我们患有全世界的偏振政治。从主权国家到联合国，北约和工会，行业协会和宗教团体的每一个超级，看法都有广泛的差异。热情地持有信仰对市场的影响得到了互联网，社交媒体和其他展平技术，以及政策制定者的旋转。是的，金钱的管理需要对事物的价值不同看法 - 否则还有市场吗？- 但在40年代的时间与我们这个时代的一些最佳投资者共度时光，我从未见过如今的这种明显的极化。也许它是因为在政策驱动的环境中，谎言的事实像油腻的烟灰一样。当然，在大选岁月中，美国的行政部门致力于促进一个玫瑰色的前景。全世界政治家和政策制定者的自我保护需要大量的金钱和时间都在宣传上。难怪从核冬天到普遍变暖的每个结果都似乎同样有可能。传统模型强调意见对由周到，有目的的球员表达的价值的作用。 Devastatingly, they ignore the role of market golems — credit default swaps, derivatives, exchange-traded funds, residential-mortgage-backed securities — and are unprepared to explain the wild swings of sentiment that accompany a policy-driven world. The failure of conventional models was well illustrated in 2011, and this year may be just as wild. The question we aging quants might ask is, “Have our models just hiccupped — a transient failure — or is this an opportunity for real insight?” There are insights to be gained; my guess is that we will have plenty of time to gather and test them. It may be many years before markets return to their natural state — an equilibrium of diverse factors — because of degrees of debt and doubt. Central bank balance sheets now exceed $15 trillion, up from less than $5 trillion in 2007, and direct sovereign debt has gone up a like amount in the same period. Governments and central bankers created this pyramid of debt to promote stability and economic activity, while financing operating deficits. However well intentioned, a huge mortgage on our future serves to polarize the worldviews of investors. Some investors believe a robust global profit and loss statement is inevitable and will cure the debt through growth and healthy inflation. Others insist that debt will paralyze our economies and lead to managed rates and deflation. These two views cannot be reconciled. Only one can be correct, and this may explain why the politics of compromise has failed utterly in the U.S. and abroad. Extreme worldviews make partisans of us all and cause markets to oscillate between euphoria and despair, driven by spin. The steadying influence of fundamental reality is swamped by external shocks. In asset allocation terms, this encourages us to design portfolio exposures like a proprietary trader, in terms of applicable short-term risk regime premiums. A winning allocation is determined not by historical risk-return ratios but more by the price of exposure to or relief from the macro risk regime. In times like these, the Efficient Frontier — a cartoon invented by my generation as a way to try to optimize risk-adjusted returns — will cause a lot of pain and provide little diversification. Better to recast the client portfolio: first, among markets by the degree to which extremism drives outcomes, and then within markets based on real-time risk premiums. At Grail Partners we think debt drives outcomes and doubt drives volatility. The most-liquid markets are the most indebted — and therefore the most dangerous. In highly leveraged markets that are dominated by policy extremes, we have allocated away from beta bets and emphasized highly diversified market-neutral portfolios, liability-driven portfolios and portfolios of cash-flowing, hold-to-maturity investments. In less leveraged markets we harp on long-term beta investing through portfolios constructed to avoid capitalization weighting and hedged against extreme foreign exchange flows and other herd behavior by global allocators.
在极端的意见被巨大的杠杆率放大，谨慎是智慧。我们应力保护免受返回的价值，因此我们在P＆L Pollyannas的另一边，与McCoys的另一边相同。也就是说，尽管我们的许多投资组合公司及其客户在2011年做得很好，但未来五年将讲述这两个意见的故事。在临时可能最好低估政策制定者的力量，以便做好事物并高估决策者的力量来创造混乱。•
Donald Putnam是基于旧金山的Grail Partners的创始人和管理合作伙伴，它投资杠杆收购，启动和增长资本情况，涉及美国产品管理公司。