香农的恶魔策略：如何凭空创造收益

Core Insights - The article discusses the increasing volatility in global markets and suggests strategies to protect investment returns during challenging market conditions [5][6]. Group 1: Investment Strategies - The core strategy proposed involves combining two seemingly contradictory asset types: high-volatility assets with zero long-term expected returns and low-volatility assets also with zero long-term expected returns [6]. - The concept of "Shannon's Demon" illustrates how rebalancing can transform a zero expected return scenario into a positive return over time [11][18]. - By rebalancing investments between high-volatility assets and cash, investors can reduce overall portfolio volatility and mitigate the negative impact of volatility drag on long-term returns [20][21]. Group 2: Risk and Return Dynamics - The article emphasizes the negative impact of volatility on returns, particularly in bear markets where high volatility can lead to rapid loss of gains [23][24]. - It highlights that while low volatility is generally preferred, it is only beneficial if the expected returns of low-volatility assets are equal to or greater than those of high-volatility assets [25][26]. - Investors should focus on their risk tolerance and set expected returns based on their investment goals, using diversification and multi-asset allocation to minimize risks associated with achieving those returns [27]. Group 3: Importance of Rebalancing - Rebalancing is crucial as it helps maintain the intended risk profile of an investment portfolio, preventing excessive risk exposure during market fluctuations [34][36]. - The article warns that frequent rebalancing can incur transaction costs and may not always lead to improved returns, emphasizing the need for a balanced approach [38]. - A well-defined rebalancing strategy can provide a corrective mechanism for portfolios, helping investors maintain a steady investment mindset amidst market volatility [39][40].