关于资金调配 ,资产配置和稳健可重复的回报 (by陈江挺)

2019-07-18 04:01
陈江挺,《炒股的智慧》的作者,1962年生于福建省福州,1982年毕业于上海交通大学,1983年赴美留学,就读于美国巴鲁克商学分获机械工程和国际金融硕士学位。现为职业炒股人。现今陈江挺先生和妻子及两个女儿居住在美国纽约。
----------------------------------------------------
和专职炒手聊聊什么是稳键,可重复的回报!

炒股的智慧网设立一年,大家若回看老贴子,会发现不少专职股友居然不知道专职要从建构自己的方法开始,无规则地瞎买卖;当然这些股友一直都处在专职的业余股友层次。我很高兴炒股的智慧网给他们指明了方向,让他们少走了弯路。

网站现设立专职股友专栏,这个网站是给已有相当经验,以成为公共资金管理人为目标的股友设立的。您们都已有相当经验,您们都熟读“炒股的智慧”;您们都已有自己的一套方法并不断改进中。这里谈谈什么是稳健,可重复的回报!这是真正的专业层次,也是您们下一步追求的目标!因为这是可以通过实行正确投资策略和资产配置达到的。我将方向指明了,您们自己努力。

以下先讲些我亲历的故事:

先谈谈我自己的开始故事!我自己算金融科班出身,有个金融硕士。股市的基本理论是随机漫步理论。理论说:所有信息都已反映到股价之中!那么个人炒手在股市的“优势”何在?我也有工程硕士学位,学过一大堆数学;很自然,我从数学上开始研究寻找突破点!我的第一个发财绝招是Short Straddle! 这里不谈操作细节,否则一篇论文;基本上这个方法挣的是时间的钱,而不是股价的变动。我很稳定地一个月挣5-10%的回报,一年多完美的记录!翻倍有余。慢慢时间到了1993年底,我看到华尔街日报上有公司请有经验交易员,我就打电话应征;负责招聘的说见面之前请先谈谈我的做法,再看看有没有必要见面。我将我的操作和结果告诉他;他笑了!他告诉我我的方法不成,我可能3年都来个100%,但第4年会有一天在一天之内将本利全部赔掉;我们无法雇用您!我十分不以为然,我这个方法是用数学做基础的,充分分散风险的;不是凭空想象的!而且有实战记录为证。你不愿赚钱是你的损失,我自己替自己挣!又过了不到三个月,只用了2天我就赔掉了一年的利润!再见了,我的第一个发财绝招!摔了一跤才知道自己还没有明白什么是风险和怎样分散风险!

时间推进到1997后半年,记得当时我正在看一本书,书名是The Education of a speculator ,当时很热的一本书, 作者是Victor Niederhoffer;市面的传说是这位天才怎么20岁哈弗毕业,25岁拿博士开始在加州大学做教授;怎么只用5年将4万美金变成4千万,被索罗斯请去做老师。突然间,有天股市大升,华尔街日报报道此君卖空股市期指,一天之内亏掉10亿美金,他的基金清盘关门还倒欠证券行数千万!他写的书我还没有看完,居然他垮的这么有戏剧性!当时互联网还没今天方便,以上是记忆中的片段;现在大家可以到这里看看他的介绍:http://en.wikipedia.org/wiki/Victor_Niederhoffer。多少年来这位天才每年给35%的平均回报,但您若不幸跟着他投资时间足够久,最后结果是亏100%。第一次还有人怀疑是他那天运气不行,吃了一次亏下一次应该会学乖!呵呵,2007年他可以又亏个97%。

再讲个比较新的故事,麦道夫的故事!您可以到这里看到他的故事:http://en.wikipedia.org/wiki/Madoff_investment_scandal;但我想说的不是他的诈骗,这个故事的水深不是你我探的到底的。而是他怎么会让这么多行家相信他?麦道夫不和普通人打交道,和他打交道的都是真正的行家!投资额都是从千万起算的。骗外行人容易,像“华人巴菲特”唐炜臻保证每星期回报1%,即每年超过50%的回报,想快快发财的傻蛋滚滚而来!但那些钱都是些小钱。唐炜臻若向我保证年50%回报,我会立即一个巴掌把他打出门去,每个行家都会这么做。他从我这里一分钱都拿不到!麦道夫拿到钱了,从行家手里拿了几百亿美金。麦道夫的本事在于他提供每年10%的回报,年年如此。因为您若有足够的知识深度和实战经验,10%是可以通过努力在很小的风险之下得到的;不容易,但可以做到。每个行家都知道这点,只是不是每个人都做的到!谁会怀疑纳斯达克的主席没有足够的知识深度和市场经验?筹几百亿美金不是容易的事情。

看完上面3个故事,答案也基本出来了。

专家追求稳健,合理的回报。这个回报以10%上下为合理数据。您以10%为追求目标操作,市场常常给您20-30%的回报,当然有时也会小亏!这都是正常结果。您一旦开始追求每年30%,50%, 100%的回报,您只能采取高风险运作。利物莫破产三次,上述的Niederhoffer先生破产2次,他们都是死在高风险运作之上;读他们的传记,可以看到他们都是以高风险起家的,他们都是股市天才,但都是失败者。所有跟他们的人都以完亏告终。历史的经验告诉我们,这类高风险运作方式不是模仿样板。这类高风险运作成功了,容易上报纸头条,一旦习惯了这种做法,结果通常以悲剧告终。您可以连续来10个100%的赚,只要一个100%的亏,一切归零。做为投资顾问,您应该以投资者的利益为利益,皆大欢喜为追求目标。

如果您还不清楚怎么在资金调配和资产配置方面均衡风险,进而追求稳定的回报。这是您下一步的功课。一位好的投资顾问不是只会看几个k线图。投资管理没有这么简单。当然,对绝大多数还没有找到基本“胜算”的股友,先别想这么多,找到“胜算”再说。
祝大家好运


陈江挺


---
http://cgdzh.com/forum.php?mod=viewthread&tid=1377

3 个回答

查看全部回答

2019-07-18 04:01

万澜

谈谈专业炒股应追求的回报 by陈江挺
我们这个网站居然有这么高比例的网友在专职炒股,真让我大吃一惊!炒股的技巧等等就不多说了,大家可以在网站慢慢磨。这里谈谈什么是合理的,可以追求的回报!

大家对我做的pcg这个股票赞誉有加,我谢谢大家。但大家有没有算过这个操作的报酬率?八万多本金,2个月赚2千多,每个月1.5%不到;也就是说每年不到20%(这是满仓算,有空仓还得打折扣)。这个操作是实况演示,没得投机取巧;换句话说就是20年经验不外如此;不知道有多少网友有把握认为自己可以干的更好?

巴菲特1965-2005的记录是21.5%,这是辉煌的记录,足够让他成为全球首席投资者。只是21.5%!朋友。当您认为自己全职在做这件事情,没有50%的回报不算成功意味着什么?意味着您将不得不集中筹码去承担大的风险,意味着您随时面对毁灭的灾难。

媒体从来不缺那些宣传自己怎么在10几年将8千变成4亿的高手;我不怀疑或许有这样的事。纽约每个礼拜都有人将一块钱投资在2天之内变成3百万,更不得了的回报率。将一块钱变成3百万的都承认是自己运气好;偏偏8千变4亿的要说自己是价值投资本事大?嘿嘿,当看到林园被人索要记录时言辞之闪烁,让我回忆起另一位投资大仙,加拿大的“华人巴菲特”唐炜臻(大家不知这位大仙是谁的话请上网查查)。或许我们的文化缺少“上帝面前不可撒谎”信条,林园,唐炜臻之流层出不穷,而且媒体居然会乐于报道。说这些是想告诉本网的网友,这不是您们追求的目标。

那么您们追求的目标是什么呢?首先您们需要追求股市的胜率,如果闭着眼睛瞎买,50%的几率扣掉手续费,您迟早清盘。有了一定胜率后,您要分散风险,再读读我书中抛硬币的故事。美国上市的合作基金法律规定单个投资不超出总投资的5%, 就是最少20只股票。对散户而言,我认为有8-10只也差不多了。如果读者有学过portfolio theory, 当看到10只股票已大概稀释了市场个股分险。做好了这些,您应该可以期待每年10-20%的回报;您若真能在基本没有风险的情况下获得10-20%的回报,您出师了。会有千千万万的人人想请您帮他管钱。

业余股友中或有人将闲钱放在股市赌一赌,将所有本金买一只股票;我不怀疑他可能会连续三次碰到半年内股票从10跑到30的好事,这下他自己觉得自己是股神。但第四次大约就是10到1了!这种买彩票的心态赌股票不是专业炒股该有的。

再回到专业炒股。问一下您自己的本金有多少?10万的话您的期望不可超出每年1到2万的回报,否则您只好去做不正确的事情;专业炒手注重在正确的时间做正确的事情,结果交给上帝决定。碰到10几年前的大牛市,您可能来个100%,200%;把钱存起来,别幻想好事情会没完没了。碰到几年前的大熊市,您可能每年亏上10-20%, 这没关系,若10年算总帐, 您有10-20%的成绩就应该满足了。超出20%? 恭喜!您已经比巴菲特更牛。别小看20%,它意味着不到四年翻一倍。

请有意专业炒股的股友记住,专业炒股不要注重于赚钱,注重于控制风险;风险控制好了,赚钱的部分自己会关照自己。一个大起大落的户口是炒手还不成熟的标志,也预示您的成绩不具备重复性,不入行家之眼。 股市天天开,明天还有机会;慢慢来,不要急,祝大家好运。

陈江挺。

2019-07-18 04:01

万澜

关于资金调配之分散投资 (zt)
下面的文章代表了部分基金经理对资金调配和分散投资的观点,与同学们分享。

小结如下:
理论上需要30个股票来降低单个公司风险。

巴菲特号称自己是”focus investing“,但是他拥有40+个股票。

一个本地经理认为自己有concentrated portfolio,他拥有35个股票。

Mr Eric 是比较分散的,他认为5%的资金投入到一只股票上有些过多,会影响到自己的思考和判断。


-----------------------------------------

BT Invest: Diversified versus focused approach to investing


by Teh Hooi Ling



In one, you spread out your bets, in the other, you go with what you know well. In the last few weeks, I talked about finding value in the market and ways to identify market under- and over-valuation. Finding discrepancy between the value of a company and the price that its stock is trading at in the market is only part of the analysis. You have to build a portfolio that takes advantage of the opportunities.

If you find value in a basket of stocks, but they all happen to be, say, in the real estate business, do you put all your money in stocks from just that one sector? Or, in another extreme scenario, do you put all your money into just one stock?

There are two schools of thoughts. One is the diversified approach, and the other, advocated by legendary investor Warren Buffett, is focus investing. The theory says that this risk can be minimised by having at least 30 stocks in the portfolio. Besides risks that are specific to the individual company, there is also the sectoral risk. For example, if you had all your money in real estate stocks a few weeks ago when the Government announced the surprise cooling measures, your portfolio would have taken a big hit the following Monday.

On a broader level, there are country risk and currency risk. There is even an asset class risk. Say you had all your money in stocks when the global financial crisis hit. No matter which market you were invested in, your portfolio would have suffered as stocks plummeted globally. So the idea of diversification is to allow an investor to spread out one’s bets.

The hope is that not all asset classes, not all stocks, will move in tandem. In some periods, you may have SingTel outperforming; other times Fraser & Neave might surge ahead. Or you may have China racing ahead in the last few years while Japan may power ahead in a different period. Theories in finance say that diversification allows the investor to eliminate indiosyncratic risks – or risks that are peculiar to a specific company. Say, Company A’s big customer suddenly declared bankruptcy. And Company A was owed a big chunk of money by that customer. Once the news broke, Company A’s stock price tanked. That’s an idiosyncratic risk. In contrast, the other school of thought is that you should bet big on high probability events.

How does one know if an event has a high probability of occurring? Well, by studying and understanding an investable situation inside out. If, after the in-depth analysis, you are 100 per cent convinced that the market has absolutely mispriced that asset, then you should have the conviction to allocate a big portion of your portfolio to that asset, says Mr Buffett. There is little risk if you know the industry, the business thoroughly, the argument goes. Of course, work in a big margin of safety as well – pay a significantly cheaper price than the fair value of the company. According to Mr Buffett, buying a whole long list of stocks increases the chances that you will buy something that you don’t know enough about.

One local fund manager, Mr Teng Ngiek Lian, of Target Asset adopts the concentrated approach in building his portfolio. His fund invests in only 35 stocks. Here’s what he told me back in 2008. “By having a concentrated portfolio, you stay focused. It makes you very honest with yourself. If you make a mistake, it’s going to be very painful. “You can’t be casual. If you want to put in one stock, you have to take one out. So you have to decide why you want the new one and give up the old one. We find this a very effective strategy. “Normal investors just buy and buy. Like African tribal chiefs, they don’t know how many children they have. They don’t have to bring them up, so they don’t worry.”

To narrow the list to just 35 stocks, Target actively monitors about 150 to 200 stocks. This is for comparison purpose. How do you know a stock is good unless you’ve compared it with others, he said. Mr Teng’s strategy seems to work well. Target Asset Management returned 17.6 per cent a year between 1996 and November 2010, net of fees.

Another fund manager, Mr Eric Kong of Aggregate Asset Management, however, holds a different view. “Warren Buffett advocates the focus approach,” he said. “But we find that when you bring your holding up to 5, 10, 20 per cent of your portfolio, you’ll make more behavioural mistakes. You start to get emotionally attached to the stock, you fall in love with the stock. That is dangerous because it can really affect your judgment.” Also, Mr Buffett has a gift. He is able to read business very accurately. Not everyone has that kind of gift, Mr Kong noted.

Aggregate prefers a more conservative and boring approach. “We concentrate on what’s currently on hand.” Its strategy is to buy a big basket of stocks with low multiples of earnings and cash flows, low price-to-net tangible assets, and high dividend yields. I explored this strategy a few weeks ago and the results have proved quite effective.

Personally, I’m more inclined towards the big basket of cheap stocks approach. I wrote about randomness in my first few articles. I wouldn’t want any random event to wipe out, say, 10 or 15 per cent of my portfolio.

------------------------------
Originally published in The Sunday Times:

http://www.btinvest.com.sg/blogs/2013/02/04/diversified-versus-focused-approach-to-investing/

2019-07-18 04:01

文露唯

总结:加上通胀因素炒股最终就是无用功
吧非特是替人打工而已
风险就是赔钱的机率.
无法控制只能管理因风险都是未发生的
发生了的叫issue
钱不会生钱.了解次理便开始进入真正投资领域