预期收益

• 蛋吉吉

  2017-06-11
  Traditional equity and bond investments have well-understood risks and premia, but the same cannot be said for investments with asymmetric risk profiles (“picking up pennies in front of a steamroller”). Investors should be especially wary of strategies that amount to selling tail insurance or “lottery tickets” that pay off in bad times—writing options on equity indices, carry trading, and harvesting illiquidity premia. These strategies combine the dangers of (i) asymmetric returns and (ii) the coincidence of large losses with bad times. The long-run returns of such strategies are justifiably high, but these returns are concentrated in good times and tend to persist only until a bad event materializes. I do not have 50-year histories for such strategies but I will document below strong long...