<p><img src="https://imageproxy.pbkrs.com/https://images.unsplash.com/photo-1569025690938-a00729c9e1f9/query-YXV0bz1mb3JtYXQmZml0PWNyb3AmaXhpZD1leUpoY0hCZmFXUWlPakV5TURkOSZpeGxpYj1yYi0xLjIuMSZxPTgwJnc9MTAwMA?x-oss-process=image/auto-orient,1/interlace,1/resize,w_1440,h_1440/quality,q_95/format,jpg" alt="" width="1000" height="667" original-src="https://imageproxy.pbkrs.com/https://images.unsplash.com/photo-1569025690938-a00729c9e1f9/query-YXV0bz1mb3JtYXQmZml0PWNyb3AmaXhpZD1leUpoY0hCZmFXUWlPakV5TURkOSZpeGxpYj1yYi0xLjIuMSZxPTgwJnc9MTAwMA"/></p>
<p><em>图片来源：Unsplash</em></p>
<p>《巴伦周刊》对最近上市的 iShares Systematic Alternatives Active ETF (IALT) 进行了 <strong>简短介绍</strong>，该基金与历史更长的 Blackrock Global Equity Market Neutral Fund (BDMIX) 相似，由同一管理团队运营，采用略有不同的策略。</p>
<p>IALT 运行三种策略：一种是市场中性，第二种是 “动态” 宏观策略，第三种是仅做多。这三种策略将结合在一起，使波动率保持在 7-9% 范围内。</p>
<p><img src="https://imageproxy.pbkrs.com/https://blogger.googleusercontent.com/img/a/AVvXsEj4o-JZs2XavRILlymb4V70ae-O-dfJgJqoRmSCqtfGLrtPwpClMc7UIF6kd7OrNdSmWolmmEgBIDWcWzjMNDV41H86BWE6O_xd5ulk_QUsL4fMpQpbeFBXzMgqBpgePeVQf-t-TAB66S01tSlah6Sxl8u9MfiPyYLWAQSxvF1a2vmmbPrk3SELAA=w640-h296?x-oss-process=image/auto-orient,1/interlace,1/resize,w_1440,h_1440/quality,q_95/format,jpg" alt="" width="640" height="295" original-src="https://imageproxy.pbkrs.com/https://blogger.googleusercontent.com/img/a/AVvXsEj4o-JZs2XavRILlymb4V70ae-O-dfJgJqoRmSCqtfGLrtPwpClMc7UIF6kd7OrNdSmWolmmEgBIDWcWzjMNDV41H86BWE6O_xd5ulk_QUsL4fMpQpbeFBXzMgqBpgePeVQf-t-TAB66S01tSlah6Sxl8u9MfiPyYLWAQSxvF1a2vmmbPrk3SELAA=w640-h296"/></p>
<p>你可以看到比较。组合 4 的想法是 HFGM 加杠杆，因此我想让它与 IALT 更加接近。组合 5 是一个自建版本（也许），但波动率高达 14%，除非……</p>
<p><img src="https://imageproxy.pbkrs.com/https://blogger.googleusercontent.com/img/a/AVvXsEif6QPOqA02LQGuKId_NJ9VsebIN5kX1Mkua-ayuHU0ydZ9nvqbkomLhaz0qGc-4FBqHJPlur-nWacSw2UMfxGiUvgkPysMUH8Bf2Rluom9CyifawJGvRuqfqianHgYFovyiG85nTrBgsGVVeuDpBkdwAVoPNKUqQZaq9SmV6I0jBhhacAQJV-xnQ=w640-h288?x-oss-process=image/auto-orient,1/interlace,1/resize,w_1440,h_1440/quality,q_95/format,jpg" alt="" width="640" height="287" original-src="https://imageproxy.pbkrs.com/https://blogger.googleusercontent.com/img/a/AVvXsEif6QPOqA02LQGuKId_NJ9VsebIN5kX1Mkua-ayuHU0ydZ9nvqbkomLhaz0qGc-4FBqHJPlur-nWacSw2UMfxGiUvgkPysMUH8Bf2Rluom9CyifawJGvRuqfqianHgYFovyiG85nTrBgsGVVeuDpBkdwAVoPNKUqQZaq9SmV6I0jBhhacAQJV-xnQ=w640-h288"/></p>
<p>……你可以回溯更久，替换 QGMIX 为更新的 HFGM。组合 4 尝试降低波动率，使其更接近 BDMIX（IALT 的表亲）。</p>
<p>BDMIX 的表现令人怀疑，交易平稳后突然大幅上涨。助手表示这并不是策略的变化；该基金之所以表现更好，是因为它跟踪的各种因素和市场开始表现良好，因此这是耐心得到回报的结果。</p>
<p>组合 2 和 3 中的动量、宏观和市场中性在较长的回测期内表现相当不错，但与 VBAIX 有相当大的差异。这种差异是好事还是挑战，尚无定论。在 2019 年，VBAIX 超过了 850 个基点，而在 2021 年，它超过了 700 个基点。虽然在此过程中会有所弥补，但我们之前提到过，差异化在情感上可能是困难的，这一点在构建过于偏离普通投资组合时值得记住。</p>
<p>助手喜欢这三只基金的组合；它指出最大的风险将是某种事件同时影响风险资产如 SPMO，以及 “跨资产宏观信号” 影响 QGMIX，还有它所称的 ARBIX 的交易流，但当我说 ARBIX 更像是相对价值策略时，助手对此观点有所缓和。</p>
<p>它表示该组合最大的问题是缺乏凸性，这对我来说听起来像是客户个人持有 BTAL。它对 BTAL 的评价并不高，排在管理期货和像 SWAN 这样的基金之后，SWAN 主要是国债和长期看涨期权。SWAN 的下跌幅度应低于股票，但在股票上涨时会从期权中获得额外收益。BTAL 对 SPMO 有帮助，但无法保护 QGMIX 和/或 ARBIX 出现问题。</p>
<p>助手随后列出了十种宏观策略来压力测试该组合，但我不确定它是否正确执行。它包括了 2017 年、2018/19 年和 2022 年的例子，这些例子可能对组合不利，但在所有情况下表现良好。我对此提出了质疑，它解释说这更多是可能出错但实际上没有出错的情况。</p>
<p>这篇文章中有几处 AI 输出的结果似乎不太正确。我被问到如何使用 AI，我的部分观点是质疑输出是很重要的。它会重新思考答案，这样可以提高工作效率。</p>
<p>SPMO、QGMIX 和 ARBIX 都在我的持有范围内。</p>
<hr/>
<p><em>更多来自此作者的文章：</em></p>
<p>疯狂与稳定尽在一篇博客中</p>
<p>获取与利用复杂策略</p>
<p>“突发新闻”，黄金和白银市场崩溃</p>

贝莱德

IALT

<p>巴伦周刊最近对 iShares Systematic Alternatives Active ETF（IALT）进行了介绍，该基金采用三种策略：市场中性、动态宏观和仅做多，目标波动率为 7-9%。贝莱德全球股票市场中性基金（BDMIX）的表现引人注目，Copilot 建议其近期成功归因于市场条件的改善。文章讨论了与各种策略相关的风险，并强调在投资组合管理中质疑人工智能输出的重要性，以便做出更好的决策</p>

<p><img src="https://imageproxy.pbkrs.com/https://images.unsplash.com/photo-1569025690938-a00729c9e1f9/query-YXV0bz1mb3JtYXQmZml0PWNyb3AmaXhpZD1leUpoY0hCZmFXUWlPakV5TURkOSZpeGxpYj1yYi0xLjIuMSZxPTgwJnc9MTAwMA" alt="" original-src="https://images.unsplash.com/photo-1569025690938-a00729c9e1f9?ixlib=rb-1.2.1&amp;ixid=eyJhcHBfaWQiOjEyMDd9&amp;auto=format&amp;fit=crop&amp;w=1000&amp;q=80"/></p>
<p><em>Image Source: Unsplash</em></p>
<div class="lb-trans"><p><em>图片来源：Unsplash</em></p>
</div><p>Barron's had a <strong>short profile</strong> on the recently listed iShares Systematic Alternatives Active ETF (IALT), which is similar compare to the longer tenured Blackrock Global Equity Market Neutral Fund (BDMIX), same managers running a slightly different strategy.</p>
<div class="lb-trans"><p>《巴伦周刊》对最近上市的 iShares Systematic Alternatives Active ETF (IALT) 进行了 <strong>简短介绍</strong>，该基金与历史更长的 Blackrock Global Equity Market Neutral Fund (BDMIX) 相似，由同一管理团队运营，采用略有不同的策略。</p>
</div><p>IALT is running three strategies: one is market neutral, the second is a &#34;dynamic&#34; macro strategy, and the third is long only. The three will be combined such that the volatility will be in the 7-9% range.</p>
<div class="lb-trans"><p>IALT 运行三种策略：一种是市场中性，第二种是 “动态” 宏观策略，第三种是仅做多。这三种策略将结合在一起，使波动率保持在 7-9% 范围内。</p>
</div><p><img src="https://imageproxy.pbkrs.com/https://blogger.googleusercontent.com/img/a/AVvXsEj4o-JZs2XavRILlymb4V70ae-O-dfJgJqoRmSCqtfGLrtPwpClMc7UIF6kd7OrNdSmWolmmEgBIDWcWzjMNDV41H86BWE6O_xd5ulk_QUsL4fMpQpbeFBXzMgqBpgePeVQf-t-TAB66S01tSlah6Sxl8u9MfiPyYLWAQSxvF1a2vmmbPrk3SELAA=w640-h296" alt="" original-src="https://blogger.googleusercontent.com/img/a/AVvXsEj4o-JZs2XavRILlymb4V70ae-O-dfJgJqoRmSCqtfGLrtPwpClMc7UIF6kd7OrNdSmWolmmEgBIDWcWzjMNDV41H86BWE6O_xd5ulk_QUsL4fMpQpbeFBXzMgqBpgePeVQf-t-TAB66S01tSlah6Sxl8u9MfiPyYLWAQSxvF1a2vmmbPrk3SELAA=w640-h296"/></p>
<p>You can see the comparison. The idea with Portfolio 4 is that HFGM leverages up, so I wanted to get a little closer to apples to apples with IALT. Portfolio 5 is a build-it-yourself version (maybe), but the volatility is way too high at 14% unless...</p>
<div class="lb-trans"><p>你可以看到比较。组合 4 的想法是 HFGM 加杠杆，因此我想让它与 IALT 更加接近。组合 5 是一个自建版本（也许），但波动率高达 14%，除非……</p>
</div><p><img src="https://imageproxy.pbkrs.com/https://blogger.googleusercontent.com/img/a/AVvXsEif6QPOqA02LQGuKId_NJ9VsebIN5kX1Mkua-ayuHU0ydZ9nvqbkomLhaz0qGc-4FBqHJPlur-nWacSw2UMfxGiUvgkPysMUH8Bf2Rluom9CyifawJGvRuqfqianHgYFovyiG85nTrBgsGVVeuDpBkdwAVoPNKUqQZaq9SmV6I0jBhhacAQJV-xnQ=w640-h288" alt="" original-src="https://blogger.googleusercontent.com/img/a/AVvXsEif6QPOqA02LQGuKId_NJ9VsebIN5kX1Mkua-ayuHU0ydZ9nvqbkomLhaz0qGc-4FBqHJPlur-nWacSw2UMfxGiUvgkPysMUH8Bf2Rluom9CyifawJGvRuqfqianHgYFovyiG85nTrBgsGVVeuDpBkdwAVoPNKUqQZaq9SmV6I0jBhhacAQJV-xnQ=w640-h288"/></p>
<p>...you go further back, subbing in QGMIX for the newer HFGM. Portfolio 4 tries to tamp down the volatility to be closer to BDMIX (cousin of IALT).</p>
<div class="lb-trans"><p>……你可以回溯更久，替换 QGMIX 为更新的 HFGM。组合 4 尝试降低波动率，使其更接近 BDMIX（IALT 的表亲）。</p>
</div><p>The performance of BDMIX is suspicious, trading flat and then turning up so markedly. Copilot said it was not a change in strategy; the fund started to do better because the various factors and markets it tracks began to do better, so it is a function of patience paying off.</p>
<div class="lb-trans"><p>BDMIX 的表现令人怀疑，交易平稳后突然大幅上涨。助手表示这并不是策略的变化；该基金之所以表现更好，是因为它跟踪的各种因素和市场开始表现良好，因此这是耐心得到回报的结果。</p>
</div><p>The blend of momentum, macro, and market neutral from Portfolios 2 and 3 in the longer backtest looks pretty good over the longer period, but it differentiates from VBAIX by quite a bit. The extent to which that is a good thing versus a challenging thing is a toss-up. In 2019, VBAIX outperformed by 850 basis points, while in 2021, it outperformed by 700 basis points. That gets made up for, and then some, along the way, but a point we've made before is that differentiation can be difficult emotionally, which is worth remembering before building something that gets too far away from plain vanilla.</p>
<div class="lb-trans"><p>组合 2 和 3 中的动量、宏观和市场中性在较长的回测期内表现相当不错，但与 VBAIX 有相当大的差异。这种差异是好事还是挑战，尚无定论。在 2019 年，VBAIX 超过了 850 个基点，而在 2021 年，它超过了 700 个基点。虽然在此过程中会有所弥补，但我们之前提到过，差异化在情感上可能是困难的，这一点在构建过于偏离普通投资组合时值得记住。</p>
</div><p>Copilot likes the blend of those three funds; it notes the biggest risk would be some sort of event that simultaneously hurts risk assets like SPMO, &#34;cross asset macro signals&#34; impacting QGMIX, and what it calls deal flow for ARBIX, but when I said that ARBIX is more of a relative value strategy, Copilot softened up on that point.</p>
<div class="lb-trans"><p>助手喜欢这三只基金的组合；它指出最大的风险将是某种事件同时影响风险资产如 SPMO，以及 “跨资产宏观信号” 影响 QGMIX，还有它所称的 ARBIX 的交易流，但当我说 ARBIX 更像是相对价值策略时，助手对此观点有所缓和。</p>
</div><p>It said the biggest thing lacking from the portfolio was convexity, which to me sounds like the client personally holding BTAL. It didn't love BTAL, ranking it third best after managed futures and funds like SWAN, which is mostly treasuries with long call options. SWAN should go down less than equities but get a kicker from the calls when equities rise. BTAL helps with SPMO but wouldn't protect against things going wrong with QGMIX and/or ARBIX.</p>
<div class="lb-trans"><p>它表示该组合最大的问题是缺乏凸性，这对我来说听起来像是客户个人持有 BTAL。它对 BTAL 的评价并不高，排在管理期货和像 SWAN 这样的基金之后，SWAN 主要是国债和长期看涨期权。SWAN 的下跌幅度应低于股票，但在股票上涨时会从期权中获得额外收益。BTAL 对 SPMO 有帮助，但无法保护 QGMIX 和/或 ARBIX 出现问题。</p>
</div><p>Copilot then laid out ten macro strategies to stress test the portfolio, but I am not confident it did it correctly. It included examples from 2017, 2018/19, and 2022 that could be bad for the portfolio, but it did well in all of them. I pushed back on that, and it rationalized that it was more of what could have gone wrong but didn't.</p>
<div class="lb-trans"><p>助手随后列出了十种宏观策略来压力测试该组合，但我不确定它是否正确执行。它包括了 2017 年、2018/19 年和 2022 年的例子，这些例子可能对组合不利，但在所有情况下表现良好。我对此提出了质疑，它解释说这更多是可能出错但实际上没有出错的情况。</p>
</div><p>This post has a couple of instances where AI gave an output that didn't quite seem to be correct. I've been asked questions about how to use AI, and part of my opinion is that it is important to question outputs. It will go back and rethink answers, which makes for more productive work.</p>
<div class="lb-trans"><p>这篇文章中有几处 AI 输出的结果似乎不太正确。我被问到如何使用 AI，我的部分观点是质疑输出是很重要的。它会重新思考答案，这样可以提高工作效率。</p>
</div><p>SPMO, QGMIX, and ARBIX are all in my ownership universe.</p>
<div class="lb-trans"><p>SPMO、QGMIX 和 ARBIX 都在我的持有范围内。</p>
</div><hr/>
<div class="lb-trans"><hr/>
</div><p><em>More By This Author:</em></p>
<div class="lb-trans"><p><em>更多来自此作者的文章：</em></p>
</div><p>Insanity And Stability All In One Blog Post</p>
<div class="lb-trans"><p>疯狂与稳定尽在一篇博客中</p>
</div><p>Accessing &amp; Harnessing Sophisticated Strategies</p>
<div class="lb-trans"><p>获取与利用复杂策略</p>
</div><p>&#34;Braking News,&#34; Gold &amp; Silver Markets Are Broken</p>
<div class="lb-trans"><p>“突发新闻”，黄金和白银市场崩溃</p>
</div>

让人工智能遵循规范