。

But if you look at that thing in five years, it might be down 50%.

你无法确定。

You don't know.

所以，这就是我看待这个问题的方式。

And so that's the way I kind of frame it.

因此，如果你的时间敏感度很高，比如明年就要退休、手头满是英伟达、谷歌和微软股票的人，他们的风险敞口与那个20岁的年轻人完全不同。

And so if you're if you're very time sensitive, I would say, you know, the retiree who is retiring next year and they're loaded to the gills with NVIDIA and Google and Microsoft, that person has a totally different risk exposure than that 20 year old does.

你如何看待指数提供商在这个问题中的角色？

How do you think about the index providers in this equation?

因为人们普遍认为，你把钱投入指数基金，就是一种被动投资。

Because, you know, there's this perception that you put your money in an index fund, it's a passive investment.

但实际上，这在某种程度上是主动的，因为指数提供商在决定该包含哪些资产。

But, actually, it's kinda active because the index provider is making decisions about what to do.

我知道指数提供商总是说他们只是反映市场，但有些做法在我看来非常主观，比如是否将中国债券纳入债券指数之类的问题。

And I know the index providers always say they're just holding up a mirror to the market, but, you know, some of that seems very subjective to me, like whether or not you're gonna add Chinese bonds into a debt index and things like that.

我们是不是把投资决策都外包给了指数？

Are we just outsourcing our investment decisions to the indexes?

在很大程度上，是的。

To a large degree, yeah.

我经常谈论‘根本不存在被动投资’这个观点，甚至说得太多了，因为这惹恼了不少人。

I mean, I I talk about how there is no such thing as passive investing a lot more than I should because it annoys a lot of people.

但有很多人对被动投资进行妖魔化，我认为他们的理由是虚假的。

But there's a lot of people who demonize passive investing, I think, for kind of phony reasons.

其中一个重要原因是，我之所以谈论并试图量化全球金融资产组合，是因为我想建立一个基准——如果我们要定义某种真正被动的投资，对我来说，就是买入整个市场投资组合。

And a big part of that is this fact that, you know, the reason I talk about and try to quantify the global financial asset portfolio is because I was trying to create a benchmark for if we were gonna define something as passive as you know, truly passive to me is you're buying the full market portfolio.

你完全不偏离市场。

You're not deviating at all.

你根本没有任何主动决策。

You're not making any active decisions at all.

因此，当你量化全球金融资产组合时，你实际上可以建立一个基准，让你明白，好吧。

And so when you quantify the GFAP, you can actually create a benchmark there where you understand, okay.

如果真的要完全100%被动投资，这就是你唯一应该持有的资产。

Well, this is the only if you were truly fully 100% passive, this is the only thing you would own.

有趣的是，没人能买到这个组合，也没人真的会去买它。

And the funny thing is nobody can buy this thing, and nobody does buy this thing.

因为即使在股票和债券的配置比例上，目前的股债比例大约是四十五比五十五。

Because even at a stock bond weighting, the stock versus bond weighting right now is something like forty five fifty five.

所以你本质上是股票配置不足。

So you're you're inherently underweight stock.

这甚至都还没接近所谓的六四配置比例。

So it's not even that close to even, like, the sixty forty portfolio.

因此，每个人都偏离了这个基准，而我写过，这完全没问题。

And so everybody deviates from this, and I write about how that's totally fine.

偏离并没有什么错。

There's nothing wrong with deviating.

有一点主动操作并没有什么错。

There's nothing wrong with being a little bit active.

但从指数的角度来看，我甚至觉得标普500的构建方式很可笑。

And so even from the indexing perspective, though, like, I laugh at, like, the, you know, the way the S and P five hundred is constructed.

它是由一个委员会不断挑选和决定哪些公司加入，整个过程非常系统化。

It's a committee of people that are constantly picking and choosing which firms to introduce, and it's very methodical.

你知道的，它非常依赖数据。

It's, you know, very data dependent.

所以这是一个非常系统化的过程。

So it's a very systematic sort of process.

但归根结底，他们还是最初选择了进入该指数的500家公司。

But at the end of the day, they're choosing the 500 companies that go into that index in the first place.

因此，在全球股票市场的背景下，这更有趣，因为他们仅仅凭自己的意愿，排除了成千上万的其他实体。

And so, you know, in the context of the global equity market, it's even more interesting because they're excluding, you know, thousands of other entities just, you know, by their own volition.

所以每个人都是主动的，而且有非常聪明的主动方式，也有非常愚蠢的主动方式。

So everyone's active, and, you know, there's very smart ways to be active, and there's very stupid ways to be active.

我想说，如今最令人不安的现象之一就是看到大量策略被推出，尤其是在加密货币兴起之后。

And I would say that, you know, a lot of the things, the most sort of disconcerting thing that I see going on these days is that I see the issuance of a lot of strategies and especially with the rise of crypto.

有很多事情我称之为愚蠢的主动行为，人们对待这一切更像是在赌博，而不是认真投资。

There's a lot of things going on that I would describe as stupid active where people are more having, like, a gambling mentality approaching all of this than anything else.

如果我们再多聊一小时，我真的很想向你请教一下投资咨询行业的事，不是关于投资组合构建本身，而是这个行业的运作方式，因为我对此有太多问题。

If we had, like, another hour, actually, I would love to just pick your brain about the investment advisory business, like, less the portfolio construction per se and just how this world works because I have so many questions about that.

不过，我们确实偶尔会在南加州的未来保障会议上见到你，那里有很多顾问，也有很多供应商在推销各种产品。

But I've won and, you know, we've seen you we run into you every once in a while down at the future proof conference in Southern California, you know, where there's a lot of advisers, and then there's a lot of vendors, and they're selling various products.

其中一件热门的事，就是他们试图让人们热衷于持有私募资产或其他另类投资等非传统产品。

And one of the hot things that we know that they're trying to get people excited about owning private assets or various alternatives, etcetera, non vanilla things.

在你看来，对于你接触到的大多数客户来说，这些新颖产品——比如私募信贷、私募资产或其他类似产品——是否有充分的理由值得纳入投资组合？

In your perspective, for most clients that you see, do is there like a compelling reason for some of these novel products or for some of to include like, yeah, private credit, private assets, private whatever it is.

这些产品是否解决了投资组合经理或投资顾问在现有公开流动性资产中无法解决的问题？

Do these solve problems for the portfolio manager or for the investment adviser that the existing publicly liquid assets don't provide?

是的。

Yeah.

2022年让很多人措手不及。

2022 messed a lot of people up.

因为当股票和债券高度相关时，你持有的60/40投资组合就会出问题——债券下跌15%或更多，股票也下跌25%。

Because when stocks and bonds become highly correlated and you own that $60.40 portfolio that, you know, the bonds go down 15% or whatever and the stocks also go down 25%.

那么到了年底，你看着自己的投资组合，就会说：我其实并没有实现分散投资。

Well, then you look at your portfolio at the end of the year and you say, I don't I'm not actually diversified.

如果你就是特蕾西提到的那位在那年退休的退休人员，你会觉得自己做了一个错误的决定，尽管60/40投资组合在大多数情况下仍然是一个不错的策略。

If you were that retiree that you mentioned, Tracy, that is retiring that year, you feel like you made a bad decision even though the $60.40 portfolio for the most part is a pretty good portfolio.

在这种背景下，另类投资越来越有说服力。

There is an increasingly compelling argument in that context for things like alternatives.

就我个人而言，我通常倾向于简单至上，因为我觉得这个过程很容易变得极其复杂，而通过一些小举措来建立组织性和结构，尽可能简化流程，长远来看会带来更好的过程和结果。

I me personally, I tend to just default towards simple is better because I think that this whole process can get so complex so quickly that the little things you can do to create organization and structure to simplify it as best as possible is gonna result in a better process, a better outcome in the long run.

所以，举个例子，十年前我醒来后看了看我和我妻子的财务账户，心想：天啊。

So, you know, little things like I mean, god, I woke up ten years ago, and I looked at me and my wife's financial accounts, and I was like, oh my god.

我们有一份老式的美林401(k)账户，你有一份老式的富达401(k)账户，还有那边一个银行账户。

We've got I've got a merry an old Merrill Lynch four zero one k, and I've got you've got old Fidelity four zero one k's, and you've got, you know, a bank account over there.

我这里还有一个银行账户。

I have a bank account over here.

我们有三个在嘉信理财的经纪账户，还有其他不同的托管机构，比如TD Ameritrade之类的。

We've got three brokerage accounts at Charles Schwab and, you know, different custodians, TD Ameritrade or whatever it might be.

我当时就想，这么多账户我根本管不过来。

And I was like, this is I can't manage all this.

我甚至忘了其中一些账户的密码。

I've actually forgotten the password to some of these accounts or something.

所以我就把这些账户合并、整合、简化，尽量持有非常简单的东西。

And so collapsing all this down and consolidating it and simplifying it and trying to own, you know, something that is very, very simple.

我在书中提到的一个投资组合是博格头三基金组合。

I one of the portfolios I talk about is the Boglehead three fund portfolio in the book.

我认为很多人喜欢这个组合、追随这个组合的原因之一，是他们对它几乎到了固执的地步。

And I think one of the reasons that so many people love that and those the followers of that portfolio are they're very almost militant about it.

我认为部分原因在于它太过简单，简单得优美而优雅。

And I think in part because it is so simple that it is it's just beautifully elegant in its simplicity.

但你可能会陷入争论，觉得这太简单了吗？

But then you could get into debates about, is it too simple?

那是什么？

What is it?

Boglehead 三基金？

The BOGOHUD three?

它基本上就是债券总指数基金。

It it's basically the the bond aggregate.

然后你可以根据你的风险偏好，以不同的比例组合，但总共就是三只基金。

And then and you can mix this up, you know, in different slices based on your risk profile, but it's three funds.

它包括一只国内股票基金、一只外国股票基金和一只债券总指数基金。

It's a domestic equity fund, a foreign equity fund, and a bond aggregate.

这些投资者会购买这只组合，而且总成本只有大约三个基点左右。

And these investors will buy this, and they'll buy it for, you know, it costs, like, three basis points or something in total.

是的。

Yeah.

因此，它遵循了泰勒·拉莫尔的路径，他是这一理念的创始人。泰勒是我书中采访过的人，他其实并不在金融咨询行业工作，但多年来因为经常给博格尔发邮件，两人成了好朋友。

And so it follows, like, all the sort of like, Taylor Larimore was the founder of it, and Taylor was he's someone I interviewed in the book, and he's not He wasn't really in the financial advisory business, but he became great friends with Bogle over the years because he was just emailing with him.

他其实有个有趣的背景故事：二战结束后，他参加过阿登战役，跳过伞，有过许多精彩的经历。

He had a, actually, a funny backstory where he comes back from World War two, and he fought in the Battle of the Bulge and jumped out of airplanes and had all these cool stories about it.

他回来后，据说娶了迈阿密最漂亮的女孩之类的。

He comes back, and I guess he married, like, the hottest woman in Miami or something.

她是个模特，靠做模特赚了大笔大笔的钱。

And she was a model, and she's making crazy, crazy amounts of money modeling.

于是他突然有了这么多钱，却不知道该怎么处理。

And so he comes into all this money, and he doesn't know what to do with it.

他聘请了一位理财顾问，结果被坑了，于是开始给约翰·博格尔发邮件。

And he hires a financial adviser who hoses him, and he starts emailing John Bogle.

博格尔于是告诉他：不，你应该这么做、这么做、这么做。

And Bogle then starts telling him, like, nah, you should be doing this, this, and this.

他们后来成了非常非常要好的朋友。

They become great, great friends.

博格晚年最终封他为博格信徒之王。

Bogle ultimately crowns him the king of the Bogleheads later in life.

呃。

Ugh.

因此，他现在可以说是所有博格信徒中最著名的那位。

And so he's kinda, like, the most famous of all the Bogleheads now.

但他将博格的所有思维过程提炼成了可能最简单的投资组合，即著名的三基金组合。

And but he distilled all of Bogle's thought processes down into, like, the simplest of all possible portfolios, which is this famous three portfolio.

但坦率地说，我对它略有批评，因为我认为，过于简单也确实存在，比如，如果你在2022年持有三基金组合，你可能会希望自己持有‘国库券+躺平’组合。

But it's arguably I I am minorly critical of it because I I would say that to some degree, there is such a thing as too simple also, Where, for instance, like, if you own the three fund portfolio in 2022, you probably wish you owned some of the T Bill and Chill portfolio.

也许你希望自己持有某种完全不相关的资产，比如趋势跟随组合之类的，这种组合能增加一点多元化，帮助你坚持下去，正如博格所说。

Maybe you wish you owned, you know, something completely uncorrelated, like the trend following portfolio or something, you know, that added a little bit of diversification that kept you you know, helped you stay the course as Bogle would say.

我特别喜欢沃伦·巴菲特投资组合这一章，因为它展示了人们在面对这一切时如何陷入决策瘫痪。

I've really enjoyed the Warren Buffett portfolio chapter in part because it demonstrates how people get decision paralysis around all of this.

即使你试图复制沃伦·巴菲特的投资风格，也会想出三种不同的方法来实现。

So even if you're trying to replicate Warren Buffett's investment style, you come up with three different ways to do it.

对吧？

Right?

所以，投资的方式似乎无穷无尽。

So it just seems like an infinite way to invest.

但我想要问你的是，你也说你给沃伦·巴菲特写过信，而且真的收到了回复。

But the thing I wanna ask you is you also say that you wrote to Warren Buffett, and you actually got a response.

嗯。

Yeah.

他怎么说的？

What did he say?

这发生在你写书之前，早期的时候

This was, like, before you wrote the book, early in

你的职业生涯初期。

your career.

我二十出头的时候，穷得连一股伯克希尔都买不起。

In my early twenties when, I was too poor to own a share of Berkshire.

所以，要参加股东会议，你必须是股东。

So in order to go to the shareholder meeting, you had to be a shareholder.

但那时我太穷了，买不起伯克希尔的一股股票。

And I was too poor to own a share of Berkshire back then.

所以我给他写了一封信，说：嘿。

So I I wrote him a letter, and I said, hey.

尽管我是个穷得连你的股票都买不起的倒霉蛋，我能去参加大会吗？

Could I come to the conference even though I'm this poor schmuck who can't even afford to buy your shares?

我收到一封打字信，那是一张大约五乘六英寸的小纸片，上面是打字的。

And I get a typewritten letter on it comes in, like, a, you know, probably a five by six little piece of paper, and it's typewritten.

信是他助手代他写的，但他亲自写了邀请我，我当时说：哦，

And it was from his assistant on behalf of him, but he wrote and invited me, and I was Oh,

这太酷了。

that's really cool.

太棒了。

That's so awesome.

我有个家庭活动。

I I had a family event.

结果我没去，这真是

I ended up not going, which was

你去过吗？

Have you ever been?

我从来没去过。

I've never been.

哦。

Oh.

真是个糟糕的决定。

So terrible decision.

但是

But

我去过一次，那是一次绝佳的体验。

I went once, and it's a it was a fantastic experience.

嗯。

Yeah.

因为那太酷了。

Because it was extremely cool.

嗯。

Yeah.

我们应该做一期‘奇怪的想法’。

We should do an Odd thoughts from

好吧，你结束了。

Well, you're done.

每次

Every time

哦，是啊。

Oh, yeah.

不会有的，我的意思是，嗯。

There's not gonna be I mean Yeah.

我想可能还会有一个，但不会是一样的了。

I guess there'll probably still be one, but it's not gonna be the same.

是的。

Yeah.

你们绝对应该做一期关于Odd Lots的节目。

You guys should definitely do an Odd Lots with

嗯，是的。

the Yeah.

那将会

That would

很棒。

be great.

既然你在联系，能为我们做个介绍吗？

Can you introduce us since you're corresponding?

你还记得我能吗？

Do you remember I can?

我打算

I'm gonna

用这个。

use that.

你有打字机吗？

Do have a typewriter?

有。

Yeah.

没有。

No.

但我可以找一台。

But I can find one.

库伦·罗什。

Cullen Roche.

非常有趣。

Really fun.

谢谢你能来演播室。

Thanks for coming in studio.

恭喜你的新书出版。

Congrats on the new book.

让我们保持联系，好好享受这次聊天。

Let's stay in touch and really enjoy chatting.

谢谢你的分享。

Thanks for talking.

非常感谢。

Appreciate it.

当然。

Absolutely.

这真是一次非常愉快的对话。

That was a lot of fun.

特蕾西，你听说过金融科技初创公司Acorn吗？

Tracy, have you ever have you heard of the fintech startup Acorn?

你听说过吗

Does that ring

嗯。

Yeah.

就是那个你平时投资零钱的平台，

That's the one where you, like, invest tiny bits of,

basically 就是几年前的零钱投资。

like So years ago change, basically.

嗯。

Yeah.

所以几年前，我想大概是十年前或者九年前左右，我读到过关于它的信息。

So years ago, like, I think actually probably about ten years ago or nine years ago or something like that, I read about it.

我当时很好奇它是怎么运作的。

I was like, was like curious how it worked.

所以我注册了一个账户，它会扣取一小笔金额。

So I like signed up for an account, and it takes this like small amount.

而且这个应用，至少我不是在贬低它。

And also the app, at least I'm not trying to slag them.

它并不太好用。

It doesn't work very well.

我的密码总是被重置。

I'm the my password is always getting reset.

但每隔一年半，我就会想起它还存在，它比其他所有投资表现都好，因为它是唯一一个我忘记密码、无法访问的投资。

But every, like, year and a half I remember that exists, that has outperformed every other investment because it's like the one thing that I've like lost my password to and I can't access it.

真的吗？

Oh, seriously?

是的。

Yeah.

是的。

Yeah.

太棒了。

It's so great.

你到底投资了什么？

What did you actually invest in?

就是，就是那个，嗯。

Like, it's just like an it's just yeah.

就是他们的增长基金之类的。

It's like their growth whatever their growth fund is.

金额不多，但天啊，就是那一个我几乎从不去看、从不去想的东西，因为我根本打不开那个应用。

It's not very much, but god, like, that one thing where it's just like the one I think about and look at absolutely the least because I could never open the app.

然后每隔一阵子，我会费劲去重置密码。

And then every once in while, I go through the effort to reset the password.

它表现得非常好。

It's done very well.

但这就是整个讽刺之处。

But this is like this is the entire irony.

对吧？

Right?

我们谈论过，根本不存在所谓的被动投资。

We talk about how there's no such thing as passive investing.

但事实上，如果你忘了账户密码，从此再也不去看它，我们的表现反而更好。

But actually, if you just forget the password to your account and never look at it, we tend to outperform.

接近了。

Close.

是的。

Yeah.

我真的觉得这个话题非常有趣。

I really I just find this to be such a fascinating topic.

它确实感觉有点乏味，因为人们总是对人们在加密货币和人工智能等领域赚取的巨额财富感兴趣。

It does feel like again, it feels a little unsexy because people are so interested in the incredible amounts of money that people have made in crypto and AI, etcetera.

但像这样，把所有东西拼凑起来的谜题——如何找到在不同周期中都能赚钱且足够不相关的资产——这就像一种有趣的智力练习。

But, like, the puzzle of, like, putting it all together and how you find assets that make money across cycles but are sufficiently uncorrelated, etcetera, It's like an interesting intellectual exercise.

对。

Right.

而且还有一个完整的行业，建立在实现超越市场表现的承诺之上，没错。

And you also have this entire industry that's built on the promise of outperformance Yeah.

大多数情况下，这种想要超越市场的冲动，我觉得真的很难抗拒，这似乎是一种典型的男性冲动。

Mostly, and it feels really difficult to resist, I guess, the mostly masculine urge to outperform.

我喜欢你开头提出的问题，因为这一直是我想过的问题，关于如何评估风险承受能力。

I liked your question in the beginning because it's something I've always thought of, like, about actually assessing risk profile.

因为正如科伦所说，每个人都知道正确的答案。

Because as Cullen put it, everyone knows the right answer.

我会买入并持有。

Oh, I'd buy and hold.

但我一直对任何人能否准确判断自己的风险承受能力持怀疑态度。

But I just I've always been skeptical that anyone is a good judge of their own risk profile.

所以听到他们说，不。

So to hear them talk about, no.

我们不要这样谈论它。

Let's not talk about it like that.

我们来算一算。

Let's math it out.

我们来谈谈资产和负债。

Let's talk about asset liabilities.

我们来谈谈你收入流的可预测性，这种可预测性实际上是一种固定收益资产，我觉得这样思考要靠谱得多，而不是试图想象下一次疫情来临时你会如何表现。

Let's talk about the predictability of your income stream, how that is a de facto fixed income asset strikes me as a much more sort of sound way to think about it than just sort of try to imagine how you're gonna behave the next time a pandemic.

这也回到了我们在开头讨论的内容，对吧？你可以说，如果下跌40%我就抄底，但很可能在下跌40%的时候，经济正处于非常糟糕的状态，你甚至可能失业，根本没多少钱去买入。

Well, it also gets back to what we were talking about in the intro, right, which is you can say, I'm gonna buy the dip if there's a 40% drawdown, but chances are a 40% drawdown is happening in a very bad economy where you might lose your job and not have that much to actually buy stuff with.

不。

No.

比如2020年3月，感觉世界末日就要来了。

Like, March 2020, it felt like the world was ending.

谁会想要买入呢？就像科恩用的那个词——理性，我觉得这恰恰说对了。

Who wants to buy like, the as Cohen used the word rational, which is I think exactly right.

它总是感觉很理性。

Like, it feels rational all the time.

此时此刻，每个人都应该卖出。

Everyone should be selling at this time.

要真正遵守简单的规则非常困难，非常困难。

It's very hard, very hard to actually adhere to, like, simple rules.

是的。

Yeah.

我们就到这里好吗？

Shall we leave it there?

我们就到这里吧。

Let's leave it there.

好的。

Alright.

这又是《All Thoughts》播客的另一期节目。

This has been another episode of the All Thoughts podcast.

我是特蕾西·阿拉韦。

I'm Tracy Allaway.

你可以关注我，Tracy Allaway。

You can follow me at Tracy Allaway.

我是Joe Wiesenthal。

And I'm Joe Wiesenthal.

你可以关注我，the stalwart。

You can follow me at the stalwart.

关注我们的嘉宾Cullen Roche。

Follow our guest, Cullen Roche.

他就在Cullen Roche。

He's at Cullen Roche.

当然，别忘了购买他的新书《你的完美投资组合》。

And, of course, check out his new book, Your Perfect Portfolio.

关注我们的制作人：Kermon Rodriguez（Kermon Armen）、Dashiell Bennett（Dashbot）和Kale Brooks（Kale Brooks）。

Follow our producers, Kermon Rodriguez at Kermon Armen, Dashiell Bennett at Dashbot, and Kale Brooks at Kale Brooks.

如需获取更多Odd Lots内容，请访问bloomberg.com/oddlots，那里有我们的每日简报和所有往期节目。

For more Odd Lots content, go to bloomberg.com/oddlots where we have a daily newsletter and all of our episodes.

你还可以在我们的 Discord 频道 discord.gg/oddlots 中全天候讨论这些话题。

And you can chat about all of these topics twenty four seven in our Discord, discord.gg/oddlots.

如果你喜欢这次对话，喜欢我们谈论如何打造你的理想投资组合，请在你最喜欢的播客平台上给我们留下正面评价。

And if you enjoyed this conversation, if you like it when we talk about building your perfect portfolio, then please leave us a positive review on your favorite podcast platform.

请记住，如果你是彭博的订阅用户，你可以完全无广告地收听我们所有的节目。

And remember, if you are a Bloomberg subscriber, you can listen to all of our episodes absolutely ad free.

你只需要在 Apple 播客中找到彭博频道，并按照那里的说明操作即可。

All you need to do is find the Bloomberg channel on Apple Podcasts and follow the instructions there.

感谢收听。

Thanks for listening.