6. Guest Speaker David Swensen - YouTube
发布时间 2012-04-04 16:00:00 来源
I already talked about our guest today, but this is David Swenson, who, remember I said he was the inventor of the swap, which is a real claim to fame because Swaps total in the hundreds of millions. It's amazing. I thought this was going to be a polite introduction. I used to be proud of the swap thing, but that was before the crisis. Well, that's financial innovation. innovation. I think Swaps are very important in new We've been talking about that.
我之前已经提到了我们今天的嘉宾，但这位是大卫·斯文森，记得我说过他是掉期交易的发明人，这让他非常有名。因为掉期交易总额达数亿美元，这真是太厉害了。我本以为这会是一个礼貌的介绍，但在金融危机之前，我曾为掉期交易感到骄傲。这就是金融创新。我认为，掉期交易在新经济中非常重要。我们已经在谈论这个了。
So anyway, just to remind you, David Swenson came to Yale in 1985 when the portfolio was worth less than a billion, less than one billion. And as of June 2010, it's 16.7 billion. And climbing. And climbing. Okay. This is a financial crisis, but between 2009 and 2010, the portfolio went up 1.4 billion. So there's no crisis out here. Well, there was a little hitch at one point, but that kind of thing happens.
总之，提醒一下大家，David Swenson于1985年来到耶鲁时，投资组合价值不到10亿美元。到2010年6月，其价值已达167亿美元，并且还在不断增长。尽管有金融危机的影响，但在2009至2010年间，该投资组合增加了14亿美元，因此在这里不存在危机。虽然曾经出现了一些小问题，但这种情况经常发生。
And David Swenson also, I take pride in training young people and finance. David Swenson has done the same with many young people. And notably Andrew Golden, who heads the Princeton portfolio, is one of your trainees. And he's had a similarly almost as spectacular record as well. Well, with that introduction, I will turn it over to David Swenson. Thank you.
我也和David Swenson一样，很自豪能够培训年轻人进行财务方面的工作。David Swenson曾经培训过很多年轻人，其中包括普林斯顿投资组合的负责人Andrew Golden。他也有着几乎同样出色的成绩。那么，在这个介绍之后，我将把发言权交给David Swenson。谢谢。
So I've been at Yale for, I guess, more than 25 years now. And for most of the 25 years, if there was any publicity, the publicity was pretty good. For the past couple of years, it's been a little bit mixed. And I liked it better before the publicity was mixed. I liked it when every article that you would read had something great to say about the Yale approach or the Swenson model.
我在耶鲁大学已经待了超过25年了。在这25年中的大部分时间里，如果有任何媒体宣传，那宣传都是非常好的。但是在过去几年里，情况有些复杂了。我更喜欢过去宣传一直非常好的情形。我更喜欢每读一篇文章都会对耶鲁方法或Swenson模型有正面评价的情况。
But after the collapse of Lehman brothers and the onset of the financial crisis, it didn't take very long for the negative headlines to appear. In my back, I carry around this barren's article that appeared in November 2008. And the title was Crash Course. And it talked about college's cutting budgets, freezing hiring, scaling back building projects. And it blamed the Yale model and the Swenson approach for being too aggressive.
但在雷曼兄弟的破产和金融危机的到来之后，负面头条没等多久就出现了。我随身携带着这篇出现在2008年11月的巴伦文章。标题是“崩溃课程”，讲述了大学削减预算，冻结招聘，缩减建筑项目的情况。并责备耶鲁模型和斯文森方法过于激进。
They said in barren's that university endowment should own more stocks and bonds, less than alternatives, because the alternatives provided too little diversification and too little liquidity. So I thought what we could do today is jumping off point is talk about what it is that barren's meant when they were talking about the Swenson approach or the Yale model. And I think when it was successful, it was the Yale model and when it failed, it was the Swenson approach, which I really don't like. There's an asymmetry there.
他们说巴伦杂志上，大学捐赠基金应该拥有更多的股票和债券，而不是其他的投资品种，因为其他投资提供的分散化和流动性太少。所以我想今天我们可以从这里开始，谈谈巴伦杂志在谈论 Swenson 方法或耶鲁模型时的意思。我认为当它成功的时候，它是耶鲁模型，而当它失败的时候，它就成了我非常不喜欢的 Swenson 方法。这里存在一种不对称性。
I keep thinking that I should name it after one of the guys in the office. And maybe it should be the Takahashi approach instead of the Swenson approach. It's time for him to have some glory, right? Talk about what it is that barren's meant by the Swenson approach or the Yale model and see whether indeed the criticisms that they lovey, that there's too little diversification and too little liquidity whether those criticisms are valid.
我一直在考虑是否应该以办公室里的某个人的名字来命名它。也许它应该是“高桥方法”而不是“斯文森方法”。是时候让他获得一些荣耀了，对吧？谈谈巴恩斯所说的斯文森方法或耶鲁模型，并看看他们所喜爱的批评是否有效，即是否存在过少的分散化和流动性不足的问题。
But to do that, let's go back to 1985 when I first arrived at Yale. It was April 1st, 1985 for those of you who care about April Fool's Day. I came from a six year stint on Wall Street and I had no significant portfolio management experience.
但是，为了达到这个目标，让我们回到1985年我第一次来到耶鲁的时候。那是4月1日，对于那些关心愚人节的人来说。我之前在华尔街呆了六年，没有重要的资产组合管理经验。
As Bob mentioned in his introduction, I'd been involved with structuring the first swap transaction in 1981 when I worked for Solomon Brothers. It was a swap between IBM and the World Bank and later Lehman Brothers hired me to set up their swap operations. So generally what I was doing on Wall Street was working with new financial technologies and being involved with the early days of swap transactions.
正如Bob在介绍中提到的那样，我曾在Solomon Brothers工作时参与了1981年的第一笔互换交易的结构安排。这是一项IBM和世界银行之间的交易，后来Lehman Brothers雇用我来建立他们的互换业务。因此，我在华尔街所做的大致上是与新的金融技术打交道，并参与早期的互换交易活动。
It was a much smaller market than it was hundreds of trillions. It was a much less efficient market then so the trades were incredibly profitable. Commodities swaps today, trade on razors, thin margins and tend not to be anywhere near as profitable as they were when the markets were less efficient.
这个市场现在比数百万亿时期小得多。当时市场效率也较低，交易极其有利可图。如今，商品互换的交易则以极为薄利为主，盈利远不如市场效率低时那么丰厚。
How'd I end up at Yale? Well one of my dissertation advisors called me and said they needed somebody to manage the portfolio and after coming to New Haven and talking to them about the job I realized that my heart wasn't in Wall Street, my heart was in the world of education and at Yale in particular so I came up here amazed that I was responsible as chief investment officer for this portfolio. It was less than a billion but close to a billion.
我是如何来到耶鲁大学的呢？我的一个论文导师给我打了电话，称他们需要有人来管理投资组合。我来到纽黑文市跟他们谈论这份工作，意识到我的兴趣不在于华尔街，而在于教育领域，尤其是耶鲁大学。于是我来到了这里，惊讶地发现我作为首席投资官负责管理这个投资组合。虽然资产量不到10亿美元，但也接近这个数字。
And the first thing I did was I looked around to see what other people were doing. That seemed like a sensible way to approach the portfolio management problem. There must be some smart people at Harvard or Princeton or Stanford putting together portfolios that make sense for endowed institutions.
我做的第一件事就是四处寻找其他人在做什么。这似乎是解决投资组合管理问题的明智方法。 哈佛或普林斯顿或斯坦福一定有一些聪明人正在为捐赠机构整理合理的投资组合。
What I saw was that colleges and universities had on average 50% of their portfolio in US stocks, 40% of their portfolio in US bonds and cash and 10% in a smattering of alternatives. Even though I had no direct portfolio management experience, I had studied at Yale and Jim Tobin and Bill Brainerd were my dissertation advisors and I understood some of the basic principles of corporate finance.
我看到的是，大学平均将50%的投资组合用于美国股票，40%用于美国债券和现金，另外有10%用于其他领域的投资。虽然我没有直接的投资组合管理经验，但我在耶鲁大学学习过，吉姆·托宾和比尔·布雷纳德是我的论文指导教师，我理解一些企业财务的基本原则。
And one of the first things that you learn when you study finance theory is that diversification is a great thing. Jim Tobin won the Nobel Prize in part for his work related to the subject of diversification in fact when a New York Times reporter asked Jim to explain in layman's terms what it was that he won the Nobel Prize for. Jim said, well I guess you could say don't put all your eggs in one basket.
当你学习金融理论时，你最先学会的一件事情就是多样化是好事。事实上，吉姆·托宾的部分工作涉及多样化主题，所以他获得了诺贝尔奖，当一位纽约时报记者要求吉姆用通俗易懂的语言解释他获得诺贝尔奖的原因时，吉姆说，我想你可以说不要把所有的鸡蛋放在一个篮子里。
I didn't know you got a Nobel Prize for that but that's. We've told our students that that's playing with those types of things. Okay so if it goes back 1802 Jim was just picking up on the vernacular and used it as a way to describe what it is that he did his work for. And Harry Markowitz who actually did a fair amount of his work on modern portfolio theory at Yale's Coles Foundation has said that diversification is a free lunch.
我不知道你因为那个获得了诺贝尔奖，但那不重要。我们告诉我们的学生这是在"玩弄"这种东西。好的，如果回到1802年，Jim只是从俗语中获得了灵感，并用它来描述他所做的工作。事实上，在耶鲁大学的科尔斯基金会，做了相当多的现代投资组合理论工作的Harry Markowitz曾经说过，多元化是一个免费午餐。
I mean didn't you learn and introduce economics and intermediate that there ain't no such thing as a free lunch. Economists are always talking about trade offs if you want more of this you have less of that. Well with diversification that's not true right. If you diversify your portfolio for a given level of return you can generate that return at lower risk. If you diversify for a given level of risk you can generate higher return. So diversification is this great thing. It's a free lunch. It's something that everybody should embrace.
我的意思是你学习并介绍了经济学和中级经济学，应该知道不存在免费午餐的概念。经济学家总是讲到权衡，如果你想要更多的某种东西，就必须减少其他方面。但是，通过分散投资，这个观点是不正确的。如果你为了获得一定的回报率而分散你的投资组合，你可以以更低的风险获得这个回报率。如果你为了达到一定的风险水平进行分散投资，你可以获得更高的回报。所以，分散投资是一件非常好的事情。这是一个免费的午餐。每个人都应该拥抱它。
Well if you look at the portfolios that I saw in the world of endowment investing in the mid 1980s they weren't diversified right. If you've got half of your assets in a single asset class US stocks and you have 90% of your assets in US marketable securities you're not diversified. Half your assets in a single asset class is way too much. And the 90% that are in stocks and bonds under many circumstances will respond to the same driver of returns interest rates in the same way right.
如果你看看上世纪80年代中期捐赠投资界的投资组合，你会发现它们并没有很好地分散风险。如果你有一半的资产都投资在美国股市上，而你90%的资产都是投资在美国流通证券上，那么你就不是很分散风险。一半的资产都投资在同一个资产类别上太过集中了。而且，在许多情况下，你90%的资产都在股票和债券中，它们对于同样的利率变化也会以同样的方式回应。
Lower interest rates mathematically are good for bonds and lower interest rates lower the discount rate that you use to discount future earnings streams so they're probably going to be good for stocks too. And vice versa. And the second thing I thought about was the notion that endowments have a longer time horizon than any investor that I know. And if you've got a long time horizon you should be rewarded by accepting equity risks because those equity risks even though they might not reward you in the short run will reward you in the long run.
降低利率数学上对债券有好处，降低利率还会降低你用来折现未来收益流的折现率，所以这对股票也可能有好处。反之亦然。我想到的第二件事是捐赠基金的时域比我所知道的任何投资者都要长。如果您有长时间的投资视角，那么您应该通过承担股权风险来获得回报，因为即使这些股权风险可能在短期内不能回报您，但在长期，它们将会为您带来回报。
So with a mission as a manager of an endowment to preserve the purchasing power of the portfolio and perpetuity I expected that other endowments would have substantial equity exposures to take advantage of the fact that in the long run that's where you're going to generate the greatest returns. And if you think about those endowment allocations that I saw in the mid 1980s 40% of the assets were in bonds and cash which are low expected return assets.
所以作为一个基金会经理，我的任务是保护基金组合的购买力和永久性，我预计其他基金会会有较大的股权投资，以利用事实，长期来看股权将会产生最大的回报。如果你思考我在1980年代中期看到的基金配置，其中40%的资产投资于债券和现金，这些都是低预期回报的资产。
So the portfolios that I saw when I got to Yale failed the basic common sense tests of diversification and equity orientation and prompted me and my colleagues to go down a different path to put together a portfolio that had reasonable exposure to equities and put together a portfolio that was sensibly diversified.
当我去耶鲁时所看到的投资组合没有考虑多样化和公正性取向的基本常识，因此我和我的同事们走上了不同的道路，组合了一个合理暴露于股票的投资组合，并合理多样化投资组合。
So I'd like to talk about how it is that we got from where we were in the mid 80s to where we ended up in the early to mid 90s and where we remained today. And to do that I'd like to put it in the context of the basic tools that we have available to us as investors.
我想谈谈我们是如何从80年代中期的情况走到90年代早期和中期以及现今的局面。为了做到这一点，我想把它放在投资者可用的基本工具的背景中来讲解。
And these tools are the tools that you can employ if you're managing your portfolio as an individual or the tools that I have to employ when I'm managing Yale's portfolios and institutional investor. And they're basically three things that you can do to affect your returns.
这些工具可以帮助你在个人投资组合管理时使用，也是我在管理耶鲁大学及机构投资者投资组合时需要使用的工具。它们基本上可以分为三种类型，能够影响你的回报率。
First of all, you can decide what assets you're going to have in the portfolio and in which proportions you'll hold those assets. So that's the asset allocation decision. How much in domestic stocks, how much in foreign stocks, how much in real estate, if you're an institutional investor, how much in timber, how much in leverage buyouts, how much in venture capital.
首先，你可以决定你的投资组合中将拥有哪些资产以及在什么比例下持有这些资产。因此，这就是资产配置决策。包括分配多少比例在国内股票、外国股票、房地产上，如果你是机构投资者，那么在木材、杠杆收购、风险投资方面的比例也要考虑。
Fundamental decision of how it is that the portfolio assets are allocated. The second thing that you can do is make a market timing decision. So if you've established targets for your portfolio, targets with respect to how much in domestic stocks, how much in domestic bonds, how much in foreign stocks.
这个基本决定就是如何分配投资组合资产的决定。其次，你可以做一个市场定时决策。因此，如果你已经为你的投资组合设定了目标，包括国内股票投资比例，国内债券投资比例和国外股票投资比例等等。
And then, because in the short run, you think that let's say domestic stocks are expensive and foreign stocks are cheap, you decide to hold more foreign stocks and less in domestic stocks. That bet, that short term bet against your long term targets is a market timing decision. And the returns that are attributable to that deviation from your long term targets are the returns that would be attributable to market timing.
然后，因为在短期内，你认为国内股票很贵，而外国股票很便宜，因此你决定持有更多的外国股票，少持有国内股票。这个决策是一种市场定时决策，因为它短期赌注与你的长期目标相悖。那些由于偏离长期目标而带来的收益，就是可归因于市场定时的收益。
And the third source of returns has to do with security selection. So you've got your allocation to domestic equities. If you buy the market and the way that you buy the market is to buy an index fund that holds all of the securities in the market in the proportions that they exist in the market. If you buy the market, then your returns to security selection are zero, because your portfolio is going to perform in line with the market. But if you make security selection bets, if you decide that you want to try and beat the market, then that bet or that series of bets will define your returns attributable to security selection.
回报来源的第三个方面与证券选择有关。您在国内股票分配方面需要采取措施。如果您购买股市，并且购买股市的方式是购买持有所有市场证券的指数基金，这些证券在市场中的比例相同。如果您购买市场，则您的证券选择回报率为零，因为您的投资组合将与市场一致。但是，如果您下注于证券选择，如果您决定想要试图击败市场，则该下注或该系列下注将决定您的归因于证券选择的回报率。
So if you decide that you think the prospects are a Ford, are superior to the prospects of GM, well you want to overweight Ford and underweight GM. And if that turns out to be a good bet and you're rewarded because Ford outperforms in GM underperforms, then you have a positive return to security selection. If the converse is true, then you have a negative return to security selection. But one of the really important facts about security selection is that if you play for free, it's a zero sum game. Because if you've overweighted Ford and underweighted GM, there has to be some other investor or group of investors that are underweight Ford and overweight GM because this is all relative to the market. And so if you're overweight Ford and underweight GM and somebody else's underweight Ford and overweight GM, about the end of the day, the amount by which the winner wins equals the amount by which the loser loses. And so it's a zero sum game.
如果你认为福特公司的前景优于通用汽车公司，那么你需要增加福特的投资比重，减少通用汽车的比重。如果福特表现出色，通用汽车表现不佳，你将获得正向的证券选择回报。反之，如果情况相反，你将收到负面的回报。但是，证券选择的一个非常重要的事实是，如果你的投资不需要花费，那么这是一个零和游戏。因为如果你增加了福特的投资，减少了通用汽车的投资，那么一定有其他投资者或一组投资者减少了福特的投资，增加了通用汽车的投资，因为这都是相对于市场而言的。所以，如果你增加了福特的投资，减少了通用汽车的投资，而其他人减少了福特的投资，增加了通用汽车的投资，到最后，赢家赢得的金额等于输家失去的金额。因此，这是一个零和游戏。
But of course, if you take into account the fact that it costs money to play the game, it turns into a negative sum game. And the negative sum is the amount that's siphoned off by Wall Street. And Wall Street takes its pound of flesh in the form of market impact and in the form of commissions and the form of fees that are charged to manage the portfolio actively. And then sometimes they even fees to consultants to choose the managers. So there's an enormous drain from the system that causes the active investment activity to be a negative sum game for those investors that decide to play.
当然，如果你考虑到玩游戏需要花费钱，那么它就变成了一款负和游戏。而这个负和游戏的金额被华尔街所吞噬。华尔街以市场冲击、佣金和积极管理投资组合需要收取的费用的形式获取它的利润。甚至有时它还要向顾问收取费用来选择经理人。因此，系统中存在着巨大的流失，这导致那些决定参与其中的投资者玩的是负和游戏。
So let's take these in turn and start out with asset allocation. Fessed allocation is far and away the most important tool that we have available to us as investors. And when I first started thinking about this 25 years ago, I thought, well, maybe there is some financial law that says that asset allocation is the most important tool because it seemed pretty obvious that that was going to be the most powerful determinant of returns. But it turns out that it's not really a law of finance that asset allocation dominates returns. It's a behavioral result of how it is that we as individual investors or we as institutional investors manage our portfolios.
那么，让我们依次来看这些内容，首先，我们从资产配置开始。资产配置是我们作为投资者可用的远远最重要的工具。当我25年前开始思考这个问题时，我认为，也许有一些金融法则说资产配置是最重要的工具，因为这显然是收益的最强决定因素。但事实证明，资产配置主导收益并不是金融法则，而是我们作为个人投资者或机构投资者管理我们的投资组合的行为结果。
If I make it back to my office traversing these icy sidewalks, I could go back. I could take Yale's $17 or $18 billion and put it all on Google stock. Now if I did that, I'm not sure how long I'd keep my job. That might be fun for a while, but that would probably be damaging to my employment prospects. But if I did that, asset allocation would have almost nothing to say about Yale's returns. It would be the idiosyncratic return associated with Google that would determine whether the endowment would up or down or stayed flat. And so security selection would be the overwhelming, important determinant of returns for Yale's endowment.
如果我能穿过这些冰冷的人行道回到办公室，我就可以回去了。我可以把耶鲁的 170 或 180 亿美元全部投资在谷歌股票上。如果我这样做了，我不确定我能保住我的工作多长时间。那可能有一段时间很有趣，但那可能会损害我的就业前景。但是，如果我这样做了，资产配置几乎无法影响耶鲁的回报。决定耶鲁基金的涨跌或持平的是与谷歌相关的特异回报。因此，证券选择将成为耶鲁基金回报的压倒性重要决定因素。
And if it wasn't exciting enough to sell everything and put it all on Google stock, maybe I could go back to my office and start day trading bond futures. Well, if I took Yale's entire $17 or $18 billion and started trading bond futures with it, asset allocation would have very little to say about Yale's returns. Security selection would probably have very little to say about Yale's returns. It would all be about market timing ability. And if I'm great at following the trend, the trend is your friend, of course that's true until it's not.
如果只是把所有东西都卖掉然后把钱都买入谷歌股票还不够刺激，那么我可以回到办公室开始交易债券期货。如果我拿着耶鲁的全部170或180亿美元开始交易债券期货，资产配置对耶鲁的回报影响很小，证券选择也可能对耶鲁的回报影响很小，一切都取决于市场时机的能力。如果我擅长跟踪趋势，那么趋势就是你的朋友，当然这是对的，直到不对为止。
Or if I've got some sort of marvelous scheme to outsmart all the other smart people who are trading in the bond market, that could generate some nice returns. But those returns would have nothing to do with asset allocation, nothing to do with security selection, everything to do with market timing. But of course, these sound like ridiculous things, right?
如果我有一种神奇的计划，可以比其他在债券市场交易的聪明人更聪明，那么这可能会产生不错的回报。但这些回报与资产配置无关，与安全选择无关，与市场定时有关。但当然，这听起来像是荒谬的事情，对吧？
I mean, everybody in this room knows that I'm not going to go back and put Yale's entire endowment in one stock. And they also know that I'm not going to go back and day trade futures with the endowment. I'm going to go back and the portfolio is going to look a lot like it looked yesterday in the day before and the month before that and the year before that.
我的意思是，这个房间里的每个人都知道我不会把耶鲁大学的整个捐赠资产都投入一只股票，而且他们也知道我不会拿捐赠的资产进行期货日交易。我会回去，投资组合会看起来像昨天、前一天、一个月前和一年前一样。
Because as investors, whether we're individual investors or institutional investors, we tend to have a sensible, stable approach to asset allocation. And within the asset allocation framework that we employ, we tend to hold well-diversified portfolios of securities within each of the asset classes. So that means that asset allocation is going to be the predominant determinant of returns.
原因是，作为投资者，无论是个人投资者还是机构投资者，我们倾向于采用稳健、稳定的资产配置方法。在我们所采用的资产配置框架内，我们倾向于在每个资产类别内持有分散投资的证券组合。因此，这意味着资产配置将是收益的主要决定因素。
Bob Schiller and I have a colleague at the School of Management, Roger Ibbitson, who's done a fair amount of work looking at the various sources of returns for investors. And a number of years ago, he came out with a finding that more than 90% of the variability of returns and institutional portfolios had to do with the asset allocation decision. And that was a very widely read and widely accepted conclusion.
Bob Schiller和我在管理学院有一个同事，名叫Roger Ibbitson，他已经做了大量的工作，研究了投资者获得回报的各种来源。几年前，他得出了一个发现，超过90％的机构投资组合回报变动是由于资产配置决策。这是一个非常广泛阅读和广泛接受的结论。
In that same study, I thought that there was a more interesting conclusion and that was that asset allocation actually determined more than 100% of investor returns. Now, how could that be? How could asset allocation determine more than 100% of returns? Well, it goes back to the discussion that we had about security selection and the fact that it's not free to play the game.
在同一项研究中，我认为有一个更有趣的结论，即资产配置实际上决定了超过100％的投资者回报率。那么，这是如何实现的呢？资产配置怎么可能决定超过100％的回报率？嗯，这要回到我们曾经讨论过的证券选择，以及玩这个游戏并非是免费的这一问题。
And the same thing is true of market timing. If somebody is over-weighting a particular asset class relative to the long-term targets that they've got, well, there's got to be an offsetting position in the market. Target timing is expensive in the same way that security selection is expensive. And so it too is a zero-sum game, even though the analysis that you apply to market timing isn't quite as clear and crisp as in the closed system that you've got with any individual securities market.
在市场定时方面也是如此。如果某人相对于其长期目标而言权重过高某些资产类别，那么市场就必须有一个抵消的位置。目标定时是同类证券选择一样昂贵的，因此也是零和游戏，即使你所应用于市场定时的分析不像你在任何一个单个证券市场中所获得的那样清晰明了。
So if security selection and market timing are negative sum games, then asset allocation would explain more than 100% of the returns. And on average, for the community as a whole, because investors do engage in market timing, investors do engage in security selection. Those are going to be negative sum games, and you have to subtract the leakages occurring because of security selection and market timing in order to get down to the returns that you would get if you just took your asset allocation targets and implemented them passively.
如果说证券选择和市场定时是负和游戏，那么资产配置将解释超过100%的回报。而且平均来看，整个社区的投资者因为会参与市场定时和证券选择，这些都是负和游戏。因此，你必须减去发生的泄漏，才能得到你如果只是 passively 实施你的资产配置目标所得到的回报。
So it turns out that asset allocation is the most important way that we express our basic tenets of investment philosophy. And I talked about the importance of having an equity bias. These are some of Roger Epitzon's data. He's got this publication called Stocks, Bonds, Bills, and Inflation. Although I think he might have sold it to Morningstar. So maybe it's Morningstar's publication now.
事实证明，资产配置是我们表达投资理念的最重要方式。我谈到了股权偏向的重要性。这些是Roger Epitzon的一些数据。他有一本名为《股票、债券、账单和通货膨胀》的出版物。虽然我认为他可能已经将其出售给了Morningstar。所以现在可能是Morningstar的出版物。
And it actually is an outgrowth of some academic research that he did decades ago. And the basic drill was starting in 1925, looking at a number of asset classes. The ones that I've got here are Treasury Bills, Treasury Bonds, large stocks, small stocks, and then as a benchmark inflation. Starting the investment at the end of 1925, taking whatever income was generated from that investment, reinvesting it, and seeing where you end up at the end of the period.
实际上，这是几十年前他进行的一项学术研究的延伸。基本原则是从1925年开始，研究多种资产类别，包括国库券、国债、大盘股、小盘股和通货膨胀作为基准。从1925年底开始进行投资，将从投资中获得的所有收益进行再投资，并观察在该时期结束时的最终收益情况。
And what got here are the numbers from 1925 to 2009. And if you did that with Treasury Bills, which are short-term loans to the U.S. government, one of the least risky assets imaginable, you would have ended up with 21 times your money over the period. You think about that 21 times your money, that's pretty good.
这里呈现的是从1925年到2009年的数字。如果你用短期贷款给美国政府的国库券做了同样的投资，这是一种最低风险的投资之一，你会在这期间获得21倍的收益。想想看，21倍的回报率，相当不错。
But if you think about the fact that inflation consumed a multiple of 12, you didn't end up with a lot after inflation. And if you're an institution like Yale, and you only want to consume after inflation returns, you can maintain the purchasing power of the portfolio. Well, 21 times, but taking off 12 times for inflation, and that's so good.
但如果你考虑到通货膨胀消耗了12倍，那么通货膨胀后你手上的财富就不多了。如果你是耶鲁这样的机构，而且你只想在通货膨胀后使用资产，你可以维持资产组合的购买力。虽然可以达到21倍，但要扣除通货膨胀的12倍，这还是相当不错的。
One of the interesting things about the stockspons, bills, and inflation numbers over long periods, is that they correspond to our sense of the relationship between the riskiness of the asset and the notion that if you accept more risk, you should get higher returns. And so if you move out the risk spectrum, and instead of looking at Treasury Bills, you look at Treasury bonds, you end up with a multiple of 86 times. That's pretty good, 86 times.
长期来看，股票、国债和通胀数据的一个有趣之处在于它们与我们对资产风险性与若接受更高的风险，则应获得更高回报的理解相对应。如果您将风险谱系外移，不再关注国库券，而是关注国债，您最终将获得86倍的多项式。这相当不错，86倍。
I mean, it's a lot better than whatever 21 times for bills. It's still not a huge return for decades and decades of investing. So what happens if you move away from lending money, in this case, lending money to the government, to owning equities? The multiple over this period includes the crash in 1929, the market collapse in 1987, and the most recent financial crisis. In spite of those blips, you would have ended up with 2,592 times your money. That's stunning.
我的意思是，相比于21倍的账单，这要好得多了。但是，这仍然不是数十年的投资中的巨大回报。那么，如果您从借贷资金，例如向政府借贷资金，变成拥有股票，会发生什么呢？在这段时间里，股市经历了1929年的崩盘、1987年的市场崩溃以及最近的金融危机。尽管出现这些波动，您最终会获得2,592倍的资金。这令人惊叹。
I mean, that's way more than 86 times and way more than 21 times. So over the long periods of time, you do end up being rewarded for accepting equity risk. And what would have happened if you would have put the money in small stocks and let her run 12,226 times your money? So the conclusion is pretty obvious. This notion that if you've got a long time horizon, you want to expose your portfolio to equities, makes an enormous amount of sense.
我的意思是，这比86倍和21倍多得多。所以在长时间内，接受股权风险确实会获得回报。如果你把钱投入小股票并让它走了12,226倍，会发生什么？结论非常明显。如果你有长期投资计划，暴露你的投资组合于股权风险是非常明智的选择。
As a matter of fact, the first time I took a look at these numbers was back in 1986, when I was teaching probably a predecessor to the class, the Bob Schiller's teaching, it was a lecture class in finance. And I was preparing the lecture that had to do with long-term investment philosophy. And that's when I first saw these numbers. And I was a little bit disconcerted when I put them together because I thought, gee, 21 times for bills, 86 times for bonds, 12,226 times for small stocks. And the only thing to do is to just put the whole portfolio into small stocks and forget about it. And my first problem was if that were true, what was I going to say for the next 10 weeks of lectures? My longer-term problem was if the investment committee figured out that all we needed to do was put the whole portfolio into small stocks and that that was the way to investment success, I wouldn't have a job.
事实上，我第一次看到这些数字是在1986年，那时我正在教授Bob Schiller的类似课程——一门与金融有关的讲座课程。当时我正在准备一节关于长期投资哲学的讲座，因此首次见到这些数字。当我把它们放在一起时，我感到有些不安。因为票据需要21倍，债券需要86倍，而小股票则需要12226倍的成长。唯一的方法就是将整个投资组合投资于小股票，然后忘记一切。我的第一个问题是：如果这是真的，接下来的十周讲座我还能说些什么？然而更长远的问题是，如果投资委员会发现我们只需要将整个投资组合投资于小股票，这就是实现投资成功的方法，那我可能就没有工作了。
They wouldn't need me to do that. And I had a wife and young children. I like getting a paycheck and being able to feed in housing. So I took a look at the data more carefully. And there are a number of examples of what it is that I'm going to talk about. But the most profound example remains around the great crash in 1929. If you'd had your whole portfolio in small stocks at the peak, by the end of 1929, you would have lost 54% of your money. By the end of 1930, you would have lost 38% of your money. Another 38% that is.
他们不需要我做那件事。我有妻子和年幼的孩子。我喜欢领工资，能够养活和住房。所以我更仔细地查看了数据。这里有一些例子，我要谈的就是这些。但最深刻的例子仍然是1929年的大崩盘。如果你在高峰期将整个投资组合放在小公司股票上，到了1929年底，你将损失54%的钱。到了1930年底，你将再次损失38%的钱。
By the end of 1931, you would have lost another 50%. And by June of 1932, for good measure, you would have lost another 32%. So for every dollar that you had at the peak, at the trough, you would have had 10 cents left. And it doesn't matter whether you're an investor with the strongest, stomach-known demand kind, or you're an institutional investor with the longest investment rise and imaginable. At some point, when the dollars are turning into dimes, you're going to say, this is a completely ridiculous thing to accept this much risk in the portfolio. I can't stand it. I'm selling all my small stocks and going to buy treasury bonds or treasury bills, right? And that's exactly what people did.
到 1931 年底，你将会再次损失 50% 的资产；到 1932 年 6 月，将再次损失 32%。因此，从市场峰值到谷底，每美元资产变成了 10 美分。无论你是一位有最健壮肚子的投资者，还是一位拥有最长投资升值期望的机构投资者，都会在某个时刻感到无法接受股市投资风险。你将会卖掉所有小股票，转而购买国债或国库券，这是完全合理的决定。而在当时，这也正是人们所做的。
And there was this sense in the 1930s, 1940s, even into the 50s and 60s that heavy equity exposures weren't a responsible thing for a fiduciary. When I was writing my book, I was at a fooling around looking at articles from the Saturday Evening Post. And I know everybody here is too young to see in the Saturday Evening Post when it was still publishing. But you've all seen Norman Rockwell, Prince, right? Well, he was famous for doing covers for the Saturday Evening Post. And there was this article in the 1930s that's actually before my time. So I was looking at things in the library, not things that actually had been delivered to my doorstep. And the commentators said that it was ridiculous that stocks were called securities, that they were so risky that we should call stocks in securities.
在20世纪30年代、40年代，甚至50年代和60年代，对于受托人来说，重仓股权暴露是不负责任的。当我写书时，我在各种文章中翻来覆去，其中包括《星期六晚报》的文章。虽然现在的大家可能都太年轻了，没看过《星期六晚报》的出版，但你们一定都看过诺曼·罗克韦尔的画作对吧？他以为《星期六晚报》制作了许多封面而驰名。在20世纪30年代，我发现了一篇文章，那时候还在我未出生之前。所以，我在图书馆里找材料，而不是收到邮递到我家门口的杂志。而评论员则认为，把股票叫做"证券"是可笑的，因为它们是如此具有风险性，以至于我们应该把股票称为"非证券"。
There was just this visceral dislike for the risks that were associated with the stock market because it had caused so many investors so much pain. So yes, stocks are a great thing for investors with long time horizons, but you need to diversify because you've got to be able to live through those inevitable periods where risky assets produce results that are sometimes so bad as to be frightening.
人们对股市存在一种本能的不喜欢，因为它让许多投资者遭受如此巨大的痛苦。所以，对于有长期投资计划的投资者来说，股票是一个不错的选择，但是你需要分散投资，因为你必须能够经历那些不可避免的时期，这些时期里冒险的资产有时会产生令人惊恐的结果。
Second source of return, market timing. A few years ago, a group of former colleagues of mine gave me a party at the Yale Club and they presented me with a copy of Cain's general theory because back when I used to teach a big finance class like this, the last class always involved reading from Cain's and I think Cain's one of the best authors about investing in financial markets. Bar none.
第二种回报来源是市场时机。几年前，我的一些前同事在耶鲁俱乐部为我举办了一次聚会，并赠送给我一份《凯恩通论》的副本，因为当我曾经教授这样一门大型金融课程时，最后一课总是涉及到凯恩的阅读，而我认为凯恩是关于投资和金融市场方面最好的作者之一。没错。
I remember one of my students telling me afterwards that I was reading from Cain's as if I were reading from the Bible and I had this paperback copy that was falling apart and my former students remembered this and they gave me this beautiful first edition of Cain's and I was on the train back from New York where the party had occurred to New Haven and I found this quote.
我记得我的一位学生告诉我，之后他感觉我读凯恩的作品时像读圣经一样，而我手上的便宜本书已经破了，我以前的学生记得这件事，他们给了我一本外表漂亮的凯恩的第一版书。当我坐火车回到纽黑文的路上，我发现了这句引言。
The idea of wholesale shifts is for various reasons impracticable and indeed undesirable.Most of those who attempt to sell too late and buy too late and do both too often in Korean heavy expenses, there's that negative sum game thing and developing too unsettled and speculative as state of mind.
从各种原因来看，大规模转变的想法是行不通的，事实上也不可取。在韩国，那些试图在股票市场上卖得太晚、买得太晚、并太频繁的人，面临着巨额的开销，还会陷入负和游戏的情形，这种状况容易导致心态不稳定和投机心理的加剧。
And as in most things, the data support Cain's conclusions. Morning started a study of all of the mutual funds in the U.S. domestic equity market and there were 17 categories of funds and what they did with this study is that like the ten years of returns and compared dollar weighted returns to time weighted returns.
就像大多数事情一样，数据支持凯恩的结论。莫宁开展了一项研究，对美国国内股票市场中所有共同基金进行了调查，共有17类基金。他们将这项研究的十年回报率与时间加权回报率进行了比较。
The time weighted returns are simply the returns that are generated urine and urine out. If you get an offering memorandum or a prospectus they'll show you the time weighted return. If you look at the advertisements where fidelity is touting its latest greatest funds, the returns that you see are time weighted returns.
时间加权收益率是指在某一时间段内产生的收益率。如果您获得了一份招股说明书或招股书，它们会向您展示时间加权收益率。如果您查看费城信托广告宣传其最新最伟大的基金，您所看到的收益率都是时间加权收益率。
Dollar weighted returns taken to account cash flows. So in a dollar weighted return if investors put more money into the fund in a particular year, that year's return will have a greater weight in the calculation. So here we have all the mutual funds in the U.S., 17 categories, time weighted versus dollar weighted in every one of those categories.
考虑现金流的加权回报率。因此，在加权美元回报率中，如果投资者在特定年份将更多的资金投入基金中，那一年的收益将在计算中具有更大的权重。因此，这里有美国所有的共同基金，17个类别，每个类别中都有时间加权和加权美元。
The dollar weighted returns were less than the time weighted returns. What does that mean? That means that investors systematically made perverse decisions as to when to invest and when to disinvest from mutual funds. When investors were doing, they were fine in after a fund had showed strong relative performance and selling after a fund had shown poor relative performance. So they were systematically buying high and selling low. And it doesn't matter whether you do that with great enthusiasm and in great volume, it's a really, really bad way to make money. Very difficult.
美元加权收益低于时间加权收益。这是什么意思？这意味着投资者系统性地做出了不当决策，包括何时投资和何时从共同基金中撤资。投资者在某一共同基金表现良好之后购买，在表现不佳之后卖出，这样就会反过来购买高估的基金并在价格低时出售。这是一种非常糟糕的赚钱方法，无论你有多大的热情和资金量，都非常困难。
So the conclusion for these individuals that operate in the mutual fund market is that their market timing decisions were systematically perverse. I also took a look at the top 10 internet funds during the tech bubble. This is something I published in my book for individual investors.
那么，对于那些在共同基金市场中运作的人来说，结论是他们的市场时间决策是系统性的反常。我还研究了科技泡沫期间前十大互联网基金。这是我为个人投资者出版的书中的内容。
And if you looked at the top 10 internet funds three years before and three years after the bubble, the time weighted return was 1.5% per year. To look at that, you can say 1.5% per year, well, the market went way up and way down, but 1.5% per year, that's not so bad. No harm, no foul. Investors invested 13.7 billion and lost 9.9 billion.
如果您看一下泡沫前三年和泡沫后三年的前十个互联网基金，时间加权回报率为每年1.5%。通过这个数据，您可以得出结论：每年1.5%不算太差，尽管市场上下波动很大。没有损失，也没有任何过错。投资者共投入137亿美元，亏损99亿美元。
So they lost 72% of what they invested. How could it be that they lost 72% of the money that they invested when the time weighted return was 1.5% per year for six years? Well, they weren't invested in the internet funds in 97 and they weren't invested in 98 and they weren't invested in early 99. It was in late 99 and early 2000 that all the money piled in at the very top and then in 2001 and 2002, bitterly disappointed they sold.
他们失去了他们所投资的72％。当时间加权回报率为每年1.5％的情况下，他们怎么会失去他们所投资的72％的资金？嗯，他们没有在97年投资互联网基金，也没有在98年和99年早期投资。直到99年末和2000年初，所有的钱都堆积在了最高点，之后在2001年和2002年，他们失望地出售了股票。
So they lost 72% of what they put in even though the time weighted returns were 1.5% per year positive. So institutions don't get a free pass either. If you look at the crash in October 1987, which was an extraordinary event, I think the calculation I did put it at a 25 standard deviation event which is essentially an impossibility. But however you measure it was an extraordinary event and what happened on October 19, 1987 and stock markets the world around went down by more than 20% when people forget is along with the stock markets going down there was a huge rally in government bonds like the safety.
所以，尽管基金的时间加权回报每年为正1.5％，但他们损失了他们投入的72％。因此，机构也不会轻松获胜。如果看看1987年10月的崩盘，那是一个非同寻常的事件，我认为我所做的计算将其归为25个标准差事件，这基本上是不可能的。但无论如何，这是一个非同寻常的事件，在1987年10月19日发生了什么，世界各地的股票市场下跌了超过20％，人们忘记了的是随着股票市场下跌，像安全资产的政府债券产生了巨大的涨势。
So stocks were cheaper bonds were more expensive. What did institutional investors do? Well, they got scared and they sold stocks and bought bonds. Same thing, buying high, selling low. As a matter of fact, endowments took six years to get their post-crash equity allocations back up to where they were before the crash, arguably underweighted inequities in the heart of one of the greatest full markets of all time.
所以，股票价格更低，债券更昂贵。机构投资者怎么办呢？他们感到害怕，并出售股票购买债券。同样的事情，高买低卖。事实上，捐赠基金花了六年时间才将其投资分配恢复到崩盘前的水平，可以说是在有史以来最大的牛市中低估了权益。
So it seems that investors, whether they're individual or institutional, have this perverse predilection to chasing performance, buying something after it's gone up, selling something after it's gone down and using market timing to damage portfolio returns.
因此，投资者（无论是个人或机构）似乎具有一种扭曲的偏好，追逐业绩，只有在某个证券上涨之后才买入，只有在它跌倒之后才卖出，使用市场定时破坏投资组合的回报。
The final tool that we have available to us as investors is security selection. I cite a study in my book, Unconventional Success, conducted by Rob Arnot that does a very good job at looking at 20 years worth of mutual fund returns.
作为投资者可用于我们的最终工具是证券选择。我在我的书《非传统成功》中引用了罗布·阿诺特进行的一项研究，这项研究非常好地研究了20年来的共同基金回报。
He says that there's about a 14% chance that, or historically there was a 14% chance of beating the market after adjusting for fees and taxes. So you'd think zero sum game would be a coin flip 50-50, but because of the leakages from the system and because of taxes, the probability of winning goes down to 14%.
他说调整了费用和税收后，战胜市场的几率约为14%。因此，你可能认为零和游戏应该是硬币抛掷的50-50，但由于系统漏洞和税收的影响，赢得胜利的概率下降到了14%。
But all by the way, that 14% ignores two very important things. One is that a huge percentage of mutual funds have front-end loads, if you call your friendly broker to buy a mutual fund, they'll extract a payment of two or three or four or five or six percent.
但所有这些都不重要，这14%忽略了两个非常重要的事情。其一，相当大比例的共同基金收取前端费用，如果你给你友好的经纪人打电话买共同基金，他们会从中提取2%、3%、4%、5%或6%的费用。
Those numbers aren't included, so if you included the loads that would make the likelihood of winning substantially less than 14%, but even more important is a concept of survivorship bias. If you look at 20 years worth of returns, the only returns that you can look at are the returns of the funds that survive for 20 years.
这些数字没有包括在内，如果算上负担，那么获胜的可能性将大大低于14%。更重要的是幸存者偏差的概念。如果你看了20年的回报，你只能看那些存活了20年的基金的回报。
Well, which funds didn't survive? Almost always the funds that don't survive are the failures. So you're only looking at the winners. If you look at the winners and you only have a 14% chance, if you take into account the losers, that 14% chance has to go to essentially zero.
那么，哪些基金没有生存下来呢？几乎总是那些无法生存的基金是失败者。所以你只看到了赢家。如果你只看赢家，你只有14%的机会。但如果考虑到输家，那这14%的机会基本上就变成了零。
The survivorship bias is an important phenomenon. It is the Center for Research and Securities prices. Has the survivorship bias free US mutual fund database, meaning that it tracks the funds that fail? There were 30,361 funds in the database. Almost more than a third of the funds in this survivorship bias free database were ones that had died.
幸存者偏差是一个重要的现象。它是研究和证券价格中心的一个概念。它拥有一个免受幸存者偏差影响的美国共同基金数据库，意味着它追踪那些失败的基金。该数据库中有30,361个基金。在这个免受幸存者偏差影响的数据库中，近三分之一的基金已经消失了。
They died mostly because they failed, and that's kind of an honorable way to die. There are other ways to die. If you're a big mutual fund complex like Fidelity, and you've got an underperforming fund, what you tend to do is something like, well, let's merge that into this fund that has good performance.
他们多数死亡是因为失败了，这种死法有一定的荣誉感。当然，还有其他的死法。比如，如果你是一家像富达这样的大型共同基金公司，你有一个表现不佳的基金，你往往会做的事情是，将它并入表现较好的那个基金。
And guess what happens? Fidelity loses a fund that has bad performance, and the one that has good performance has more assets because they merge the underperforming fund into it and makes them look like they're a more successful fund management firm.
你猜会发生什么？富达公司会失去表现不佳的基金，而那些表现良好的基金将拥有更多的资产，因为他们将表现不佳的基金并入其中，并使它们看起来像是一家更成功的基金管理公司。
There's one aspect of security selection that's important and aspect other than the fact that it's a negative sum game, very tough for practitioners to win. And that has to do with the degree of opportunity that you've gotten various asset classes.
安全选择中有一个非常重要的方面，除了这是一个负总和游戏并且对从业者非常难以胜利的事实之外。这涉及到您在各种资产类别中获得的机会程度。
A number of years ago, I wanted to come up with a way of identifying in an analytical manner where it is that we could find the most attractive investment opportunities. And as far as I know, financial economists haven't determined a way to directly measure how efficient individual markets are. So, I took a look at distributions of returns for various asset classes, and I had this notion that if a market priced assets efficiently, the distribution of returns around the market return would be very tight.
几年前，我希望找到一种分析方法，可以确定在哪里寻找最有吸引力的投资机会。据我所知，金融经济学家尚未确定一种直接衡量各个市场效率的方法。因此，我查看了各种资产类别的回报分布，并有此想法：如果一个市场有效地定价资产，那么围绕市场回报的回报分布会非常紧密。
Now, why would that be? Well, if somebody makes a big bet in an efficient market by definition, whether that succeeds or fails has to do with more luck than sense, right? Because the premise is that these assets are efficiently priced, and you don't make a big win on a big bet unless there's an inefficiency that you're exploiting.
现在，这是为什么呢？好吧，如果在有效市场中有人进行大的赌注，根据定义，它成功或失败更多地与运气有关，而非理性。因为前提是这些资产已被有效地定价，而且你只有在利用某种不透明性时才会在大赌注中获得巨大胜利。
So, if you're making big bets in an efficiently priced market, you might win one year and gather more assets, and you might win another year and gather more assets, but ultimately your luck is going to run out and you're going to fail and then people will fire you and you lose your assets and lose your income stream.
因此，如果你在一个价格已经非常高效的市场上进行大额押注，你可能会在一年内赢得更多资产，你可能会在另一年内赢得更多资产，但最终你的运气会耗尽，你会失败，然后人们会解雇你，你将失去你的资产和收入来源。
The right thing to do in an efficiently priced market is to hug the benchmark. People call it closet indexing. Look like everybody else and we're human beings. We don't like firing people, we don't like admitting we're wrong. And so, if somebody has kind of market-like performance and maybe it's not all that outstanding, so okay fine, we'll just continue with this particular investment strategy, even though it's not doing great things, at least it's not doing terrible things.
在价格高效的市场中，正确的做法是紧跟基准。人们称之为“隐蔽跟踪”。看起来和其他人一样就好了，我们是人类，我们不喜欢解雇人，也不喜欢承认自己错误。因此，如果某个人的表现与市场类似，可能并没有太出色，那么好吧，我们将继续使用这种投资策略，即使它并没有做出太出色的表现，至少它没有做出太糟糕的事情。
On the other end of the spectrum, maybe there's not even a market that you can match with your investment strategy. I mean, think about venture capital, right? I mean, how is it that you could index venture capital? You can't. It's a bunch of private partnerships and a bunch of it is in credit, enterprises and even if you wanted to, you couldn't match the market. You're forced to go out and forge your path and live and die by the decisions that you make.
在另一方面，也许你的投资策略找不到一个匹配的市场。想想风险投资，你怎么可能指数化呢？你不能。它是一群私人合伙企业，大部分都是信贷企业，即使你想，你也无法匹配市场。你不得不走出去开辟自己的道路，根据你的决定生存或死亡。
So, how does this kind of thought piece translate into real numbers? So, again, we're looking at 10 years worth of returns for various asset classes. I look at the difference between the top quartile manager and the bottom quartile, you know, difference between first and third quartile. You could use any measure of distribution that you want.
那么，这种思考方式如何转化为实际数字呢？我们考虑各种资产类别的十年回报率。我会研究头四分位管理者与底部四分位之间的差异，也就是第一和第三四分位之间的差距。您可以使用您想要的任何分布测量方法。
And in the bond market, which is probably the most efficiently priced of all markets, and the reason it's most efficiently priced is because bonds are just math, right? You've got coupons, you've got principle, you've got probabilities of default. It's the most easily analyzed of all the assets in which we invest.
在债券市场中，它可能是所有市场中定价最有效率的市场，原因是债券只是数学问题，对吧？你有票息、本金以及违约概率。它是我们所投资的所有资产中最容易分析的一种。
The difference between top quartile and bottom quartile is a half a percent per annum, almost nothing. All bond managers are jammed together right in the heart of the distribution because, you know, if they were out there making crazy bets and generating returns that were fundamentally different from the market, they'd be in that category of, yeah, sure, it's great when it works, but when it doesn't, you're dead.
顶尖四分位和底部四分位之间的差异每年只有半个百分点，几乎可以忽略不计。所有债券经理都挤在分布的中心位置，因为如果他们在市场上做出疯狂的赌注并产生与市场根本不同的回报，他们将会进入这一类别，当它起作用时很棒，但当它不起作用时却会死亡。
Large cap stocks less efficiently priced than bonds, but still pretty efficiently priced. Two percentage points per annum difference first to third quartile over 10 years. Foreign stocks less efficiently priced than those in the domestic markets, four points per year.
大盘股的定价不比债券高效，但仍然相当高效。在过去的十年中，第一至第三四分位数之间的差异为每年两个百分点。相比国内市场，外国股票的定价不太高效，每年相差四个百分点。
Then you move into the hedge fund world, the part of the hedge fund world that we call absolute return at Yale, seven point one percentage points first to third quartile. Real estate, much less efficiently priced than marketable securities, nine point three percentage points, top to bottom quartile. Large buyouts, 13.7 percent difference top quartile to bottom quartile in the venture capital, 43.2 percentage points difference top to bottom quartile.
然后，你进入对冲基金世界，这个世界我们在耶鲁称之为绝对收益，第一到第三四分位数为7.1个百分点。房地产比市场上可交易证券定价不太高效，顶尖到底部四分位数之间的差距为9.3个百分点。大型收购交易，风投领域的顶级四分位数与底部四分位数之间的差距为13.7％，风险投资则达到了43.2％的顶底四分位数差距。
The measure that we have here of market inefficiency points us toward spending our time and energy, trying to find the best venture capital managers, trying to find the best leverage buyout managers, and spending far less of our time and energy, trying to beat the bond market or beat the stock market, because even if you win there, and even if you end up in the top quartile, you're not adding an enormous amount of value relative to what you would have had if you just would have bought the market.
我们目前测量市场效率的方法表明，我们应该花费更多的时间和精力去寻找最好的风险投资经理和最佳的杠杆收购经理，而不是花费很少的时间和精力试图击败债券市场或股票市场。因为即使你在那里赢了，即使你最终处于前四分之一，相对于你只购买市场所获得的价值，你并没有添加很大的价值。
With that background, let's revisit the criticisms that barren's level that the Yale model and the Swenson approach. First of all, they talk about diversification failing. The fact is that in a panic, only two things matter, risk and safety. I saw this in 1987, saw it in 1998 with the collapse of long-term capital, and saw it in 2008 in a way that was even more profound than in 1987 and 98, investors sold everything that had risk associated with it to buy US treasuries. Safety was all that mattered.
在这个背景下，让我们重新审视Barren对耶鲁模型和斯文森方法的批评。首先，他们谈到了分散化失败的问题。事实上，当恐慌来临时，只有两个因素至关重要：风险和安全。我在1987年看到了这点，在1998年长期资本崩盘时看到了这点，以及在2008年比1987年和1998年更加深刻地看到，投资者将所有带有风险的资产都卖掉购买美国国债。安全才是最重要的。
Of course, in that narrow window of time, diversification does fail. The only diversification that would matter in that instance is owning US treasuries, but if you own the substantial amount of US treasury bonds, and what's the substantial amount, 25, 30, 35% of your portfolio, then under normal circumstances, under the circumstances in which we live most of our lives, you're paying a huge opportunity cost.
当然，在那短暂的时间窗口内，分散投资策略确实失效了。在这种情况下，唯一重要的分散投资策略是持有美国国债，但如果你持有大量的美国国债，那么什么是大量呢？25％、30％、35％的投资组合，那么在正常情况下，在我们生活的大部分情况下，你会面临巨大的机会成本。
You could have a portfolio with 30% in US treasuries, and you're in and you're out, you would pay this opportunity cost, and then when the crisis comes, you can be happy for six or 12 or 18 months, and then you go back to paying the opportunity cost. I would argue that if you expand your time horizon to a sensible length of time, that the strategy where you hold relatively little in the high opportunity cost US treasuries is the best strategy for a long-term investor.
你可以把你的投资组合的30％放入美国国债，这样你会在进入和退出时支付这个机会成本，当危机到来时，你可以高兴地度过六个、十二个或十八个月，然后你就会回到支付机会成本的阶段。我认为，如果你将时间范围扩展到合理的长度，相对少持有高机会成本的美国国债的策略是长期投资者的最佳策略。
And there are those who say that, well, diversification doesn't protect you in times of crisis, what does it matter? Why would you want to diversify? Well, think about Japan. If you were a local Japanese investor, you wanted to have an equity bias in your portfolio, so you owned lots of Japanese stocks, in 1989, at the end of the year, the Nique closed at about 38,000. At the end of 2009, 20 years later, the Nique closed at 10,500. So with your long-time horizon and equity bias in your portfolio over two decades, you would have lost 73%.
有人说，多样化投资并不能在危机时保护你，那有什么意义呢？为什么要多样化投资呢？想想日本吧。如果你是一个当地的日本投资者，在你的投资组合中想要有股本偏向的话，那么你会拥有很多日本股票。在1989年年底，Nique指数收于约38,000点。20年后的2009年年底，Nique指数收于10,500点。因此，在两个十年的时间里，如果你拥有长期的投资视角和股本偏向的投资组合，你会损失73%。
So diversification makes an enormous amount of sense in the long run, even if there are occasional panics where you're disappointed that the diversified approach that you had to managing the portfolio didn't produce results. The second criticism over emphasis on alternatives, let's just look at the last decade when Nail's portfolio, over the 10 years and the June 30, 2010 domestic equity has produced returns of negative 0.7% per year, bonds produced returns of 5.9% per year.
分散化在长期来看是非常明智的决策，即使有时会发生惊慌情况，你可能会感到失望，因为你所采用的多样化方法并没有达到预期效果。对于第二个批评——过度强调替代品，让我们看看过去的十年，Nail 的投资组合在10年内截至2010年6月30日，国内股票的回报率为每年负0.7％，而债券的回报率为每年5.9％。
Let's look at the alternatives as opposed to domestic marketable securities. Private equity is 6.2% per year, real estate is 6.9% per year, absolute return is 11.1% per year, timber is 12.1% per year, and oil and gas is 24.7% per year. I think the numbers speak for themselves.
让我们看看与国内可市场化证券相反的选择。私募股权每年为6.2%，房地产每年为6.9%，绝对回报每年为11.1%，木材每年为12.1%，石油和天然气每年为24.7%。我认为数字说明了一切。
If you have a sensibly long-time horizon, these basic principles of equity orientation and diversification make an enormous amount of sense. And if you look at the bottom line, which is performance, when I began managing yields in the $1,000,000 in 1985, it was less than a billion dollars. The amount that we distributed to support yield's operations, that year was $45 million. For the year end of June 30, 2010, the endowment stood at about $16 billion in the amount that we distributed to the yield's operations was $1.1 billion. It's an enormous change over, enormous positive change over 25 years.
如果你有一个明智的长期计划，这些股权取向和多样化的基本原则就非常明智。如果你看看最终的结果，即绩效，当我在1985年开始管理1,000,000美元的收益时，它还不到10亿美元。我们在那一年为支持收益运营分配的金额是4500万美元。到2010年6月30日年末，基金规模已经达到约160亿美元，支持收益的运营分配金额是11亿美元。这是25年来巨大的变化，巨大的积极变化。
If you look at yield's performance over the last 10 years, it's still better than that of any other institutional investor, 8.9% per annum, and that compares to an average for colleges and universities with about 4.0% per annum. And that translates into $7.9 billion of added value relative to where we would have been had we had average returns over the past 10 years. And the comparable numbers for 20 years are yielded 13.1% per annum. Again, the best record of any institutional investor in the United States relative to an average for colleges and universities of 8.8% per annum and $12.1 billion of value added. So the swings and arrows about Rageous Fortune, so I would suggest that the Barren's articles really took far too short of time horizon in looking at Yael's performance and in looking at the Yael model, which emphasizes a portfolio that's well diversified and has a strong equity bias.
如果你看过收益率在过去10年的表现，它仍然比任何机构投资者都要好，每年达到8.9％，而大学可能只有每年4.0％的平均水平。这意味着，与过去10年平均收益相比，我们增加了79亿美元的价值。而在20年的表现中，每年的收益率为13.1％，同样是美国任何机构投资者中最好的记录，而高校的平均每年收益率为8.8％，因此增加了121亿美元的价值。因此，我建议不要过分关注《巴伦》的文章所提到的负面因素，因为他们的观点忽视了Yael模型的特点，即注重投资组合多样化和股权偏好。
And I think if we're back in the room five years or 10 years from now, we'll see that the portfolio will continue to produce the same kind of strong, long run results as it has for the past 10 and 20 years. I think that I'd love to answer any questions that you might have.
我认为，如果我们五年或十年后回到这个房间，我们会看到投资组合将继续产生与过去十年或二十年相同的强大、长期的结果。我很乐意回答您可能有的任何问题。
So the fundamental difference between what we would be doing at Yael as opposed to a hedge fund manager or a domestic stock manager or a bi-out manager is that we're essentially one step removed from the security selection process. So our job is to find the best hedge fund managers, find the best domestic equity managers, find the best bi-out managers and put together partnerships that work for them and work for the university.
因此，我们在Yael所做的与对冲基金经理、国内股票经理或收购经理所做的基本区别在于，我们本质上离证券选择过程仅相差一步。因此，我们的工作是找到最好的对冲基金经理、最好的国内股票经理、最好的收购经理，并组建能够适合他们和大学的合作伙伴关系。
That's a tricky thing to do because in the funds management world, there are all sorts of issues with respect to what economists call the principal agent problem. We're principles for the university, engaging agents, the hedge fund managers or the bi-out managers and trying to find ways to get those agents to act primarily in the university's interests to get rid of those agency issues. It's a challenge, but a fascinating challenge because in doing this, you end up meeting an enormous number of incredibly intelligent, engaged, thoughtful individuals that are involved in the funds management business.
这是件棘手的事情，因为在基金管理领域，存在着所谓的“委托代理人问题”，这涉及各种问题。我们作为大学的代表，聘请了对冲基金经理或企业收购经理等代理人，并尝试找到方法使这些代理人主要为大学的利益行事，以消除代理问题。这是一个挑战，但也是一个非常有趣的挑战，因为在这个过程中，您将会遇到许多非常聪明、积极、思维敏捷的人，他们都涉及基金管理业务。
It's a fabulous career, at least from my perspective, because I get to do this and do it to benefit one of the world's great institutions, Yael. In terms of differences between individuals and institutions, there are some structural differences. We don't pay taxes. Taxes are an enormously important determinant of investment outcomes for individuals. As an individual, you want to avoid paying taxes or defer paying taxes because taxes are just a huge drag on investment returns. We don't have to worry about that by and large in managing Yael's portfolio.
从我的角度来看，这是一份绝妙的职业，因为我可以通过这份工作让世界上一家伟大的机构——Yael获益。在个人和机构之间的差异方面，存在一些结构上的差异。我们不缴纳税款。对于个人的投资回报来说，税收是非常重要的决定因素。作为个人，您希望避免缴纳税款或推迟缴纳税款，因为税收会对投资回报产生巨大的拖累。在管理Yael的投资组合时，我们大体上不需要担心这个问题。
Another very fundamental difference has to do with the resources that we can bring to the investment management problem. Most individuals and many institutions just don't have the wherewithal either the background or the time to make high quality, active management decisions. Markets are incredibly tough. Beating those markets is an incredibly difficult challenge. Doing it by spending a couple hours on a weekend once a month isn't going to cut it. We've got 2021-22 investment professionals who are dedicating their careers to trying to make these high quality, active management decisions.
另一个非常基本的区别与我们可以为投资管理问题带来的资源有关。许多个人和机构都没有背景或时间来做出高质量、积极的管理决策。市场非常艰难，击败这些市场是一个极其困难的挑战。花费几个小时在周末一次性地做这件事是不可能的。我们拥有2021-22名投资专业人员，他们致力于尝试做出这些高质量、积极的管理决策。
We can go out and have a decent shot at beating the domestic stock market and the foreign stock market and putting together a superior portfolio of venture capital partnerships and hedge fund managers over the past five, ten, fifteen, twenty years. We produce market-beating results. In contrast, an individual has almost no chance of beating the market.
我们可以出门，努力击败国内股市和外国股市，并将过去五年、十年、十五年、二十年中的风险投资合作伙伴和对冲基金经理组成一个卓越的投资组合。我们的表现具有超越市场的能力。相比之下，个人几乎没有击败市场的机会。
I've written two books, one pioneering portfolio management that talks about how it is that I think institutions should manage their portfolio and if they've got the resources and it's not just dollars, it's the human resources to make those high quality decisions, they can follow what Barrens referred to as the Yale model or this one-cent approach.
我已经写了两本书，一本是关于先驱投资组合管理的，讲述了我认为机构应该如何管理他们的投资组合，如果他们拥有足够的资源，不只是资金，还包括人力资源来做出高质量的决策，那么他们可以遵循巴伦斯所说的耶鲁模型或这个一分钱方法。
But the book that I've written for, ostensibly for individuals, but it's really individuals and institutions that don't have the same resources that Yale does to make these high quality active decisions. That book says basically what you should do is come up with a sensible asset allocation policy and then implement it using index funds which are low-cost ways of mimicking the market and by the way, because they have very low turnover, generate very little in terms of tax consequences for the holders of those funds.
我写的这本书，表面上是为了个人撰写的，但实际上是为了那些没有像耶鲁大学那样资源丰富，难以做出高质量积极决策的个人和机构而写的。这本书基本上说，您应该制定合理的资产配置政策，然后使用指数基金来实施，这是低成本模仿市场的方法。另外，由于它们的成交频率非常低，对于这些基金的持有者来说，产生的税收后果非常小。
So it's kind of an interesting world where the right solution, I think, is either one extreme or the other extreme. You're either completely passive or you're aggressively active. But as in most things, most people are kind of in the middle, they're neither aggressively active nor completely passive, but in the middle you lose because you end up paying high fees for mediocre active results and that's where most people end up in most institutions.
这是一个有趣的世界，因为正确的解决方案可能是极端的一种，要么是完全被动，要么是积极主动。但事实上，大多数人其实是处于中间状态的，既没有过于积极，也没有完全被动，但是如果处于中间状态，就会因为支付高昂的费用而得到平庸的积极结果，这种情况在大多数机构中都普遍存在。
So one of the great things about having a diversified portfolio is that you're not going to worry less about the relative level of valuation of the various assets in which you invest. So if you go back to the mid-80s and you've got a portfolio that's 50% in domestic stocks, you have to worry a lot about the valuation of that portfolio because half of your assets are in that single asset class. But if you've got a well-diversified portfolio with, let's say, minimum allocation of 5% to 10% and maximum allocation of 25% to 30% in individual asset class, the relative valuation of each of those asset classes matters less.
拥有多元化投资组合最好的好处之一就是，你不会太担忧所投资的各种资产现有的估值水平。例如回到上世纪80年代中期，如果你的投资组合中有50%的国内股票，你必须非常关心那份投资组合的估值，因为你的一半资产都在这一种资产类别中。但是，如果你拥有一个多元化的投资组合，其中每种资产类别的最小分配量为5%到10%，最大分配量为25%到30%，那么各种资产类别的相对估值就不那么重要了。
And there's another kind of nice aspect to a rebalancing policy. If you set up your targets and you faithfully adhere to those targets, suppose that domestic equities have poor relative performance, then you're going to buy domestic equities to get them back up to target, selling whatever it is that had superior relative performance to fund those purchases and vice versa. If domestic equities have great relative performance, you'll be selling to get back to your long-term target and buying other assets that have shown poor relative performance.
再平衡政策还有另一种好处。如果你制定了自己的目标并忠实地遵守这些目标，那么假设国内股票表现较差，你将会买入国内股票以使其恢复到目标水平，而卖出表现优异的资产以资助这些购买，反之亦然。如果国内股票表现相当好，你会出售以回到长期目标，购买其他相对表现不佳的资产。
So if you're in a circumstance where domestic stocks are expensive, where you're selling into this superior relative performance that the domestic equities are exhibiting, thereby maintaining your risk exposure at a level that's consistent with what's implicit in your policy asset allocation. So that's kind of a long way of saying that if somebody asked me whether stocks are expensive or cheap, my first line of defense, it doesn't really matter all that much to me because we're well diversified and because we do a great job of rebalancing. But the reality is that those questions are just incredibly tough to answer. If they were easier to answer, I guess I'd be much more excited about market timing as a way to generate returns.
如果你处在国内股票昂贵的情况下，你会卖出这些表现优异的国内股票，从而保持你的风险暴露水平与策略资产分配一致。这意味着如果有人问我股票是昂贵还是便宜，我的第一反应是这并不那么重要，因为我们已经实现了良好的多元化和再平衡。但事实是，这些问题非常难以回答。如果回答得更容易，我猜我会更兴奋于市场定时作为一种产生回报的方式。
In terms of the second question with respect to technology, Yels had a longstanding commitment to venture capital and over the decades it's produced extraordinary returns for the university. We continue to have a world class group of venture capitalists, we've got exposure to companies like LinkedIn and Facebook and Groupon.
就技术方面的第二个问题而言，耶鲁长期致力于风险投资领域，并在过去几十年中为大学带来了额外的回报。我们继续拥有世界一流的风险投资家团队，我们还拥有LinkedIn、Facebook和Groupon等公司的投资机会。
I hope that this wave of IPOs that people are writing about and the press actually occurs because that would be very good for the university's portfolio. It's been a long time. I mean, we've benefited enormously in the internet bubble in the late 90s and the last decades been a bit far low. We also find, on the marketable security side, that technology stocks tend to be less efficiently priced than many other securities. So we have a manager that is heavily focused on information technology stocks and another manager that's very heavily focused on biotechnology stocks and both those managers have produced very handsome, absolute and relative returns and that's an important part of our domestic equity strategy.
我希望人们所说的和媒体报道的IPO（首次公开募股）热潮能够真正出现，因为这对大学的投资组合来说非常有利。这已经有很长时间了。我的意思是，在上世纪90年代的互联网泡沫中，我们受益匪浅，而最近这十年则表现稍逊。此外，我们也发现，在可市场交易证券方面，科技股相比其他证券更加不够高效定价。因此，我们有一位专注于信息技术股票的经理和另一位非常专注于生物科技股票的经理，这两位经理都取得了非常丰厚的绝对和相对收益，这是我们国内股权策略的重要组成部分。
So that's a really good question. I think the most fundamental issue with the explosion of hedge funds and the explosion of private equity funds has to do with this negative something that we were talking about. If you go back to the 1950s, the most common way that institutional assets were managed would be for an institution like Yale to go to a bank like Chemical Bank or JP Morgan and they would pay a small fraction of 1% for a reasonably diversified portfolio stock bonds and probably some foreign stocks and some domestic stocks.
这是一个非常好的问题。我认为对于对冲基金和私募股权基金爆炸性增长的最基本问题与我们所谈论的负面因素有关。回到20世纪50年代，机构资产最常见的管理方式是像耶鲁这样的机构去找化学银行或摩根大通这样的银行，他们会支付很少的一部分千分之一的费用，获得一个相对多样化的股票，债券、可能还有一些外国股票和国内股票的组合投资组合。
But the leakage from the system was very small. You look at hedge funds and private equity funds, they're essentially dealing with the same set of securities that an institution used to pay a 3% or 3% of a year for admittedly sleepy bank management. It's the same set of securities. Now those securities are traded in a hedge fund format or taken private equity fund format and the fees that your paying are a point, a point and a half, two points, the typical two and 20, and your paying a significant percentage of the profits, the 20 and the two and 20.
但整个系统内部的泄漏很小。你看看对冲基金和私募股权基金，它们基本上处理的是机构过去用于支付每年3%或3%的一组证券，尽管很安逸的银行管理。这是同一组证券。现在，这些证券以对冲基金格式交易或以私募股权基金格式交易，你所支付的费用是一个点、一个半点、两个点，典型的两个点和二十点，你支付了可观的利润百分比，即20和两个点和20。
Think about that. The leakage from the system that goes to Wall Street is enormous compared to what it was 10 years ago or 20 years ago or 30 years ago. So there's that much left for us as investors. I think that that has huge consequences for Endowance Foundations, pension plans, institutions of all stripes and to the extent that individuals get exposure to these types of assets and they're largely wealthy individuals that end up getting the exposure. They're going to suffer the same consequences of this huge leakage of higher fees and the profits interest to Wall Street.
想一想，现在流向华尔街的系统泄漏比起10年、20年或30年前要巨大得多。因此，对于我们作为投资者来说，就少了那么多。我认为这对捐赠基金、养老计划、各种机构都有巨大的影响，而个人如果接触到这些资产，主要是富人，他们会受到同样的高费用和华尔街利润利益泄漏的影响。
The question as to whether or not the money flowing to hedge funds is going to make markets more efficient and take away opportunities, I don't worry too much about that. I think that the best talent is going to hedge funds because if they're in a long only domestic equity environment, maybe they can charge 3-quarters of a percent or a percent or if they're in the mutual fund world, maybe they charge a percent and a half or something like that. Well, you'd rather have two and 20 than 0.75, right? That's easy.
关于流向对冲基金的资金是否会使市场更有效率并带走机会的问题，我不太担心。我认为最优秀的人才会流向对冲基金，因为如果他们在一个只关注国内股票的长期投资环境中，可能只能收取0.75%或1%的费用，如果他们在共同基金世界中，可能收费1.5%左右。那么，你肯定希望拥有2%和20%的回报而不是0.75%吧？这很容易理解。
So there's a huge migration of talent to the hedge fund world. But what I care about when I look at the degree of investment opportunity is this dispersion that we talked about. And I haven't seen the dispersion of results, top-portile, the bottom-portile, compress it all. So I don't think that we're increasing the efficiency of the pricing of assets. I still need to go out there and be able to identify people in the top-portile or top desial so that we can win relative to the markets after adjustment for the risks that we take. So as long as we have plenty of dispersion in the results, it's still an interesting activity for us to pursue.
目前，才华人才大量涌向对冲基金领域。但当我观察投资机会程度时，我关心的是我们所谈到的分散性。我还没有看到结果的分散性，无论是顶端还是底端，都得到压缩。因此，我认为我们并没有提高资产定价的效率。我仍需要去了解并识别出顶端或顶尖人员，以便在承担风险之后相对于市场获胜。只要结果还存在大量分散性，这仍然是我们要追求的有趣活动。
Okay. Man, it better be good. It's last question. Okay. So I have a question that is referring to the other bulletins and we heard that it's referred to that in January 2017 when we knew that we deal with Ethiopia and they actually knew about everything was going to decide the teste in the middle of the day.
好的，希望这个问题很好。这是最后一个问题了。我的问题是与其他公告有关的，我们听说在2017年1月当我们和埃塞俄比亚打交道时，他们实际上已经知道一切将在中午决定测试。
So I think that one of the things that needs to happen in the funds management world is that we need to have better measures of risk. And so one of the reasons why I don't talk about the sharp ratio is that just looking at standard deviation of returns doesn't capture risk in a way that is meaningful. I mean I've seen other people do an analysis of the L portfolio and show relative sharp ratios and obviously because our returns have been so good and if you just look at the pattern of those returns we end up scoring high when looking at sharp ratios across different institutional portfolios but the risks that exist in the portfolio aren't really captured by standard deviation of the returns just a quick example.
我认为，资金管理领域需要发生的一件事情是我们需要更好的风险度量方法。因此，我不谈论夏普比率的原因之一是仅仅看回报标准差并不能以有意义的方式捕捉风险。我意思是，我见过其他人对L组合进行分析，显示相对夏普比率。显然，因为我们的回报非常好，只需看一下这些回报趋势，我们就能在这些机构组合的夏普比率排名中得到高分。但是，仅通过回报的标准差并不能真正捕捉到组合中存在的风险，这只是一个快速的例子。
If you look at real estate or timber or even any of our illiquid assets they're appraised relatively infrequently. There tends to be a huge stability basis by us in the appraisals. If somebody looks at a piece of real estate 12 months ago, 6 months ago and today they're likely to see pretty much the same thing that they saw over that period. You compare and contrast that to the volatility that you've got in the stock market. I think Bob Schiller deserves credit for the coin in the term excess volatility.
如果你看房地产、木材或我们的任何非流动资产，它们的评估相对不频繁。我们在评估中通常有一个巨大的稳定基础。如果有人在12个月前、6个月前和今天看房地产，他们可能会看到在那段时间里他们看到的几乎一样的东西。与你在股票市场上的波动相比，你可以进行比较和对比。我认为鲍勃·希勒应该得到多余波动这个术语的认可。
There's no question that stock prices are way more variable than they need to be to adjust for changes in the underlying fundamentals. So if you've got a portfolio that's largely marketable securities you're going to see a lot more standard deviation of returns than if you've got one of illiquid assets where you've got this kind of stability built in because of the appraisal nature of the valuation process. If you end up comparing those two portfolios, one dominated by marketable securities, one dominated by private assets, you're going to end up with measures that are apples and oranges.
毫无疑问，股票价格的波动比其所需的基本面变化更为明显。因此，如果您的投资组合主要由可流通证券构成，您将看到更多的收益标准偏差，而如果您的投资组合中包含不流动的资产，则由于评估过程的评估性质，这种稳定性将得到建立。如果您最终比较那两个投资组合，一个被市流证券主导，一个被私人资产主导，您将得到的衡量标准将会是无法比较的。
So thank you very much.
非常感谢你。