SI375：围墙倒塌后的行动召唤（与Rob Carver对话）

我认为这是个完美的后续回答。

I I think that's a perfect, follow-up, answer.

谢谢你的解答。

Thanks for that.

好的。

Alright.

我们接下来回答弗雷德里克的问题。

We move on to a question from Fredrik.

他写道：你好。

He writes, hello.

感谢你们的节目。

Thanks for the show.

我从中学到了很多。

I've learned a lot from it.

我想请教罗布对日内交易与日终交易在中长期趋势系统中的看法或统计数据，更快的入场和更严格的风险控制是否真能带来更好的结果？

My question for Rob is if he has any thoughts or statistics around intraday versus end of day trading for a medium to long term trend system, would the faster entries and tighter risk control actually lead to better results?

说实话，我对这个问题有点困惑，因为在我看来这两句话似乎没有关联。

I'm a bit confused by this question, to be honest, because the the two sentences to me don't seem related to each other.

假设你在交易中长期趋势。

So so let's say you're trading medium to long term trends.

明白吗？

Okay?

你可以用不同方式执行这个系统的交易。

So you can trade those to that system in different ways.

一种交易方式是——很多人会用日终数据进行回测，如果你交易节奏足够慢（就像第一个问题讨论的那样），这完全没问题。

So one way you could trade it is basically so a lot of people back tested their stuff on end of day data, which is completely fine if you're trading slowly enough as we discussed in the first question.

所以你可以尝试在实际交易时尽量接近日终时段操作。

So one thing you could do is is basically then when you're trading, actually try and trade as close to the end of day as possible.

这样你的实盘交易就更接近回测环境。

So you're sort of matching your backtest.

但这可能并非最理想的方式。

Now that that might not be ideal.

这其实很有趣，因为我做过咨询，很多人都有这种执念：'哦，我必须在收盘时交易，因为我的回测数据来自那里'。

And it's funny actually because I've done consulting and a lot of people have got this this sort of fixation with, oh, I must trade at the end of the day because that's where my back test data's from.

我就对他们说，不妨试试我前面提到的这个实验。

And I said to them, well, just just try this experiment which I already mentioned.

只需在你的回测中将成交延迟一天。

Just delay your fills by a day in your back test.

会有任何区别吗？

Does it make any difference?

还是毫无区别？

Does it not make any difference?

好吧。

Okay.

那就没问题了。

Well, then you're fine.

或者只要采用类似我的做法——本质上就是以前一交易日收盘价为基础，在次日某个时点进行交易。

Or you you know, you as long as you do something like what I do, which is essentially the pre you know, take the previous day's closing prices and then at some point during the following day, do your trading.

你会知道你的表现会介于两种情形之间：一种是假设你能在前一日收盘时精准操作（实际上不可能），另一种是我回测所用的次日收盘价。

You'll know you're gonna achieve performance somewhere between if you'd managed to do it exactly at the close of the previous day, which you can't, and, you know, and the the the following day's close, which is what I back test.

你的表现会落在这两者之间。

You're gonna be somewhere between those two.

如果这两种情况足够接近，那么显然在日常操作中，价格剧烈波动时可能会有些差异，但长期来看不会有问题。

And if those two things are close enough, then obviously on a day to day basis, you might see some differences if prices have been crazy but on average, you'll be fine.

嗯。

Mhmm.

所以我的建议是——另一个优势在于，如果收盘时流动性差、行情混乱或出现异常拍卖机制等情况，你可以选择在当天其他流动性更好的时段进行交易。

So I would suggest and the other advantage of that of course is if the if the close is not liquid or is crazy or there's some weird auction process or whatever, you can you can focus your trading at other parts of day that are more liquid.

当然，如果你是做机构级别的大额交易，最忌讳的就是每天集中一次性完成所有交易。

And of course, if you're trading institutional size money, the last thing you wanna do is do one massive trade every day.

你应该将交易分散在全天进行，尽可能降低市场冲击。

You wanna spread your trades throughout the day and try and reduce your market impact as much as possible.

所以，如果你做的是中长线趋势交易，基本上每天只需操作一次，那么分散交易时间完全没有问题。

So so if you're trading medium to long term trends where basically you could you wanna trade roughly once a day, then spreading that out is is no is no bad thing.

如果你有像我这样的系统，它能动态监测持仓的最佳状态与实际状况，我实际上可以全天候运行这个系统。

The other thing you can do if you have a system like mine, which essentially dynamically looks at its positions sort of optimal versus what it actually has, I could actually run that thing throughout the day.

嗯。

Mhmm.

这样做不会增加我的总交易量。嗯。

And that would not increase the total amount of trading I did Mhmm.

但这又会形成一种平滑过程，让我能更快应对日内的大幅价格波动——这可能是好事也可能是坏事。

But it would again result in a sort of smoothing process and it would allow me to react faster to very large intraday price movements, which may or may not be a good thing.

因为很明显，如果价格反弹，这实际上会导致你亏损。

Because obviously, if prices bounce back, then that's that's actually gonna lose you money.

老实说，这就是我对这个让我相当困惑的问题的解答，除非他指的是更快速的交易，否则我真不明白'更快入场和更严格风控'具体指什么。

So that that's kind of my answer to what I is quite, for me, a confusing question, to be honest, and I don't really understand what faster entries and tighter risk control actually mean unless he's talking about trading much more quickly.

所以他实际上是在讨论日内趋势交易。

So he's actually talking about sort of intraday trend trading.

这样的话，你知道，我对做日内趋势交易的人有两大主要质疑。

So, you know, in which case, you know, you've got two big I've got two big issues with people who trade trends intraday.

首先是成本问题。

One is obviously costs.

成本会更高

Costs are gonna be higher

嗯。

Mhmm.

因为你交易次数更多，而且更难使用被动限价单进行交易，因为你想要抓住仅持续几小时的趋势。

Because you're doing more trades, but also because it's harder to to do your trades with sort of passive limit orders because you've wanna catch a trend that's only gonna last a couple of hours.

你不想等待执行完成。

You don't wanna sort of wait there for it to be passed with the executes.

你需要立即进场。

You need to jump in straight away.

另一个问题是，如果你实际观察趋势系统的有效性，它们对于短于一个月或几周（取决于资产类别）的持有期往往会开始下降。

And the other issue is if you actually look at the efficacy of trend systems, they they tend to start to decline for holding periods shorter than about a month or a couple of weeks depending on the asset class.

当时间缩短到日内交易时，趋势模式的存在就不那么明显了。

And by the time you get down to to intraday, it's less obvious that there is there are strong trend patterns there.

实际上，当你把时间周期缩短到一小时以下时，往往会开始看到均值回归现象，这显然与趋势交易是相反的。

And actually, you get down to sort of sub one hour, you tend to start to see mean reversion, which obviously is the opposite of trend.

所以我会非常谨慎地看待日内趋势交易，更快的入场和更严格的风险控制——无论具体指什么——在你支付高昂交易成本时都帮不上什么大忙。

So I'd be very careful about looking at intraday trend trading, faster entries and tighter risk control, whatever that means aren't gonna be a lot of help when you're paying those those big trading costs.

我在想，如果你是交易领域的新手，可能从网络平台、推销产品的人等渠道获取信息，我可以理解为什么有人会认为只要做趋势交易，交易速度越快效果越好？

I'm thinking that, you know, if you are newer to the space and you get maybe information from, you know, online platforms, people promoting stuff, etcetera, etcetera, I can I can understand why my people might think that actually, trading faster, as long as it's trend, it works?

我甚至通过邮件和美国一位友善的先生交流过，讨论如何仅针对单一资产类别运用趋势跟踪策略进行交易。

And I even had a conversation on email from a nice guy in The US regarding, you know, trading trend using trend following just on a single asset class.

他们当时是在股票上操作的，我在想，好吧。

They were they're doing it on on equities, and I'm thinking, okay.

如果他们能成功那当然很好，但根据我的经验，趋势跟踪本就不是为快速交易或单一资产类别设计的。

I'm it's great if it works for them, but it's just not my experience that actually trend following is designed to work either on fast speeds or on a single asset class.

真正让它起效的其实是多元化配置、较长持有周期以及所有这些让人感觉有点困难、有点不适的因素。

It's really the diversification and the longer holding period and all that stuff that makes it a little bit difficult, makes it a little bit uncomfortable, that makes it work.

所以我确实理解人们初入这个领域时可能会有不同印象，也许最初是从更商业化的渠道获取信息的，姑且这么说吧。

So so but I I do take that people might have a a different impression coming to the space and and maybe getting a lot of the information initially from, say, more commercial outlets, let's call it that.

总之，我们感谢弗雷德里克的问题。

Anyways, we appreciate the question, Frederic.

好的。

Alright.

来自亚伯拉罕的问题。

Question from Abram.

我正在开始阅读罗伯特·卡弗先生关于系统交易的著作，并发现了他从2015年2月至今在Elite Trading平台上的交易日志。

I'm starting to read mister Robert Carver's book on systematic trading and found his trading journal in Elite Trading spanning from February 2015 until now.

读完前十页后，我跳过了最近的内容，看到卡弗先生邀请读者在你们即将进行的访谈中提问。

After reading the first 10 pages, I skipped the most recent pages and saw Mr Carver inviting readers to ask questions in your upcoming interview.

能否请您帮忙询问卡弗先生，基于十余年的经验，他将如何以不同方式启动自己的自动化系统交易？

Can you please help to ask how Mr Carver will start his automated systematic trading differently given over ten years of experience?

卡弗先生能给刚踏入这个领域的新手系统交易员什么建议？

What kind of advice can mister Carver give to a new systematic trader just starting out in this area?

谢谢，亚伯拉罕致以诚挚问候。

Thank you, and best regards from Abram.

我是说，这挺让人沮丧的，你居然只能坚持读10页——不清楚是指我的交易日志还是我的书——仅仅10页就无聊到直接跳过了。

I mean, it's quite depressing that that you can only manage 10 pages of it's not clear whether it's my my trading journal or my book, only 10 pages before he just grew so bored and just skipped out.

我认为他做得对。

I think he did the right thing.

他直接找到了源头并提出自己的问题。

He went straight to the source and asked his questions.

我觉得他做得很好。

I think he did fine.

好吧，如果这是试图逃避阅读剩余书籍或交易日志的策略，那恐怕你运气不佳，知道吗，你还是得完成阅读。

Well, if if this is a ploy to try and avoid reading the rest rest of the the book or the or the trading journal, a tough luck, you know, you're still gonna have to do that.

所以这是我的第一条建议。

So that's my first piece of advice.

坚持读到结尾。

Read read till the end.

内容都非常有价值。

It's all good stuff.

不过公平地说，交易日志现在已经有数千篇帖子了，所以你知道，这需要花些时间。

Although, to be fair, the the the trading journal is many thousands of posts long now, so, you know, it'll take a while.

但那本书只有几百页。

The book's only a few 100 pages though.

是啊。

Yeah.

这其实是个有趣的问题，因为你知道，过去十年间发生了什么变化？

It's an interesting question actually because you you you know, what has changed over the last ten years?

实际上我们现在处于什么阶段？

It's actually where are we?

距离我开始运营自己的自动化交易平台已有十一年半，而我进入CTA行业工作也快二十年了。

It's about eleven and a half years since I started running my own automated training platform and it's nearly twenty years since I began working in the the CTA industry.

所以你知道，在这段时间里可能有不少事情发生了变化。

So, you know, you for quite a few things probably have changed in that time period.

但我现在确实有点困惑。

But I'm actually struggling.

我是说，Niels，你在这个行业的时间比我还长。

I mean, Niels, you've you've been around even longer than I have.

虽然人们可能猜不到这点，因为你头发还相当浓密，看起来大概比我年轻十岁。

Although people might not guess it because you still have a reasonable amount of hair so you probably look about ten years younger than me.

我的意思是，我不知道你怎么想，但我其实很难想出我的建议与十年前甚至二十年前相比会有什么变化。

I mean, I don't know you think but I'm actually struggling to think how my advice would have changed from ten or even twenty years ago.

我想我可能会说同样的话。

I think I think I'd probably say the same things.

我是说，如果我要重新审视那本我十多年前写的书，我不确定会有很多内容需要修改。

I mean, if if I was to go book and revisit that that book I wrote, yeah, over ten years ago now, I'm not sure I very much and it would I would change.

我可能会加入一些关于加密货币的内容，毕竟这个资产类别算是凭空出现的。

I mean, I'd probably put some stuff in for crypto just for that specific asset class that's kind of come out of nowhere.

我现在正在写的新书里就包含了一些关于加密货币的内容，正是出于这个原因。

And my my new book that I'm writing now has has got some stuff on in crypto on crypto just for that reason.

但除此之外，你知道，我并不觉得有什么根本性的变化，我认为同样的原则仍然适用。

But apart from from that, you know, I don't I'm not really feeling that there's been, know, it it's it's a things things that I think the same principles apply.

我是说，我们讨论过的那些回测方法。

I mean, things we talked about like back testing.

我认为这些都是普遍适用的原则，并不像有什么新的科学发现。

I think those are principles that have have applied, and it's not like they have sort of new scientific discoveries.

我通常给人们的建议是：保持简单（正如我们讨论过的），考虑交易成本，考虑杠杆和最优杠杆比例。

The advice I normally give to people is things like, you know, keep things simple as we've discussed, you know, think about trading costs, think about leverage, optimal leverage.

不要承担过高风险，因为导致系统化交易者失败的三大原因是：交易成本过高、杠杆过大以及交易系统过度拟合。

Don't take too much risk because, you know, the two things that the the three things that kill systematic traders are spending too much on costs, spent, you know, taking too much leverage and overfitting their trading systems.

而这些问题正是我十年前、十二年前就警告过的，同样也是我认为二十年前就存在的问题。

And those are the same three things I was warning about ten, twelve years ago, and those are the same things that I think were were a problem twenty years ago.

所以，是的，我要把这个问题交回给你了，尼尔斯。

So, yeah, I'm gonna hand this one back to you, Niels.

你比我的经验更丰富，你怎么看？

Do you you as you've even more experienced than me, what do you think?

首先，我想说——如果我没记错的话，这应该是你的第一本书《系统化交易策略》。

So so first of all, would say and I think this was your first book, if I'm not mistaken, Systematic Trading Strategies.

我这样说对吗？

Am I correct in saying that?

我想那其实是你第一次上播客，当时我们讨论了那本书。

I think that was actually the first time you were on the podcast was we reviewed that book.

是的。

It was.

对。

Yeah.

那是本很棒的书，每个人都应该读一读。

Which is a great book, and everybody should really read it.

它确实经久不衰，我也同意你的观点，很多东西其实没有改变。

And it is timeless, and I I tend to agree with you that not a lot have changed.

我认为可能改变的是，我不觉得我们识别入场信号的方式会有变化。

Where I think things may have changed is that I don't necessarily feel that the way we try to identify entries would have changed.

当然，我们依然遵循那些延续数十年的趋势跟踪黄金法则。

Of course, we still adhere to the various golden rules of trend following that have lasted for decades.

我认为行业在风险管理方面确实有所进步。

I do think maybe the industry has evolved when it comes to how we manage risk.

具体说每家公司的演变方式很难，但以我们在Don的做法为例，可以说我们采用了更智能的方式，在某些方面做得与众不同。

It's difficult for me to say specifically how each firm would have evolved, but if I look at what we do at Don, I would say we do things differently, we do it in a more smarter way, in a sense.

我认为我们还更倾向于区分不同速度——不是指简单地采用短期策略，而是可以设计系统使进出场反应机制有所差异。

I think also we are more open to differentiating speeds a bit, and I don't mean just deploying short term strategies, that's not what I mean, but you can design your systems to react differently from entries to exits.

我觉得这是我们正在实践的，也确实对我们有所帮助。

I think that is something we do, and I think that has helped us.

正如我所说，整体风险管理在我看来也有所发展。

And as I said, overall risk management, I feel, has evolved as well.

也许像你这样的人写了另一篇博客文章——我们今天不打算讨论这个——但凯蒂上周帮你发的那篇是关于预测波动性的。

Maybe people like you wrote another blog post which we're not going to talk about today, but that Katie plopped for you last week was about predicting volatility.

当然，也许今天我们使用波动性的方式与二十年前不同了，也许我们现在能更好地运用它来管理风险。

Of course, maybe we are using volatility differently today than we did twenty years ago, and maybe we can use it better now in the way we manage the risk.

所以我大体上同意你的观点，这不是翻天覆地的变化，但我认为我们确实有所进化。

So I generally agree with you that it's not massive changes, but I do think that may you know, we have evolved.

我是说，我们拥有这些研究团队是有原因的，他们非常擅长自己的工作。

I mean, there's a reason why we have these research teams who are very good at what they do.

但这并不意味着他们能克服恶劣的市场环境。

It doesn't mean that they can overcome bad market environments.

过去二十年里，我们确实经历过一些这样的时期。

And we've had some of that in the last twenty years for sure.

这就是为什么人们有时会说，这种策略现在不那么管用了。

And that's why people sometimes write that, oh, this strategy doesn't work as well anymore.

我不确定这种说法是否属实。

I'm not so sure that's true.

归根结底，如果你刚开始这段旅程，我认为关键在于全身心投入其中，坚守这些规则——因为正如我们每周讨论的那样，这对你（亚伯拉罕）来说绝非易事。

At the end of the day, if you're starting out in this journey, I think it's really about committing to that journey, committing to these rules, because it won't be an easy journey at all for you, Abram, as we discuss every single week.

我认为这种投入精神、真正想做这件事的意愿，以及对某种策略的完全适应很重要——这种策略在某些方面难以预测，但从长远来看却非常稳定。

I think that commitment and really wanting to do this and feeling completely comfortable with a strategy that is unpredictable in some ways, yet it's very predictable in the long run.

它在日常表现上是难以预测的。

It's unpredictable from a day to day basis.

我认为这些可能是我会着手解决的问题。

I think that's probably some of the things I would work on.

好的。

Alright.

我们接下来看看卡洛的问题。

Let's move on to Carlo's question.

卡洛写道：我想向罗伯特·卡弗提交一个问题。

Carlo writes, I would like to submit a question for Robert Carver.

当波动率随时间变化时，趋势跟踪投资者应如何考虑头寸规模？

How should a trend following investor think about position sizing when volatility is time varying?

好的，现在我们开始深入探讨一些内容了。

Okay, so now we're getting into some of the stuff.

特别是，我非常想听听罗伯特对以下问题的看法：静态与动态风险敞口。

In particular, I would be very interested in Robert's view, on the following points: static versus dynamic exposure.

一些趋势跟踪者认为要最大化捕捉极端行情的经济效益。

Some trend followers argue that maximise the economic benefits of outlier hunting.

我觉得他实在是听了太多Rich的话了。

I think he's been listening to Rich too much, actually.

更可取的做法是在整个交易过程中保持合约数量不变，这样只有入场时的波动率才重要。

It is preferable to keep the numbers of contract unchanged throughout the trade, so that only the volatility at entry matters.

其他人则倾向于基于Robert的回测经验，采用持续波动率目标框架。

Others prefer a continuous volatility targeting framework based on Robert's backtesting experience.

是否有实证证据表明动态波动率目标比静态敞口能产生更好的结果？还是这个选择主要取决于投资者的目标函数，例如优先考虑夏普比率优化与最大化长期复合年增长率之间的权衡——就好像仅通过静态头寸规模就能保证后者似的。

Is there empirical evidence that dynamic volatility targeting produces better results than a static exposure, or is the choice mainly driven by investors' objective function, for example, prioritizing Sharpe ratio optimisation versus maximising long term CAGR, as if that is something you can guarantee just by using static position sizing.

我只是想先做个免责声明。

I just want to caveat that.

再平衡频率：随着波动率变化，多久调整一次敞口比较合理？

Rebalancing frequency, how often does it make sense to adjust exposure as volatility changes?

波动性质：趋势交易者是否应该根据波动是支持趋势（正向波动）还是威胁趋势（负向波动）来区别对待？

Nature of volatility, should a trend trader treat volatility differently depending on whether it supports the trend positive volatility or threatens it negative volatility?

非常感谢。

Thank you so much.

来自卡洛。

From Carlo.

这是个非常棒的问题。

This is a great a great question.

我差点以为是我自己写的。

I could almost have written it myself.

关于第一个问题，动态还是静态波动率头寸规模的选择，实际上——让我快速说明一下，因为我不确定90%的听众是否完全理解我们在讨论什么，可能只有10%的人是刚刚开始收听的。

So actually, on the first question about whether the choice of dynamic or static volatility position sizing, actually, let let me very quickly because I'm I'm not sure 90% of the people listening to this know exactly what we're talking about but it's probably maybe 10% who have just just started listening.

也许亚伯拉罕刚开始听。

Maybe Abraham has just started listening.

是的。

Yep.

静态头寸本质上是指你在开仓时根据当时的波动率确定仓位规模，之后基本保持该仓位水平不变。

So static exposure is where essentially you you look you you start you put a trade on and you size your position according to the volatility that's current at the time and then you you basically maintain that position to the same level.

明白吗？

Okay?

也就是说，如果市场风险增加，你的头寸规模保持不变。

So if if the position, if the market gets riskier, you know, your position stays the same size.

如果市场风险降低，你的头寸规模也保持不变。

If the market gets less risky, your position stays the same size.

你可能会因其他原因调整仓位，比如采用某种金字塔加仓策略，在趋势增强时逐步加仓等。

You may adjust your position for other reasons like if you're using some kind of pyramiding where you add as things become have stronger trends or whatever.

另一种方式是动态仓位调整，即在交易存续期间持续测量波动性来决定仓位大小。

Now the alternative is dynamic position sizing and that's where you essentially measure the volatility throughout the life of the trades.

如果市场突然变得更危险，你就减少头寸。

If the market suddenly gets riskier, you reduce your position.

如果市场变得更安全，你就增加头寸。

If the market gets safer, you increase your position.

这某种程度上与所有

And this is sort of relates to all

我能补充一点吗？

Can I add one thing?

可以。

You can.

动态仓位调整不仅可能受波动性影响

The dynamic position sizing may not only be influenced by volatility

我正要说这个，尼尔。

I was about to say that, Neil.

我正要说这个。

I was about to say that.

你能别插嘴吗？

Will you not butt in?

拜托。

Please.

我现在正说到兴头上。

I'm I'm on a I'm on a I'm on a roll here.

别这样。

Come on.

给我点空间。

Give me some space.

对。

Yeah.

所以，对。

So the yeah.

我想说的是，我称之为持续交易的模式，本质上就是根据波动性、趋势强度等因素不断评估持仓，同时也可能考虑潜在缺陷等因素。

So what I was gonna say was the the continuous what I call continuous trading is where basically where you you constantly evaluate your positions according to things like volatility, strength of your trend, but also things like potentially defect.

甚至可能包括账户规模这样的因素。

It could be even things like the size of your account as well.

所以当你亏损时，你会逐步减仓，以此类推。

So as you lose money, you'll be taking money off the table and so on and so forth.

现在我

Now I've

那相关性呢，罗布？

And correlations, Rob?

这就是相关性。

That's correlating it.

是的。

Yeah.

有可能，这取决于你的风险系统如何运作。

Potentially, depending on how your your risk risk system works.

所以在我这个特定系统中，相关性不会直接影响第一层因素，但如果事物变得高度相关，就会触发某种外部风险因素。

So in in my particular system, correlations wouldn't affect things to a first order, but but if if things get very correlated, then there is a sort of exogenous risk factor that kicks in.

所以，你知道，但如果你在运行一个固定波动率目标的系统，我们每天都瞄准相同的波动率，那么每天都会影响结果的因素也包括相关性。

So and, you know, but if if, yes, if you're running your system at a fixed volatility target, we always target the same vol every day, then one thing that would affect things every day is correlations as well.

绝对如此。

So absolutely.

好的。

Okay.

现在我已经在我的博客上多次测试过这两件事，其中一个重要的问题就是，是的。

Now I have I have tested the these two things a few times on my blog and and one one sort of important question is yes.

作为一名投资者，你最关心的是什么？

What what what do you care about as an investor?

你关心的是最大化你的夏普比率吗？

Do you care about maximizing your Sharpe ratio?

你关心的是最大化你的几何回报率吗？

Do you care about maximizing your geometric returns?

之所以这一点很重要，是因为具有正偏态的事物可能没有很好的夏普比率，但可能会产生更好的几何回报。

And the reason why that's important is that things that have positive skew may not have as good a Sharpe ratio but may produce you a better geometric return.

具有负偏态的事物则会产生相反的效果。

Things that have negative skew produce the opposite effect.

如果你不使用波动率目标策略，那么你的偏态特征更可能是正偏态。

Now if you're using if you're not using volatility targeting, then your skew skew profile is much more likely to be positive skew.

这其中的原因相当直接。

And the reason for that is quite straightforward.

如果你持有一个头寸，而价格突然飙升，让我们想想几年前的可可，因为我认为这个例子仍然让人记忆犹新。

If you're holding a a position and the the thing suddenly leaps in price, and let's think about Coco a couple years ago because that that's the example that I think it still sticks in people's heads.

这个价格突然飙升。

This thing leaps in price.

如果你不根据波动性调整仓位，这种价格飙升当然也会增加波动性。

If you're not changing your position according to volatility, that leap in price, of course, also increases volatility.

你会保持原有仓位规模不变，这意味着你将获得这个异常巨大的正向收益。

You'd keep your you'd keep your position the same size, And that means you get this massive outsized positive outlier return.

显然这会帮助提升你的几何回报率，尽管从夏普比率的角度看可能更差，因为你的风险波动会更大，而夏普比率计算不喜欢剧烈变动的风险。

And then that that obviously will help improve your geometric return even though from a sharp ratio perspective, it may actually look worse because your your risk is gonna be much more variable and and Sharpe ratio calculations don't like risk that moves around a lot.

如果你有一组稳定一致的回报数据，你更有可能获得更高的夏普比率。

If you've got a nice steady consistent set of returns, you're much more likely to have a higher Sharpe ratio.

现在基本上可以观察两者之间的权衡——我不会讲太多细节，因为你得去博客找那篇文章——但特别是可以观察偏态和夏普比率之间的权衡，以最大化你的复合年增长率。

Now the it's basically possible to look at the trade off between and I won't go into too much detail because you will have to go and look on the blog to find find the article, but especially you can look at the trade off between skew and sharp ratio for maximizing your CAGR.

所以本质上，你应该愿意放弃一定程度的正向偏态，以换取更高的夏普比率，从而获得相同的复合年增长率。

So essentially, there should be a certain amount of of of positive skew that you're willing to give up in return for higher sharp to get the same CAGR.

这有点像风险与回报的权衡，只不过是偏态与夏普比率之间的权衡。

So there's sort of a like almost like a risk reward trade off except that it's skew versus Sharpe ratio trade off.

我的发现本质上是这样的——顺便说一句，这不是实证结果，而是理论推导。

And what I found is that that that basically, and this is not an empirical result by the way, this is this is actually theory.

所以这本质上是不容争辩的。

So you, you know, you can't argue with it essentially.

这不仅仅是我数据中的特例。

It's not just a quirk of my data.

对于通过固定波动率调整（而非改变头寸规模）带来的偏度改善，你应当愿意牺牲相应程度的夏普比率。

The the amount of sharp ratio you should be prepared to give up for the sort of improvements in skew that you see from these, you know, using fixed vol scaling and not not change your position size.

简而言之，采用固定波动率头寸规模并不值得，因为你获得的额外偏态收益无法弥补夏普比率的显著损失。

It bet bait to some to kind of the bottom line is it's not worth doing fixed vol position sizing because the the additional skew you get does not pay you for the loss in sharp, which is substantial.

所以你最终基本上会得到一个较低的KR值。

So you end up with a lower k r, basically.

而且，你知道，所以有些

And and, that, you know, so some

那么只是为了澄清一下

So just just to clarify

是的。

Yeah.

请继续。

Please go.

嗯。

Yeah.

你说固定波动率时，意思就是保持头寸规模不变对吧？

When you say fixed vol, what you just mean is you keep the the position size fixed.

静态头寸规模。

Static position sizing.

对。

Yeah.

正是如此。

Exactly.

没错。

Yeah.

是的。

Yeah.

所以实际上，不是的。

So actually, no.

我们考虑的是那些，你知道的，有些首席技术官取得极高回报的基金，它们有非常出色的CAGAR和正向SKU，表现出这种异常行为。

We think about funds that have the, you know, some CTOs that have extremely good returns, very good and very good CAGARs and positive SKUs and have this sort of outlier behavior.

而且，你知道，它们的波动性往往非常大。

And and, you know, their volatility is often very big.

它们可能会假装表现得优于，你知道，某些更像我的系统——我的系统夏普比率高，正偏度较低，异常值较少，因为采用了动态仓位调整。

You may you they they sort of will pretend to outperform a, you know, some some system that's more like mine, which which has a high shark ratio, less positive skew, less outliers because it's dynamic position sizing.

但基本上，如果我给我的系统稍微加一点杠杆，就能轻松超越它们的几何回报，因为我的高夏普比率足以弥补正偏度的损失。

But but but what would what basically if I apply just a little bit of extra leverage to my system, I could very easily beat their geometric returns because because I have the because my superior Sharpe ratio, you know, more than pays for the the the loss in positive skew that that I have.

这样算是回答了那个问题。

So that kind of answers that question.

虽然是个有点冗长的答案，但这确实是个相当复杂的主题。

It's quite a sort of quite a long winded answer, but but it is quite a complex subject.

不过，你可以去我的博客看看，那里有篇相关文章。

But, yeah, go on my blog and there's an article about it.

接下来是关于再平衡频率的问题。

Then there's a question about rebalancing frequency.

本质上，这是个关于再平衡的标准问题。

Well, essentially, this is the standard question about rebalancing.

当你进行再平衡时，实际上是在权衡两件事。

It's when you're doing rebalancing, you're trying to trade off two things.

一方面是让持仓接近最优配置带来的收益，另一方面是实现这种调整所需的交易成本。

The benefits you'd get from having your position close to what your optimal position should be and the cost of trading to get there.

最糟糕的情况就是进行了错误的再平衡操作。

And the worst thing in the world is is if you rebalance the wrong way.

假设波动率在上下浮动但总体呈下降趋势。

So let's suppose volatility is sort of jiggling around a bit but basically falling.

在其他条件不变的情况下，我会选择增加持仓规模。

So all the things being equal, would increase my position size.

如果我每天都坚持进行再平衡操作，那么有些日子我会买入，有些日子则会卖出。

If I was to to rebalance, say, every day without fail, then some days I'd be buying, some days I'd be selling.

当然，我假设其他条件都保持不变。

I'm assuming everything else is fixed, of course.

因此我承担了大量额外的交易成本。

So I've been carrying a lot of extra trading costs.

这暗示着我的再平衡频率应该稍微放缓，因为那些额外的交易成本会完全抵消我可能获得的额外收益。

So, you know, that would imply that my rebalancing frequency should be a bit slower because those extra trading costs are gonna more than kill, you know, the extra benefit I might be getting.

但这个难题有个巧妙的解决方案——使用缓冲或平滑策略。

But there is an art solution to this conundrum and that's to use either buffering or smoothing.

缓冲策略的核心是：只有当持仓偏离最优持仓较远时才进行交易。

So with buffering, essentially, you you only trade if your position's further away from the optimal position.

而平滑策略则是采用类似移动平均线的方法来确定目标持仓。

And with smoothing, you you basically take something like a moving average of what you want your position to be.

我们使用的许多交易规则本身就已经包含了移动平均线的概念。

And a lot of a lot of trading rules that we use obviously incorporate moving averages in them already.

关于波动性，如果你使用类似XPLAY加权的波动性估计移动平均值，那会相对平稳，交易次数也会减少。

So with volatility, you know, if you were using something like an XPLAY weighted moving average of volatility estimates, that would be relatively smooth and you'd do fewer trades.

所以关于再平衡频率问题的答案是，老实说，我无法给出确切答案，因为这取决于成本。

So the answer to the the the question about rebalancing frequency is, to be honest, I can't tell you because it's gonna depend on costs.

正如我所说，如果采用这些其他策略，你就可以更频繁地进行再平衡，而无需实际承担任何交易成本，这样就能获得优势。

As I said, if you use these other strategies, then you can do more rebalancing more frequently without without actually incurring any trading costs, so you're gonna get get the win there.

最后一个问题实际上最引人入胜，因为我确实没有答案，那就是关于使用非对称波动性度量的问题。

Now the last question actually is the most intriguing because it I don't actually have an answer for it, and that's about using an asymmetric volatility measure.

以可可为例，那属于正向波动。

So if we think about cocoa as an example, then that was positive volatility.

对吧？

Right?

价格上涨了。

The price went up.

我们做多了。

We were long.

太好了。

Hooray.

而且，你知道，也许在这种情况下，我们不应该减仓。

And the, you know, maybe in those circumstances, we shouldn't reduce our position.

现在我对此的顾虑是，你知道，收益基本上就像抛硬币一样随机。

Now I my concern with this is that, you know, returns are a coin flip pretty much.

所以，如果你是个非常优秀的交易员，可能在51%的日子里赚钱，49%的日子里亏钱。

So, you know, if you're a really good trader, might make money for 51% of days and lose money 49% of days.

如果你因为行情直线上升而持有大量风险头寸，这固然很棒，但如果你保持相同规模的仓位，就要承担巨大的上行风险。

So if you've got a massive risk on because the thing's just gone up in a straight line and that's wonderful, And you just hold your position the same size so you're taking this huge amount of upside of risk.

你的上行风险和下行风险是相同的。

Your upside risk and your downside risk are the same.

明白吗？

Okay?

你距离将巨额利润变成巨额亏损，只差一次抛硬币的结果。

You're just a coin flip away from those massive profits becoming massive losses.

总的来说，我会说不。

So overall, I'd say no.

我认为你应该对两种波动性一视同仁。

I'd say you should treat both kinds of volatility the same.

不过这并不是说资产在上涨或下跌时没有不同的表现，我们可以采取一些有趣的方法来建模。

That's not to say though that assets do have different behavior on the upside or the downside, and there are interesting things we can do to model that.

但针对这个具体问题，我建议你将风险视为不对称来处理。

But but this specific question, I suggest that that you just treat risk as asymmetrical.

嗯，你完全可以把这内容纳入下一本书里，探讨这个话题是否存在差异。

Well, there's definitely an option for you to include that in one of your next books, whether there is a difference in in that subject.

总之，我们继续吧，因为在进入今天的重要秘密主题前，我们还有几个问题要处理。

Anyways, let's move on because we've got still got a couple of questions before we get to the big secret, topic of today.

达里奥的提问。

Question from Dario.

嗨，卡弗先生。

Mister hi, mister Carver.

希望你一切安好。

I hope you're well.

非常感谢你对投资界的贡献。

Thank you so much for your contributions to the investment community.

我对低频算法中使用的情感指标很感兴趣。

I'm curious about sentiment indicators used in low frequency algorithms.

我想知道你是否曾尝试基于情感指标进行交易。

I wonder if you have ever tried trading off sentiment indicators.

你的偏度信号是情感指标的替代吗？

Are your skew signals a proxy for sentiment?

谢谢。

Thank you.

来自达里奥。

From Dario.

我必须说我...我...我...对大家称呼我为先生感到有点不自在。

I must say I'm I'm I'm I'm slightly uncomfortable with all these people calling me Mr.

卡弗。

Carver.

这对我来说有点太正式了。

It's it's a bit formal for me.

不过话说回来。

But anyway.

好的。

Okay.

情绪指标很有意思，因为我自己其实并不使用任何类型的情绪指标。

So sentiment is interesting because so I don't actually use any any sort of sentiment indicators myself.

他特别问到的我的偏斜信号，那其实是观察历史偏斜水平的一个指标。

So my skew signal which he asked specifically about, that's that's that's something that's looking at historic levels of skew.

你可以把它当作情绪指标来论证。

Now you could argue that as a sentiment indicator.

你可以这么论证，因为如果某个资产最近经历了价格暴跌，那就表明大多数人对该资产持负面情绪。

You could could you could argue that because because if an asset has recently seen very violent falls in price, that suggests that most people had a would have a negative sentiment towards that asset.

就我的训练系统而言，我实际上会买入这种资产，因为具有严重负偏斜的资产往往会被低估，因为人们不喜欢它。

And in the case of of my training system, I would actually buy that asset because because something with that's got very heavy negative skew would tend to be underpriced because people don't like it.

所以实际上，在那个具体例子中，我是负面情绪的买家。

So actually, I'm a buyer, you know, in that specific example, I'm a buyer of negative sentiment.

但一般来说，部分由于资源限制，我倾向于避开那些更奇怪的数据，比如情绪评分，其中一些实际上更像是经过整体拟合的。

But but generally speaking, you know, partly because of resources, but I tend to stay away from, let's say, weirder data, things like sentiment scores, you know, also some of them tend to be effectively ensemble fitted.

以前在AHL工作时，我们常遇到这种情况：卖方交易员会来说'看，我们有个超棒的预测模型，你想买吗？'

So this thing that the when I used to work for AHL, we had a classic thing when where sell side traders would come in and say, look, we've this amazing model that predicts this.

你想买吗？

Do you want to buy it?

或者通过我们交易，给我们佣金之类的？

Or trade it, you know, or trade it through us and give us a commission or whatever?

你会问'这个模型是怎么构建的？'

And you'd say, how this is how did you construct it?

经过反复追问和深挖细节后，你会发现它本质上严重依赖样本内拟合，所以看起来效果特别好。

And after a lot of plotting and plotting and pulling and asking you questions and digging into details, you find out essentially it's massively in sample fitted and therefore, of course, it looks very good.

而且你知道，我们一般来说更愿意自己完成这项工作，并且把它做好。

And, you know, we we generally speaking would prefer to do that job ourselves, you know, and do it properly.

所以我对购买任何随机的第三方情绪指标都会持谨慎态度。

So so I'm I'd be wary of kind of buying any sort of random third party sentiment indicators.

但市场上确实存在一些能反映情绪走向的指标。

But there are there are things that kind of indicate the sentiment of the market.

比如偏度就是一个。

So skew is one.

还有各种期权比率也可以利用。

There's this sort of various options ratios as well you can use.

你甚至可以直接观察VIX指数水平，这某种程度上反映了人们的恐慌程度。

You could just look at the level of the VIX and say, that's sort of a proxy for how scared people are.

这就是一种情绪度量指标。

That's that's a measure of sentiment.

所以这些都是对预测价格可能很有价值的有效指标。

So all of these are good things that are potentially useful for for predicting predicting prices.

我个人不太使用这些指标，但这并不意味着这不是一个有效的研究领域。

I just tend not to use them myself, but that doesn't mean that it's on a valid research area.

当然。

Sure.

好的。

Fine.

今天的最后一个问题来自安德烈亚斯。

Final question today is from Andreas.

其实我认识安德烈亚斯是谁。

Actually, someone I know who Andreas is.

他有两个问题要问你，罗布。

So, he has two questions for you, Rob.

顺便说一句，他确实叫你罗布。

And he does call you Rob, by the way.

在罗布的研究中，关于ATR与标准差的关系，他给出了一个实证与理论相结合的解决方案。

In Rob's research, the relationship between ATR and standard deviation, he concludes with an empirical and theoretical solution.

问题a) 日线ATR与周线ATR之间是否存在数学逻辑关系？

Question a) Is there a mathematical, logical relationship between daily and weekly ATR?

问题b) 如果模型每周仅交易一次，建议使用日线数据还是周线数据来计算ATR？

And b) If a model is trading once a week only, is it advisable to use daily data or weekly data with respective to ATR?

后续还有个问题，但我们先一个个来。

And then there's a follow-up question, but let's do one at a time.

好的。

Yeah.

ATR（平均真实波幅）对不熟悉的听众解释下，全称是Average True Range。

So, ATR, for those who aren't familiar, is average true range.

真实波幅本质上是指某个时间段（比如一天）内最高价与最低价之间的差值。

So the true range essentially is is the the the difference in the highest and lowest lowest prices you see in a time period like a day.

这个指标有点类似标准差，都是用来衡量市场波动程度的工具——

So the eight this is, you know, it's it's it's sort of a bit like standard deviation in the sense it's designed to measure how much markets It

在

at the

而不仅仅是看每个时间间隔的单一价格，也就是技术分析师所说的'K线'。

rather than just looking at single price per time interval, what, you know, technical analysts call a bar.

它还会关注K线本身的尺寸大小。

It looks about the size of the bar itself as well.

本质上，要精确计算日线和周线ATR之间的经验关系是不可能的，这主要取决于自相关性。

Now essentially, the the it's not possible to to work out so you could look at the imperial relations in daily and weekly I ATRs, but it depends on essentially on autocorrelation.

这取决于一个时期的价格回报如何影响后续时期的回报。

Depends on how the price return in in in one period influences a return in the following period.

这种情况实际上也会影响标准差估计。

And this actually affects standard deviation estimates as well.

举个例子，如果价格回报倾向于聚集分布，即好的回报往往伴随着其他好的回报，那么一般来说，当你比较日标准差和年标准差时，会发现两者之间并不存在理论上的时间平方根关系。

So for example, if if prices tend returns tend to cluster, so good returns tend to be followed by other good returns, Then then generally speaking, if you compare say your daily standard deviation, your annual standard deviation, you'll find that there isn't the kind of theoretical square root of time relationship between the two.

你会发现最终...这样，我们举个极端例子。

You'll find that the the the end, the the, you know, that so let let's take an extreme example.

假设价格在一年中每天都上涨1%然后下跌1%。

Suppose prices go up by 1% and down by 1% every day of the year.

如果是闰年，一年中的天数为偶数，那么年度回报将为零。

If it's a leap year, there's an even number of days in the year, so the return for the year will be zero.

所以如果这种情况持续发生，年度回报的标准差就会是零。

So if you if that happened forever, then the standard deviation of annual returns would be zero.

但每日回报的标准差是1%。

But the standard deviation of daily returns is 1%.

这个简单例子表明，在存在极强的负自相关性时，每日标准差会远高于年度标准差。

So it needs that that simple example where you've got very strong negative autocorrelation, the daily standard deviation is much higher than the annual standard deviation.

如果是正自相关性，情况就会基本相反。

If you had positive autocorrelation, then it would be the other way around, basically.

这对那些深入研究对冲基金表现和夏普比率的人来说很有趣。安德鲁·洛的论文指出，他更倾向于使用月频、周频或日频数据而非年度数据，因为年度回报掩盖了许多有趣的自相关特性——不过这又是另一个话题了。

And this is, this is quite interesting for people who intrudely do things like look at, and so there's a paper by Andrew Lowe where he looks at hedge fund performance and sharp ratios and, you know, concludes that he really wants to try and get sort of monthly, weekly, or daily data rather than just looking at annual because annual returns hide a lot of a lot of fun autocorrelation properties but that's an another story.

所以我认为，在零自相关和某些其他分布假设下，周频与日频ATR关系应该和标准差一样遵循时间平方根法则。

So, yeah, it's not really so I think off the top of my head, the weekly to daily ATR relationship should behave the same the same as standard deviation If you assume zero autocorrelation and probably some other distributional assumptions, then it should follow the square root of time rule.

这意味着如果市场只在交易日交易，理论上这两个数值之间应该存在约五的平方根倍数关系。

And that means that if if markets are trading on weekdays only, then there should be a sort of multiple of about square root of five between those two values in theory.

不过，是的，这取决于自相关性。

But, yeah, it depends on the autocorrelation.

那如果你每周只交易一次，你会用日数据...抱歉，是周数据吗？

And would you use daily data sorry, weekly data if you only trade once a week?

我是说，当然，没有理由不用。

I mean, yeah, there's no reason not to.

就像之前讨论的那样，我们说过：既然你每天才交易一次，为什么要用分笔数据呢？

Like, what what what you it was like the earlier discussion when we were saying, well, why use tick data if you're trading daily?

对吧。

Right.

你还能额外获得什么信息呢？

What what's the extra what's the what extra information are you going to get?

不过话说回来，抱歉，刚才的问题是关于估算ATR的。

Now having said that, sorry, the question was about estimating the ATR.

我认为是的。

I would say yes.

使用更频繁的数据，你总能获得更精确的波动率估算。

You get you always get a more accurate estimation of volatility if you use data that's more frequent.

毫无疑问。

Definitely.

所以我会用每日每日每日的价格变动来计算我的平均真实波幅(ATR)。

So, yeah, I would use daily daily daily price changes to calculate my ATRs.

但就系统整体回测而言，当然可以。

But in terms of actual general back testing of my system, then, yeah, sure.

周线策略用周数据，日线策略用日数据。

Weekly for weekly, daily for daily.

没有必要用更高频的数据。

There's no reason to do it faster.

嗯。

Yeah.

不。

No.

这一点很重要。

That that's important.

好的。

Alright.

问题的最后第二部分。

Final, second part of the question.

罗伯有没有研究过使用日内止损与在次日开盘时（如果触及硬止损）使用市价单的区别？

Has Rob done any research on using intraday stops versus using market orders at the next day open if the hard stop has been reached?

需要额外增加多少空间，

How much additional room, e.

例如，以ATR为单位表示，建议在日内止损上增加多少？

G, expressed in ATRs, is advisable to add to an intraday stop?

我是说，我交易时不用止损单，也不用80%概率，所以不确定自己是否有资格回答这个问题。

I mean, I don't use stop losses when I'm trading, and I don't use 80 odds either, so I'm not sure how how qualified I I am to answer this question.

我要说的是，有一篇不错的论文，作者我记不清是谁了。

The one thing I will say is that there is a a nice paper by I can't remember who it's by.

这肯定是在AQR工作的人写的。

It's inevitably gonna be someone who works at AQR.

我只能说这么多。

I'll say that much.

嗯。

Mhmm.

我觉得不是Anti，也不是Lars。

I don't think it's anti, and I don't think it's Lars.

可能是Frank写的。

Think it might be Frank.

总之，这篇论文讨论了一种将慢速动量与短期均值回归相结合的巧妙方法——就是在执行交易时只选择那些走势对你有利的标的。

Anyway, But the paper basically discusses her like a very neat way of combining slow momentum with short term mean reversion is to do something really simple which is when you come to execute your trades the the day after the previous day's close as we've been discussing, only only execute those that have moved in your favor.

比如你要买入，就只在价格低于前日收盘价时执行，反之亦然。

So if you're buying, only execute if the price has dropped between the last closing price and vice versa.

这本质上是通过将慢速系统与快速系统结合，以极低成本获得更好执行价格的巧妙方法。

So that's a very a very quite a cheap way of of getting potentially better execution costs by essentially combining your slow system with a fast fast system.

因为正如我们讨论过的，快速系统通常存在的问题是交易成本过高。

Because normally the problem as we've discussed with faster systems is they cost too much in trading costs.

这种方式下，你知道反正都要进行这笔交易。

This way, know, you're gonna do that trade anyway.

区别只在于你在哪个价位执行交易。

It's just whether you do it at which level you do it at.

所以关键问题在于这种一两天甚至更久的延迟。

So the key issue there is whether that that delay of one, two, maybe more days.

我们知道延迟一天不会对我们造成太大影响。

We know that a delay of one day is not gonna affect us too much.

这点我们已经讨论过了。

We've discussed that already.

是否可能因为等待价格到达理想水平而延迟超过一天——这是否会成为问题，这正是我需要测试的，因为这是我待研究清单上必须落实的项目。

Whether delaying by sort of potentially more than one day because you're waiting for the price to reach a nice level, whether that's that's an an issue or not and that's something I wanna I need to test because that's that's in my back book of things I need to research and implement definitely.

我完全没能回答这个问题，因为我觉得自己根本没有资格回答。

I've not answered the question at all because I feel completely unqualified to.

这只是一个突然从我脑海中冒出来的随机想法，我觉得和他讨论的内容有点关联。

It's just that was a random a random idea that that came out of my head that I think is sort of related to what he's talking about.

让我们继续下一个非常重要的话题，因为昨天加州举行了一次投票，不是关于选区划分之类的。

Let's move on to the, to the very important topic, I think, because yesterday, I think it was, there was a vote in California, not about election districts or anything like that.

这是由美国养老金基金CalPERS的管理委员会发起的。

It was from at the board of administration of US pension fund, CalPERS.

他们投票赞成采用整体投资组合方法（TPA），这将取代他们现有的战略资产配置（SAA模型），并于明年2026年7月1日实施。

And they voted in favor of adopting the total portfolio approach, TPA, which is going to replace their existing strategic asset allocation, the SAA model, next year, 07/01/2026.

他们还表示会将模型参考组合调整为75%股票和25%债券。

And they also said that they are going to change their model reference portfolio to 75% equities, 25% bonds.

他们还特别强调——这是原话引用，因为你我之前都不完全确定这是否属实——但确实是他们的原话。

And they also said, and this is a quote because you and I were not entirely sure whether this was true or not, but it it is a quote.

他们宣称自己是美国首个采用TPA的养老基金。

They say they are the first pension fund in The United States to adopt TPA.

而且投资委员会主席David Miller表示：'这将为CalPERS团队提供做出明智投资决策所需的优势。'

And, David Miller, the the investment committee chairman said, this will give Calper staff the edge they need to make sound investment decisions.

在我找到的这篇文章里（不是Rob你发的那篇Feet文章），还提到：在TPA模式下，重点将转向哪些投资最能提升整个CalPERS投资组合的表现，而不是实现那些需要定期审查的单一资产类别目标。

Now, in the article that I found, which is not the Feet article that you sent, Rob, it also goes on to say: under the TPA, the focus will be on which investments can best contribute to the performance of the entire CalPERS portfolio, as opposed to achieving individual asset class targets that were periodically reviewed.

现在我要基本闭嘴了，因为我想让你带我们看看你发现的精彩部分。

Now, I'm gonna shut up now, pretty much, because I want you to take us through what you found to be the interesting part.

但就像我上周和Katie说的那样，由于那句'每个组成部分都将根据其为投资组合带来的价值增量进行评估'，我个人认为从趋势跟踪的角度来看，这变得非常非常有趣。

But as I said last week when I spoke with Katie, because of that sentence, that each component will be judged on what they add in terms of value to the portfolio, personally, I think that makes it very, very interesting from a trend following perspective.

我也这么认为。

I think it does.

是啊。

Yeah.

不过说句风凉话，我怀疑这是不是又是个方便塞更多私募股权的借口。

I mean, although, cynically, wonder whether this is just gonna be an easy excuse to jam more private equity.

懂我意思吗？

Know?

或者私募债啊其他私募资产

Or private private debt or other private

任何私有性质的

Anything private that's

非公开市场的。

not market.

是啊。

Yeah.

因为人们现在都热衷于私有资产，对吧？

Because people people love the private stuff at the moment, don't they?

不过现在让我们乐观积极些，假设这对趋势跟踪会是件好事。

But but now let's be upbeat and positive and assume it's gonna be a good thing for for trend falling.

不得不说，我确实对这个话题非常感兴趣，原因有很多。

Now I have to say I I I was very intrigued by this this subject for a number of reasons.

其一是投资组合优化算是我的业余爱好吧。

One is that portfolio optimization is is sort of my hobby, suppose.

这是我长期反复研究的重要领域之一，投入了大量时间思考。要知道，马科维茨提出的所谓现代投资组合理论（虽然诞生于1950年代）的基本数学框架，几乎奠定了此后所有相关理论的基础，也是资产配置行业所采用的核心方法。

It's my one of the big research era I keep coming back to and one I've done a lot of spending time thinking about so, you know, think the sort of basic maths of the Margowitz sort of so called modern portfolio theory modern even though it was invented in the nineteen fifties is is, you know, under has underlied pretty much, you know, everything ever since and is is what the the kind of asset allocation industry use as well.

虽然我从未担任过资产配置师，但显然我不得不与他们打交道，作为阿尔法收益的潜在提供者，可以这么说。

So although I've never worked as an asset allocator, but obviously I've had to deal with them as a as a potential supplier of of Alpha as you one might put it.

而且因为曼氏集团内部有多位多策略基金经理。

And also because Mann Group had a a number of multi manager strands within it.

嗯。

Mhmm.

我还曾与量化团队在多策略管理机构合作，协助他们分析回报等工作。

I've also worked with the Quants working as multi manager organizations helping them with things like analyzing returns.

因此我对资产配置师的思维方式有一定了解。

So I'm kind of I have some understanding of of the way that asset allocators think.

不过现在让我们简要讨论下这个问题。

But base but let's sort of briefly discuss this.

战略资产配置(SAA)可以说是人们进行资产配置的主要方式——几乎贯穿我整个职业生涯，尽管有些微调。它确实源自马科维茨模型，其核心理念最简单可以通过股债组合来理解。

So so SAA or strategic asset allocation is kind of the way that people have done asset allocation for almost, I would say my entire lifetime pretty much with some some tweaks And it does grow out the mark of its model and the basic idea is is this and it's simplest to think about it in a equity bond setup.

你需要考虑预期未来回报、风险以及所考察两类资产之间的相关性。

So you think about the the the cover, you know, your expectations for forward returns, risk and correlations between the two asset classes that you're considering.

然后你会设定一个目标回报率，比如说，如果你是一个养老基金，这个目标会基于成员的平均年龄以及你需要支付给他们的金额。现在还有一些创新产品叫做目标日期基金，它会随着成员年龄增长动态调整资产配置，简单来说就是增加债券比例、减少股票比例，这很合理。

And then you you you set some target return and that's, for example, if you're a pension fund, you know, that's gonna be based on something like the average age of your members and, you know, how much money you need to sort of pay them out and there's these, you know, our recent innovations speak these things called target date funds where you dynamically change your allocation as as people age effectively and, you know, simply in simple terms that will put more into bonds and less into equities, right, which kinda makes sense.

接着你会构建一个叫做有效前沿的东西，这本质上是在这两个资产类别中寻找最佳投资组合，你会在有效前沿上选择一个夏普比率最高的点。

And then and and then you build this thing called the efficient frontier which is the sort of portfolio of of, you know, the best portfolio of these two assets that has the you know, you pick a point on that that has the highest chart ratio.

然后，如果可以使用杠杆，你基本上可以构建一条切线。

And then if you can use leverage, you basically construct a tangent.

如果不能使用杠杆，你就在有效前沿上选择一个点，在满足最低预期回报的前提下实现风险最小化。

If you can't use leverage, you pick some point on the efficient frontier where you get essentially the lowest risk that still meets your hurdle return.

那么实际操作中这意味着，如果你的退休基金成员较为年轻，你需要达到特定收益目标，可以通过配置更高比例的股票投资组合来追求更高回报，以满足未来的支付义务。

So what that means in practice is if you're if you you're a retirement fund but your members are quite young, you can you you wanna achieve a certain amount, you can you can sort of have a higher return to try and meet your obligations in the future and and that will mean a higher mix to equities.

显然，如果退休人员年龄结构偏大（英国尤其典型），比如英国大量所谓的固定收益养老金计划，投资风险完全由管理方承担而非退休者个人，这就导致他们大量持有债券——这对英国长期债券市场反而是件好事。

And obviously, if you've got a lot of old retirees and this is particularly true of The UK, so in The UK, we've got a lot of so called defined benefit pension funds where the investment risk is all on the manager and not the person, the retiree and that means that they have a lot of money in bonds and that's been particularly good for long dated UK bonds actually.

这会导致收益率曲线出现异常扭曲，不过这就是另一个话题了。

That does weird things to the yield curve, that's another story.

总之，这仅仅是讨论的起点。

Anyway, so the that's just sort of starting point.

然后你就得到了你的SAA，即战略资产配置。

And then you use so then got your SAA, your strategic asset allocation.

当然，你还可以在此基础上添加其他内容，比如他们常说的'投资分项'这个概念——虽然我一直不太理解这个术语，但你可以为对冲基金设立分项，特别是针对股票市场的对冲基金。

And then, of course, you can add to that other things, other sort of they they use this expression sleeves, which I've never really understood, but, you know, you can have sleeves for for hedge funds, you know, for equity market, mutual hedge funds specifically, perhaps.

你也可以为私募信贷设立分项，同样也可以为私募股权设立分项，当然还可以为商品交易顾问（CTA）设立分项。

You can have them for private credits and again for the for the private equity, and of course, you can have a sleeve for CTAs.

接下来的思路就是逐步向下细化到下一层级。

And then the idea then is that that you then sort of go down to the next level.

你说，对吧。

You say, right.

我们需要接触这类资产，然后我们可能会决定被动与主动投资的比例，或许还会考虑国家权重分配，诸如此类。

We need we need to have exposure to this asset class when, you know, and then we did maybe make some determination about how much is passive, much is active, maybe we have some country weightings, and then and then so on and so forth.

所以关键点在于这是一个高度结构化的自上而下过程。

So the key the key points here are that it's a very kind of structured top down process.

基本上，我喜欢把它想象成一系列盒子。

Basically, I like to think of it as a series of boxes.

你一开始会说，我有一个大盒子，里面需要放入不同规模的资产类别。

So you start off by saying, well, I've got this big box and in it, need to put asset classes in different sizes.

然后我打开这些盒子，往里面放入其他东西，如此类推。

And then I open up those boxes and I put other stuff inside those those boxes and so on and so forth.

重要的是，没人会考虑到这种情况：比如我恰好在一个盒子里放了与另一个盒子里东西高度相关的内容，这不会影响决策过程——因为不，不，不，伙计，我们现在只是在往盒子里装东西。

And importantly, no one takes into view the fact that if for example, let's say I happen to put into one of my boxes something that's highly correlated to something in another box, that does not enter into the decision process because no, no, no, dude, we're just we're just putting stuff in boxes now.

我们并没有考虑整体投资组合的全面性。

We're not we're not considering the the total portfolio, the holistic portfolio.

这可能意味着，举个例子——让我举个我认为相当虚构的例子。

And that might mean for example that well, let let's take a what I think is a pretty made up example.

不过我们姑且这么想吧。

Well, let's just think of it anyway.

假设你有个CTA策略表现惊人，但不知为何与丹麦股市高度相关。

Let's suppose you have a CTA that has amazing performance but for some reason has a very high correlation with the Danish equity market.

这完全是——我这不是个明显虚构的例子嘛。

This is complete I'm not this is clearly made up example.

对吧？

Right?

我们再假设，你团队中负责股票投资的人特别青睐丹麦股票。

And let's also suppose that that that separately, you're the guy that manages your equity portfolio really likes Danish equities.

那你就遇到问题了，因为你的投资组合中有两部分都对丹麦股票有大量敞口。

Well, then you've got a problem because you have a big exposure to Danish equities in two parts of your portfolio.

或许某个风险管理部门会向你指出这个问题。

And maybe somewhere there's a risk management team that will point this out to you.

但在构建投资组合的过程中，这种奇怪的关联性并没有被考虑进去。

But in terms of the portfolio construction process, this this sort of weird correlation hasn't been taken into account.

所以我对整体投资组合策略的理解是：与其采用这种自上而下、零敲碎打的方式，我们应该通盘考量整个投资组合，然后可能会做出类似这样的决策——我们虽然有个很棒的CTA基金经理，但他对丹麦股票有巨大敞口，而我们已经持有大量丹麦股票了。

So that my understanding of total portfolio approach is is that rather than doing this kind of top down bits and pieces blah blah blah, that we look at the thing as a whole and then we'd we'd we'd potentially make a decision along the lines of saying, well, we've got this amazing CTA manager but he's got this massive exposure to Danish equities, and we've already got a big exposure to Danish equities.

那么，把他加进投资组合合理吗？

Well, does it make sense to add them to the portfolio?

是应该减少纯多头丹麦股票仓位再加入他们，还是应该直接清仓丹麦股票只保留CTA？

Does it make sense to dial down the long only Danish equities and then add these guys in, or does it make sense to take out the Danish equities long only just put the CTA in?

因此，你们需要基于更全面的考量来做出这些决策。

So you you make those decisions on a more holistic basis.

现在我得说，在某种程度上，这整个——我们还能称之为一个行业吗？

Now I have to say that to an extent, this whole can we call it an industry yet?

我不确定。

I don't know.

哪一部分？

Which part?

嗯，就是TPA（整体投资组合方法）。

Well, the TPA.

TPA现在算得上是一个行业了吗？

Is TPA an industry yet?

你明白我的意思吗？

You know?

这个嘛，应该说...

Well, there are, like, I mean

确实有人会以此为职业，对吧，

There are people there are people who are gonna do this for a job, right,

未来会这样发展吗？

going forward?

他们引用了大约五六个主权财富基金或全球大型养老基金的数据。

They quote, like, five or six sovereign funds wealth or big pension funds worldwide.

是的。

Yeah.

我不太确定这能否称之为一个行业，还是先别这么叫吧。

It doesn't I'm not so sure that qualifies it for Well, let's call it just yet.

那我们干脆称之为邪教吧，因为全球做这个的也就几百号人。

Let's call it a cult then instead, because there's like a very few 100 people doing this globally.

这规模也就跟邪教差不多。

That's about the size of a cult.

或者叫团体也行。

Or a group.

我们可以直接称他们为一个团体。

We could just call them a group.

一个团体。

A group.

我...我不知道。

I I don't know.

邪教...邪教可能有点...有点负面含义，你觉得呢？

Cult cult maybe is a bit has has connotations, you think.

是啊。

Yeah.

对。

Yeah.

总之，我发现这个团体的问题在于，它似乎是由某些管理顾问发明的，概念非常模糊，有很多花哨的图表和术语——我来念一段：

Anyway, one of the problems I found with this this group is that it does seem to be something that's been invented by some management consultants and it's very vague and there's a lot of very nice charts and pictures and expressions like I'm gonna read this out.

TPA将焦点从刚性配置转移到统一战略上，决策以基金总体目标为导向，通过绘制整个投资组合的理念，赋予适应新兴优先事项的灵活性，例如可持续性、代际公平、不断变化的经济条件等。

TPA shifts the focus from rigid allocations to unifying strategy where decisions are guided by the fund's overarching goals, drawing an idea of an entire investment portfolio, induces the flexibility to adapt to emerging priorities such as sustainability, intergenerational equity, evolving economic conditions.

这种方法能提升治理水平、促进协作、解锁新机遇，并支持更多维度的三维投资。

The approach enhances governance, fosters collaboration, unlocks new opportunities, and supports more dimensional three d investing.

这句话绝对是管理顾问写的，不是量化分析师写的，因为量化分析师会说类似‘最大化效用函数，输入相关性、标准差和预期平均收益向量，再加上约束条件’这样的话。

Now that sentence was definitely written by a management consultant and not by a quant because a quant would say something like maximize utility function where you input the correlation, the standard deviation, and the expected vector of mean returns plus your constraints.

我刚才描述的本质上就是马科维茨优化。

And that I've just described essentially the mark of its optimization.

所以总的来说，我很难对此做出判断，因为它没有精确的数学定义，而我...你知道，我真的需要那个定义作为依据。

So it's a bit hard for me to kind of make judgments on this generally speaking because there's no real precise mathematical definition of what it is, and I I, you know, I really feel like I need I need that to hang on to.

但作为一般原则，显然，从整体角度思考投资组合比简单分类要有意义得多。

But as a general rule, clearly, think it makes a lot more sense to think about your portfolio in a holistic sense rather than just putting things into little boxes.

因为我想指出的另一点是：CTA行业面临的问题之一就是‘我们该归入哪个分类？’

Because I think another point I would make is that one of the issues the CTA industry has is which box do we go in?

我们属于对冲基金分类吗？

Are we in the hedge fund box?

当然。

Sure.

因为...但我们与大多数对冲基金有很大不同。

Because but but we're we're quite different from most hedge funds.

我们的相关性截然不同，而且我们...我们是否属于某种模糊的尾部保护类别？

We've quite different correlation and we've you know, are we in in some kind of tail nebulous tail protection box?

嗯，这很棘手，因为与真正的尾部保护基金不同，我们无法保证在下跌市场中能为您赚钱。

Well, that's tricky because unlike proper tail protection funds, we can't guarantee that we'll make you money in in a in a down market.

我们希望可以，但这并不能保证，你知道的。

We hope we will, but but there's no guarantee of it, you know.

另一方面，我们的夏普比率为正，而那些人没有。

On the other hand, we've got a positive Sharpe ratio which those guys don't have.

所以，你知道，我们也不适合那个类别。

So, you know, we we don't fit in that box either.

或许，仅仅是或许，这种摆脱将一切简单分类的还原论方法也会带来好处，因为人们可以说：‘看，这是我的投资组合，如果我加入这个奇怪的东西，只要里面没有太多丹麦股票，它确实能改善整体配置。’

So maybe, just maybe, this this move away from a reductionist approach of putting everything into little boxes will also be good because people will be able to say, well, I've got this my portfolio here And if I add this this this weird thing here, it does improve the overall setup as long as there's not any too many Danish equities in there, of course.

那就太好了。

And that's that's great.

这就是我目前的立场。

So that's kind of where I am.

我持乐观态度。

I'm hopeful.

我有点怀疑，因为这听起来有点像管理咨询的说辞。

I'm a little bit skeptical because it does sound a little bit management consultancy.

作为一个量化分析师，我也在纠结于缺乏正式的操作定义，而且似乎存在很多模糊不清的说法。

I'm also, as a quant, struggling with the fact there's not really any formal definition of of how you do this, and there does seem to be a lot of hand waving going on.

但这就是我的看法。

But that's that's my take on it.

不过我认为你是对的。

But I think this you're right.

这可能——这可能是个改变游戏规则的机会。

This could this could be a game changer.

毕竟卡尔珀斯这样的行业巨头已经在这么做了。

I mean, Kalpers are doing it, you know, they're big players.

要知道，比如说如果像Adia这样的机构开始关注这个，Adia的量化团队，我的意思是，他们现在可能雇佣了全球约20%的量化分析师。

And, you know, if for example, someone like Adia starts looking at it, you know, the the quant team at Adia are of off I mean, they they I think they employ something like 20% of all the quants of the world now.

他们确实很厉害，那里有一些非常知名的人物。

They're off you know, and there's some very famous people there.

所以如果他们开始这么做，我认为这将会真正改变游戏规则，他们会真正撰写一些论文并向我们解释清楚，因为我现在还是有些困惑。

So if they start doing it, then then I think that will really will be a game changer and they will actually write some papers and explain to us what it is because I'm still struggling slightly.

是的。

Yeah.

不。

No.

我认为你提出了很多很好的观点。

I think you make a lot of great points.

我刚才在想，如果不是管理顾问写的，那可能是ChatGPT写的。

And I was I was thinking if it wasn't a management consultant that wrote that text you read, It could have been ChatGPT.

我说这话是因为你也给我发过一篇文章，而我完全不明白你在想什么。

And the reason I say that is you also sent me an article, and I have no idea what you were thinking.