CHAPTER 4 第四章
DISCOVERINGTHE “HOLY GRAIL OF INVESTING”
发现“投资的圣杯”
From my earlier failures, I knew that no matter how confident I was in making any one bet I
could still be wrong—and that proper diversification was the key to reducing risks without reducing
returns. If I could build a portfolio filled with high-quality return streams3that were properlydiversified (they zigged and zagged in ways that balanced each other out), Icould offer clients an overall portfolio return much more consistent andreliable than what they could get elsewhere.Decades earlier, theNobel Prize–winning economist Harry Markowitz had invented a widely used modelthat allowed you to input a set of assets along with their expected returns,risks, and correlations (showing how similarly those assets have performed inthe past) and determine an “optimal mix” of those assets in a portfolio. Buthis model didn’t tell you anything about the incremental effects of changingany one of those variables, or how to handle being uncertain about thoseassumptions. By then I was terribly fearful about what would happen if myassumptions were wrong, so I wanted to understand diversification in a verysimple way. I asked Brian Gold, a recently graduated math major from Dartmouthwho’d joined Bridgewater in 1990, to do a chart showing how the volatility of aportfolio would decline and its quality (measured by the amount of returnrelative to risk) would improve if I incrementally added investments withdifferent correlations. I’ll explain it in more detail in my Economic andInvestment Principles.
That simple chartstruck me with the same force I imagine Einstein must have felt when hediscovered E=mc2: I saw that with fifteen to twenty good,uncorrelated return streams, I could dramatically reduce my risks withoutreducing my expected returns. It was so simple but it would be such abreakthrough if the theory worked as well in practice as it did on paper. Icalled it the “Holy Grail of Investing” because it showed the path to making afortune. This was another key moment in our education.The principle we’ddiscovered applies equally well to all ways of trying to make money. Whetheryou own a hotel, run a technology company, or do anything else, your businessproduces a return stream. Having a few good uncorrelated return streams isbetter than having just one, and knowing how to combine return streams is evenmore effective than being able to choose good ones (though of course you haveto do both). At the time (and still today), most investment managers did nottake advantage of this. They managed investments in a single asset class:equity managers managed equities, bond managers managed bonds, and so on. Theirclients gave them money with the expectation that they would receive theoverall return of the asset class (e.g., the S&P 500 stock market index)plus some added returns from the bets managers took by over- and under-weightingparticular assets (e.g., buying more Microsoft stock than was in the index).But individual assets within an asset class are generally about 60 percentcorrelated with each other, which means they go up or down together more thanhalf the time. As the Holy Grail chart showed, an equity manager could put athousand 60 percent-correlated stocks into their portfolios and it wouldn’tprovide much more diversification than if they’d picked only five. It would beeasy to beat those guys by balancing our bets in the way the chart indicated.
译文：
从我早期的失败中，我明白不论我在决定下注时多磨自信我依旧可能会错—只有恰当的分散投资可以减少风险而不是减少回报。如果我能建立一套充满高质量回报管道的投资策略-恰当的分散投资（急转或转向可以互相平衡），这样我就能给我的客户提供一套一揽子的比他们在能得到的其他的更可靠、更稳固的投资组合。
早在10多年前，诺贝尔经济学奖得主哈利马克沃兹发明了一套广泛应用的模型-允许你输入一系列资产以及预期的回报，风险，相互关系（显示过去这些资产的表现是如何的相似），并决定一个理想化的组合那些资产投资策略。但他的模型没有告诉你任何关于改变任何一个变量增加的影响，或者如何处理那些不确定的假设条件。直到现在我非常恐惧如果我的假设是错误的会发生什么。所以我非常想以一种简单的方式弄明白分散投资方法。我咨询了布莱恩戈尔德—刚从达特茅斯大学毕业于数学专业的，1990年加入桥水基金，做了一副图表以显示投资组合的波动性降低而质量（相对于风险的回报量）可能会增加如果我逐步增加不同对比的投资。这样我就可以有更多的经济和投资原则的细节来解释他。
那个简单的图表完全颠覆了我就如同爱因斯坦发现质能公式是感受到的一样的力量。15-20是比较好的。无相关回报连续，我可以很理想的减少风险而不降低我预期的回报。如此简单但是却又是一次彻底颠覆相对于纸面上的理论和他的实际应用。我管这叫“投资圣杯”因为他显示了一条致富之路。同时也是一条关于我们教育的关键时刻。
我们发现的这个原则应用起来相当完美-几乎适合所有尝试赚钱的方法。不论你是在经营一家旅社，一家技术性的公司，或者其他事，你的业务制造了一条回报管道。拥有几条好的，不相关的回报管道好过仅仅有一个，知道如何合并回报管道要比能选一个好的更加的有效（当然你可能会两者都做）。那时候（今天依然是），大多数投资经理人没有从中受益。通常他们以一种单一资产类型来管理投资：证券经理人管理证券，股票经理人管理股票，如此种种。他们的客户从哪些资产可能的回报中返给经理人佣金（例如，标普500市场索引）加一些从赌博经理人从过高或过低估算的资产的增值回报（例如购买很多微软的股票而不是从哪些500强里选择）。但是独立资产在一个资产类型通常都是60%正相关，那就意味着他们有超过一半的时间是涨跌同步的。就像圣杯显示的，一个证券经历可以把1千60%相关的股票放到他们的投资组合中，而他并不提供很多分散性如果只占5%。通过图表显示的平衡我们的投资组合可以很轻松的打败那些经理人。
读后感：
大家请仔细观看那个“圣杯图”。你看到什么？
1、 x轴是资产组合个数
2、y轴是年度投资组合基准偏差 ？
3、 随着投资组合的相关性提高，带来的投币回报风险和损失随之升高。
4、大概4-5种不同资产的投资组合，相关性在25%，而年度的组合偏差在6%，这时候的收益与风险达到平衡。
---
我是007李小军，以上是我自己的翻译，也许不会太准确，我能保证也不会偏离作者的意思太远，不至于误导各位，谢谢观看。
007-4478李小军
2018-7-1
觉得好，就点赞，就转发， 谢了！
