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cover of episode Talk Your Book: How to Eliminate Negative Alpha

Talk Your Book: How to Eliminate Negative Alpha

2025/2/10
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Animal Spirits Podcast

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Ben Carlson
一位专注于投资教育和策略的金融专家,通过博客和播客分享投资见解。
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Cole Wilcox
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Michael Batnick
作为 Ritholtz Wealth Management 的管理合伙人和研究总监,Michael Batnick 是一位知名的投资专家和播客主持人。
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Michael Batnick: 我对系统化投资和趋势跟踪很感兴趣,因为它能消除情绪的影响,但实际操作中很难做到。我曾经因为过早卖出股票而错失了潜在的收益。趋势跟踪策略通常分散投资,避免集中持仓带来的风险。趋势跟踪并非预测市场,而是通过系统化的方法避免错误决策,减少人为错误。少数股票贡献了市场大部分收益,这与趋势跟踪策略相符。 Ben Carlson: 另类投资是指那些能提供多元化,降低风险和相关性的投资。 Cole Wilcox: 我25年来一直从事趋势跟踪,最初通过管理对冲基金和基金中的基金进入该领域。市场收益并非平均分布,少数股票贡献了大部分收益,这符合幂律分布。趋势跟踪并非预测赢家和输家,而是通过系统化的方法从幂律分布中获益。通过系统化的策略,可以消除人为错误导致的负阿尔法。我们的趋势跟踪策略专注于个股,投资范围涵盖整个罗素2500指数。我们只持有市场中表现最好的股票,并不断淘汰表现不佳的股票。我们主要投资中小盘股,因为它们更有可能成为多袋股。避免亏损股和选择赢家股同等重要。大型赢家股通常会有大幅回撤,这是正常的市场波动。我们的持仓时间较长,通常以年为单位计算,这有助于我们应对市场波动。我们的入场和出场标准是通用的,并根据每只股票的波动性进行自我调整。在风险规避环境中,我们会持有更多短期国库券来应对市场波动。多年来,个股趋势跟踪策略一直有效,没有表现出任何变化。我们通常将该策略定位为在降低波动性和回撤的同时,达到或超过罗素2500指数的收益。我们的基金旨在优化金融顾问的另类投资组合,并提供高收益和低相关性。与许多对冲基金策略相比,我们的趋势跟踪策略能够在市场下跌时降低风险,在市场上涨时获得收益。我们的策略既能降低波动性和回撤,又能充分参与市场上涨。最糟糕的市场环境是市场长期停滞不前,缺乏明确的趋势。我们的基金很少完全转为现金,只有在严重的金融危机中才会发生。我们专注于美国股票市场,因为我们认为在其他市场取得成功并不容易。我们的贝塔系数约为0.45,与市场相关性约为0.5到0.55。我们的策略旨在在提供高预期收益的同时,保持较低的贝塔系数和相关性。我不太喜欢管理期货作为实施趋势跟踪的一种方式,因为它被过度宣传为对冲工具。我大部分时间都花在与金融顾问沟通,帮助他们构建和优化另类投资组合。

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On this episode of Animal Spirits: Talk Your Book, Michael Batnick) and Ben Carlson) are joined by Cole Wilcox, Founder and Chief Investment Officer of Longboard Asset Management) to discuss if trend following still works for stocks, how to set the expectations for investors using trend following, positioning alts within a portfolio, and much more!

Find complete show notes on our blogs...

Ben Carlson’s A Wealth of Common Sense)

Michael Batnick’s The Irrelevant Investor)

Feel free to shoot us an email at [email protected]) with any feedback, questions, recommendations, or ideas for future topics of conversation.

 

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Past performance is not indicative of future results. The material discussed has been provided for informational purposes only and is not intended as legal or investment advice or a recommendation of any particular security or strategy. The investment strategy and themes discussed herein may be unsuitable for investors depending on their specific investment objectives and financial situation. Information obtained from third-party sources is believed to be reliable though its accuracy is not guaranteed.

 

Investing involves the risk of loss. This podcast is for informational purposes only and should not be or regarded as personalized investment advice or relied upon for investment decisions. Michael Batnick and Ben Carlson are employees of Ritholtz Wealth Management and may maintain positions in the securities discussed in this video. All opinions expressed by them are solely their own opinion and do not reflect the opinion of Ritholtz Wealth Management.

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