CS_Thirty Years Aug 2016_投资者的十大特征

Great investors take to heart all three of pearsons

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Great investors take to heart all three of Pearson’s points, but money management is the one that gets the least attention in the discourse on investment practice. The book Bringing Down the House by Ben Mezrich tells the story of a half dozen students from MIT who deployed a card counting system to make lots of money in Las Vegas. Their system had two parts. The first was the method for counting cards. Here, members of the team fanned out to different tables and developed a signal to indicate when the odds looked good. But the second part of the system is commonly overlooked. The team members knew exactly how much to bet given the odds at the table and the size of their bankroll. Similarly, success in investing has two parts: finding edge and fully taking advantage of it through proper position sizing. Almost all investment firms focus on edge, while position sizing generally gets much less attention. Proper portfolio construction requires specifying a goal (maximize sum for one period or parlayed bets), identifying an opportunity set (lots of small edge or lumpy but large edge), and considering constraints (liquidity, drawdowns, leverage). Answers to these questions suggest an appropriate policy regarding position sizing and portfolio construction. The most common approaches are based on mean-variance (maximize return for a given level of risk) and the Kelly Criterion (maximize a portfolio’s geome tric mean return). 30 Which approach makes most sense for you depends a great deal on how you answer the questions about goals, opportunities, and constraints. But the broad point is that most investors do a poor job with position sizing and great investors are more effective at it. 31
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August 4, 2016 Thirty Years 13 Ed Thorp is one of the best investors of the last half century. In the early 1960s, he wrote the book, Beat the Dealer , which explained card counting in blackjack as a means to gain edge as well as a betting strategy based on the Kelly Criterion in order to take advantage of that edge. The MIT team was his intellectual progeny. His returns as an investor are extraordina ry. For the nearly 30 years ended in the late 1990s, Thorp’s investments had grown at a 20 percent annual rate with a 6 percent standard deviation. 32 Thorp has been among the most thoughtful and thorough in explaining the benefits, drawbacks, and practical considerations of the Kelly Criterion. 33 Astute investors understand that finding edge and betting on it appropriately are both essential to long- term success. 10. Read (and keep an open mind). Every year, Columbia Business School sends a group of students to Omaha, Nebraska to meet with Todd Combs, a graduate of the school (and former student), and Warren Buffett (also a graduate), at Berkshire Hathaway. After one of those trips, I asked the students for their impression of the meetings. The students, in somewhat of a state of disbelief, said that Combs suggested that they read 500 pages a day . In a world of endless meetings, blinking Bloomberg terminals, and demanding emails, this goal seems inconceivable.
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