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牛市最考验投资心态!如何避免追涨和踏空?
雪球· 2025-08-20 13:01
以下文章来源于做配置的小雪 ,作者做配置的小雪 做配置的小雪 . 曾经幻想暴富,现实变成暴负,投资只能慢慢变富~ 大盘本周站上了3700点,不仅突破去年10月的新高,也创造了近10年以来的高位,A股市值更是历史首次突破100万亿。 然而,指数狂欢之下,不少投资者却遗憾踏空,过程相当焦虑: 1、 牛市 没上车 A股是一个牛短熊长的市场,大部分时间都是下跌和震荡,往往这个时候,是布局A股最好的时间。 但是很遗憾,这个阶段由于没有赚钱效应,大部分人并不会关注。 2、买错了标的 ↑点击上面图片 加雪球核心交流群 ↑ 虽然立秋了,但是市场热的和夏天一样。 A股这轮牛市,并非全面牛,而是结构牛、轮动牛,创新药、军工、反内卷、科技轮番上涨。 选对标的,短短数月也能实现翻倍。没选对标的,在牛市里也赚不到钱。但是如果眼红别人的收益,频繁调仓追涨热点,甚至还会亏钱。 3、等不到 回调 有些人等回调是恐高,担心回调后损失太大。还有一些人等回调,是想最大化收益,别人在3000点买的,我也要在3000点上车。 但事实是,无论是哪一种人,真等到市场回调了,也不会上车。恐高的对损失厌恶,认为还会再跌。想最大化收益的,由于贪婪,想等回调更多 ...
达利欧告别桥水,聊聊他独创的全天候策略
Sou Hu Cai Jing· 2025-08-18 04:54
Group 1 - Ray Dalio, aged 75, has officially retired from Bridgewater Associates, marking the end of an era that lasted for half a century [2] - Dalio started investing at the age of 12 and founded Bridgewater at 26, which has grown to manage over $160 billion, making it the largest hedge fund globally [3] - The All Weather strategy, a well-known asset allocation approach, was developed after Dalio's significant loss during the stagflation period of the late 1970s and early 1980s [4][5] Group 2 - The All Weather strategy is based on risk parity, which aims to balance risk across various asset classes rather than merely diversifying funds [6] - The strategy involves three steps: analyzing economic environments, allocating different assets for each economic scenario, and implementing risk parity [7][8][9] Group 3 - The strategy categorizes economic conditions into four basic "seasons": economic growth exceeding expectations, economic growth below expectations, inflation exceeding expectations, and inflation below expectations [8] - Each economic scenario has corresponding asset classes that perform well, such as stocks and commodities during economic growth, and long-term government bonds during economic downturns [9] Group 4 - The implementation of risk parity involves quantifying asset performance under different economic conditions to ensure equal risk contribution from each asset in the portfolio [10][11] - The All Weather strategy has shown resilience but is not infallible, as evidenced by significant downturns during extreme market conditions, such as the COVID-19 pandemic and the 2022 market environment [14][15] Group 5 - Bridgewater has successfully localized its strategies in China, becoming the first foreign private equity firm to manage over 10 billion RMB in the country [17] - The performance of Bridgewater's products has been strong, with a flagship product launched in July 2022 achieving an 18.55% return and a cumulative increase of 76.61% by July 2023 [19] Group 6 - In 2023, despite a challenging A-share market, Bridgewater's private equity products recorded around 8.8% returns, with some products projected to achieve approximately 35% annual performance in 2024 [20] - By the end of 2024, Bridgewater's management scale in China is expected to reach about 55 billion RMB, prompting local private equity firms to adopt similar "enhanced" All Weather strategies [21]
全天候策略产品还香吗 本土化改造成破局关键
Core Insights - The recent performance of a leading private equity firm's all-weather strategy products has sparked significant discussion in the private equity community, with many products showing annual returns fluctuating between -2% and +2% as of August 1 [1][2] - The overall performance of all-weather strategy products has been under pressure this year, with a median return of approximately 7%, significantly lagging behind the median return of the broader private equity market [3][4] - There is a notable disconnect in investor perception, with many equating all-weather strategy products to high-risk CTA strategies, leading to a lack of understanding of their intended stable return profile [5][6] Performance Analysis - The negative contribution from stock assets and significant losses from commodity assets have been identified as key reasons for the net value decline of the all-weather strategy products [2][4] - As of August 1, over 60% of the all-weather strategy products under the leading private equity firm reported returns of less than 5%, with some even incurring losses, contrasting sharply with the top-performing products that achieved a return of 26.17% [2][3] - The performance gap highlights the challenges faced by institutions that have simply transplanted international models without adapting to local market conditions [3][4] Investor Perception - There is a prevalent misunderstanding among investors who associate all-weather strategies with high volatility, which complicates the marketing of genuinely low-risk products [5][6] - The confusion is exacerbated by marketing efforts that emphasize low volatility, while actual product performance has not met these expectations, leading to skepticism among clients [6] Strategic Adjustments - Some institutions are exploring localized adaptations of traditional models to better fit the Chinese market, focusing on dynamic asset allocation and risk management [6][7] - Enhancements to classic models, such as the "permanent portfolio" strategy, are being implemented to improve performance by focusing on index enhancement and utilizing futures contracts for asset allocation [6][7] Future Directions - To build sustainable competitive advantages in the all-weather strategy product space, firms need to enhance macroeconomic analysis and dynamic asset allocation capabilities [7][8] - The ongoing transformation of asset management regulations is creating significant demand for low-volatility, multi-asset allocation strategies, indicating a growing interest among investors [7][8] - The development of customized low-risk all-weather strategy products in collaboration with banks and brokerages is expected to open new avenues for growth [8]
全天候策略产品还香吗本土化改造成破局关键
Core Insights - The performance of all-weather strategy products from a leading private equity firm has faced significant net value declines, sparking discussions within the private equity community [1] - The overall performance of all-weather strategy products has been under pressure this year, with a median return of approximately 7%, significantly lagging behind the median return of the entire private equity market [2] - The divergence in performance among all-weather strategy products highlights the challenges faced by institutions that have simply transplanted international models into the Chinese market [2] Performance Analysis - As of August 1, several all-weather strategy products from the mentioned private equity firm reported annual returns ranging from -2% to +2%, which is considerably lower than the mainstream all-weather strategy returns exceeding 20% in 2024 [1] - Over 60% of the all-weather strategy products monitored by a third-party platform have returns of less than 5%, with some even incurring losses [2] - The significant performance gap is attributed to the failure of the stock-bond rebalancing mechanism and the volatility of long-term government bond prices [2] Asset Class Impact - Gold has dramatically influenced the performance of certain products, with those heavily invested in gold outperforming others by as much as 20 percentage points due to its strong performance in the first quarter [3] - The reliance on single assets or excessive leverage has exposed risks, leading to substantial net value declines for some products [3] Investor Perception - There is a common misconception among investors that all-weather strategy products are synonymous with high-risk CTA strategies, which has led to a lack of attention on genuinely stable, low-risk all-weather strategies [3][4] - The confusion is particularly evident in sales, where significant effort is required to clarify the differences between low-risk all-weather strategies and high-risk commodity strategies [4] Strategic Adaptations - Some institutions are exploring localized adaptations of traditional models to better fit the Chinese market, focusing on dynamic asset weight adjustments based on local market characteristics [5] - Enhancements to classic models include quantitative modifications that align with the unique asset characteristics and policy environment of China [5] Future Directions - To build sustainable competitive advantages in the all-weather strategy product space, firms need to enhance macroeconomic analysis and dynamic asset allocation capabilities [5] - There is a growing interest among investors in low-volatility, high Sharpe ratio multi-asset allocation strategies, indicating a potential market opportunity for skilled all-weather strategy managers [6] - The development of customized low-risk all-weather strategy products in collaboration with banks and brokerages is expected to open new avenues for growth [6]
躺平也能赚钱?讲一讲全天候策略
雪球· 2025-07-26 04:05
Core Viewpoint - The article discusses the concept of the "All Weather Strategy" in investment, emphasizing the importance of asset allocation across stocks, bonds, and commodities to achieve stable returns regardless of market conditions [48]. Group 1: Historical Context - In 1971, President Nixon announced the prohibition of foreign central banks from exchanging dollars for gold, which shocked the global market [3]. - Contrary to expectations, the U.S. stock market surged the following day, defying predictions of a downturn from prominent investors like Ray Dalio [5][7]. Group 2: Investment Concepts - Investment is not limited to stocks; it includes cash deposits, gold, and real estate, categorized into three main asset classes: stocks, bonds, and commodities [13]. - The price movements of these asset classes are influenced by different core factors, leading to low or negative correlations among them [17]. Group 3: Factors Influencing Asset Prices - Stock prices are primarily influenced by three factors: market sentiment, economic indicators, and company performance [18]. - Bond prices are affected by interest rates and credit risk, where higher deposit rates lead to lower bond prices, and poor credit ratings necessitate lower bond prices to attract buyers [20][22]. - Commodity prices are driven by inflation and supply-demand dynamics, where excess supply leads to price drops and limited supply causes price increases [24][25]. Group 4: All Weather Strategy - The All Weather Strategy aims to create a diversified portfolio that can generate returns in any market condition by investing in all three asset classes [30]. - The strategy incorporates "risk parity," which adjusts the asset allocation based on the risk levels of each asset class to maintain a stable overall portfolio volatility [33][39]. - Portfolio adjustments are necessary as market conditions change, requiring active management to optimize asset allocation [43]. Group 5: Limitations and Market Behavior - The All Weather Strategy is not infallible; extreme market events can disrupt the typical low or negative correlations among asset classes, leading to simultaneous declines [46]. - Despite its limitations, the strategy is designed to recover from such disruptions, as market conditions normalize over time [47]. Group 6: Conclusion - The All Weather Strategy's strength lies in its non-predictive approach and risk-adjusted asset allocation, aiming for profitability in various market scenarios [48]. - The article contrasts this strategy with speculative investment behaviors, advocating for diversified, multi-asset approaches over concentrated bets on single stocks or sectors [48].
外资交易台:全球股票头寸及关键数据变化
2025-07-15 01:58
Summary of Key Points from the Conference Call Industry Overview - The conference call primarily discusses the equity markets, focusing on global equity buying trends, performance metrics, and trading activities related to various sectors and regions. Core Insights and Arguments 1. **Global Equity Buying Estimates**: - An estimated $25 billion of global equity buying occurred in the last week, with projections of $31 billion in the upcoming week and a cumulative $132 billion over the next month. Approximately $100 billion of this monthly figure is expected from CTA/trend followers, with $48 billion (37%) anticipated in US markets [2][2][2]. 2. **Performance Metrics**: - The GS Equity Fundamental Long/Short (L/S) Performance Estimate rose by +0.22% from July 4 to July 10, outperforming the MSCI World Total Return Index, which increased by +0.03%. This was driven by a beta of +0.13% and an alpha of +0.08% from long side gains. Conversely, the GS Equity Systematic L/S Performance Estimate fell by -0.53% during the same period, primarily due to short side losses [2][2][2]. 3. **Buyback Activity**: - Companies are currently in a blackout period expected to last until approximately July 25. It is anticipated that companies will begin to enter an open window for buybacks 1-2 days post-earnings announcements [2][46][46]. 4. **Sector Performance**: - Six out of eleven global sectors were net bought, with Staples, Industrials, and Real Estate leading. Financials, Consumer Discretionary, and Information Technology were the most net sold sectors. Notably, US equities experienced modest net selling for the second consecutive week, primarily driven by short sales in Macro Products and long sales in Single Stocks [39][39][39]. 5. **Financial Sector Insights**: - The Financials sector was the most net sold globally ahead of Q2 earnings, with the Prime book underweight in Financials compared to the MSCI World Index by -3.2%, ranking in the 95th percentile over the past year. The global Financials long/short ratio stands at 2.18, near two-year highs [39][39][39]. 6. **Trading Flow and Activity Levels**: - The overall book gross leverage increased by +0.1 percentage points to 294.1%, while net leverage rose by +0.4 percentage points to 79.3%. The overall book long/short ratio increased by +0.3% to 1.738 [37][37][37]. 7. **Market Sentiment Indicators**: - Various sentiment indicators, including the US Panic Index and Risk Appetite Indicator, were highlighted, indicating investor positioning and market sentiment trends [3][3][3]. Additional Important Content - **Historical Performance Context**: - The document emphasizes that past performance is not indicative of future results, a critical reminder for investors [12][12][12]. - **Expected Flows in Different Scenarios**: - Detailed projections of expected flows in various market scenarios were provided, indicating potential market movements and investor behavior [6][6][6]. - **Sector-Specific Buying Trends**: - The US Staples sector saw significant buying activity, marking the fastest pace since August 2023, with the long/short ratio at 1.23, indicating strong investor interest [39][39][39]. This summary encapsulates the key insights and metrics discussed during the conference call, providing a comprehensive overview of the current state of the equity markets and investor sentiment.
“1000万配售200万”,桥水中国五月净值小幅下跌,资金仍趋之若鹜
Sou Hu Cai Jing· 2025-07-11 13:42
Core Insights - Bridgewater's All Weather Enhanced Fund has consistently generated positive returns over the past six years, distinguishing itself from other private equity funds that have faced crises [3][4] - In 2024, the fund achieved a total return of 37%, significantly outperforming the average return of multi-asset strategies in China [4][10] - The fund's performance in May showed a slight decline of 1.4%, attributed to rising discount rates and risk premiums, alongside a cautious market sentiment [4] Fund Performance - The All Weather Enhanced Fund recorded a unit net value return of 9.3% from the beginning of 2025 to the end of May [4] - Other macro hedge funds underperformed compared to Bridgewater, with notable declines such as -4.8% for Hanxia Macro Hedge Fund and -2.05% for Honghu Balanced Allocation [4] - The fund's alpha return was reported to be 16% within the overall 37% return for 2024, highlighting its strong performance in active management [10] Market Demand and Distribution - There is a high demand for Bridgewater's fund, with limited availability leading to a competitive environment for investors [2] - The fund is primarily distributed through select institutions like Ping An Bank and CITIC Securities, with flexible purchasing thresholds [2] - The trend of "All Weather" strategies is gaining traction in the asset management industry, with multiple new funds being registered [8] Strategy and Composition - Bridgewater's strategy consists of two main components: the foundational All Weather strategy and an alpha strategy tailored to the Chinese market [4] - The All Weather strategy is based on risk parity, aiming to create a stable asset portfolio across different economic conditions [4] - The challenge for other managers attempting to replicate Bridgewater's success lies in achieving comprehensive alpha enhancement capabilities [9]
AI赋能资产配置追踪(2025.7):AI提示货币信用体系占优
Guoxin Securities· 2025-07-05 11:57
Core Insights - The report emphasizes the integration of AI in asset allocation, enhancing the predictive capabilities of stock and bond performance through a dynamic weighting system [2][3] - The AI-driven model has successfully predicted market trends, including the recent performance of value stocks outperforming growth stocks in March and April [3] - Predictions for 2025 indicate that bond assets will maintain relative advantages, while stock market performance is expected to stabilize at the bottom in Q3 and slightly recover in Q4 [3] Asset Allocation Framework - The AI-enabled research system combines five major cycles to predict stock and bond performance, with a current high weighting of 55% on the monetary credit framework [2][3] - The allocation for domestic assets in July shows: 12.64% in equities, 3.58% in dividends, 76.45% in bonds, and 7.33% in gold, with adjustments compared to traditional risk parity models [4] - For overseas markets, the allocation includes: France 15.62%, Germany 14.85%, the US 20.24%, Japan 16.44%, Hong Kong 11.50%, and India 22.35%, with slight adjustments in France, Germany, and Hong Kong [4] Industry Rotation Strategy - The AI-driven industry rotation strategy has significantly improved performance metrics, achieving a 420% increase in the Sharpe ratio and a 41% reduction in maximum drawdown compared to traditional strategies [5] - The latest industry outlook for Q3 suggests overweight positions in machinery, comprehensive sectors, and electronics, while maintaining standard positions in automotive, communication, and construction, and underweighting banking and retail [5]
2025年宏观对冲策略半年报:宏观对冲策略25年H1回顾与展望
Guo Tai Jun An Qi Huo· 2025-06-22 12:07
Core Insights - The report indicates that from the beginning of 2025, macro hedge strategies, particularly risk parity strategies, face significant challenges due to increased policy uncertainty and market volatility, leading to a higher correlation among asset classes compared to the end of the previous year [2][3] - The performance of risk parity strategies has been notably poor, with a net value index of 0.989 as of May 16, 2025, reflecting a slight loss, while asset rotation strategies have shown better performance with a net value index of 1.013 [19][20] - The report suggests a cautious outlook for macro hedge strategies in the second half of 2025, recommending a reduction in allocations to risk parity managers and a focus on their ability to manage tail risks and dynamically adjust positions [3][19] Group 1: Performance Review and Strategy Classification - Macro hedge strategies are categorized into two primary types: "risk parity" and "asset rotation," with further distinctions based on subjective versus quantitative trading approaches [6][8] - The risk parity strategy aims for balanced risk allocation across various macroeconomic environments, while asset rotation strategies focus on actively trading based on economic conditions and market predictions [9][13] - In the first half of 2025, risk parity strategies experienced a maximum drawdown of -4.09%, while asset rotation strategies had a maximum drawdown of -3.46%, indicating that risk parity strategies underperformed [19][20] Group 2: Market Correlation and Asset Class Analysis - The correlation between major asset classes has increased in 2025, with the report noting a significant positive correlation between commodities and equity indices, while the negative correlation between bonds and equities has weakened [29][30] - The risk parity index showed the highest correlation with the commodity index at 0.607, while the asset rotation index had a higher correlation with the mid-cap index at 0.675, indicating differing dependencies on asset classes [30][31] - The report highlights that risk parity strategies are more reliant on bond performance compared to asset rotation strategies, which are more dependent on equity performance [39][44] Group 3: Investment Outlook and Recommendations - The report advises investors to maintain a cautious stance on macro hedge strategies, particularly risk parity strategies, due to anticipated continued volatility and potential negative returns [3][19] - It emphasizes the importance of evaluating managers' capabilities in managing tail risks and their flexibility in adjusting positions in response to market conditions [3][19] - The report also suggests focusing on asset rotation strategies that demonstrate advantages in specific asset classes to enhance portfolio resilience [3][19]
全天候策略再思考:多资产及权益内部的应用实践——数说资产配置系列之十二
申万宏源金工· 2025-06-20 05:35
Group 1 - The core idea of the article revolves around the All-Weather Strategy, which is favored by investors for its robust performance and ability to withstand cyclical fluctuations [1][3] - The All-Weather ETF launched by Bridgewater and State Street in March 2025 has a scale of approximately $204 million as of the end of May, with a leverage level of about 1.8 times [1] - The asset allocation of the All-Weather ETF as of March includes approximately 25% in stocks, 20% in commodities, and 55% in bonds, which is similar to the target allocation of the risk parity product RPAR [3][4] Group 2 - The All-Weather ETF has shown characteristics of a Beta strategy, primarily holding long positions, and has experienced significant fluctuations in the market, with a maximum drawdown of 8.78% shortly after its launch [3][4] - The maximum drawdown of the risk parity ETF RPAR with a leverage level of 1.2 times was about 8%, while the UPAR with a leverage level of 1.7 times had a maximum drawdown of approximately 11% [3] - The All-Weather ETF's drawdown is between the two risk parity ETFs, indicating a strong correlation with similar strategy products [3] Group 3 - The report explores various construction methods for the All-Weather Strategy, starting from the basic risk parity strategy and considering the application of All-Weather thinking within high-correlation equity assets [4][12] - The core idea of risk parity is to equalize the risk contribution of each asset in the portfolio, with a focus on achieving a balanced risk exposure across different macroeconomic scenarios [4][12] Group 4 - The article discusses the concept of "Scenario Parity," which involves identifying asset combinations that benefit from different macroeconomic conditions and allocating them based on risk parity [12][14] - The asset allocation for different macro scenarios includes stocks and commodities during economic growth, nominal bonds and gold during economic downturns, and inflation-protected bonds during rising inflation [12][13] Group 5 - The performance of the "Scenario Parity" strategy has been superior to traditional risk parity, with a static scenario parity combination yielding an annualized return of 5.01% compared to 4.00% for risk parity [17][18] - Dynamic combinations based on macroeconomic factors have shown even better performance, with the dynamic scenario parity strategy achieving an annualized return of 6.57% [17][18] Group 6 - The article emphasizes the importance of macro sensitivity in constructing portfolios, suggesting that using sensitivity measures can lead to more effective asset allocation compared to traditional regression methods [23][24] - The results indicate that portfolios constructed using macro sensitivity measures have better explanatory power and stability compared to those based solely on regression analysis [25][36] Group 7 - The All-Weather strategy can also be applied internally within equity assets, similar to a "barbell strategy," by calculating the exposure of sectors and stocks to various macroeconomic variables [28][29] - The performance of sector-based All-Weather combinations has shown significant improvement, with the scenario parity approach yielding higher returns and lower drawdowns compared to traditional risk parity [34][50]