05 Sep 2020
The paradox of higher returns with lower risk
2017年 Mark Spitznagel 录了个简单的视频讲自己的投资思路，周末看视频时候为了加深印象干脆把的他讲的重点也敲了出来。核心是用极低地成本采购“保险”，当资本市场发生暴跌时，保险“赔付”的现金可以使他在低位时买入优质资产。当市场风平浪静时，这个组合可能表现很差，因为支付了“保险费”。这类投资方法在国外叫“黑天鹅”投资，大部分这样的基金活的都不太好，作者经营的Universa Investments是个例外。
由于作者没有公布自己的具体策略，于是找了一个开源的VXTH指数参考，可以看到在世道太平的时候业绩表现落后于spy，今年的新冠发生后开始超越
我想将它融入到我自己的组合中，这个思路是对我当前策略的一个很好的补充。现在我的投资是，在认可的标的上近乎不顾成本地买入，接着就超长期的持有只增不减。在这个过程中一定会把泡沫也买进来，不过市场总有挤压泡沫的时候。为了应对泡沫破裂，我会保留大约一半现金，用于市场下行时买入优质资产。如果运用得当，下一次风险发生时我应该也有更多的现金可以买入。
视频重点
We all want higher returns with lower risk but of course the two are seen as a trade off . Traditional asset allocation deals with this by striking a balance between risky and less risky assets typically between stocks and bonds.
Think of your portfolio as a pie we can slice it in two different pieces by these different allocations the size of each piece representing its relative size in your portfolio.An portfolio an allocation of 60% to stock and 40% to bonds is a pretty standard simple pie in the investment world.
The idea behind this typical weighting as you can see here is that these two slices stocks and bonds balance each other in terms of their risks. They typically go up and down in opposite directions or at least don’t often collapse together so over long periods of time and over many environments this combination should do pretty well hopefully better than average.
Some take this balancing act even further adding more slices for credit spreads real estate emerging markets and so on, and many smart people with all kinds of compicated formulas and forecasts and a lot of capital work to fine-tune this intricate balance, the point here is the same.
The problem is all this fine-tuning doesn’t always work out so well.
All of these slices at times can get distorted and manipulated into bubbles, as central banks compress interest rates and lure investors into ever riskier assets.
There’s immense pressure to add to the slices with the highest yield and best performance, and we find ourselves chasing the most immediately gratifying as well as the most expensive and riskiest assets and also comming to these cereal bubbles.
We even find ourselves here today or not owning enough high returning assets like stocks feels foolish like missing an opportunity to a very risky one.
You could take a tiny sliver of a slice of your portfolio pie and invested in something that does even better when the bigger slice stocks goes down.
Notice how profits in this tiny slice essentially cancel out the losses in the stocks.this loss cancellation allows you to actually take more risk in stocks, and of course being such a tiny slice it couldn’t hurt you much when stocks rise, especially compared to what you gain with your larger stock position no matter how far that sliver goes down
This sliver this acts very much like an insurance hedge hence the name tail insurance or tail hedge by allocating say just 1% of your portfolio to the tail hedge sliver as universe does by owning put options.
source: https://www.youtube.com/watch?v=9mfnSM0k9jY