投资的关键不是投什么, 而是投多少

Finance and economics

财经版块

Size matters

规模大小很重要

The most important investment decision is not what but how much.

最重要的投资决定不是买什么，而是买多少。

If you ever hear a professional investor talk about a trade that taught them a lot, prick up your ears.

如果你听到一个专业投资者在谈论一种让他们学到很多东西的交易，请竖起你的耳朵仔细听。

Usually, this is code for “a time I lost an absolutely colossal amount of money”, and you are in for one of the better stories about how finance works at the coalface.

通常这是“我有一次损失了一大笔钱”的另一种说法，从中你可以更好地了解到市场上的金融是如何实际运作的。

On this front, Victor Haghani is a man to whom it is worth listening.

在这方面，维克多·哈加尼是一个值得倾听的人。

He spent the mid-1990s as a partner and superstar bond trader at the hottest hedge fund on Wall Street.

上世纪90年代中期，他在华尔街最炙手可热的对冲基金担任合伙人和明星债券交易员。

In its first four years, Long-Term Capital Management (LTCM) made its initial backers average returns of more than 30% a year and never lost money two months in a row.

在最初的四年里，长期资本管理公司（LTCM）让其初始投资者的年平均回报率超过了30%，而且从未出现过连续两个月亏损。

Moreover, its partners had been trading the capital of Salomon Brothers, an investment bank, for the preceding 20 years, with similar results.

此外，其合伙人在之前20年里一直在为投资银行所罗门兄弟进行资本交易，而且也取得了类似的结果。

But in 1998 the wheels came off in spectacular fashion.

但在1998年，该公司遭遇了惨烈的翻车。

LTCM lost 90% of its capital at a stroke.

一下子损失了90%的资本。

Despite a $3.6bn bail-out from a group of its trading counterparties, the fund was liquidated and its partners’ personal investments wiped out.

尽管与其交易的另一方提供了36亿美元的救援资金，但该基金还是破产清算了，其合伙人的个人投资也化为乌有。

Mr Haghani writes that he took “a nine-figure hit”.

哈加尼写道，他遭受了“九位数的损失”。

Now, along with his present-day colleague James White, he has written a book that aims to spare other investors his mistakes.

现在，哈加尼和他现在的同事詹姆斯·怀特合写了一本书，旨在让其他投资者避免重蹈复辙。

Fortunately, “The Missing Billionaires” is not a discussion of the minutiae of LTCM’s bond-arbitrage trades.

令人庆幸的是，《失踪的亿万富翁》并没有讨论LTCM的债券套利交易的细枝末节。

Instead, it examines what its authors argue is a much more important—and neglected—question than picking the right investments to buy or sell: not “what” but “how much”.

相反，它研究的问题在作者看来比选择哪种资产买入卖出更重要，也常被忽视：不是“买什么”，而是“买多少”。

People tend to answer this question badly.

人们对这个问题的回答往往很糟糕。

To show this, the book describes an experiment in which 61 youngsters (college students of finance and economics, plus some young professional financiers) were given $25 and asked to bet on a rigged coin at even odds.

为了证明这一点，这本书描述了一个实验，在实验中，61名年轻人(金融和经济学专业的大学生，以及一些年轻的职业金融从业者)得到了25美元，并被要求以相等的赔率对一枚被操纵的硬币下注。

Each flip, they were told, had a 60% chance of coming up heads.

他们被告知，每抛一次硬币都有60%的机会出现正面。

They had time for about 300 tosses, could choose each bet’s size and would keep their winnings up to a cap of $250.

他们可以抛300次左右的硬币，可以选择每次下多少赌注，并且赢得的钱最多只能留下250美元。

This was an exceptionally good deal: simply betting 10% of the remaining pot on each toss had a 94% chance of yielding the maximum payout and none of going bust.

这是一笔非常划算的交易：只要每次抛硬币都押上剩余赌注的10%，就有94%的机会赢得250美元，而且没有破产的可能性。

Yet the players’ average payout was just $91, only a fifth of them hit the cap and 28% managed to lose everything.

然而，玩家平均赢到的钱只有91美元，只有五分之一的玩家赢得了250美元，28%的玩家全部输光。

A list of the coin-flippers’ mistakes reads like a parable of how not to invest in the stockmarket.

硬币玩家犯下的这些错误就像是对股市投资行为大忌的寓言。

Rather than picking a strategy and sticking to it, subjects bet erratically.

他们没有选择一种策略并坚持下去，而是不断地改变策略。

Nearly a third wagered their entire pot on a single flip and, amazingly, some did so on the 40% chance of getting tails.

近三分之一的人一次押下了所有赌注，而且令人惊讶的是，有些人押的还是有40%几率的硬币反面。

Many doubled down on losses, even though doing so is a reliable way of making mild ones catastrophic.

许多人在输钱后下了双倍赌注，尽管这样做很有可能让小输变成大灾。

Others made small bets fixed in dollar amounts, avoiding ruin but also giving up the lion’s share of their potential returns.

其他人则用固定的金额押小注，这样可以避免破产，但也放弃了可能得到的大额回报。

Few considered the optimal, lucrative strategy of betting a constant fraction of their wealth on an attractive opportunity.

几乎没有人考虑过最优且收益较大的策略，即把恒定比例的财富押在一个比较有希望的机会上。

The rest of the book offers a corrective to these wealth-sapping instincts.

这本书的其余内容提供了对这些赔钱本能的纠正。

Most important is to devise rules for spending, saving and allocating investments, expressed as fractions of your total wealth.

最重要的是制定支出、储蓄和分配投资的规则，用占财富总额的比例来表示。

Then you must stick to them, avoiding the temptation to chase hot assets or spend too much in the face of losses.

然后，你必须坚持下去，抵制追逐热钱或赔钱时过度支出的诱惑。

The authors’ great success is in offering a consistent and explicit framework within which to do all this.

作者的成功之处在于提供了一个前后一致且明确无误的框架来做到所有这些。

At its core is the concept of “expected utility”, or the pleasure derived from a given level of wealth.

其核心是“预期效用”概念，即从既定的财富水平获得的回报。

This accounts for the fact that most people are averse to risking large chunks of their capital.

这解释了一个事实，即大多数人都不愿拿太多的资本进行冒险。

A happy consequence is that sizing investments to maximise expected utility, rather than wealth, can sharply reduce your chances of intolerable losses while keeping enough risk for a shot at decent returns.

由此产生的一个令人高兴的结果是，确定投资规模以让预期效用而不是财富最大化，可以大幅降低出现惨败的可能性，同时保留足够的风险，让你有机会获得可观的回报。

In practical terms, the book’s crowning achievement is its explanation of the “Merton share”.

实际上，这本书最大的成就是它对“默顿份额”进行了解释。

This is a simple rule of thumb for determining asset allocation, which says that allocations should rise in proportion to expected returns, fall in proportion to the investor’s risk aversion and fall a lot in proportion to volatility (specifically, to its square).

这是一条确定资产配置的简单经验法则，即配置比例应与预期收益成比例上升，与投资者的避险意愿成比例下降，与波动性成比例大幅下降(具体地说就是与波动性的平方成比例)。

This is not to suggest the book makes for light reading.

这并不是说这本书适合轻松阅读。

The authors prescribe calculations that will appeal to only the most dogged investors, ideally with access to a Bloomberg terminal.

两位作者开出的计算方法只会吸引最刻苦的投资者，最好是可以使用彭博终端。

Most will conclude that they need a wealth-management firm to help them; conveniently enough, Messrs Haghani and White run one.

大多数人会得出结论：他们需要一家财富管理公司来帮助他们。而很方便的一点是，哈加尼和怀特恰好经营着一家这样的公司。

Yet for those investing in their own business—or, indeed, a hotshot hedge fund—it is worth reading simply for Mr Haghani’s reflection on how much he ought to have ploughed into LTCM all those years ago.

然而，对于那些投资自己的生意--或者投资了表现优秀的对冲基金--的人来说，这本书值得一读，哪怕仅仅是去看看哈加尼对于当年应该往LTCM投入多少钱的反思。

Spoiler alert: it was rather less than he did.

剧透提醒：本应该投的钱比实际投的钱要少得多。