三角形内部

Complexity makes investing so challenging. 不像纯科学, 投资中没有残酷的事实, no discoverable axioms that determine outcomes with 100% confidence. 充其量，我们可以用概率说话，但即使这些概率也有很大的标准误差. Investing demands humility, even from the best of us.
这种复杂性来自于影响投资的无数变量. 这些变量不仅包括经济和金融，还包括政治、社会和情感. Investing cannot be reduced to a formula or an algorithm, however many Greek letters they may contain. It’s not just the sheer number of factors at work, 它也是不断变化的相互作用和每个变量对其他变量的影响, resulting in a geometric explosion in complexity.
一种传统方法是忽略这一切:设定固定资产配置，永远不要变化. 这是一个完全合理的策略, but one that requires a number of conditions that rarely co-exist among investors:

• The asset pool must serve long-term needs, 任何大量现金流入或流出池的风险发生在不利于投资者长期目标的时候.
• Risky assets will have higher future returns than safe assets.
• The future return of a portfolio will be adequate, 按绝对值计算, 以满足投资者的需求.

这些情况值得怀疑. 许多投资者在不合适的时候有大量现金流入或流出他们的投资组合. 一位2009年退休的投资者, 例如, 可能有一个储蓄池，比一年前要少得多. 当投资组合价值最低时，许多捐赠基金和基金会的现金需求会增加, 从而在最糟糕的时候消耗资产.

这很不寻常，但在所有时期，风险资产的表现并不总是优于安全资产. 从2000年到2008年，美国经济一直在增长&标准普尔500指数下跌3点.6% p.a., while long-term US government bonds gained 10.5% p.a. 在那个时期. From 1966 to 1974, US stocks advanced just 0.1% p.a.而美国政府债券的回报率为2%.4% p.a. 1929年至1942年间，美国股市的年跌幅为1%，而政府债券的年复合收益率为+ 4%.5%.

The third point is most questionable today. Long-term government bonds yield less than 2% around the world; in much of Europe and Japan yields are even below zero. 未来的股票回报是不确定的, but most would estimate absolute returns to be well below historical levels. 多元化的投资组合可能会有失败的风险, 即使很短, 投资者要求的回报.

固定资产配置确实有一个重要的区别价值:它可以防止投资者伤害自己. 这一点不容低估. 根据咨询公司Dalbar的说法, 过去30年(截至2014年)，普通散户投资者未能跟上通胀的步伐, 赚2.47% p.a. 通货膨胀率为2.70%的增长. 忘记靠近键(+7).36%)或美国股市(+ 11%).06%). High fees are only partly to blame; this level of underperformance comes from (bad) investors’ decisions to buy high and sell low by chasing fads on the upside and bailing out at the bottom.

Thus far, I’ve presented only problems:

• Investing is complex beyond comprehension, by human or computer.
• A fixed asset allocation solves the problem of complexity by ignoring it, 但确实存在局限性.
• Investor behavior is harmful to investors.

如果固定分配是有问题的, constantly shifting strategy is likely to be worse, 主要有两个原因. 第一个, 就像我们在Dalbar的研究中看到的那样, 决策几乎总是错误的，因为成功的投资是反直觉的, 不直观的. 最痛苦的时刻(血流成河 in Nathan Rothschild’s memorable phrase) is the best time to invest, and when markets are most euphoric is the worst time to invest. 其次，即使我们能够避免自己造成的行为伤害，选择市场时机也是不可能的. Not hard, not difficult; impossible. 原因是大部分的市场回报发生在非常少的几个时期. 在过去的6年中,000天(25年), an equity investor that missed the best 10 saw his return cut in half (see below). Successful timers do not have to be correct just more than half the time; they have to be right, 始终如一地, 几乎一直如此. 不可能的.

我提出了两种截然相反的方法:永远不要根据市场情况改变策略, and always shifting strategy to anticipate future movements. I’ve explained why both are unsatisfactory. 但我们仍然需要一个框架来平衡所有这些力量，以便为我们制定投资策略提供途径. For me, that frame takes the shape of a triangle.

I noted above that the influences affecting investing are infinitely complex, 涉及经济, 金融, 政治, 社会及心理因素. I said that no formula or algorithm can fully capture these variables, 但有三类可量化的因素可以构成我们的分析框架, 估值及人气.

动力 指一种趋势，上升或下降. 如果不看看历史模式，要知道市场趋势是高还是低，是非常困难的. It’s hard to see the forest through the trees. Trend analyses are used by traders to time their trades, but investors need to know if we are in a bull or a bear market. 当然, bull and bear markets do not move in straight lines, 但是如果有足够的视角, 短期波动趋于平缓, 我们可以回答一个简单的问题，即市场趋势是高还是低. If higher, we generally want to maintain our exposures; if lower, we generally want to reduce them.

我在上一封季度信中指出(http://angeles-srv.s3.amazonaws.com/content./1462378111./angeles-commentary-1q16.pdf)

那个S&在过去两年中，除了6天之外，标普500指数的交易价格一直在1850点至2150点之间. So, 中期来看, US equities are neither in a bull nor a bear market; they are just bouncing around in a range, 在拖延时间. 但从更长远的角度来看, we see that US equities broke out of their 2000-2013 range to the upside. If my investment horizon were measured in decades, 我的结论是，美国股市正处于结构性牛市，我希望保持对这一资产的敞口. The graph below, in semi-log scale, shows the S&从1966年到今天的标准普尔500指数.

估值 refers to whether an asset is cheap or expensive, which means its future return will be high or low, 分别. 有许多估值指标, 最好的方法是尽可能多地审查，以衡量证据的优势. A common metric is the price-to-earnings (P/E) ratio. 自1966年以来，美国股市的市盈率一直保持在最低水平&标准普尔500指数平均约为16点.5x, with a high of 29x in 1999 and a low of 7x in 1974 (see graph below). 在我看来，目前19倍的水平说明，目前的估值并不特别便宜, 但它们也不是特别贵.

估值 is important in the short-term, 但长期来看, it matters much less for equities than the growth rate of earnings and dividends. 下图(来自MSCI)将全球股票的回报率分解为三个组成部分:股息收益率, dividend growth and valuation adjustments. 在一年的时间框架内，估值变化占股票表现的一半. 但是20多年来, valuation adjustments contribute just 7% to the total return, 与红利, 以及股息的增长, 占93%.

情绪 衡量投资者的恐惧或乐观程度，这是一种反向指标. Investors (as a group) are generally rational, 但投资者也是人, 因此, 情感. When pessimism and optimism exist they do so for very rational reasons. 回想2009年初，当时世界，至少是金融世界似乎正在分崩离析. 嗯，它正在分崩离析. 投资者的担忧是合理的，没有人知道金融体系能否得到拯救. Likewise, try to remember the euphoria of 1999. 互联网爆发了, 还有各种各样的新产品, 服务和应用程序承诺为数十亿使用这项新技术的用户提供一个更美好的世界. 这些都是真的. 因此，2009年初的恐惧和1999年底的希望都根植于非常真实的事实.

But the facts are only part of the equation for investors. The implied assumptions about the future in both cases, were ludicrous. In 2009, this was most evident in the credit markets. 公司债券价格跌至约三分之一的公司将申请破产的水平. In the depths of the depression in 1932, defaults never topped 20%. 2009年会比1932年更糟吗? 有可能，但可能性很小. 当然, there are many examples throughout history of insane euphoria. 1999年的互联网泡沫就是其中之一, but the best in my memory was Japanese real estate in 1989, 当时东京皇宫下的土地比整个加州的土地还值钱.

Investor pessimism and optimism are based on rational considerations, 但当他们走向极端时, I have found them to be excellent contra-indicators. The AAII survey is one such measure of hope and fear. Below is the percentage of investors who identify as bullish, which today is about as low as reported since 1989. There’s a lot to be pessimistic about, and many are. 这对投资者来说真是个好消息.

So my view of the current market is somewhat neutral. 动力 is neutral over the past two years, but more positive looking longer-term. 估值 is not cheap, may be a little expensive, but not egregiously so. 情绪 is bearish, and that’s a positive sign. 我把这些都放在下面. Ideally, we would see positive momentum, cheap valuations and bearish sentiment. The triangle would be completely green then. 但这将是例外. Most of the time, the picture will be mixed. 当然，我还考虑了更多的数据集和指标，但我只提到了其中的几个. 这种做法可以在不同的市场、资产类别和时间范围内进行.

The long-term allocation should reflect the unique needs, risk tolerances and return objectives of each investor. But I find my triangle helpful in thinking about positioning portfolios, 在边缘, 因为市场情况确实在变化, 在这些主要动力类别的背景下，创造新的风险和新的机会, 估值及人气. Good ideas often come from thinking outside the box, but when putting those ideas into action, 我在三角形里面工作.

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