Original Butcher 1868 Foundation Changhong 2023-11-25 20:20 Published in Guangdong.
I have to plan my asset allocation so that even if I make a mistake, I'll be safe.This is the butcher's 743rd original article with a full text of 4100 words.Ray Dalio.
Money · Logic · Against human nature, the butcher greets you all good evening.
2023 is coming to an end, and it's time to update the logic of the half-day combination.
The logic of the 2024 version of Half a Day is divided into four chapters:
The Chapter of the Waybegins with basic logic and introduces the thinking, genres and cases of asset allocation.
The Chapter of the Law plans the overall layout, explaining the objectives, ideas and variety selection of the strategy.
The Chapter of the Art focuses on actual combat operations and designs the rules for positioning, rebalancing and rebalancing of strategies.
The chapter of the instrument sorts out the selection of varieties, summarizes the selection methods of the strategy and the first list.
The law will explain the overall layout of the half-weather combination, and this chapter includes ——
There are three elements of a complete investment logic: investment objectives, investment philosophy, and investment strategy.
The investment objective means "what I want to do".
Investment philosophy stands for "What I Believe".
The investment strategy is "what do I do".
In the case of Dalio's all-weather strategy, the investment logic can be summarized as ——
Investment objective - what I want to do].
Do not rely on experience and **, to achieve long-term stable appreciation of wealth.
Investment Philosophy - What I Believe].
Through reasonable asset allocation, a combination can achieve "crossing bulls and bears".
The economic cycle can be divided into "four seasons": economic upturn + inflation, economic upturn + deflation, economic downturn + inflation, economic downturn + deflation.
*It is not negatively correlated with bonds, and a simple "equity-debt balance" will not solve the problem.
Following these two elements, a specific investment strategy is derived: an all-weather strategy.
The three elements interact with each other to form a complete investment logic chain:
The investment strategy is subordinated to the investment philosophy, and the investment philosophy is derived from the investment objective.
So, what is the investment logic behind the half-day strategy?
Butcher's note: Part of the content in this section is inspired by "Exploring the Frontier of Asset Management" edited by Yu Jiahong et al., and has been adjusted based on the butcher's personal experience.
The idea of half a day stems from a fear and a greed.
A kind of fear, called"People are still alive, there is not enough money".
What do I rely on for my retirement after retirement?Is there enough money?Do you still have to work part-time?
A kind of greed, called"Lie still and make money".
Investing is also very energy-consuming, can you let the money go into your pocket?
The half-day strategy is the answer I want.
The investment objectives of the half-day are the same as those of the all-day weather:
Under the premise of 0**, the long-term stable appreciation of wealth is realized.Here are 3 keywords, and 3 major problems
0**: A simple set of rules can work without relying on anyone's experience and judgment.
Long-term: Don't covet short-term performance for one or two years, and focus on long-term gains across bulls and bears.
Stable appreciation: Risks and drawdowns are as small as possible, creating a solid backing for family assets.
Why is 0** required
The more a strategy relies on the subjective judgment of an individual, the more difficult it is to replicate and imitate.
Everyone's experience is limited, and those who rely on crystal balls to eat will have to eat broken glass on the floor sooner or later.
A combination of 0** can be used as a bulwark for the butcher's other strategies – and that's important.
Why focus on the long term?
Investing requires a winning mindset, not just a day or two or a month or two of ups and downs.
The average life expectancy of Chinese has exceeded 77 years old, and it is a high probability that they will live past 80 years old in the future.
From this point of view, three or five years is trivial, and we still have to go through many rounds of bulls and bears.
Why the emphasis on stable value-added ?
The CSI 300 is great, but a big bear market after retirement can keep you out of food for three years.
When I was young, it didn't matter if I licked the blood from the knife, but after I retired, I still fought and killed, what about playing?
The stability and reliability of the asset allocation portfolio can be used as a pension security after retirement.
To reiterate the investment objective of the half-day strategy:
Under the premise of 0**, the long-term stable appreciation of wealth is realized.
In order to achieve this goal, we need to use two tools in asset allocation: allocation and rebalancing.
Butchers often say that there are two major problems in investment: "stock selection" and "timing", which actually correspond to these two means.
Allocation is like "stock selection", but instead of choosing **, it takes into account the asset class and allocation ratio;
Rebalancing is like "timing", but it is not a subjective timing, but an automated way to buy low and sell high.
Today's "Chapter of Law" determines the configuration, and next week's "Chapter of Law" focuses on rebalancing.
The Chapter of the Wayintroduces 3 asset allocation strategies, and finally summarizes them in a diagram:
Attentive students will notice that the colors and grid sizes on the map are exquisite
The size of the grid corresponds to the proportion of the asset to the overall portfolio.
Red indicatesAssets, which is strongest during economic booms.
Yellow indicatesBond assets, which is less volatile and performs well in times of deflation.
Purple indicatesAlternative Investments, represented by **, hedge the risk of hyperinflation.
Green indicationCash assetsThe most popular phrase in recession is "cash is king".
The predecessors have summarized it so completely, and they will not add to it for half a day, and the four types of assets will be matched.
It is worth noting that Dalio'sFour steps around the clockand Swenson'sScarecrow comboCash assets are omitted.
Theoretically, it is possible to use Treasury bonds or interest rate bonds to cope with recession and deflationary environments, and to obtain better yields than cash in other environments.
However, cash in the asset allocation portfolio has two other functions: one is to provide liquidity, and the other is to serve as a scale of asset returns.
From a practical point of view, the half-day portfolio will retain a small amount of cash assets.
What is the share of each of the four types of assets in the portfolio?
Assets45%.
Bond assets30%.
Alternative Investments20%.
Cash assets5%.
Compared with the 2021 version, the new version of the half-day waits for cash assetsRecall
Why do you say "recall"?
Because the cash assets in the 2020 version are 5%, this is not the first time.
For the major types of assets, the following is a little more explained
withAll-weather combinationsIn comparison, the proportion of ** assets is higher in half a day for two reasons:
First, there is leverage around the clock, and 0 leverage in half a day.
Leverage can magnify gains as well as losses.
The all-weather portfolio controls volatility through overweight bonds and amplified through leverage, which is a typical risk parity strategy.
The half-day portfolio is not leveraged, so the volatility limit is slightly relaxed in exchange for higher long-term returns.
Second, the main battlefield of all-weather weather is in the United States, and the main battlefield of half-day weather is in China.
The U.S. dollar itself is the benchmark of global currencies, and U.S. Treasury bonds are the "anchor of global asset pricing": when the interest rate of U.S. Treasury bonds moves, global assets will be **.
Under foreign exchange restrictions, we have to choose domestic long-term interest rate bonds as an alternative, but Chinese government bonds are not the same as US government bonds.
People can overweight U.S. Treasuries by a large margin, and we can't copy them, and we can't do them either.
45% of ** assets are subdivided into 4 categories:
The Chinese market accounts for 20%.
The U.S. market accounts for 10%.
Overseas developed markets (excluding the United States) accounted for 10%.
Overseas emerging markets (excluding China) accounted for 5%.
* The allocation logic of the asset ratio, and theThe Chapter of the WayThe anti-globalization trend mentioned at the beginning of the book matches.
Or you can understand it that way
The Eastern camp accounts for 20%, the Western camp for 20%, and the third-party camp for 5%.
When the two sides are equal, the "two-headed bet" is the safest.
From 2019 to the present, the proportion of ** in the half-day combination has gradually increased.
From 30% to 40% to 45%, the half-day weather is getting closer and closer to the scarecrow combo —
Giving in to short-term volatility in exchange for higher long-term returns, especially risk-adjusted returns. *
Butcher's note: Risk-adjusted return can be understood as "the additional return that can be obtained for every 1 unit of risk staked". If the risk-adjusted return is higher, then it makes sense to take on the additional volatility.
In order to control the overall volatility of the portfolio, ** assets no longer simply use broad-based indexes, and this part will be left to the "Chapter of the Apparatus" when talking about specific varieties.
Then there is the 30% of bond assets, which is the ballast stone of half a day.
Since it is a ballast stone, it should beUse interest rate bonds and avoid credit bonds.
The risks of these two vary widely, in layman's terms:
Credit debt is "the company asks you to borrow money": the company may default on its debts, commonly known as credit risk. Other defaults could also cause panic, such as the many bonds that Evergrande Country Garden has dragged down this year.
Interest rate bonds are "countries looking for you to borrow money": reliable countries will not pay their debts, especially large countries like China and the United States. There is no such thing as "default" or "thunderstorm" in interest rate bonds, only interest rate risk.
Interest rate risk refers to the volatility of bonds** caused by changes in interest rates. Generally speaking,Bonds when interest rates go up and bonds *** when interest rates go down- Now that my country is in an upward or downward cycle, there is no need for a butcher to remind you, right?
Credit bonds also have interest rate risk: a bond has a double risk, and the return of credit bonds is higher than that of interest rate bonds, which is "risk compensation" to put it bluntly.
The butcher's description here is not rigorous, such as ——
The borrower of interest rate bonds is actually a "quasi-sovereign institution" such as the China Development Bank, not a national ZF
The average credit cycle in the Chinese market is 45 months, and there is a bond bear market every 4 years or so (data**: Dong Zhide @国信固收, 2021).
The logical chain of the impact of interest rates on bonds** is more complex than ...... described above
But, writing these is always complained about "I can't understand", so let's do it first.
If you want to learn the real thing, please also refer to Knowledge PlanetAsset Allocation Research Institute
The content in it can't be done quickly, it is to help you accumulate hardcore knowledge step by step.
Some people like the quick swordsmanship to ward off evil spirits, but I'm sorry, the research institute only teaches Dugu Nine Swords.
Finally, there is the 20% alternative investment, which is also a regular column of the institute every Monday.
is the "old teammate" of the half-day group, and he has not changed his position since he opened his position in 2018.
In addition to fighting hyperinflation, ** itself has a low correlation with other assets, which can play a good role in diversification.
Some classmates asked about "Shanghai Gold", and I was thereAsset Allocation Research InstituteIt has been specially written and analyzed, and it will not be repeated here.
It's also an "old teammate", but the 2021 version has been removed, and the 2024 version will return.
On the one hand, ** also has a low correlation with other assets, which can replace REITs to play a decentralized role;On the other hand, de-globalization and geopolitics often use energy as a bargaining chip, which is useful to keep.
In the long run, the role of ** will be weakened, but this "long-term" is more than 10 years, so it does not prevent us from continuing to use it at the moment.
This time, I still choose the oil industry index** to avoid **commodities** to avoid stepping on thunder.
I'm inResearch InstituteI also wrote a 5,000-word research to thoroughly dissect the different options for this variety, which will not be repeated here.
The 2024 version is gonereits, the butcher reminds of a few important points:
The global economic recovery has been slower than expected, and commercial real estate vacancy rates are high: REITs are experiencing a decline in operating cash flow (FFO) and profit margin.
Large and rapid interest rate hikes in Europe and the United States, and interest rates are likely to remain high for a long time: the net asset value (n**) of REITs has declined.
REITs are typically saddled with large amounts of variable rate borrowing: the FFO has fallen further in line with the high interest rates of the previous article.
The profit logic of REITs can be found in ".A detailed explanation of the income from stocks, bonds, housing and oil**, which will not be repeated here.
The sale of REITs by Blackstone Group, the world's largest "charter wife", is just a result.
What we need to see is the logic of the behavior behind the result, and the deep reasons behind the behavior
For the above reasons, REITs have become money-losing assets;Because of the loss of money, Blackstone will sell.
We will not hold the poisonous assets that are constantly losing blood, let alone take over.
As forCashAs mentioned earlier, there are two functions: providing liquidity and asset return scale.
Both of these effects are related to the rebalancing operation, which will be explained in the Chapter of Techniques next week.
Starting from the three elements of investment logic, the "Chapter of Law" sorts out the investment objectives and investment philosophy of the Bantian Portfolio, and officially enters the investment strategy.
In terms of the proportion of major types of assets, only minor adjustments have been made in 2024, but ——
In terms of segmenting asset selection,There are a lot of changes in the new version, most of the instruments will be switched to on-exchange ETFs.
On the one hand, it is because some varieties only have on-site and no off-market, and on the other hand, it is to reduce transaction costs and bypass the QDII subscription limit, which will be explained in detail in the "Chapter of the Apparatus".
You can prepare it yourself, or send a private message in the backgroundOpen an accountContact the assistant to open an account with very low exchange ETF trading fees to save follow-up costs.
Most of the students who read this will remember the allocation ratio of the four types of assets, but they may have forgotten the investment goal for half a day.
Then let the butcher remind him again, the goal of half a day is ——
Under the premise of 0**, the long-term stable appreciation of wealth is realized.The importance of investment objectives cannot be overstated:
Walking on the road,
Never forget what you set out for.
The opening chapter mentions ——
In order to achieve our investment goals, we need two tools in asset allocation: allocation and rebalancing.
The Chapter of Law has already covered configuration, and next week's Chapter of Art will focus on rebalancing and talk about the actual operation of the half-day combination.
Stay tuned!