四大获得超额回报的途径 Michael Mauboussin - The FourSources of Alpha
四大获得超额回报的途径:
- 行为偏差(Behavioral)
迈克尔提到行为偏差时说:“你不能仅仅因为个人都是非理性的,就断定市场也一定是非理性的。”(You can’t conclude that markets are irrational just because individuals are irrational.)
他指出个人可以有各种认知偏差,但市场可以通过群体智慧抵消这些偏差。要利用行为偏差获得优势,关键是在市场出现过度悲观或过度乐观的极端点时保持独立性。
Michael said: “You can’t conclude that markets are irrational just because individuals are irrational.”
He pointed out that individuals may have various cognitive biases, but markets can offset these biases through collective wisdom. The key to taking advantage of behavioral biases is to maintain independence when the market reaches points of extreme pessimism or optimism.
- 分析优势(Analytical)
迈克尔认为分析优势源自更深入地分析和处理相同信息的能力。他提到要注意样本量和信号强度,避免被小样本误导。另外,更新观点、避免确认偏差也很关键。
Michael believes that analytical edge comes from the ability to analyze and process the same information more deeply. He mentioned paying attention to sample size and signal strength to avoid being misled by small samples. Also, updating views and avoiding confirmation bias is critical.
Michael said: “Analytical is having that really clear in your head.”
- 信息优势(Informational)
迈克尔说尽管原始信息总有一个来源,但监管者会推动信息的广泛传播。但是有些领域,如高级别的打探和分析,以及关注被忽略的信息,可能仍然存在信息优势。
Michael said that while there is always an original source of information, regulators promote widespread dissemination of information. However, some areas such as high-level scuttlebutt and analysis, and paying attention to overlooked information, may still have informational edge.
- 技术因素(Trading Frictions)
迈克尔认为这方面的优势来源包括被迫卖出造成的流动性问题、基金流动等。这些都是较为间歇性的机会。他还提到了历史上的一些大规模的套利机会。
Michael believes that sources of edge in this dimension include liquidity issues caused by forced selling, fund flows, etc. These are more episodic opportunities. He also mentioned some large-scale arbitrage opportunities in history.
所以四大途径都是潜在的alpha来源,但获得优势需要深入理解其机制,并在实践中加以应用。
So the four dimensions are all potential sources of alpha, but gaining an edge requires thoroughly understanding their mechanisms and applying them in practice.