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欢迎来到MedFavor节目，我们的宗旨是助您增长并守护财富。
Welcome to the MedFavor Show, where the focus is on helping you grow and preserve your wealth.
请随我们一起探讨投资之道，发掘新颖且盈利的创意，助您变得更富有、更睿智。
Join us as we discuss the craft of investing and uncover new and profitable ideas, all to help you grow wealthier and wiser.
优质投资，从此开始。
Better investing starts here.
马特·费伯是Cambria投资管理公司的联合创始人兼首席投资官。
Matt Faber is the cofounder and chief investment officer at Cambria Investment Management.
由于行业监管规定，他不会在本播客中讨论Cambria的任何基金产品。
Due to industry regulations, he will not discuss any of Cambria's funds on this podcast.
播客所有参与者的观点仅代表其个人意见，并不反映Cambria投资管理公司及其关联方的立场。
All opinions expressed by podcast participants are solely their own opinions and do not reflect reflect the opinion of Cambria Investment Management or its affiliates.
更多信息请访问cambriainvestments.com。
For more information, visit cambriainvestments.com.
本期节目由Cambria赞助播出。
Today's show is sponsored by Cambria.
你是否持有收益丰厚的传统投资头寸？
Do you hold legacy investment positions with significant gains?
如果能免缴大额税款转入ETF，你会考虑吗？
What if you could transition into an ETF without facing a large tax bill?
通过351 ETF转换就能实现。
You can, with a three fifty one ETF exchange.
以下是具体操作方法。
Here's how it works.
投资者将股票或其他证券投入新成立的ETF，以换取ETF份额。
Investors contribute stocks or other securities to a newly formed ETF in exchange for ETF shares.
只要符合特殊规则和分散投资要求，投资者基本上能够在无需立即纳税的情况下启动ETF。
As long as the special rules and diversification are met, the investor is essentially able to seed the launch of the ETF without an immediate taxable event.
由于ETF通常不分配任何资本收益，投资者在出售ETF份额前无需缴税，从而能更好地控制纳税时机。
Because ETFs typically don't distribute any capital gains, investors don't face taxes until they sell their ETF shares, allowing for better control over the timing of the tax event.
您准备好探索351 ETF交易了吗？
Are you ready to explore a three fifty one ETF exchange?
请立即访问cambriafunds.com/threefiftyone，与Cambria一起迈出创新税务智慧投资的下一步。
Visit cambriafunds.com forward slash three fifty one to take the next step in innovative, tax savvy investing with Cambria today.
Cambria投资管理有限合伙企业，Cambria是注册投资顾问。
Cambria Investment Management LP, Cambria is a registered investment advisor.
此处提供的信息仅供参考，不构成财务、投资、税务或法律建议。
Information set forth herein is for informational purposes only and does not constitute financial investment tax or legal advice.
过往业绩不预示未来表现。
Past performance does not guarantee future results.
所有投资均存在风险，包括本金损失的风险。
All investments are subject to risks, including the risk of loss of principal.
欢迎大家回来。
Welcome back, everybody.
今天，我们节目再次邀请到我个人最喜爱的嘉宾之一。
Today, we have one of my all time favorite guests back on the show.
与我们连线的是AQR投资组合解决方案集团全球联席主管Antti Omanen。
We're joined by Antti Omanen, global co head of the Portfolio Solutions Group at AQR.
在这一职位上负责资本管理，他领导团队为机构投资者和主权财富基金提供咨询服务。
Capital management in this role, he managed the team responsible for advising institutional investors, sovereign wealth funds.
这意味着大资金运作，各位。
That means big money y'all.
负责开发公司广泛的投资理念。
Develops the firm's broad investing ideas.
他今年发表了一系列新论文。
He has a new series of papers this year.
我几乎想称之为一本书了。
I'd like to call it a book almost.
这些论文几乎都是关于预期回报的。
They're almost expect about expected returns.
我们今天会全部讨论这些内容。
We're gonna cover them all today.
安蒂，欢迎回到节目。
Antti, welcome back to the show.
谢谢。
Thanks.
很高兴回来，Mib。
Great to be back, Mib.
而且，是的，明年它甚至可能会变成一本书。
And and, yeah, it may even convert into a book next year.
正在和CFA协会进行一些讨论。
There's some talk with CFA Institute.
是的。
Yeah.
嗯，我想问你
Well, I wanted to ask you
一个问题。
a question.
你知道，当你加入AQR时，第一周他们会说，听着，事情是这样的。
You know, when you join AQR, is the first week do they say, look, here's the deal.
我们必须确保你参加一个关于脚注的课程，因为AQR的论文总是有最棒的脚注。
We gotta make sure you do a class in footnotes because the AQR papers always have the best footnotes.
实际上我昨晚在推特上分享了一条，那是你在第一篇论文接近结尾处引用的一句话。
And I actually tweeted one last night that there was a quote that you put in near the end of the first paper.
我要给听众们读一下，因为它实在太精彩了。
And I'm gonna read it listeners because it was so good.
你可以告诉我为什么选择引用GK切斯特顿通过彼得·伯恩斯坦说的这段话：‘我们这个世界的真正问题不在于它是一个非理性的世界，甚至也不在于它是一个理性的世界。’
You can tell me why you chose to include this from GK Chesterson via Peter Bernstein says quote, the real trouble with this world of ours is not that it's an unreasonable world, nor even that it is a reasonable one.
‘最常见的麻烦在于它几乎合乎理性，却又差那么一点儿。’
The commonest kind of trouble is that it is nearly reasonable, but not quite.
‘生活并非不合逻辑，但它却是逻辑学家的陷阱。’
Life is not an illogicality, yet it is a trap for logicians.
‘它看起来比实际情况稍微更数学化、更有规律。’
It looks just a little more mathematical and regular than it is.
‘它的精确性显而易见，但其不精确性却隐藏其中。’
Its exactitude is obvious, but its inexactitude is hidden.
它的狂野潜伏其中。
Its wildness lies in wait.
这段话真够长的。
That was a mouthful.
安蒂，你为什么要把那段话放进去？
Antti, why'd you include that one?
是啊。
Yeah.
首先，总的来说关于脚注，我和克里夫一样热爱它们。我觉得这体现了一种诚实——当存在限定条件时，我们觉得不提它们会有些过意不去。
Well, first, you know, overall with footnotes, I love them as much as Cliff and and there's something about, I don't know, the honesty of it that when there are qualifiers we sort of feel bad not mentioning them.
有时候有些额外的故事更适合作为旁注出现。
Then sometimes there are extra stories which sort of work better as detours.
那段话放在脚注里有点有趣，但它确实是个绝妙的想法。
That one was sort of a funny thing to put into a footnote then, but it's it's a beautiful idea.
我想其中蕴含的一个主题是：我们在试图预测市场时必须保持谦逊，这大概是最关键的原因。
And I guess the one theme in it is is the humility that we really must have when we are trying to forecast markets and so so that's that's probably the key reason.
我们会在YouTube视频中插入这幅漫画，听众们，它基本上是一个男人开车的画面。
We'll include this cartoon in the YouTube video listeners, but it's basically it's a picture of a guy driving.
这是一幅黑白漫画，他没有戴墨镜，而是戴着汽车的后视镜。这个漫画的要点是，我们可以从第一篇论文开始，安蒂提出了一个非常根本的问题：人们是如何形成对自己投资回报的预期的？
It's a it's a black and white cartoon and instead of sunglasses, he's wearing the rearview mirror from a car and the the point of this is we can kind of start off with the first paper is Auntie kicks it off on this very like fundamental question, which is how do people come up with expectations of what their investments are going to do?
也许可以为我们分解成两个阵营：基于客观收益率的观点与主观后视镜观点的区别。我很想听听你是如何区分这两者的，然后我们可以讨论哪种方法更好。
And maybe break it down for us into the two camps, the difference between kind of the objective, yield based ideas and the subjective rearview mirror and love to hear kind of how how you distinguish between the two and we can get into who's who's better.
好的。
Sure.
好的。
Sure.
是的，所以部分出发点就是担心这种后视镜思维模式。
And yeah, so in some of the starting point piece is worry about this rear view mirror mindset.
我认为这种思维可能一直存在，但随着注意力持续时间变短、记忆变短，它肯定变得更严重了。
And I think it's been maybe always there, but it certainly has become worse with attention spans getting shorter, memories shorter.
现在我们处于这样一个世界：大多数年轻投资者只经历过全球金融危机后的时代，在这个时代里冒险行为得到了极高的回报，尤其是在美国科技领域等等。
And now we've got this world where most young investors lived only in this post GFC era where risk taking has been superbly rewarded, especially in US and tech and so on.
我认为这是一种误导性的后视镜视角。
I think that's a misleading rear view mirror.
因此我试图强调既要审视更长期的历史数据，也要关注前瞻性指标——后者往往能提供与后视镜视角截然相反的结论。
So I try to highlight both the role of looking at longer histories and then looking at forward looking measures, often can tell the opposite view to rear view mirror.
这算是第一部分内容。
And so that's sort of part one.
而第二部分重点在于引入客观预期与主观预期的对比。
And then the second thing really was that I wanted to bring in this contrast of objective and subjective expectations.
我来具体解释一下。
I'll explain it.
简而言之，主观预期就是直接从投资者调查或分析师调查等渠道获取的第一手观点。
So simply subjective expectations are what really hear from the horse's mouth from investor surveys or analyst surveys and so on.
这类信息源正变得越来越有价值。
And they have become increasingly useful used sources of information.
不过首先说说客观预期回报。
But so first, objective expected returns.
这些基本就是我在文章中讨论的内容，也是人们谈论资本市场假设和大趋势时会涉及的话题。
They are pretty much what I've been talking about in my writing, what people talk when they talk about capital market assumptions, large leads.
这本质上是从理性角度出发，可以合理预期的那类回报。
It's basically the kind of expected returns that are reasonable to have from rational perspective.
它们应当具备预测未来回报的能力。
They should be something that has got the ability to predict future returns.
市场收益率确实往往能做到这点，尽管有时会惨败——过去十五年我们已见证了不少这种情况。
Market yields do tend to do that even if they sometimes fail miserably and we've seen quite a bit of that in the last fifteen years.
但客观预期回报的基本逻辑是：如果初始收益率高（意味着估值低），就预示着长期回报会更高。
But the basic idea with objective expected returns is that if you have got high starting yields, which means low valuations, then that predicts higher long run returns.
而主观预期则可能表现出几乎相反的特性。
And subjective expectations can behave in almost the opposite way.
它们会外推过去的增长衰减或回报表现，正因如此我们称这种主观预期回报为后视镜思维模式。
They extrapolate past decay growth, for example, or returns, and that's why we call it sort of rear view mirror mindset with those subjective expected returns.
因此当估值高企而初始收益率低迷时，这种预期往往会表现得异常乐观。
And so they can be especially bullish when valuations are high and starting years low.
我们在2000年见证过这一幕，2021年又重现，现在可能正在经历。
We saw that in 2000, we saw it in 'twenty one, might be seeing it now.
再次强调，并非所有人都持有这种主观预期。
And again, it's not everybody has got those subjective expectations.
稍后我们会讨论，比如哪些人会持有这种过度乐观的预期，而非相对逆向的思维？
We'll talk about that then, like who would have those extra positive expectations as opposed to somewhat more contrarian mindset?
我们脑海中都装着《长期持有股票》的理念，杰里米·西格尔的这本佳作，还有其他类似观点。
Everyone in our head, you know, we've read Stocks for the Long Run, great book, Jeremy Siegel, others.
大家潜意识里都觉得股票每年能有10%或某个固定比例的收益。
And everyone gets in their head, okay, stocks are going to do 10% a year or whatever the number is.
现实是我们都倾向于从自身经历中推断未来。
And reality is we all kind of extrapolate from our own lived experience.
我们行业的挑战在于这些市场周期——比如当下这个周期里，美股已连续十五年保持年均15%的涨幅。
And the challenge in our world is that these regimes and so we're in one right now where US stocks have done 15% a year for fifteen years.
这相当于我们大多数人的整个职业生涯长度。
That's a career for most of us.
我甚至算不出来十五年后我会多大年纪？
I can't even do the math and fifteen years from now how old am I going to be?
但...但那是很长的时间。
But but it's a long time.
所以跟我们聊聊这张图表吧，我们可以开始讨论基于收益率和回报的估值问题。
And so talk to us a little bit about so this chart, you know, we can start to talk about valuations on the yield based and return based.
不过或许可以先谈谈你是如何凭直觉判断的，以及谁会在这类问题上站队？
But maybe talk to us a little bit about how you put your thumb in the wind and who who picks who picks aside on these?
是的。
Yeah.
嗯，或许我首先要说明，我认为这在某种程度上像罗夏测试，取决于你如何看待长期历史。
Well, maybe first I just say that I think it's a bit of a Rorschach test on how you care about long run history at all.
很多人会说过去十年就是我所了解的全部。
So many people just say that last ten years is all I know about.
但即便我知道更久远的历史，我也认为世界已经改变了。
But even if I know about some longer history, I think world has changed.
因此我们展示的过去三十、五十乃至一百年左右的历史对他们来说毫无意义。
And then nothing we show from the last thirty, fifty, one hundred years or so on matters to them.
我认为这是一种危险但普遍存在于许多人中的心态。
And I think that's a dangerous but common mindset with many.
所以我们在这个系列早期所做的是对比基于收益的估值方法，比如用CAPE比率倒数预测未来回报。
So what we do early in this series is to contrast the yield based estimates, such as inverse on CAPE ratio predicting future returns.
它的相关系数大约是0.5左右。
And it's got 0.5 correlation or something like that.
所以在较长的时间跨度上看起来相当不错。
So it's pretty decent looking at longer horizons.
但它也出现过不少失误，我们稍后会回到这个话题。
But it also sucked quite a bit and we'll return to that.
特别是在过去十年里，它在美国市场的表现很糟糕。
But it sucked in the last decade, especially for US.
但如果你看长期数据，0.5的正相关仍比后视镜效应要好——用过去十年回报预测未来十年回报时，相关系数是负0.3。
But it's still if you look at the long run data, it's better to have 0.5 positive correlation than what we see if you look at the rear view mirror where it's minus 0.3 correlation looking at last decade's returns versus next decade returns.
因此回报率存在中期均值回归现象，如果这种情况持续发生，后视镜效应确实是有害的。
So there is medium term mean reversion there in in returns and rearview mirror is really poison if that keeps happening.
这个假设是，机构倾向于基于某种收益目标导向的理念做出判断，而散户则只看过去的回报表现。
The assumption, and you can talk to us a little bit about this, is that the institutions tend to base their judgments off sort of a yield objective based idea and retail is just on how returns have been.
这是一个准确的总结，还是实际情况要更复杂一些？
Is is that a good summary or is that maybe a little more nuanced than that?
是的。
Yeah.
嗯，确实存在更多细微差别，但你的概括大体上非常准确。
Well, there are some more nuances, but that's that's that's a very good broad brush.
总体而言，投资者群体内部确实存在异质性，但就群体间差异而言，可以说散户存在这种基于后视镜效应的外推偏差。
So investors in general, they are heterogeneous within groups certainly, but between groups, I think we can say what you said that retail has got this extrapolation bias looking at the rearview mirror.
当我们观察机构，特别是他们的资本市场假设时，会发现这些假设基本上是与这种基于收益目标的预期回报同步变动的。
And then when we look at institutions, especially their capital market assumptions, it seems that those capital market assumptions pretty much move along with with this objective yield based expected returns.
话虽如此，我认为也存在机构不完全按此行事的情况。
That said, I think there are cases where where those institutions may not quite act.
他们可能不会遵循自己的资本市场假设。
They may not follow their capital market assumptions.
例如，基于这类估算的任何资本市场假设往往会建议降低对美国市场的预期回报。
For example, any capital market assumption based on these types of estimates would tend to say that you should have lower expected returns on US.
许多机构并未这样做，反而因保持至少与美国市场持平的权重而自我表扬。
Many institutions didn't do that and they pat themselves on the shoulder for staying at least market weight with US.
从后见之明来看，某种程度上这对他们有利，尽管与他们书面表述的内容不一致。
In some way good for them with hindsight, even though it was inconsistent with what they put on paper.
但我认为长期来看，如果他们放弃使用这类基于收益率的估算方法（尽管这些方法本应有用），可能会造成损害。
But I think again, in the long run, think that they probably will do disservice if they, I don't know, bail out from using these types of yield based estimates because they are useful.
只是过去十年在美国股票案例中，这些方法并未显现出效用。
They just didn't turn out to be useful in the case of US equities in the last decade.
挑战在于——这也是为何我们认为研究历史如此重要——你精准指出了美国案例：回溯足够久远，从历史不同节点得出的结论会大不相同，对吧？
The challenge, you know, and this is why it's we think it's so important to be a student of history and you hit the nail on the head with The US is you go back far enough and the conclusion you would derive from various points in history, right?
比如如果你在1600或1700年代投资，你会说唯一值得投资的地方是阿姆斯特丹或伦敦——那时美国甚至还不存在。
If you were invested, I don't know, 1,600, 17 hundreds, you would say the only place to invest is Amsterdam or London, you know, US didn't exist yet.
然后在19世纪，你知道的，就像蓝筹股在英国，你可以一直列举下去，对吧？
And then maybe in the eighteen hundreds, you know, like like the the blue chip is UK or you could do on and on and on, right?
而奥地利与南非、澳大利亚与阿根廷人们的生活经历相比，如果你试图仅从一个国家推断，会得出截然不同的结论。
And the lived experience of people in Austria versus say, South Africa, Australia versus Argentina, you come to very different conclusions, if you try to extrapolate from just one country.
而挣扎在于，我想现在收听节目的多数听众都在美国。
And the struggle for, I mean, I think everyone listening to this right now is most of our listeners are in The US.
你现在人在芬兰。
You're you're in Finland right now today.
所以你有一点全球视角。
So you got a little bit of a global perspective.
但我觉得很多人看着这轮牛市，回顾后视镜时说，是啊，但这是唯一的游戏。
But I feel like a lot of people have looked at this particular bull run and when it comes to the rearview mirror said, yeah, but this is the only game in town.
事情就会是这样。
This is the way it's gonna be.
能跟我们聊聊这是否是一个特别具有挑战性的时间点吗？
Talk to us a little bit about is this particularly a challenging point in time?
我们该如何看待这两种相互矛盾的观点？
How do we think about these two conflicting kind of ideas?
是的。
Yeah.
嗯，你刚才讲了很多内容。
Well, you had you had a lot there.
而且，你知道，再次强调，从整体来看，顺便说一下，股票市场在1800年代时几乎没有或只有很少的股权溢价。
And and, you know, again, when you look at overall, by the way, equity equity markets, and in, like 1800s, was no equity premium or very little.
而事后看来，我们知道20世纪曾经非常辉煌。
And then with hindsight, we know that 1900s used to be great.
2000年以来，股票相对于债券的溢价非常有限。
2,000, there's been very little equity versus bond premium.
但美国再次以某种方式，我们可以挑选这个故事，使得后视镜效应有时确实让投资者损失惨重。
But again, US, somehow, again, we could cherry pick this story so that rear view mirror really has served investors sometime quite poorly.
但这次是一个特殊案例，它运作得很好。
But this has been a special case where it has worked well.
在背景中，存在这样一个整体观点：通过后视镜（我稍后会回到美国的论点），但我想先提出一个更普遍的观点，即我们认为某些外推是有意义的，因为趋势和动量往往有效，但这仅适用于下一年。
And in the background, there is this whole idea that with rear view mirror And I'll come back to The US argument in a moment, but I'll just make a more generic point here, which is that we think that some extrapolation makes sense because trend and momentum tend to work, but that's just for the next year.
如果我们谈论十年时间，长期数据中存在更多均值回归的倾向，类似这样的情况应该成为基准情形。
If we talk of ten years, there's been more mean reversion tendencies in long run data and sort of like that, that should be the base case.
因此当人们过度外推时——也就是过度外推——这意味着他们假设增长（比如盈利增长）或回报的持续性比实际情况更强。
So when people extrapolate more than they should, which is an over extrapolation, that means that they are assuming more persistence in growth or in, let's say so this would be earnings growth or in returns than is realistic.
例如，我们确实发现异常增长可能持续几年，但许多人倾向于认为现在这种增长会持续五到十年。
So for example, we do tend to find that abnormal growth is, I don't know, works for a couple of years, but many people tend to think that now it's there for five or ten years.
现在我们看到亚马逊、苹果、Alphabet等公司确实实现了这种持续增长，于是人们认为这就是正确方向，再次忽视了长期教训。
And now that we have got some cases like Amazon, Apple, Alphabet, where that worked out, then then they think that, yeah, this is the way to go, and and again, ignore longer term lessons.
总之，我认为确实有很好的长期论据可以证明美国具有特殊性，但在过去十年中这一点被过度放大了，因为美国当时处于异常有利的环境中。
Anyway, I would say that there's a really good long run case for arguing that The US has got something exceptional, but that has been taken way too far in this last ten years because we had exceptionally benign environment for US.
如果用数字说明，长期来看美国确实实现了超额增长。
So if I put some numbers here, in the long run, we see that US has outgrown.
每股收益增长率比世界其他地区高出约1%，这确实不错。
So earnings per share growth has been about 1% higher than the rest of the world, and that's that's good.
我认为我们可以探讨美国例外主义存在的原因，这似乎有其合理的依据。
And I think we can go into why why US exceptionalism is there, but that seems to be like some rational there's a rational basis for it.
但如果只看全球金融危机后的数据，这个数字接近3%。
But if you only look at data post GFC, the number is closer to 3%.
而这正是许多人心中所想的。
And that's what many people have in mind.
他们认为这某种程度上将成为我们未来持续的新常态。
And they think that this is sort of the new normal where we'll stay.
我的意思是，听起来3%为什么不行呢？
And that's a very I mean, sounds, why not 3%?
但历史上在很长时期内都未曾出现过这种情况，我认为未来也不太可能。
But has not happened historically over very long periods, and I don't think it is likely.
事实上，人们这种认为美国将获得比以往更大增长优势的思维模式，推高了美国的相对估值。
And the fact that then people have taken this mindset that there's gonna be this much bigger growth edge for US than before has pushed US relative valuations higher.
那么现在，我能否暂时转向讨论相对意义上的CAPE比率？
So now if I can I go for a moment to the CAPE ratios, but in a relative sense?
让我们看看美国CAPE比率相对于其他主要非美市场的情况。
Let's look at US CAPE over, the largest non US markets.
科尔比，你可以调出图表1.3，那里有一张很好的图表显示了美国与非美市场CAPE比率的相对权重。
And Colby, you can pull up chart you can pull up chart 1.3 has got a good chart that just shows The US weight relative to The US versus non US cape The
那条浅蓝色的线显示的就是这个相对估值或估值比率。
bluish light blue line there shows this relative valuation or valuation ratio.
美国与非美市场的CAPE比率。
Cape ratio US, non US.
你可以看到左侧纵轴显示，从90年代中期到金融危机前，这个比率一直徘徊在1左右，表明估值相近，但之后美国开始飙升，去年12月几乎达到了2。
And you can see on the left left axis that it hovered around one sort of similar valuations from mid-90s to GFC, but then US took off and we reached almost two last December.
现在大概还在1.8左右。
And we are still, I don't know, 1.8 ish or something like that.
我们处于非常高的水平。
We at very high levels.
美国的估值几乎是世界其他地区的两倍。
The US has almost doubled the valuations than the rest of the world.
我再次强调，这是因为增长预期主要基于金融危机后那段有限时期的经验。
And again, I argue that that's because the growth expectations are sort of taken with the narrow window of the post GFC experience.
这确实是个值得稍后深入探讨的重要话题。
And really that's a big enough story to come back to later.
但此刻我想说，让我们也回顾一下2000年前后的时期。
But at this point I would say that, hey, let's also look back before that 2000 ish period.
看看1990年。
Let's look at 1990.
当时美国的估值只有世界其他地区的一半。
US valuations were half the rest of the world.
那正是日经泡沫时期，日本股市在全球非美市场中占比很大且估值极高。
And that of course was the time of the Nikkei bubble when Japanese equity markets were very large part of non US and very, very expensive.
事实证明，这个比率对未来回报的预测相当准确，包括成功预测了当时估值是美国两倍的非美市场将表现不佳。
And it turns out that if you look at how well this ratio predicts future returns, it predicted very well things, including basically predicting non US underperformance from those rich levels when the valuations were double The US at that point.
这个指标在金融危机前一直保持着良好的预测记录。
And it was very good track record up to GFC.
自那时起，美国一直保持着双倍估值的路径，我们尚未看到回调。
Since then, US has gone on this path of double valuations and we haven't seen that correction yet.
我说'尚未'是因为我认为一定程度上的回调终将发生。
I do say yet because I do think that some amount of correction will happen.
因此我希望投资者明白，是的，美国可能确实拥有增长优势，但当前我们定价的溢价如此之高——近乎双倍估值，这实际上让美股获得了历史上最大的权重占比（接近70%），而此刻美国相对而言正处于最昂贵的时期。
So I would like investors to think that yes, US probably has got a growth advantage, but now we are pricing such a big growth advantage that with these almost double valuations, we are basically putting US equities, giving US equities the biggest weight historically or close to 70 just at the time when US is, relatively speaking, at its most expensive.
在我看来这很危险。
Sounds dangerous to me.
你们可是最先听到这观点的。
You guys heard it here first.
阿姨们加入了清崎和哈里·登特的阵营，预言大崩盘即将来临。
Aunties joining Kiyosaki and Harry Denton saying a giant crash is coming.
开个玩笑啦。
I'm just kidding.
我并非要曲解你的意思，但你知道...这确实挺有趣的。
I'm not not putting words in your mouth but, you know, it's it's funny.
你还有一张不错的图表。
You got another chart that's good.
这是2.1版本。
This is 2.1.
很多人，你刚才也提到了这点，他们会说'是啊，MEB，阿姨，但美国经济增长确实好得多'。
A lot of people and you've kind of laced this in so far, where people say yeah, meb, auntie, but The US has had much better growth.
这确实是推动当前局面的主要因素，你看这张图表就很清楚：过去四十年的估值重构中，很大部分是美国从极度低估状态攀升到高位，而海外市场则相反。
That's been the driver of what's happened here, you know, and you have this nice chart where you're like, well, look, actually, a big part of this rerating of the past forty years has been The US going from really cheap, you know, to to a much higher level and foreign doing the opposite.
确实如此。
Indeed.
左侧我们分别展示了美国与非美市场的原始回报率和累计增长数据。
So on the left hand side, we just have got this raw data separately for US and non US on returns and growth cumulatively.
但让我们看看右侧的相对表现图表——可以清晰看到后金融危机时代美国基本是单边上涨，但别忘了2000至2009年间美国其实是跑输大市的。
But let's look at the right hand side where where we show overall this relative performance where you can see that, yes, US has outperformed post GFC pretty much one way Street, but it's nice to remember that in 2000 to 2009, US underperformed.
顺便说下，1980年代如此，1970年代亦然。
So it did in 1980s, by the way, so it did in 1970s.
所以我们不要认为美国理所当然总能表现优异。
So let's not think that US has got a given right to outperform always.
但即便你聚焦于后金融危机时代美国持续领先的这段时期，一个有趣的问题是：这种优势是来自估值提升还是相对增长？
But even if you focus on this post GFC era where US has consistently outperformed, it is interesting to ask, did it come from richening or relative growth?
这张图表显示主要驱动力来自估值提升。
And this picture shows that it was more the richening.
两者都有贡献，但估值提升的占比更大。
Both contributed, but there was more coming from the richening.
特别是从今天的视角回望这段长周期，人们记忆最深的确实是估值提升起了主要作用。
And especially from today's perspective, you look this long, I don't know, the thing that people remember, it really has been primarily from that richening.
我认为这种估值提升有其基本面支撑——正如我之前所说，美国拥有增长优势，市场对此进行了乐观的重新定价，但这种优势能否持续到永远，我认为这正是当前的风险所在。
And I do think that the richening has got a fundamental story, which I was talking about, that US has had the growth edge, which has then optimistically repriced to stay with us until kingdom come, and that's that's that's where I think the danger lies now.
图表5.1是这个观点的进一步延伸。
And and chart 5.1 is another extension of this.
我感觉这可能会激怒某些人，比如Bogleheads论坛、Reddit或推特上的用户。
And then I feel like you're gonna get some people riled up over on, I don't know, boggleheads or Reddit or Twitter or something.
各位听众请注意这两张图的标题，如果您是通过播客收听，强烈建议切换到YouTube观看，因为这些图表实在太精彩了。
And the and the title of these two charts listeners, if you're if you're listening to this on podcasts, I definitely would would hop over to YouTube because these are some amazing charts.
我来读一下这两张图的标题。
I'm going to just read the title of these charts.
标题是'股市回报的主要驱动因素'。
It's like major drivers of equity market returns.
第一张图显示'估值变化主导十年期市场回报，盈利增长影响较小'。
And the first one is valuation changes drive decadal market returns, and then earnings growth matter less.
我感觉你这是在捅马蜂窝啊。
You're you're gonna I feel like you're gonna you're gonna stir up a hornet's nest here.
安蒂，给我们讲讲这两张图吧，数据是回溯到2018年对吧？
Antti, tell us about these two charts, and these go back to '18 Yeah.
我们稍微来回切换一下视角。
So we we flip a little back and forth.
看这里。
Look.
早些时候，我们刚刚在比较美国与非美国市场的相对表现。
Earlier, we were just looking at US versus non US relative performance.
现在有些论文会回溯历史，从历史回报及其驱动因素的角度审视标普500指数，分别考察各类估值比率以及这些前瞻性指标。
Now in some papers, really just go back and look at look at S and P 500 from the perspective of historical returns and its drivers, separately looking at the escape type of valuation ratios, and then these forward looking metrics.
所以我手头有三篇论文专门研究美国市场的独立表现。
So I've got like a triplet of papers really purely looking at US standalone.
这是标普500指数以十年滚动周期为基础的表现。
This is now this is S and P performance on a ten year rolling basis.
我们可以看到十年实际回报与十年估值变化之间存在0.9的高度相关性。
And we can see that there is a nice 0.9 correlation between ten year real returns and ten year valuation changes.
显然，当我们观察市场波动时，这是同期最关键的影响因素。
Clearly, that's the contemporaneously key driver when we look what's moving the market.
顺便说，这也是全球金融危机后发生的情况——这类周期调整市盈率指标预测效果很差，因为市场从平均水平一路攀升至历史高位，当前CAPE比率已达40。
Again, that's what has, by the way, happened now after GFC when these types of CAPE ratios have been very poor predictors because we got this richening from pretty average levels of the market to almost all time highs, now CAPE ratio being 40.
这种估值提升确实显著推动了回报率增长，无论是我们这里观察的绝对收益还是相对于其他市场的相对收益。
And that type of richening does boost returns nicely, both in an absolute sense that we look at here and in the relative sense versus other markets.
然后在下面这个面板中，我们再次将十年回报与盈利增长进行比较，这些相关性与我们刚才看到的估值变化相比微乎其微。
And then in the lower panel, we just look at, again, compare ten year returns to earnings growth, and those correlations are tiny compared to what we just saw, with the valuation changes.
你知道，还有一个6.4%。
You know, there's a there's another one, six point four.
而且说到估值，整个问题的关键，Antti，就是你得告诉我们十年后估值会在什么水平。
And, you know, the talking about valuation, the whole key to this, Antti, is we you just gotta tell us where the valuation's gonna be in ten years.
你懂的，这才是关键所在，对吧？
You know, like that's that's the key, right?
就像我们
Like we
我们明白估值是一个巨大的驱动因素。
like we understand valuation is a massive driver.
它要么是巨大的阻力，要么是强劲的顺风，每年可能造成5%、6%、7%的差异，但关键是要知道它的走向。
It's either a huge headwind, huge tailwind can be five, six, seven percentage points per year difference, but you just got to know where it's gonna go.
有没有什么实用的经验法则或思考方法，能帮助我们判断十年后的估值水平？
Is there any useful kind of rules of thumb or how to think about, you know, where where where it might be in ten years from now?
是的。
Yeah.
嗯，这么说吧，如果你看历史数据，你应该稍微倾向于均值回归，就像Rafi和GMO所做的那样，而且百年数据也显示存在这种趋势。
Well, let's let's say so if you look at historical data, you should you should bet a little bit towards mean reversion, you know, like Rafi and GMO do, and and shows up in hundred years of data that there is some of that.
然而，如果发生结构性变化，这种假设就会显得很愚蠢。
However, if there's a structural change, you'll be looking pretty silly there.
因此我们基本上选择不加入这种均值回归的估值调整，但我认为从系统化角度来看，确实没有人会这么做。多数观察者可能会预期估值会从当前水平下降，而不是认为美国的CAPE比率会从40升至50或60。
And so we've chosen basically not to add this mean reverting valuation, but I don't think anybody has really certainly from a systematic perspective, I think most observers would assume somehow lower valuations from here rather than thinking that CAPE ratio in The US would go from 40 to 50 or 60.
重申一下，如果你真的相信AI能带来那些听起来离谱的增长数字，那么我们可能会看到前所未有的估值水平。
Again, maybe if you really assume some those to me nutty sounding numbers on what kind of growth levels AI could generate, then we could get some really unprecedented valuations.
但在我看来，当我们处于历史高点时，确实不应该预期更多。
But to me, again, when we are at all time highs, we shouldn't really assume more.
不过就这张图表而言，关键点在于：当你观察超过百年的完整历史数据时，确实能看到高估值往往预示着较低回报的模式。
But just on this picture, and the story here is that when you look at the full history of more than a hundred years, you do see a pattern that high valuations tend to predict lower returns.
但这种关系相当不稳定，就像R平方26%所示，意味着大约0.5的相关性。
But it's a pretty noisy relationship and they're like, okay, R squared 26%, which means roughly 0.5 correlation.
那么如果你只从1980年代开始计算，这里的R平方值高达85%，相关性非常紧密。
Then if you only start in nineteen eighties, this 85% R squared, very tight relation there.
而从1980年代末开始计算的美妙之处在于，你排除了80、90年代CAPE比率发生的结构性变化。
And that the beauty of starting in late nineteen eighties is that you omit the structural change that happened to Cape in eighties, nineties.
所以这个...这有点像是...我也不确定。
So there is this this is sort of the I don't know.
现在作为一个诚实的、持中立态度的经济学家，我要说明虽然这是个很好的指标，但如果发生结构性变化，确实存在真正的风险。
This is the honest sort of two handed economist here now telling telling that while this is a good indicator, there's there's a real danger if there's a structural change.
在80、90年代的某个时期，CAPE比率从平均15左右上升到了平均25以上，这也是本世纪我们一直所处的水平。
And what happened somewhere in eighties, nineties was that CAPE ratio went from average 15 ish to average 25 plus and where we have been in this century.
所以如果你事先知道会出现这种估值提升，你就不会等待CAPE比率均值回归到15了。
And so if you knew it in advance that there would be that type of richening, then you wouldn't have either waited for mean reversion for cave to come back to 15.
但如果你是一个实时观察这些情况的投资者，你可能在过去三十多年里对美国股市持有了不必要的悲观态度。
But if you were acting real time a as an investor who was observing these things, you would have been unnecessarily bearish for US equities through much of last thirty plus years.
因此我们选择保持谦逊，在做预测时不假设均值回归，因为我们可能会遇到这些结构性变化。
And so we've just chosen to be humble in the sense of not assuming mean reversion when we are making our forecast because because we can get those structural changes.
我们认为，当初始估值较高时（意味着起始年份较低），即使不考虑均值回归，你也已经能从预期回报中感受到谨慎的信号——这意味着你应该预期比历史表现更低的回报。
And, we think that you get already the cautious message on expected returns when starting valuations are high, which means starting years are low, then even without mean reversion, you should be expecting less than what has happened.
这只能通过未来十年额外的快速盈利增长或估值提升来抵消。
That can only be offset by extra fast earnings growth or richening over the next decade.
而我们在后金融危机时代确实见证了这些现象。
And we did get those things now in the post GFC era.
人们似乎将此解读为一种信号——哦，这种情况会永远持续下去。
People are sort of taking that as a message that, Oh, that will continue forever.
我认为这是个非常糟糕的后视镜教训，人们可能正在吸收这种错误认知。
And that's, I think, a very bad rearview mirror lesson that that people may be taking.
人们总爱说：'是啊Meb，估值的挑战在于——尽管我们是量化分析师，在这个高频交易的世界里，当你谈论十年周期的估值时，我们其实没有太多历史数据。'
People love to say, yeah, Meb, auntie, the challenge with valuation is even though we're quants in a, you know, in this high frequency world, when you're talking about valuations in a ten year period, like we actually don't have that much history.
好消息是你可以加入外国市场数据，但它们有些重叠。
The good news is you can add in foreign markets, but they kind of overlap a little bit.
欧洲Tannis Trust的Norbert Keimling有个很棒的图表我们会发布在网上，他像Meb那样做了散点图但加入了部分外国数据，整体趋势基本一致。
Norbert Keimling from Tannis Trust over in Europe has a nice chart we'll post online where he he kind of does the scatterplot that auntie does but with some foreign countries and you see the same general trend overall.
我认为很多投资者的困惑在于，他们虽然大致理解了问题诊断，但执行起来却很挣扎，对吗？
And I think a lot of the confusion comes in the struggle for many investors is they kind of get the diagnosis, right?
他们会说‘我明白你的意思’。
They say ontmeb, I hear what you're saying.
我知道美国股票的市盈率高达40倍，确实很贵。
I know US stocks are expensive at a 40 time PE.
但问题在于‘解决方案是什么？’
But then it's like the what is the prescription?
比如，我该怎么做？
Like, what do I do about it?
而我认为错误的做法是——很多人会想‘哦，我得清空所有股票’，对吧？
And I think the wrong thing to do about it, that so many people want to think like, Oh, I got to sell all my stocks, right?
或者用非此即彼的思维——我必须离场，这些股票要崩盘了。
Like, or I got to think in binary terms, I got to get out, I got to, these things gonna crash.
其实有很多方式可以更理性地思考这个问题。
And there's a lot of ways that I think, you know, kind of mindset think about this.
首先，可能不要指望永远能有15%的回报率直冲云霄。
The first one being probably just don't expect 15% returns forever to the moon.
就是说，把你的预期调整得，你知道，稍微更温和一些。
Like, that's like, get your expectations kinda, you know, a little more a little more mellow.
我当时是九十年代芝加哥的一名年轻学生，职业生涯初期经历了相当乐观的九十年代。
I was a young student then in Chicago in nineteen nineties, and then basically early in my career through the decade of pretty bullish nineteen nineties.
那时我就已经了解到资本比率实际上并不存在。
And I already learned that cap ratio didn't exist really.
它存在于任何地方。
It was in whatever.
大约在1996年左右发表的研究中。
Published in research in 1996 or so.
但在此之前，股息收益率通常是使用的市场时机信号，而它们当时处于历史最低点。
But before that, dividend yields were typically the market timing signals that were used and they were at all time lows.
从估值角度来看，你确实不想进入这个市场。
It just seemed that, okay, from valuation perspective, you really don't want to be in this market.
九十年代时，我基本上用自己那点钱，整整十年都没碰股市。
And I basically, with my little money in nineteen nineties, I stayed out of the market through the decade.
顺便说一句，我很庆幸自己在2008年做了几笔大投资，至少在那次逆向操作时机上我做对了一部分。
And by the way, I'm I'm pretty glad that my my big investments I made 2,008, so at at least I I did some parts of the contrarian timing right then.
我想指出的是，2008、2009年的CAPE比率是十几倍。
I like to point out, by the way, 2008, 2009, CAPE ratio was low teens.
人们总说，嘿，你知道的，这个比率可能永远不会回归均值。
People are always saying, hey, you know, it may not ever revert.
它总是居高不下。
It's it's always high.
我就说，伙计们，就在不久前，它其实还挺便宜的。
I'm like, you guys, not that long ago, it was, it was pretty pretty cheap.
好吧。
Alright.
继续说吧。
Keep going.
那真是转瞬即逝的时刻。
That's such a fleeting moment.
是啊。
Yeah.
但我在所罗门兄弟公司的同事兼朋友雷·伊万诺夫斯基后来问我，他记得我当时看跌市场的态度。
But so my office mate at Salomon Brothers and a friend Ray Ivanovsky asked me asked me later, auntie, he he remembers my bearishness there.
难道不是因为你更相信基于价值的市场时机模型，而非股票溢价吗？
And isn't it really that you believed more in your value based market timing models than in the equity premium?
这让我思考，因为我知道任何市场时机模型都有局限性。
And that sort of made me because I do know that any market timing model has got limitations.
当你仅依赖单一信号时，应该保持谦逊。
When you just use one signal in it, you should be quite humble.
而像我那样更倾向于完全持有现金或债券，比如在九十年代那些年，现在看来，或许是我错误评估了股票溢价与时机模型之间的相对权重。
And then somehow trusting more, staying fully in cash as I did, like, in or bonds, let's say, in those decades in those years, in nineteen nineties, that was really, I don't know, misreading or misthinking the relative weight that I should give to equity premium versus some timing model.
正如你所说，我们某种程度上是在尝试同时讲述两个故事。
So in the spirit that you are saying, we are somehow treading the or trying trying to tell two stories here.
我们试图说明这些事物中确有可取之处，不要轻易抛弃它们，尤其是如果抛弃意味着你只会更加依赖过去十年左右的后视镜视角，因为长远来看这并非明智之举。
We are trying to tell that there is something useful in these things, that don't throw them away, especially if throwing them away means that you are just going to do even more of this rear view mirror of last decade or so on because that just has not been a great idea in the long run.
但我们也别认为这能成为非常可靠的市场择时信号或国家配置信号之类。
But let's not also think that this is somehow a very robust market timing signal or country allocation signal or so.
它确实有用，但也有其局限性。
It is useful, but but it has got these limitations.
所以我们某种程度上在两者间寻求平衡：既要考虑其用途，又不要采取激进行动。
So we are we're somehow balancing between this this saying, do do think of it of its use, but don't don't act aggressively.
或许总的来说，不要做太多调整。
Maybe maybe in general, don't do much.
即便真要有所动作，也只在极端情况下进行。
And and if you do much ever, do it only at very extreme levels.
就像克里夫说的必须达到第125百分位——这显然是个玩笑，因为不可能超过100。
Like Cliff says that you have to be at hundred and twenty fifth percentile, which is a joke because you can't go over 100.
但你必须达到某种前所未有的水平，对任何价值信号都是如此。
But you have to go to some unprecedented levels or any kind of value signal.
顺便说一下，我书里某处记着一两句话：对于任何价值信号，当你考虑行动时，为什么不干脆闭上眼睛等六个月，或者说先按兵不动六个月再行动呢？
And I have got somewhere in my books, by the way, I have this little sentence or two saying that with any value signal, when you're thinking of acting, well, why don't you just close your eyes for six months or basically don't act for six months and act then?
因为几乎总是富者愈富，廉者愈廉，等待对你更有利。
Because almost always the rich things keep getting richer or cheap things getting cheaper and you are better off waiting.
这对生活中几乎所有事情都是好建议。
That's good advice for almost everything in life.
几年前我们做了个不同的实验，发布在一篇博客上，当时大家都在说股票可以更贵因为债券收益为零，我们梳理了几种不同观点，其中一个是逆向思考：历史上最佳和最差股票回报期的初始条件分别是什么？
We did a different experiment a handful of years ago and this was in a post that we did on a blog called everyone was saying stocks are allowed to be pricier because bond yields were zero and we kind of walked through some different ideas but one of which we said, let's reverse engineer, what were the starting conditions for the best returning stock periods in the worst?
就是说，开始和结束时的情况是怎样的？
So like, what did things look like at the beginning and the end?
于是我们回溯了大约一百年数据，寻找实际年化回报达15%的十年期表现。
And so that, know, you this going back a hundred years or so and so looking for ten years of real returns where they did 15% per year.
这些都是经通胀调整后的数据，而最差时期实际回报勉强为负1%左右。
So kind of these are real and then the worst were negative, barely like minus 1% real.
但那些辉煌时期的初始CAPE比率大约在11倍。
But the starting cape ratio for the great periods was around 11.
而股票回报最差时期的初始周期市盈率为22。
And the starting period cape ratio for the worst stock return periods was 22.
你可能已经猜到结局了——到了十年末，这个数字发生了逆转，从11升至22，又从22降至11。
And you kind of probably know where this is going by the end of the decade, they had reversed it went from 11 to 22 and then 22 to 11.
但这种差异每年会导致回报率朝任一方向波动七个百分点。
But that difference caused seven percentage points of return per year in either direction.
这意味着影响非常巨大，但也很有趣。
So meaning it was a massive difference, but also interesting.
这又回到了你之前提到的关于追踪回报的观点。
And this goes back to your earlier point about trailing returns.
表现良好时期之前的追踪回报不佳，而表现糟糕时期之前的追踪回报却很好。
The trailing returns before the good periods were bad, and the trailing returns before the bad periods were good.
你看，这其实都是同样的道理。
And, you know, and so you can kind it's kind of all the same thing.
对吧？
Right?
这可能是最简单的理解方式：平均而言，好时光会紧随坏时光而来，反之亦然。
It's like the simplest way to come after this is just probably to be like, well, good times follow the bad on average, but not and vice versa.
是啊。
Yeah.
没错。
Yeah.
你刚才讲的是统计数据，我来补充个轶事——我们总是滞后于叙事前线，统计讲得太多，而让人记住的往往是具体案例，比如全球金融危机后美股的表现。
And you told you just told sort of the statistics, and I'll just I'll just add the anecdote, like, we are always behind the or in the storytelling front, like, we we tell too much statistics and too few the one story or the one thing that people do remember is the post GFC performance of US equities.
任何前瞻性指标，比如市盈率倒数，当时都预示着实际回报率可能在3%左右。
And any sort of forward looking measure, like you take inverse of cap ratio, so that was telling something like you should expect 3% real.
但实际却达到了12%、13%甚至15%。
And then there was 1213%, or 15%, whatever.
我记得实际数据大概是12%到13%。
I think real, maybe 12%, 13%.
好的。
Okay.
那么为什么会发生这种情况呢？
So why did that happen?
你在例子中提到了7%。
And you said 7% in your example.
事实证明，美国股市每年因此受益约7%，这还算不错。
Turns out that it is pretty much It was 7% per year that US equities benefited from this returning okay.
而这只有事后才能确切知晓。
And that is something that we really only know with hindsight.
然后我们就被这种后见之明困住，觉得这不太妙。
Then we sort of get stuck with that hindsight, then we think that it's not nice.
虽然我对纳西姆·塔勒布有些不同看法，但他在《随机漫步的傻瓜》中关于后见之明的观点很精彩。
Sometime I got my problems with Nasim Taleb, but he had some great things in fooled by randomness and this idea how we go with hindsight.
当某事发生后，我们就会开始觉得'啊，我们本该预见到的'。
Something has happened, then we start to think that, Oh, yeah, we should have seen it.
好吧，其实我们确实预见到了。
Well, actually we saw it.
是啊。
Yeah.
没错。
Yeah.
我们确实早就知道了。
We really did know it.
而不知道的人都是傻瓜。
And anybody who didn't is a fool.
这类事情会让你误以为世界比实际更可预测，从而得出各种错误的教训。
And so that type of thing makes you think that the world is more predictable than it is and you draw all kinds of wrong lessons.
是的，这就是后视镜效应的危险所在。
And, yeah, that's that's the danger with the rearview mirror.
我们都注意饮食健康，但我们在知识摄取方面是否同样谨慎呢？
We all try to watch what we eat, but do we also watch what we consume intellectually?
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The IdeaFarm helps you maintain a healthy content diet by distilling the week's most valuable investing insights into one concise newsletter.
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能谈谈你们如何看待市场情绪吗？特别是在高峰和低谷时，情绪往往呈现明显的反向特征，但问题在于中间阶段——市场总可能继续冲高或探底，你们如何把握这种难以捉摸的情绪？
Talk to me a little bit about how you guys think about sentiment and you know, particularly at the peaks and bottoms, sentiment is often you know, pretty clear in the inverse but the problem is often, you know, in the interim, it can always go higher, always go lower, and you never know what how do you guys think about sentiment?
因为你们的研究包含了许多精彩的市场调查分析，涉及投资者信心和大众对市场的普遍认知。
Because you include a lot of really cool studies and analysis of surveys and confidence and how people tend to think about markets in general.
你怎么看？
What do you think?
我不确定你是否能看到第一张图表。
I don't know if you'd have the very first picture there.
我认为参考股票分析师的增长预期是个不错的方法。
I think it's it's just good to think of the equity analysts' growth expectations.
绿线显示的是资本比率的倒数作为预期回报率——客观预期回报率在2020或2021年估值高位时非常低，意味着预期收益不佳。
Green line shows basically inverse of cap ratio as expected return, objective expected return, very low when valuations are high in 2020 or 2021, you have a low expected returns.
但恰恰在那些时候，市场情绪高涨。
But just at those times, so sentiment was high.
我们可以从多方面观察到这一点，但尤其能从股票分析师的增长预测中看出。
We can see it in many ways, but especially we can see in equity analyst growth forecasts.
在那些情况下，他们当时极度乐观。
They were super bullish then in those situations.
而且最近一年左右，他们再次表现出乐观态度。
And again, they've been bullish in the last year or so.
因此我认为高估值的因果关系，最自然的解释就是这种强烈的市场情绪，包括分析师在某些时期异常高涨的增长乐观预期。
And so I think the causality of high valuations probably goes most naturally by thinking of this strong sentiment, including basically analyst growth optimist being exceptionally high in certain times.
这种情绪将估值推至极端水平。
And that pushes valuations to extreme levels.
随后要实现这些增长预测变得非常困难，估值不得不逐渐回归正常。
And then it's just very hard to meet those growth forecasts and the valuations have to sort of normalize.
这就是我们在那些极端时期所见证的情况。
That's what we've seen in those extreme times.
但我在这幅图中很喜欢主观预期与客观预期之间的这种对比。
But so I sort of love in this picture this contrast between what subjective and objective expectations can be.
那时可能还有其他一些情绪指标，在那些看涨环境中往往达到最高点。
And there could be some other sentiment metrics which tend to be highest in those in those bullish environments then.
反之亦然，当然，在2008年2月、2009年这样的时期情绪非常低落，你可以在中间看到全球金融危机那段时期。
And vice versa, of course, very low sentiment in times like 02/2008, 2009, which you see there in the middle, the GFC episode.
你还提到有时机构是否在情绪判断上基本正确？
And you also mentioned that sometimes the institutions, do they kind of get it right on their sentiment?
他们只是情绪不佳吗？还是说该如何整体看待这些机构？
Are they just grumpy or like what's the how to think about the institutions in general?
是的。
Yeah.
重申一下，至少在纸面上他们的行为更接近绿线所示。
Again, they act more like the green line on paper at least.
再说一次，这其中存在异质性等等。
And again, heterogeneity there and so on.
但也有批评认为，机构有时可能具有顺周期性。
But there are also criticism that institutions may be may be pro cyclically sometime.
再说，有时这种做法确实能带来回报。
And again, sometimes it pays off.
过去十年里，任何坚持美国市场权重配置的人都从中获益了。
It has paid off for anybody who's stuck with The US market weights in the last decade.
但总体而言，机构喜欢在镜子里看到的自己是市场稳定者、逆向操作的耐心投资者，而非追逐过往回报的人。
But generally, institutions like to look at themselves in the mirror and see in the mirror market stabilizing contrarian patient investor rather than somebody who is chasing past returns.
对他们来说，那种行为似乎有些难堪。
That sort of seems embarrassing to them.
不过他们也会稍微那么做，只是比散户程度轻些。
Yet they do a little bit of that as well, but less than retail.
基本上，分析师预测——我常总结说——他们过度外推，就像我们这里看到的，在经历了90年代或2010年代这样的牛市十年后，他们会变得格外乐观。
Basically, analyst forecasts, they like, I just summarize them often that they are over extrapolative, which is what we see here, that they are basically after a bullish decade like 1990s or 2010s, they are extra bullish.
顺便说一句，他们预测下个十年增长的相关性为负0.5。
And by the way, they predict with a negative 0.5 correlation next decade growth.
因此，当你试图预测未来走势时，这些预测实际上并不具备很好的参考价值。
So they really are not a good prediction, good something useful to sort of follow when you are trying to think what's what's going to happen ahead.
除了我们看到的过度外推现象外，还存在过度乐观的问题。
But apart from that over extrapolation that we see, there's also the over optimism.
你可以看到这些实际上都是真实的预测数据。
You can see basically these are real estimates.
它们总是高于，或者说维持在820%左右的区间。
They are always here above or let's say between 820%.
以名义价值计算，基本上总是保持两位数增长。
And in nominal terms, are always basically in double digits.
而现实中，长期来看EPS的算术平均名义增长率约为7%左右。
And in reality, you don't get the average number is something like 7%, 7% arithmetic nominal growth for EPS in the long run.
所以总是高于这个数值，某种程度上说明了这种过度乐观。
So always being above that is somehow telling of this over optimism.
当你深入分析时会发现很有趣，他们确实热衷于这些三到五年的EPS增长预测。
And it's sort of lovely when you when you drill into it, you find that, yeah, they really like with these these are like three to five year forecasts on on EPS growth.
如果你观察更短的时间范围，这种过度乐观几乎总是存在。
If you if you look at shorter horizons, you still get this over optimism pretty much always there.
只有当你非常接近财报发布日期时，这种乐观情绪才会消退，而到了财报发布日，实际上会出现轻微的悲观情绪，因为公司管理层需要可超越的预期。
Only when you get really close to the earnings announcement date, this optimism decays and by the time there's an earnings announcement date, there's actually a small pessimism because company managements need beatable estimates.
这些分析师为了讨好CFO和CIO以获得接触机会，会给出长期过度乐观的盈利增长预测，然后在接近财报发布时逐步下调预期至略微悲观，以便公司能带来惊喜。
So these analysts who have got incentive to be in the good books of CFOs and CIOs so that they get access to them and so on, they want to make those guys happy by giving them overoptimistic earnings growth forecasts over longer horizons and then walking down the sort of the earnings guidance path to somewhat pessimistic side by the time of the announcement so that so that companies can surprise.
这某种程度上说明游戏规则是被操纵的。
So it's somehow telling that in some way the game is rigged.
盈利预测中确实包含信息，但由于分析师的利益驱动，发生了太多奇怪的事情。
There is information in these earnings forecasts, but there's so much funny things happening because of analyst incentives.
我认为过度乐观是更奇怪的现象，但过度推断是人类更普遍的倾向，我们就是会这样做。
I do think that the overoptimism is the weirder thing, but the over extrapolation is a broader human thing that we just we just do tend to do it.
这大概源于草原时代的生存本能。
It's sort of whatever coming from the savannah times.
我们就是控制不住自己啊，老兄。
Can't help ourselves, man.
是的。
Yeah.
就是这样。
That's it.
我有个小疑问，债券投资者的思维方式有所不同，你在文中提到这点，是否因为他们只是戴着眼镜盯着债券图表，更擅长会计和数学，但他们的整个世界观确实不同。
There's a slight curiosity to me, which is the bond investors think a little different in which you talk about in here is this because they're just, know, sitting there in the, you know, with their spectacles and you know, bond charts, and you know, they're much better at accounting and math, but they tend to the whole worldview is different.
你稍微提到了这一点。
You talk a little bit about this.
也许给我们讲讲那里的情况。
Maybe tell us what the what the story is there.
实际上，在整个系列中——这是对许多有趣研究的总结，包括我们自己的和一些其他人的——我认为这里讲述的这个故事是我呈现的最具原创性的新内容。
Actually, in the whole series, which is sort of a summary of lots of interesting research, some of our own and some some others, I think this story I have here is the most original new thing that I present here.
简而言之就是：我们在此表明许多股票投资者和分析师过于乐观，而在债券投资者身上我们看到了截然不同的、更偏向逆向投资的模式。
And it is basically in one line or it's We've shown here that many equity investors and analysts are extra positive and we see something very different, more a contrarian pattern in bond investors.
我先说说这个发现是怎么来的，因为对于2010年左右关注市场的人来说，最初的证据应该很熟悉。
And I'll just tell first how it came about because this is also the first finding evidences should be familiar for people who were around in 2010 looking at markets.
有许多图表显示，无论是市场远期利率还是经济学家对利率的预期，都呈现出一个有趣的现象：在2000年至2020年（实际上是2021年）这二十年收益率持续下降的时期，市场始终预期利率会上升。
There are many pictures, and I'm sure I got something there, which show that either market forwards or economist expectations on interest rates have this funny pattern that when yields were falling for twenty years between 2000 and 2020, 'twenty one actually, there was just this always expectation of rising rates.
因此我们当时——不知该说可悲还是可笑——总是嘲笑那些坚持做出'利率正常化'错误预测的经济学家和市场。
So we were, I don't know, sadly laughing at economists or markets that were always persistently making this wrong forecast of normalization.
这某种程度上证明了均值回归的存在。
And so that's sort of some evidence of mean reversion there.
但最新学术研究表明，当世界出现近几十年的这种模式——先是六十年代至八十年代收益率攀升至两位数，随后回落至历史新低甚至许多情况下出现实际或名义负利率时——
But there is actually this new academic research which says that, no, when the world gives you the kind of pattern that we got in recent decades, that first yields were rising through sixties to eighties to double digit levels, and then coming back and going to all time new lows and even to negative real or nominal levels in many cases.
这类持续性的结构性变化在实时情况下是无法预测的。
Those types of persistent structural changes, they are impossible to forecast real time.
在这种情况下假设均值回归和正常化是理性的选择。
It is a rational thing to assume mean reversion normalization when that happens.
如果这些意外情况持续单向发展，你就会显得愚蠢而被动。
And if those surprises just keep coming one way, then you will look foolish, exposed.
这正是2022年前发生的情况，当然，之后市场就恢复正常了。
And that's what happened until '22, of course, when things normalize.
实际上我在3.1版本中做了这样的处理，你可以看到如果只关注十年期收益率的例子，顶部图表的情况，底部票据图表也类似。
And what I've done actually then in 3.1 where you can see If you just focus on the example on ten year yields, the top picture, the lower picture on bills is similar.
我在系列的其他部分展示了收益率曲线的行为，而非市场的共识预测。
And I show somewhere else in the series, I show yield curve behavior rather than consensus forecast of market.
基本上顶部那条线就是十年期收益率的历史走势。
So basically the one line there is ten year yield history at the top.
然后这些细线基本上就是间隔一年出售的未来几年共识预测。
And then there are these hairs which are basically consensus forecasts for the next few years, one year apart, sold.
你可以看到大多数时候曲线都是向上倾斜的，市场预期收益率会上升，尽管收益率一直在下降。
And you can see that most of the time they were upward sloping, markets were expecting rising yields even though yields just kept falling.
但我特意用红色标出了经济学家预期利率会下降的时期。
But then I've deliberately marked in red whenever the economists were expecting falling rates.
有趣的是，这些周期性货币政策循环预测相当聪明。
And then it's interesting to see that those cyclical sort of monetary policy cycle forecasts were pretty smart.
它们总是在我们处于暂时高点时预测利率会下降，在我们处于暂时低点时预测利率会上升。
They were always predicting falling rates when we were at temporary highs and they were predicting pricing rates when we were at temporary lows.
因此从周期性角度来看，这些预测其实并不差。
So from a cyclical perspective, those forecasts were not at all bad.
他们预测了均值回归，而这一趋势确实发生了。
They were predicting mean reversion, which tended to happen.
然而，在2022年之前存在一个长期持续下行的趋势，这是他们未能预测到的。
However, there was this long run persistent trend lower until '22, which they didn't predict.
我认为可能没有人能预见到这一点。
I would say nobody probably could predict it.
那确实是个真正的意外。
It was a true surprise then.
这再次说明那些预测者并非那么糟糕。
And so again, that's telling that those forecasters were not so bad.
同时也表明他们具有逆向思维。
And it also tells that they were contrarian minded.
这又引出了一个问题：为什么债券投资者、债券经济学家（利率经济学家）倾向于均值回归思维，而股票投资者、股票分析师却总是外推思维，沉溺于后视镜效应？
And again, that leads us to this question, why do we see bond investors and bond economists, rates economists as mean reverting oriented and economy sorry, equity investors, equity analysts, extrapolators, rear view mirror oriented.
我曾尝试通过研究百年数据或类似资料来解答这个问题。
And one way I tried to answer that was looking at, is that what we see with hundred years of data or something like that?
但我们并没有这样的数据。
But we don't.
如果非要说的话，我们看到的反而是相反的情况。
If anything, we see opposite.
在债券方面存在持续模式，而在股票方面，观察五到十年的走势时呈现均值回归模式。
That in the bond side, there is some continuation pattern and in equities, is mean reversion pattern when you look at five to ten year moves.
所以我有个更简单的解释：我们债券从业者——我是个老债券人——习惯通过收益率思考，而收益率天然具有前瞻性。
So that doesn't I have a much simpler story, which is that we bond people, I'm an old bond guy, so we tend to think through yields and yields are naturally forward looking.
我们讨论收益率，报价时也参考它，这让我们带有某种逆向思维的特质。
We talk yields, we quote, and that gives us sort of the contrarian flavor.
当经历十年牛市且收益率处于历史低位时，我们不会兴奋，而股票投资者则几乎相反，因为他们关注价格并谈论过往回报等等。
We don't get excited if there's been a ten year bull market and yields are at all time lows, whereas equity investors do pretty much the opposite because they quote prices and talk about past returns and so on.
当市场有过辉煌历史时，他们就会兴奋起来。
They get excited when we have had some really good history there.
这种以远期收益率或历史表现为基准的不同市场表述方式，甚至影响了预期形成的思维方式。
And this different way of quoting things, talking about markets in terms of forward looking years or backward looking performance has influenced even the mindset of expectations formation.
所以我觉得这算是个挺有意思的观点。
So that's that's sort of, I think, a cool story.
这从根本上展现了市场叙事如何运作的绝佳案例——债券投资者以收益率为考量标准（需要明确的是，债券收益率至少在名义上能很好地预示未来回报）
This is such a fundamentally fascinating example of how narratives play out in markets where just because bond investors think in terms of yield and yield to be clear in bonds is a pretty good indicator of what you're going to get at least on a nominal basis.
但我在想，如果股票投资者也以收益率形式呈现数据，他们的行为会有多大不同呢？
But I wonder how much different the behavior of stock investors would be if they were presented, you know, in terms of yield, right?
比如——好吧，你想知道你的盈利收益率吗？这样你的行为会完全不同吧？
There's like, alright, you want hear your earnings yield, you know, would you behave totally different?
我觉得人们确实会改变，对吧？
And I imagine people would, right?
但他们不以收益率为考量标准。
But they don't think in terms of yield.
他们考虑的是道指3万点这类指标，这完全是另一种思维方式。
They think in terms of Dow 30,000 points or whatever it is, and it's a totally different mindset.
是的。
Yeah.
我特别强调这一点，但这个故事还有一个微妙不同的版本，也就是说，债券市场某种程度上是锚定得很好的。
I emphasize this one, but there is there's a subtly different version of the story, which is to say, again, bonds are some of the very well anchored.
就像你说的，收益率能很好地预测未来走势。
Like you said, the yields are pretty good predictors of what's going to happen.
而股票市场在某种程度上可以说'天空才是极限'，增长故事总能更美好，重新定价的空间也可以无限大。
Whereas with equities, in some way, can say sky is the limit, that the growth story can always be better and the repricing thing can be however big again.
因此人们在股市中更容易兴奋，相比更枯燥或理性的债券数学，股票数学提供了某种合理性。
So people can get more excitable in equities and there's some justification from the equity math compared to the more boring or rational bond math.
所以再次强调，我认为这两个故事某种程度上解释了为什么我们会看到这些截然不同的行为
So again, both of these stories I think somehow explain then why we see these contrasting behaviors by
几年前我在社交媒体上说过，让我觉得最有趣的是情绪面的什么？
I was talking on socials a couple years ago where I said, you know what's fascinating to me on the sentiment side?
我说，你看很多债券投资者，特别是投资长期债券的，可能经历了50%的总回报回撤，但你从没听过哪个债券投资者为此抓狂抱怨。
And I said, look, a lot of bond investors, particularly if you're invested in long bond, like you probably had a 50% drawdown and on a total return basis, but I was like, you don't hear a single bond investor pulling out their hair talking about it going crazy.
你知道，很多债券指数，包括综合指数之类的，都下跌了20%。
You know, and a lot of the bond indices, even like the ag and everything else was down 20.
这还是名义上的。
And this is nominal.
所以实际跌幅更糟。
So real is even worse.
很多三十年期的债券现在仍然跌了不少。
And many of them thirty years still down quite a bit.
但我就想，要是股票跌个30%到50%，人们早就疯掉了，对吧？
But I was like, if stocks were down 30 to 50 people will be losing their minds, right?
我就觉得，这现象很有意思。
Like, but but I was like, why is this curiosity?
有人回复我说，债券到期能拿回本金。
And people respond to me that, well, I get my money back with bonds.
我当时就觉得，这个回答特别耐人寻味。
And I was like, that is such a curious response.
就像，我在想，你知道，这完全是一种不同的思维方式来看待这一切是如何运作的。
Like, I'm like, you know, what a it's such a different mindset on how this all works.
是的。
Yeah.
顺便说一句，有人让我问问其他资产类别的情况。
By the way, people have asked me to ask me about other asset classes.
我认为尤其是房地产领域有相当可靠的数据，我想到你有时会讨论的农田，这让我很感兴趣。
And I think certainly with real estate where there is decent data, and I was thinking of your farmland that I know you sometimes discuss and has got me.
基本上，这些类型的实物资产，也主要是根据它们过去的表现来报价，并通过这个视角来讨论。
Basically, those types of real assets, they are also primarily quoted on their past performance and discussed through that lens.
如果有严肃的研究，比如房地产市场就有一些很好的数据，它确实显示出投资者这种外推行为。
If there are serious studies, and again, housing markets, there is some good data, it certainly shows this type of extrapolative behavior by investors.
他们主要关注的不是估值。
Don't primarily focus on valuations.
他们主要关注的是，嘿，它最近火不火？
They primarily focus on, hey, has it been hot?
我们预期情况会持续如此。
We expect more of the same.
所以我认为这在某种程度上支持了我这里的观点。
And so I think that's somehow supportive of my story here.
稍微转换一下话题，当我们现在讨论投资组合时谈到债券，你知道，在这个系列中你提到，至少在我脑海里想着当我们讲到第十个要点时，你会开始讨论，我们可以先看看第五号图表作为开头。
Switch gears a little bit when we're talking about portfolios now that we talk about bonds, you know, and you kinda, in this series, talking about, at least in my mind, thinking when we get to the final number 10, you know, you start talking about let and we can start maybe with exhibit, I like exhibit five to start with.
你看，即使在风险调整后的基础上，60/40组合，尽管债券表现如何，如果你闭上眼睛不告诉别人这是什么策略，你会惊叹它的夏普比率竟然达到1。
You're like, look, even on a risk adjusted basis, sixtyforty, despite how bonds have been like, if you close your eyes, you don't tell anyone what the strategy is, you're like, wow, this has got a sharp ratio of one.
这简直像是某个顶尖对冲基金的策略。
This is like gotta be some killer hedge fund strategy.
我愿意为此支付2%的管理费和20%的业绩提成。
I'll pay two and twenty for this.
你会说，不，开个玩笑。
You're like, no, just kidding.
这就是60/40组合。
This is this is sixtyforty.
好吗？
Alright?
但跟我们说说，好吧，我们都知道股票很贵。
But talk to us about like, alright, you know, we all know stocks are expensive.
分散投资在大多数情况下并没有增值作用，但当你每年收益15%时，又有什么好在意的呢？
Diversifiers for the most part hadn't been additive, but hey, what is when you're doing 15% a year?
真的。
Really.
这还没有展示分散投资的效果，它展示的是基准。
Like, this is not yet showing the diversifiers, it's showing the benchmark.
所以基准大致是美国的60/40组合。
So the benchmark is sort of US sixty forty.
当60/40组合表现良好时，比如2010年那样，夏普比率达到1.3、1.4，几乎接近1，远高于长期平均的0.4。
When 6040 does well like it did through 2010, you know, the Sharpe ratio was 1.3, 1.4, almost, you know, almost full point, so, over the long run average of 0.4.
每当这种情况发生时，任何形式的分散投资——包括大宗商品、非美国市场、对冲基金或各种多空策略——都会被纳入考虑。
And whenever such things happen, any kind of diversifiers and and, you know, the menu includes includes commodities or or non US markets or hedge funds or various long short strategies.
因此，在当时的情况下，所有这些看起来都像是拖累。
So all of these seemed like a drag then in that situation.
然后，提醒人们回顾某些时期（比如2009年）的情况是有帮助的，那时多元化投资工具在进入更艰难阶段前曾一度受到认可。
And then it's it's somehow helpful to remind people that, you know, there were pictures of periods in time such as 2009 and so on when diversifiers were gracefully acknowledged just before they ended up, starting their their more more difficult period.
所以我认为这种后视镜视角在这个问题上再次显得危险。
So so I think that is that rear view mirror perspective is is again dangerous in this front.
我们可能会讨论流动性资产与非流动性资产，因为还有更多故事要讲。
And we may we may get to liquids versus illiquids because there are further stories to be told.
但我想从中得出的一个观点是：单独引入多元化投资工具时尤其困难——我们从经验中知道，人们会过分关注单项表现，而忽略了多元化带来的整体收益。
But I think one thing I want to take out from this one is that diversifiers have been especially difficult when you bring them in standalone, we know this from experience, that people then look at them too much at line items and they don't think about the benefits they get from diversification perspective.
从这个角度看，最近提出的一些将股票敞口与阿尔法多元化敞口相结合的理念特别有价值。
So in that sense, some some ideas that have brought been brought out recently, basically combining equity exposure with the with the diversify your alpha exposure are particularly valuable.
我指的是可转移阿尔法收益叠加等方法，这样就不会重蹈2010年代的覆辙——当时仅仅因为股票市场贝塔收益门槛太高，人们就纷纷放弃了各种多元化工具。
So I'm talking about portable alpha return stacking or so on, where where you don't get into this situation like in twenty tens where people just bailed out of various diversifiers because they were maybe doing okay, but the bar was so high from the equity market beta.
因此我认为，通过不怎么占用现金的股票衍生品获取股票贝塔收益，同时用这些现金配置多元化工具，可能是更有现实意义的有效引入多元化策略的方式。
So I think the idea of putting together the equity beta through some equity derivatives, which don't require much cash, using that cash to some diversifier, that is that's that's probably a more realistic way of bringing in diversifiers in a meaningful way.
你知道，它现在正在卷土重来。
I'm you know, it's it's it's making a comeback now.
我认为在这方面还有更多潜力可挖，但这可能是未来将多元化投资引入投资组合的更常见方式。
I think there's there's much more potentially to bow on that front, but that might be the more common way of bringing in diversifiers the portfolios in the future.
就像我喜欢说的，把西兰花藏在你的意大利面里。
As I like to call it, hiding broccoli in your, you know, pasta dish.
我有个八岁的孩子。
I got an eight year old.
所以就像，你怎么偷偷把这些蔬菜加进去？
So it's like, how do you how do you sneak in these vegetables?
对我来说这些蔬菜就是多元化投资。
And the vegetables to me are the diversifiers.
我们可以快速切换到10.4频道一会儿，之后我们再切换到10.3。
And we can pop over to ten four for just a second and then we'll pop over to ten three after this.
但听众们，选择远不止这些，不是只有美国股票或债券，或者什么都不选。
But there's a there's a whole menu, you know, listeners, it's not just US stocks or nothing or bonds or nothing.
在美国市场，股票规模各异，小盘股长期表现不佳。
You got different sizes in The US and small cap has been a stinker for a long time.
还有非美新兴市场——今年两者都上涨了30%却无人问津，此外还有高收益债券、大宗商品、对冲基金以及我最看好的趋势投资。
Got non US emerging markets, which nobody wants both those up 30% this year, you got high yield bonds and commodities and hedge funds and my favorite trend.
接着我们切换到趋势投资部分。
Then we hop over to the trend one.
要知道，我觉得这些投资品种就像一份扎实的蔬菜拼盘，我们可以用大量蛋白质谷物掩盖它们——虽然效果未必理想，但某些情况下或许可行。
You know, like all of these things I think are are a solid veggie platter that we can we can hide with a bunch of these protein cereals, not very good, but some of them, you know, maybe.
是的。
Yeah.
我想稍微对比下流动性与非流动性另类投资。
I don't know whether you'll I'd like to contrast a little the liquid versus illiquid alternatives.
这类投资有几个特点：流动性资产是真正的分散投资工具，而非流动性资产往往蕴含大量股票贝塔风险——尽管有时是隐性存在的。
Like, there are same several aspects of that that, like so, basically, liquids, they are true diversifiers, whereas illiquids often have got lots of equity beta, whether it's sort of hidden.
至少这种缓慢的贝塔风险确实存在。
At least the slow beta is there.
当你观察标普500指数和私募股权指数三年滚动回报时，会发现它们走势非常接近，这一点非常明显。
It's very clear when you look at like three year rolling returns of S and P and private equity indices, very closely moving.
因此，真正的分散化确实带来好处，但也存在一些与之相悖的因素。
So that true diversifier is a real benefit, but there are some things that sort of go against it.
其一是这些策略往往缺乏吸引人的故事性，比如相比趋势跟踪等策略，它们的叙事不够精彩——尤其是涉及多因子策略时，你必须具备相当的统计学素养才能说服投资者。
One is that they are, I think often these things are short on stories or like they're not as good stories that we tell on some strategies, including trend following, but many of these, especially when you talk of multi factor, it's really you have to be pretty statistically oriented to be able to convince investors about it.
而且这些故事听起来很复杂。
And they sound complex stories.
此外，人们认为这类流动性策略是黑箱操作，但我认为私募领域的不透明性才是更严重的问题。
Also, people think that this liquid strategy is that they are the black box, whereas I think it is an intransparency in privates which a bigger deal.
当然还有一点对比：流动性另类投资采用诚实的市价估值，而许多私募产品不具备这点——这里存在一个耐人寻味的视角。
And then there is, of course, the contrast that with liquid alts you have got this honest mark to market and you don't have that in many privates and that is, and there is an interesting angle there.
我确实认为平滑特性有助于保持投资者耐心。
I do think that the smoothing feature, it helps patients.
所以我认为私募产品确实具有优势，能让投资者表现得更加理性，这是很有价值的。
So I do think that there is an advantage that the privates give for investors to basically to behave better And that is valuable.
但我确实认为，这种价值某种程度上被投资者大量涌入这些资产所抵消，以至于我们可能会因为平滑特性和耐心优势而集体抵消掉非流动性溢价。
But I do think that that value is sort of offset by the fact that then investors have been piling onto those assets so much that collectively we'll probably bid away the illiquidity premium because of the smoothening feature and the patient's advantage.
我认为这方面有很多可以对比的地方，特别是在多元化方面，当我想到那些私募的多元化时，我几乎会感到愤怒。
There's a lot of, I think, things to contrast this, but especially when it comes to diversification, I do get almost angry when I think of the diversification with those privates.
你知道，我们知道存在平滑处理，但此外，在许多情况下，机构报告（或许不得不报告）私募数据时，基本上会滞后一个季度，因为他们当时没有公开市场数据。
You know, we know that there is smoothing, but in addition, in many cases, institutions have they report and maybe have to report the privates, basically one quarter lagged because they don't have the data at the time when they have a public market data.
所以你看到的不是同一季度的数据。
So you are not looking at same quarter.
因此，由于平滑处理，同一季度私募股权的股票相关性被人为压低，而与之前季度私募股权的相关性当然更低，然后还将其称为多元化——有些人称之为会计多元化，事实就是如此。
So certainly the equity correlation with same quarter private equities is artificially low because of smoothing, but the correlation with previous quarters private equity is of course even lower and what kind of silliness that is then to to talk about that as it's it's well, some people call it accounting diversification and that's what it is.
我能想象克里夫会生气。
I could see Cliff getting angry.
阿姨，我无法想象你会生气。
Auntie, I can't see you getting angry.
你人太好了，不会那样的。
You're too nice of a guy to do that.
但我理解你的意思。
But I hear you.
你知道，我看到这些事情。
You know, I see these things.
我们会看到人们在推特和其他地方指出这些问题，他们说，嘿，这是我的策略。
We'll see them people call them out on Twitter and elsewhere where they say, hey, here's my strategy.
它的波动率是4，你知道吗，有趣的是现在有些公开交易的ETF试图复制私募股权的表现。
It's got a four vol, you know, and and the funny thing is that that you now have publicly tradable ETFs that are trying to be private equity replicators.
其中一些，不仅波动率不是4，甚至不是10或15，而是30。
And you know, some of these, it's not just not a four vol or it's not even a 10 or 15 vol, it's like a 30 vol.
所以这甚至不像股票，反而更糟。
So it's like, not even is it not stock like, it's even worse on the flip side.
但我觉得我们只需要一个大幅的熊市，让资本支出回到20，来清除所有这些荒谬的东西，到那时我想没人会再抱怨波动率了，但谁知道呢？
But, you know, I feel like we just needed a nice fat bear market where cape goes back to 20 to clean out all the nonsense and, you know, then then I don't think anybody will complain about the vol anymore at that point when you're down, but who knows?
我不知道。
I don't know.
因此刻意关注这种波动性洗白或平滑处理方面。
So deliberately focuses on that volatility laundering or the smoothing aspect.
我也曾从预期回报角度撰文，对私募股权持谨慎态度，尤其在2022、2023年杠杆成本上升时更加谨慎——从逻辑上说，当实际无风险贴现率从十年期通胀保值债券的-1%升至+2%时，这类长期实物资产本应贬值，但许多私募估值却纹丝不动。
I've also written about the expected return angles, have been cautious on private equity and they got especially cautious when the cost of leverage rose in 'twenty two, 'twenty three and there was basically, logically, these kind of long term real assets should get cheaper when the real riskless discount rate goes from like ten year tip shield went from minus one to plus two and those valuations of many privates didn't move.
随后我们逐渐看到业绩缓慢下滑，因为当市场价格显得不太现实时，交易活动就会减少。
And then we've been sort of getting the slow drip for performance because there's not much activity happening when the prices seem to be a bit unrealistic out there.
所以我有时会略带刻薄地总结私募股权，尤其是他们当前的处境：虽然历史业绩对投资者很美好，但未来前景黯淡，而过去几年我们正活在这个黯淡未来里。
So I've been sometimes a little meanly summarizing the private equity, especially their situation like this, that the history really has been great for investors, but future looks bleaker, and we've been living that future for the last couple of years.
而且我认为这还没结束，但...你懂的？
And I don't think it's over yet, but but that's a that's a you know?
每当听到人们在推特等平台讨论时，我总忍不住挠头困惑。
I always scratch my head when I hear people start to talk about on Twitter and elsewhere.
他们会说'但美联储在降息啊'。
They're like, but the Fed's cutting rates.
所有风险资产都要一飞冲天了。
All the risk assets are gonna go to the moon.
我当时就想，你们还记得美联储前三次降息吗？就是那种大幅降息，好几个百分点的那种。
And I was like, do you guys remember the last three times the Fed cut rates, know, big, like in big time mean multiple percentage points.
我就觉得股票啊、风险资产啊，在那几次表现并不好。
I'm like stocks, risk assets didn't do great in those.
我心想，你们在说什么呢？
I was like, what are you guys talking about?
其中有两次跌了50%。
Two of those times they went down 50.
还有一次跌了20%。
And one of them they went down 20.
我觉得这个假设很危险，不能因为美联储降息就认为情况会变好。
I'm like, that's a dangerous assumption to make that just because the Fed's going down that, you know, things are gonna look good.
我也不知道。
I don't know.
是啊。
Yeah.
我认为从长远来看，让一些年轻投资者现在经历一些有意义的熊市也是有益的，因为‘爬得越高摔得越重’的情况在未来十年可能会比现在更常见。
I think it would be also healthy for the long run wealth of some young investors now to see some meaningful bear markets because because less a bit of that to the taller they are, the harder they fall type of story that could be out there than in the next decade.
我不知道具体什么时候会发生。
I don't know when.
对于正在收听的听众们来说，他们希望能把这些信息整合起来。
So for people listening to this, Auntie, they, you know, they wanna put it all together.
他们该如何看待2020年代剩余的时间？
You know, how do they think about, you know, the rest of the twenty twenties?
我们已经走过了这个十年的一半。
We got halfway through the decade.
你对当前我们所处的位置有什么看法？
What's your thoughts on kinda where we stand today?
我确实认为，从后视镜中看到的主要信息是，整体市场尤其是美国和科技股的后视镜景象看起来过于温和了。
I I do think that the sort of the the main messages in some way from the rearview mirror is that that the rearview mirror looks much too benign for overall market, especially for US and maybe tech.
但科技股，你知道的，AI的故事——当然，如果我错了，那原因就是AI。
But tech you know, the AI stories, of course, if I'm wrong on this, then it's because of AI.
关于流动性与非流动性另类投资，我认为当前环境确实更有利于真正的多元化投资。
And then on liquid versus illiquid alternatives, do think that it's it's this is basically the environment now, I think, is is better for the for the true diversifiers.
即便是股票溢价，从美国股票与债券的起始年份来看，这个溢价空间相当微薄。
Even, you know, equity premium, looking at stocks versus bonds from starting years in US, it is it is quite thin.
虽不为零，但确实很微薄。
It is not zero, but it is it is thin.
因此我会对风险资产持谨慎态度，尤其是非流动性资产。
So I'd be, yeah, I'd be cautious on risky assets more so probably on illiquids.
但我也深知自己足够谦逊，明白所有这些预测都可能出错。
But I also know I'm I'm humble enough to know that any of these forecasts can be wrong.
我们都记得格林斯潘在96年12月提出'非理性繁荣'后，市场又继续上涨了三年多的故事。
Of us know the story of Greenspan irrational exuberance in December '6 and then markets rallying another three plus years.
所以在时机上保持谨慎，但当前我确实倾向于采取审慎态度。
And so sort of cautious on the time, but but I'm definitely leaning towards caution here with with all of this.
我们刚刚听到美联储主席表示股票有点贵，这可能是格林斯潘时代以来的首次，看来历史正在重演。
Well, we we just had a Fed chair just say stocks are a little expensive for the first time, I think, since Greenspan, so we might be getting some echoes.
也许我们还有三年时间。
Maybe we got three more years.
我会看看。
I will see.
那将会很疯狂。
It would be crazy to see.
轮到你了，既然你已经完成了这件事，听众们会链接到你那10篇论文。
Onto you, now that you're if you put this to bed, there's you you got your 10 papers and listeners will link to all 10 of them.
也许未来会集结成书。
Maybe it comes a book at some point.
你接下来有什么计划？
What's on the horizon for you now?
既然你已经完成了这件事？
Now that you've put this to bed?
今年剩下的时间你打算思考什么？
What are you going to be thinking about the rest of the year?
你是打算休一年假去滑雪，还是手头有其他事情要忙？
You just taking the year off going skiing or you got some other things on your plate?
是的，我认为我喜欢从宏观角度思考，这可能某种程度上是个年龄问题，但我也觉得市场往往会让人过度沉浸其中。
Yeah, I think I do like zooming out, so this is sort of maybe an age question, but also I just think markets sort of pull you in too much.
我尝试思考这些大局问题。
I try to think of these big picture questions.
这是我曾写过的话题，我认为我会再次探讨与趋势相关的内容。
Something that I've written about and I think I will be coming back related to trend.
对任何投资者来说，我认为关于其投资组合和风险管理的一个好问题是：当前真正可能对我们造成重大伤害的最大风险情景是什么？
It's this for any investor, I think a good question about their portfolio and risk management is, what's the biggest risk scenario out there that could really hurt us?
然后是否存在可以缓解这种情况的措施？
And then is there something that could mitigate that?
对于这个非常容易向任何类型的董事会等传达的自然问题，答案几乎总是某种股票熊市。
And to that natural question, which is very easy to communicate to any kind of board and so on, almost always the answer is some kind of equity bear market.
而且通常也是这种持续性的熊市，我们已经很久没有真正见过了。
And typically it's also this kind of persistent bear market, which we haven't really seen for a long time.
但如果这种情况发生，我们确实知道有些方法能起到帮助作用。
But if that happens, we do know something that's gonna help.
在这种情况下，趋势跟踪策略就是其中之一。
It is trend like strategies in that situation.
从机制和历史角度来看，它的效果是确凿存在的。
Just mechanically and historically, it's there.
因此我认为，在当前形势下需要反复强调这个观点。
So I think I think that story is something that needs to be repeated in this situation.
不过与此同时，我...你知道的？
And yet, at the same time, I'm you know?
关于趋势跟踪，我认为很多人忽略了一个很好的特点——你刚才准确指出了在我看来最重要的功能：在市场动荡糟糕时为你的左侧风险提供保护。
And the nice thing about trend that I think a lot of people gloss over, you just nailed the I think to me, the most important feature which is covering your butt on the left side, you know, tail when things are kind of going crazy and terrible.
但趋势跟踪对传统投资组合还有个额外优势，就是能提供他们通常无法获得的右侧尾部收益机会。
But you know, there's the additional feature a trend, I think to a traditional portfolio is the potential right tail exposure to things they probably will not have an exposure to normally.
比如标准的美国投资组合60/40（股票债券配置），全部押注于美股和美债。
So the standard US portfolio sixtyforty all in on US stocks and bonds.
然后你会遇到像今年这样的情况，黄金涨到4000，白银50，咖啡更是涨得没边。
And then you'll have things like this year where golds at 4,000 silver's, you know, 50 on and on coffee, who knows.
这样你就能接触到平时可能不会接触到的资产。
So you'll get exposure to things that you may not have a normal exposure to.
这主要发生在通胀型的经济环境中。
And that's mostly in an inflationary kind of type of environment.
但对很多人来说，在其他时期也可能带来额外收益。
But for a lot of people, it can be additive in other times too.
总之。
Anyway.
是啊。
Yeah.
我觉得你说的有一定道理，趋势和动量策略在某种意义上显然与价值逆向策略相反，当出现结构性变化时你会吃亏。
And I I do think a bit related to what you're saying is that the trend and momentum strategies, they are they are obviously opposite in some sense to the value contrarian strategies where you are you'll suffer if there's some structural change out there.
但既然世界确实存在这些结构性变化，保持这些趋势动量偏好也是有益的。
But so given that the world has got some of these structural changes, it is it is good to have also then those trend momentum biases.
它们会引导你进入科技七巨头和美国超配资产，远离你可能喜欢的某些领域。
They take you, you know, into the Mag-7s and into The US overweights and away from some of the things that you might like.
所以我认为，再次强调，平衡这两方面是有益的。
So I think, again, balancing both of those things is helpful.
但话说回来，如果要我选择一个风险缓释策略——当然还有其他选择——趋势型策略和趋势宏观依然是我的首选。
But again, I think if I have to pick one sort of risk mitigating story there and there are others, but but I think trend trend type strategies, trend macro are are my favorite still out there.
同上。
Ditto.
你我都是如此。我还开了个玩笑，因为克里夫昨天留着胡子上了电视，而我多年前发过一条动态说：我有个理论，每个基金经理的巅峰期都和他们的胡子周期同步。
You and you and I both, I and I made a joke because Cliff was on TV yesterday with a mustache and I have an old post from many years ago where I say I have a theory that every portfolio manager has their best years and their mustache fade.
所以我提到趋势指标时——标题是'趋势'——当时我正回顾比尔·格罗斯和PIMCO时代，我说这趋势啊，其实是个很好的反向信号。
So I said trend indicated that the headline was trend as I was going back to Bill Gross and Pimco days and I said, the trend trend, this is a good contrary signal.
这个趋势将会表现非常出色。
The trend is is gonna do great.
安迪，和往常一样受益匪浅，很荣幸能与你共度这一小时。你芬兰的夜晚即将开始，放你去追逐北极光吧，去寒冷的雪地里漫步。
Andy, this has been a blessing as always, having you getting to spend an hour with you and your your Finland evening about to release you into the northern lights, you know, get to go, wander around the cold snow.
洛杉矶这里依然温暖如夏。
It's still it's still warm and and hot here in Los Angeles.
非常感谢你今天加入我们。
Thank you so much for joining us today.
谢谢。
Thanks.
非常愉快。
It was great.
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感谢收听，朋友们，祝投资顺利。
Thanks for listening, friends, and good investing.
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