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@点拾投资：战胜赌场和股市的爱德华.索普：我最好的一笔交易是……

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Ofcourse this would be net of all fees, expenses and taxes. Two important principles: prove your ideas using your own moneyfirst, and if you do start a fund, be sure to invest most ofyour wealth in it so you align your interests more closely with yourinvestors. Buffett calls it \"eating your own cooking.\"</span></p> <p><span>朱昂：你开创了市场中性的投资方式，特别是一开始用了可转债套利的策略。当市场变得越来越有效后，套利的机会是否会消失？</span></p> <p><span>爱德华.索普：每个人对于“套利”（arbitrage）的定义不同。纯粹的套利锁定利润。套利还被看做对于交易的风险减少，比如对冲、并购和统计套利。这些套利依然会伴随着市场进化而持续，也会被一些重大事件扰动（工程师会把这个看做短暂冲击，以及长期回归“平稳状态”的趋势）。</span></p> <p><span>What people call \"arbitrage\" varies. Pure arbitrage locksin a profit. The term is also widely used to refer torisk-reducing trades like hedging, mergers andstatistical arbitrage. All these are likely tocontinue to appear as markets evolve and asthey are disturbed by major events (engineers might visualize these as transient shocks vs. a tendency to return to \"steadystate.\")</span></p> <p><span>朱昂：你如何看待今天的量化投资和基本面投资者（注：爱德华.索普开创了量化投资的先河，比西蒙斯还要早，也是城堡基金创始人的天使投资人）</span></p> <p><span>爱德华.索普：市场会持续回报量化和基本面投资者，然而电脑运算能力、人工智能、大数据会变得更加重要。诸如内幕交易、欺诈、政策导向的市场功能会持续为他们的参与者创造收益。</span></p> <p><span>The markets will continue to reward both quantitative and fundamental investors, however computer power, artificial intelligence, and big data willbecome increasingly important. Market features like insider trading, fraud, and political favoritism will continue to produce profits for their practitioners.</span></p> <p><span>朱昂：在你的书中，你多次提到了巴菲特。其中在书本的附录，你显示他的超额收益伴随着时间而递减。伴随着他管理规模相比过去的不断庞大，你是否会认为最终巴菲特只能取得一个市场平均的收益率？</span></p> <p><span>爱德华.索普：投资（巴菲特的）伯克希尔哈撒韦有好有坏。悲哀的是，巴菲特和芒格正在老去。巴菲特巨大的在手现金降低了收益率的增长，但是提供了经济下行中的缓冲，以及给他在下行周期中提供了买入便宜货的机会。</span></p> <p><span>股票市场中的税收因素影响很大。你在卖出之前是不需要交税的。如果你持有股票的周期超过一年，税收对你更加友好，所以税率方面更加偏向拥有长期资本的机构。</span></p> <p><span>There are pros and cons to investing in Berkshire Hathaway now. Buffett and Munger are, sadly, aging out. Buffett's cashhoard reduces the rate of growth but buffers the downside and creates thechance to buy cheap in a downturn. The stock is taxefficient: you do not pay tax until you sell and, if you heldmore than a year, the tax is at the more favorable long termcapital gains rate.</span></p> <p><span>朱昂：我曾经在杰克.施瓦格中国行的活动中，和他进行了深度交流（去年杰克.施瓦格中国行活动，曾经作为独家主持人和他在上海、北京和深圳三地对话）。杰克.施瓦格告诉我，他访谈了那么多优秀的交易员，你是他见过最优秀的那个人。能否告诉我在你职业生涯中最好的那一笔交易是什么？</span></p> <p><span>爱德华.索普：在我的职业生涯中，我享受了许多交易。除了几千笔在期权、转债和统计套利上的那些“面包和黄油”交易，我享受了几次给我带来巨大机会的交易。</span></p> <p><span>其中的一笔交易是1987年10月19日美股黑色星期一，这一天市场暴跌了23%。在恐慌情绪中，第二天标普现货指数和期货指数脱钩。我通过在两者之间的对冲，几天内以非常小的风险，获得了15%的收益。（注：通过合理的对冲，爱德华.索普在整个1987年依然取得了正收益）</span></p> <p><span>另一次是1981年时，当时短期的美国国债收益率达到了15%。我买入2个月期的黄金，卖出14个月远期的黄金。持有这些黄金12个月给我带来了25%的价差收益。</span></p> <p><span>I have enjoyed many trades during my career. In addition to the thousands of \"bread and butter\" trades in options, convertibles and statistical arbitrage, I had fun with less frequent big opportunities. One was when the market fell 23% on October 19, 1987. In the panic the next day the S&amp;P cash index disconnected with thefutures. I hedged one against the other at very little risk and captured about 15% in a fewdays. Another was when short term U.S. Treasury Bills paid almost 15% interest in 1981. I was able to sellgold for delivery in 14 months and buy—for delivery to mein just two months-- the gold I would need. The price difference gave me a 25% net return for storing my gold for 12 months.</span></p> <p><span>朱昂：在当今的时代，你认为哪种投资方式能提供最好的风险收益比？</span></p> <p><span>爱德华.索普：一个人如何在今天的投资世界中，获得最好的风险收益比呢？如果你什么都不懂，我建议你通过低成本的指数基金来购买资产类别。分散化能降低你的风险。你在不同资产类别的配置会帮助你选择不同的风险回报特征。至少你能避免每年2%的交易成本、大部分没有价值的投资建议、资产管理人的收费以及券商金融产品设计者的收费。</span></p> <p><span>How does one getthe best risk-return payoff in today's investment world? If you knownothing, buy asset classes using low cost index funds. Diversification reduces your risk. Your allocation among asset classes allows you tochoose among risk-reward profiles. You eliminate an average 2% per year loss to trading costs, largely worthless investment advice, and feesto asset managers and to the originators of sell-side products.</span></p> <p><span>朱昂：在做了那么多年投资后，能否给我们再提供一些你的投资建议？</span></p> <p><span>爱德华.索普：在做了几十年的投资后，有几个有价值的建议我希望告诉他人：</span></p> <p><span>1.专家的意见经常是毫无价值的。你要独立思考。</span></p> <p><span>2.好好读一读塔勒布的书“随机漫步的傻瓜”。里面有一个重要的点，大部分公开“信息”都是“噪音”，这些都应该无视。</span></p> <p><span>3.如果你想为你自己做主动管理，而不是购买被动化产品，你应该要享受这个过程，并且在你擅长的地方去做。</span></p> <p><span>4.保持阅读和学习。</span></p> <p><span>5.金钱不是美好生活的全部，而是帮你获得美好的生活。在人生的某个阶段，你应该要说“我已经有足够多的钱了”。</span></p> <p><span>Here are a fewthings I learned during my decades of investing which may be of value toothers:</span></p> <ol> \n <li><p><span>Expert opinion isfrequently worthless. Do your own thinking.</span></p></li> \n <li><p><span>Read Nassim Taleb’s book \"Fooled by Randomness.\" It makes the point that most of thepublic \"information\" is \"noise\" which should be ignored.</span></p></li> \n <li><p><span>If you want to gobeyond index investing and actively managemoney for yourself or others, you should enjoy it and it shoulduse skills you are good at.</span></p></li> \n <li><p><span>Continue toread and learn.</span></p></li> \n <li><p><span>Money isnot an end but rather a means to a better life. You should be able, at some point, to say \"I have enough.\"</span></p></li> \n</ol> <p></p> <p></p></body></html>","htmlText":"<html><head></head><body><p><b><span>文|点拾投资朱昂</span></b></p> <p><span><b>导读：</b></span><span>去年我给大家推荐了“最被低估的投资大师”爱德华.索普。当时许多人对这个名字感到陌生，而事实上爱德华.索普是市场中性策略开创人，也是最早将计算机量化模型运用到投资中的。他还是唯一一个，既打败了拉斯维加斯赌场，又打败了华尔街的人。</span></p> <p><span>几个月前，关于爱德华.索普自传的中文版《战胜一切市场的人》推出，我就给大家做了推荐，并且联合中信出版社给粉丝送了五本书。最近非常感谢中信出版社牵线搭桥，让我通过邮件的方式和爱德华.索普进行了一次线上的访谈。</span></p> <p><span>朱昂：在你管理对冲基金的年代，你取得了惊人的业绩（注：在爱德华索普管理其对冲基金的1969到1979年，他取得了17.7%的年化收益率，同期标普500包含了分红的年化回报率是4.6%，而且爱德华索普波动率更低）。如果你今天管理一个对冲基金，你会有什么改变吗？</span></p> <p><span>爱德华.索普：如果在今天我要管理一只对冲基金，就如同过去一样，我在此前要向投资者证明，我能够提供风险调整后的收益（Alpha）或者我通过竞争优势提高的夏普比例。当然，这一切都要扣除费用、成本和税收。有两个重要的原则：</span></p> <p><span>1）先用你自己的钱证明（注：爱德华索普第一次见到巴菲特时，问巴菲特：为什么大家愿意把钱交给你来管理？巴菲特笑着回答：因为我告诉他们，我自己通过价值投资成为了百万富翁。）</span></p> <p><span>2）如果你真的开创自己的基金，确保将你自己财富的大部分钱也投入到这只基金中，这样你的利益和客户的利益是一致的。用巴菲特的话说：吃你自己做的菜（eating your own cooking）</span></p> <p><span>If I were to manage a hedge fund today, it would only be if—as before—Icould provide the investors with excess risk-adjusted return (alpha) or adiversification edge which improved their Sharpe ratio. Ofcourse this would be net of all fees, expenses and taxes. Two important principles: prove your ideas using your own moneyfirst, and if you do start a fund, be sure to invest most ofyour wealth in it so you align your interests more closely with yourinvestors. Buffett calls it \"eating your own cooking.\"</span></p> <p><span>朱昂：你开创了市场中性的投资方式，特别是一开始用了可转债套利的策略。当市场变得越来越有效后，套利的机会是否会消失？</span></p> <p><span>爱德华.索普：每个人对于“套利”（arbitrage）的定义不同。纯粹的套利锁定利润。套利还被看做对于交易的风险减少，比如对冲、并购和统计套利。这些套利依然会伴随着市场进化而持续，也会被一些重大事件扰动（工程师会把这个看做短暂冲击，以及长期回归“平稳状态”的趋势）。</span></p> <p><span>What people call \"arbitrage\" varies. Pure arbitrage locksin a profit. The term is also widely used to refer torisk-reducing trades like hedging, mergers andstatistical arbitrage. All these are likely tocontinue to appear as markets evolve and asthey are disturbed by major events (engineers might visualize these as transient shocks vs. a tendency to return to \"steadystate.\")</span></p> <p><span>朱昂：你如何看待今天的量化投资和基本面投资者（注：爱德华.索普开创了量化投资的先河，比西蒙斯还要早，也是城堡基金创始人的天使投资人）</span></p> <p><span>爱德华.索普：市场会持续回报量化和基本面投资者，然而电脑运算能力、人工智能、大数据会变得更加重要。诸如内幕交易、欺诈、政策导向的市场功能会持续为他们的参与者创造收益。</span></p> <p><span>The markets will continue to reward both quantitative and fundamental investors, however computer power, artificial intelligence, and big data willbecome increasingly important. Market features like insider trading, fraud, and political favoritism will continue to produce profits for their practitioners.</span></p> <p><span>朱昂：在你的书中，你多次提到了巴菲特。其中在书本的附录，你显示他的超额收益伴随着时间而递减。伴随着他管理规模相比过去的不断庞大，你是否会认为最终巴菲特只能取得一个市场平均的收益率？</span></p> <p><span>爱德华.索普：投资（巴菲特的）伯克希尔哈撒韦有好有坏。悲哀的是，巴菲特和芒格正在老去。巴菲特巨大的在手现金降低了收益率的增长，但是提供了经济下行中的缓冲，以及给他在下行周期中提供了买入便宜货的机会。</span></p> <p><span>股票市场中的税收因素影响很大。你在卖出之前是不需要交税的。如果你持有股票的周期超过一年，税收对你更加友好，所以税率方面更加偏向拥有长期资本的机构。</span></p> <p><span>There are pros and cons to investing in Berkshire Hathaway now. Buffett and Munger are, sadly, aging out. Buffett's cashhoard reduces the rate of growth but buffers the downside and creates thechance to buy cheap in a downturn. The stock is taxefficient: you do not pay tax until you sell and, if you heldmore than a year, the tax is at the more favorable long termcapital gains rate.</span></p> <p><span>朱昂：我曾经在杰克.施瓦格中国行的活动中，和他进行了深度交流（去年杰克.施瓦格中国行活动，曾经作为独家主持人和他在上海、北京和深圳三地对话）。杰克.施瓦格告诉我，他访谈了那么多优秀的交易员，你是他见过最优秀的那个人。能否告诉我在你职业生涯中最好的那一笔交易是什么？</span></p> <p><span>爱德华.索普：在我的职业生涯中，我享受了许多交易。除了几千笔在期权、转债和统计套利上的那些“面包和黄油”交易，我享受了几次给我带来巨大机会的交易。</span></p> <p><span>其中的一笔交易是1987年10月19日美股黑色星期一，这一天市场暴跌了23%。在恐慌情绪中，第二天标普现货指数和期货指数脱钩。我通过在两者之间的对冲，几天内以非常小的风险，获得了15%的收益。（注：通过合理的对冲，爱德华.索普在整个1987年依然取得了正收益）</span></p> <p><span>另一次是1981年时，当时短期的美国国债收益率达到了15%。我买入2个月期的黄金，卖出14个月远期的黄金。持有这些黄金12个月给我带来了25%的价差收益。</span></p> <p><span>I have enjoyed many trades during my career. In addition to the thousands of \"bread and butter\" trades in options, convertibles and statistical arbitrage, I had fun with less frequent big opportunities. One was when the market fell 23% on October 19, 1987. In the panic the next day the S&amp;P cash index disconnected with thefutures. I hedged one against the other at very little risk and captured about 15% in a fewdays. Another was when short term U.S. Treasury Bills paid almost 15% interest in 1981. I was able to sellgold for delivery in 14 months and buy—for delivery to mein just two months-- the gold I would need. The price difference gave me a 25% net return for storing my gold for 12 months.</span></p> <p><span>朱昂：在当今的时代，你认为哪种投资方式能提供最好的风险收益比？</span></p> <p><span>爱德华.索普：一个人如何在今天的投资世界中，获得最好的风险收益比呢？如果你什么都不懂，我建议你通过低成本的指数基金来购买资产类别。分散化能降低你的风险。你在不同资产类别的配置会帮助你选择不同的风险回报特征。至少你能避免每年2%的交易成本、大部分没有价值的投资建议、资产管理人的收费以及券商金融产品设计者的收费。</span></p> <p><span>How does one getthe best risk-return payoff in today's investment world? If you knownothing, buy asset classes using low cost index funds. Diversification reduces your risk. Your allocation among asset classes allows you tochoose among risk-reward profiles. You eliminate an average 2% per year loss to trading costs, largely worthless investment advice, and feesto asset managers and to the originators of sell-side products.</span></p> <p><span>朱昂：在做了那么多年投资后，能否给我们再提供一些你的投资建议？</span></p> <p><span>爱德华.索普：在做了几十年的投资后，有几个有价值的建议我希望告诉他人：</span></p> <p><span>1.专家的意见经常是毫无价值的。你要独立思考。</span></p> <p><span>2.好好读一读塔勒布的书“随机漫步的傻瓜”。里面有一个重要的点，大部分公开“信息”都是“噪音”，这些都应该无视。</span></p> <p><span>3.如果你想为你自己做主动管理，而不是购买被动化产品，你应该要享受这个过程，并且在你擅长的地方去做。</span></p> <p><span>4.保持阅读和学习。</span></p> <p><span>5.金钱不是美好生活的全部，而是帮你获得美好的生活。在人生的某个阶段，你应该要说“我已经有足够多的钱了”。</span></p> <p><span>Here are a fewthings I learned during my decades of investing which may be of value toothers:</span></p> <ol> \n <li><p><span>Expert opinion isfrequently worthless. Do your own thinking.</span></p></li> \n <li><p><span>Read Nassim Taleb’s book \"Fooled by Randomness.\" It makes the point that most of thepublic \"information\" is \"noise\" which should be ignored.</span></p></li> \n <li><p><span>If you want to gobeyond index investing and actively managemoney for yourself or others, you should enjoy it and it shoulduse skills you are good at.</span></p></li> \n <li><p><span>Continue toread and learn.</span></p></li> \n <li><p><span>Money isnot an end but rather a means to a better life. You should be able, at some point, to say \"I have enough.\"</span></p></li> \n</ol> <p></p> <p></p></body></html>","text":"文|点拾投资朱昂 导读：去年我给大家推荐了“最被低估的投资大师”爱德华.索普。当时许多人对这个名字感到陌生，而事实上爱德华.索普是市场中性策略开创人，也是最早将计算机量化模型运用到投资中的。他还是唯一一个，既打败了拉斯维加斯赌场，又打败了华尔街的人。 几个月前，关于爱德华.索普自传的中文版《战胜一切市场的人》推出，我就给大家做了推荐，并且联合中信出版社给粉丝送了五本书。最近非常感谢中信出版社牵线搭桥，让我通过邮件的方式和爱德华.索普进行了一次线上的访谈。 朱昂：在你管理对冲基金的年代，你取得了惊人的业绩（注：在爱德华索普管理其对冲基金的1969到1979年，他取得了17.7%的年化收益率，同期标普500包含了分红的年化回报率是4.6%，而且爱德华索普波动率更低）。如果你今天管理一个对冲基金，你会有什么改变吗？ 爱德华.索普：如果在今天我要管理一只对冲基金，就如同过去一样，我在此前要向投资者证明，我能够提供风险调整后的收益（Alpha）或者我通过竞争优势提高的夏普比例。当然，这一切都要扣除费用、成本和税收。有两个重要的原则： 1）先用你自己的钱证明（注：爱德华索普第一次见到巴菲特时，问巴菲特：为什么大家愿意把钱交给你来管理？巴菲特笑着回答：因为我告诉他们，我自己通过价值投资成为了百万富翁。） 2）如果你真的开创自己的基金，确保将你自己财富的大部分钱也投入到这只基金中，这样你的利益和客户的利益是一致的。用巴菲特的话说：吃你自己做的菜（eating your own cooking） If I were to manage a hedge fund today, it would only be if—as before—Icould provide the investors with excess risk-adjusted return (alpha) or adiversification edge which improved their Sharpe ratio. Ofcourse this would be net of all fees, expenses and taxes. Two important principles: prove your ideas using your own moneyfirst, and if you do start a fund, be sure to invest most ofyour wealth in it so you align your interests more closely with yourinvestors. Buffett calls it \"eating your own cooking.\" 朱昂：你开创了市场中性的投资方式，特别是一开始用了可转债套利的策略。当市场变得越来越有效后，套利的机会是否会消失？ 爱德华.索普：每个人对于“套利”（arbitrage）的定义不同。纯粹的套利锁定利润。套利还被看做对于交易的风险减少，比如对冲、并购和统计套利。这些套利依然会伴随着市场进化而持续，也会被一些重大事件扰动（工程师会把这个看做短暂冲击，以及长期回归“平稳状态”的趋势）。 What people call \"arbitrage\" varies. Pure arbitrage locksin a profit. The term is also widely used to refer torisk-reducing trades like hedging, mergers andstatistical arbitrage. All these are likely tocontinue to appear as markets evolve and asthey are disturbed by major events (engineers might visualize these as transient shocks vs. a tendency to return to \"steadystate.\") 朱昂：你如何看待今天的量化投资和基本面投资者（注：爱德华.索普开创了量化投资的先河，比西蒙斯还要早，也是城堡基金创始人的天使投资人） 爱德华.索普：市场会持续回报量化和基本面投资者，然而电脑运算能力、人工智能、大数据会变得更加重要。诸如内幕交易、欺诈、政策导向的市场功能会持续为他们的参与者创造收益。 The markets will continue to reward both quantitative and fundamental investors, however computer power, artificial intelligence, and big data willbecome increasingly important. Market features like insider trading, fraud, and political favoritism will continue to produce profits for their practitioners. 朱昂：在你的书中，你多次提到了巴菲特。其中在书本的附录，你显示他的超额收益伴随着时间而递减。伴随着他管理规模相比过去的不断庞大，你是否会认为最终巴菲特只能取得一个市场平均的收益率？ 爱德华.索普：投资（巴菲特的）伯克希尔哈撒韦有好有坏。悲哀的是，巴菲特和芒格正在老去。巴菲特巨大的在手现金降低了收益率的增长，但是提供了经济下行中的缓冲，以及给他在下行周期中提供了买入便宜货的机会。 股票市场中的税收因素影响很大。你在卖出之前是不需要交税的。如果你持有股票的周期超过一年，税收对你更加友好，所以税率方面更加偏向拥有长期资本的机构。 There are pros and cons to investing in Berkshire Hathaway now. Buffett and Munger are, sadly, aging out. Buffett's cashhoard reduces the rate of growth but buffers the downside and creates thechance to buy cheap in a downturn. The stock is taxefficient: you do not pay tax until you sell and, if you heldmore than a year, the tax is at the more favorable long termcapital gains rate. 朱昂：我曾经在杰克.施瓦格中国行的活动中，和他进行了深度交流（去年杰克.施瓦格中国行活动，曾经作为独家主持人和他在上海、北京和深圳三地对话）。杰克.施瓦格告诉我，他访谈了那么多优秀的交易员，你是他见过最优秀的那个人。能否告诉我在你职业生涯中最好的那一笔交易是什么？ 爱德华.索普：在我的职业生涯中，我享受了许多交易。除了几千笔在期权、转债和统计套利上的那些“面包和黄油”交易，我享受了几次给我带来巨大机会的交易。 其中的一笔交易是1987年10月19日美股黑色星期一，这一天市场暴跌了23%。在恐慌情绪中，第二天标普现货指数和期货指数脱钩。我通过在两者之间的对冲，几天内以非常小的风险，获得了15%的收益。（注：通过合理的对冲，爱德华.索普在整个1987年依然取得了正收益） 另一次是1981年时，当时短期的美国国债收益率达到了15%。我买入2个月期的黄金，卖出14个月远期的黄金。持有这些黄金12个月给我带来了25%的价差收益。 I have enjoyed many trades during my career. In addition to the thousands of \"bread and butter\" trades in options, convertibles and statistical arbitrage, I had fun with less frequent big opportunities. One was when the market fell 23% on October 19, 1987. In the panic the next day the S&P cash index disconnected with thefutures. I hedged one against the other at very little risk and captured about 15% in a fewdays. Another was when short term U.S. Treasury Bills paid almost 15% interest in 1981. I was able to sellgold for delivery in 14 months and buy—for delivery to mein just two months-- the gold I would need. The price difference gave me a 25% net return for storing my gold for 12 months. 朱昂：在当今的时代，你认为哪种投资方式能提供最好的风险收益比？ 爱德华.索普：一个人如何在今天的投资世界中，获得最好的风险收益比呢？如果你什么都不懂，我建议你通过低成本的指数基金来购买资产类别。分散化能降低你的风险。你在不同资产类别的配置会帮助你选择不同的风险回报特征。至少你能避免每年2%的交易成本、大部分没有价值的投资建议、资产管理人的收费以及券商金融产品设计者的收费。 How does one getthe best risk-return payoff in today's investment world? If you knownothing, buy asset classes using low cost index funds. Diversification reduces your risk. Your allocation among asset classes allows you tochoose among risk-reward profiles. You eliminate an average 2% per year loss to trading costs, largely worthless investment advice, and feesto asset managers and to the originators of sell-side products. 朱昂：在做了那么多年投资后，能否给我们再提供一些你的投资建议？ 爱德华.索普：在做了几十年的投资后，有几个有价值的建议我希望告诉他人： 1.专家的意见经常是毫无价值的。你要独立思考。 2.好好读一读塔勒布的书“随机漫步的傻瓜”。里面有一个重要的点，大部分公开“信息”都是“噪音”，这些都应该无视。 3.如果你想为你自己做主动管理，而不是购买被动化产品，你应该要享受这个过程，并且在你擅长的地方去做。 4.保持阅读和学习。 5.金钱不是美好生活的全部，而是帮你获得美好的生活。在人生的某个阶段，你应该要说“我已经有足够多的钱了”。 Here are a fewthings I learned during my decades of investing which may be of value toothers: Expert opinion isfrequently worthless. Do your own thinking. Read Nassim Taleb’s book \"Fooled by Randomness.\" It makes the point that most of thepublic \"information\" is \"noise\" which should be ignored. If you want to gobeyond index investing and actively managemoney for yourself or others, you should enjoy it and it shoulduse skills you are good at. Continue toread and learn. Money isnot an end but rather a means to a better life. 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