CHAPTER 4 第四章

DISCOVERING THE “HOLYGRAIL OF INVESTING”

Thanks to my processof systematically recording my investment principles and the results they couldbe expected to produce, I had a large collection of uncorrelated returnstreams. In fact, I had something like a thousand of them. Because we traded anumber of different asset classes, and within each one we had programmed andtested lots of fundamental trading rules, we had many more high-quality ones tochoose from than a typical manager who was tracking a smaller number of assetsand was probably not trading systematically.

得益于我体系化的记录我的投资原则和期望的投资结果，我拥有一个巨大的集合不相关的回报管道。事实上，我可能有超过1千个这样的管道。因为我们交易着一定量的不同类别的资产类型，而每一个我们都编程并测试乐大量的基础交易规则，我们已经有了很多高质量的原则可供选择而不像传统的经理人那样只能选择一个细分的资产并且不大可能体系化交易。

I worked with Bob andDan to pull our best decision rules from the pile. Once we had them, we back-testedthem over long time frames, using the systems to simulate how the decisionrules would have worked together in the past.

我和鲍勃、丹一起工作并选择出最佳的决策。一旦我们得到最佳决策，我们回回溯测试用很久以前的架构，使用系统模拟过去的情况下这些决策是如何工作的？

We were startled bythe results. On paper, this new approach improved our returns by a factor ofthree to five times per unit of risk, and we could calibrate the amount ofreturn we wanted based on the amount of risk we could tolerate. In other words,we could make a ton more money than the other guys, with a lower risk of beingknocked out of the game—as I’d nearly been before. I called it the “killersystem” because it would either produce killer results for us and our clientsor it would kill us because we were missing something important.

我们都被结果震惊了。新的应用显著提高了我们的回报—每单个风险一个影响因素的三到五倍，基于我们能承受的风险我们就能测定回报的数量。从另一方面说，相比其他家伙，我们能得到成吨的钱-以一个较低的风险而不会被踢出局—我管这个叫“杀手系统”因为他可能为我们和我们的客户产出杀手级的结果，也可能因为我们错过重要的事情而杀掉我们。

The success of thisapproach taught me a principle that I apply to all parts of my life: Making ahandful of good uncorrelated bets that are balanced and leveraged well is thesurest way of having a lot of upside without being exposed to unacceptabledownside.

这个应用的成功教会我一条原则：我能运用在我生活的每个方面：操作一群无相关性良好的平衡性和杠杆率良好的业务是最确保的办法以获得大量正面优势而没有不可接受的槽点。

As excited as we wereabout this new approach, we proceeded cautiously. We gave the system a 10percent weight initially and it made money in nineteen of the twenty months inour test period. As we got more confident, I decided to reach out to a selectgroup of investors I knew well about investing in the strategy with $1 milliontrial accounts. I knew that asking these institutional investors to invest suchrelatively modest amounts would make it hard for them to turn us down. I calledthe new product “Top 5%” at first, because it comprised the best 5 percent ofour decision rules; later I changed the name to Pure Alpha to convey that itconsisted purely of alphas. Because Pure Alpha didn’t have any betas, it didn’thave any bias to go up or down along with any market. Its returns depended onlyon how good we were in outperforming others.

尽管我们对这个新的应用非常兴奋，我们还是很小心的使用它。我们给了系统10%的初始权重，试验阶段他能在19-20个月之间赚到钱。当我们获得更多自信时，我决定针对一组选择好的投资人-我非常熟悉他们的策略以及大概1百万美金的实验账户。我知道如果让那些固定投资人去投资这样一种相关性很密切的小额投资可能很难并弄坏我们的关系。我一开始管这个新产品叫“最好的5%”，因为他包含了我们的决策原则里最好的5%；稍后我改成了纯粹alpha 因为他都是由纯的alpha组成。因为纯alpha没有任何的beta,不含有对任何市场的任何高低成见。回报只取决于我们怎样表现。

Our totally new “alphaoverlay” approach allowed investors to receive the return of their chosen assetclass (the S&P 500 stock market, a bond index, commodities—whatever) plusthe return from the portfolio of bets that we were making across all assetclasses. As unprecedented as our approach was, we explained our logiccarefully, showing why it was actually much less risky than traditionalapproaches. We also showed them how we expected thecumulativeperformance to unfold and whatthe expected range of performance around that would be. For our clients, it wasa bit like being presented with the design of a plane that had never flownbefore but looked radically better than any other plane on paper. Would anyonebe courageous enough to get on board?

我们全新的“alpha 覆盖”应用允许投资人从他们自己选择的资产类型接受回报（标普500—证券索引商品-总之就是这些）加上从所有资产类型里选择的投资组合来的回报。鉴于我们的应用是全新的，我们尽可能的小心解释我们的逻辑，并展示相对于传统的应用我们的是低风险的。我们也向客户展示了应用的累计效果和本来应有的效果预期范围，有点像是演示一个从没有起飞的飞机设计模型但比那些还留在纸上的飞机看起来要疯狂的多，好得多。那么有没有足够勇敢的客人愿意登机那？

Some clients got the conceptsand were excited to change the rules; others either didn’t understand or workedfor organizations that refused to try cutting-edge things. Frankly, we werethrilled that any of them were willing to try. For over twenty-six years now,that new type of plane has flown exactly as we anticipated, making money intwenty-three of these years (having only modest losses in the other three) andmaking more money in total for our clients than any other hedge fund ever.While the investment management concepts that underlie Pure Alpha eventuallychanged our industry, the journey from conception to general acceptance tookmany years of learning and grinding work by a group of dedicated partners.

一些客户搞懂了，都非常兴奋于改变规则；而另一些还不明白或者他们工作的机构拒绝尝试冒险的事。坦白的讲，有任何人愿意尝试我们都非常激动。现在已经超过26年了，新型飞机按我们预期的精确飞行，在23年中都赚钱了（只有剩下的三年中稍亏了点）对比其他的对冲基金，也为我们的客户赚取更多的钱。同时位于纯alpha投资管理概念已经彻底改变了投资业，从概念到被普遍接受的过程耗费了一群为之献身的合伙人很多年的学习和磨合工作。

读后感：

作者的这些超级应用，在没有得到真正验证的时候，能否让那些投资人拿出真金白银来按机器给出的方法投资那？这就是作者要做的。而传统的投资人或者正常的人都会有怀疑吧。所以作者自己拿出了最好的5%决策来真金白银的测试，这样能提高自信。当然一切都是账目上看起来非常棒，但是真正的测试如何？没人知道，一切都要看结果。

看来测试的结果相当不错，发展到现在已经为客户挣了很多钱。那是不是按这个策略做就行了？？桥水基金已经是全球最大的对冲基金了，可能就是基于此。以后还会更好，因为头部效应和先发优势。除非这个世界的金融逻辑发生彻底变化，否则这种优势不会变化。

世界变的快，三十年河东、三十年河西。就在我们这一代应该能看到金融体系的重大变化，比如世界货币的变更、能源行业的更替、科技行业的大变化。

桥水的未来不好说。

看了现在，本书讲了很多有趣的实用的办法，但是没有程序，我能怎么办？

我想这本书在国内外的版本一定有不同：国外是带程序和数据的。国内的版本没有。

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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

                                              2018-7-2

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