<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>圖片來源：Unsplash</em></p>
<p>《巴倫週刊》對最近上市的 iShares Systematic Alternatives Active ETF (IALT) 進行了 <strong>簡短介紹</strong>，該基金與歷史更長的 Blackrock Global Equity Market Neutral Fund (BDMIX) 相似，由同一管理團隊運營，採用略有不同的策略。</p>
<p>IALT 運行三種策略：一種是市場中性，第二種是 “動態” 宏觀策略，第三種是僅做多。這三種策略將結合在一起，使波動率保持在 7-9% 範圍內。</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>你可以看到比較。組合 4 的想法是 HFGM 加槓桿，因此我想讓它與 IALT 更加接近。組合 5 是一個自建版本（也許），但波動率高達 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，替換 QGMIX 為更新的 HFGM。組合 4 嘗試降低波動率，使其更接近 BDMIX（IALT 的表親）。</p>
<p>BDMIX 的表現令人懷疑，交易平穩後突然大幅上漲。助手錶示這並不是策略的變化；該基金之所以表現更好，是因為它跟蹤的各種因素和市場開始表現良好，因此這是耐心得到回報的結果。</p>
<p>組合 2 和 3 中的動量、宏觀和市場中性在較長的回測期內表現相當不錯，但與 VBAIX 有相當大的差異。這種差異是好事還是挑戰，尚無定論。在 2019 年，VBAIX 超過了 850 個基點，而在 2021 年，它超過了 700 個基點。雖然在此過程中會有所彌補，但我們之前提到過，差異化在情感上可能是困難的，這一點在構建過於偏離普通投資組合時值得記住。</p>
<p>助手喜歡這三隻基金的組合；它指出最大的風險將是某種事件同時影響風險資產如 SPMO，以及 “跨資產宏觀信號” 影響 QGMIX，還有它所稱的 ARBIX 的交易流，但當我説 ARBIX 更像是相對價值策略時，助手對此觀點有所緩和。</p>
<p>它表示該組合最大的問題是缺乏凸性，這對我來説聽起來像是客户個人持有 BTAL。它對 BTAL 的評價並不高，排在管理期貨和像 SWAN 這樣的基金之後，SWAN 主要是國債和長期看漲期權。SWAN 的下跌幅度應低於股票，但在股票上漲時會從期權中獲得額外收益。BTAL 對 SPMO 有幫助，但無法保護 QGMIX 和/或 ARBIX 出現問題。</p>
<p>助手隨後列出了十種宏觀策略來壓力測試該組合，但我不確定它是否正確執行。它包括了 2017 年、2018/19 年和 2022 年的例子，這些例子可能對組合不利，但在所有情況下表現良好。我對此提出了質疑，它解釋説這更多是可能出錯但實際上沒有出錯的情況。</p>
<p>這篇文章中有幾處 AI 輸出的結果似乎不太正確。我被問到如何使用 AI，我的部分觀點是質疑輸出是很重要的。它會重新思考答案，這樣可以提高工作效率。</p>
<p>SPMO、QGMIX 和 ARBIX 都在我的持有範圍內。</p>
<hr/>
<p><em>更多來自此作者的文章：</em></p>
<p>瘋狂與穩定盡在一篇博客中</p>
<p>獲取與利用複雜策略</p>
<p>“突發新聞”，黃金和白銀市場崩潰</p>

貝萊德

IALT

<p>巴倫週刊最近對 iShares Systematic Alternatives Active ETF（IALT）進行了介紹，該基金採用三種策略：市場中性、動態宏觀和僅做多，目標波動率為 7-9%。貝萊德全球股票市場中性基金（BDMIX）的表現引人注目，Copilot 建議其近期成功歸因於市場條件的改善。文章討論了與各種策略相關的風險，並強調在投資組合管理中質疑人工智能輸出的重要性，以便做出更好的決策</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>圖片來源：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>《巴倫週刊》對最近上市的 iShares Systematic Alternatives Active ETF (IALT) 進行了 <strong>簡短介紹</strong>，該基金與歷史更長的 Blackrock Global Equity Market Neutral Fund (BDMIX) 相似，由同一管理團隊運營，採用略有不同的策略。</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 運行三種策略：一種是市場中性，第二種是 “動態” 宏觀策略，第三種是僅做多。這三種策略將結合在一起，使波動率保持在 7-9% 範圍內。</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>你可以看到比較。組合 4 的想法是 HFGM 加槓桿，因此我想讓它與 IALT 更加接近。組合 5 是一個自建版本（也許），但波動率高達 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，替換 QGMIX 為更新的 HFGM。組合 4 嘗試降低波動率，使其更接近 BDMIX（IALT 的表親）。</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 的表現令人懷疑，交易平穩後突然大幅上漲。助手錶示這並不是策略的變化；該基金之所以表現更好，是因為它跟蹤的各種因素和市場開始表現良好，因此這是耐心得到回報的結果。</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>組合 2 和 3 中的動量、宏觀和市場中性在較長的回測期內表現相當不錯，但與 VBAIX 有相當大的差異。這種差異是好事還是挑戰，尚無定論。在 2019 年，VBAIX 超過了 850 個基點，而在 2021 年，它超過了 700 個基點。雖然在此過程中會有所彌補，但我們之前提到過，差異化在情感上可能是困難的，這一點在構建過於偏離普通投資組合時值得記住。</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>助手喜歡這三隻基金的組合；它指出最大的風險將是某種事件同時影響風險資產如 SPMO，以及 “跨資產宏觀信號” 影響 QGMIX，還有它所稱的 ARBIX 的交易流，但當我説 ARBIX 更像是相對價值策略時，助手對此觀點有所緩和。</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>它表示該組合最大的問題是缺乏凸性，這對我來説聽起來像是客户個人持有 BTAL。它對 BTAL 的評價並不高，排在管理期貨和像 SWAN 這樣的基金之後，SWAN 主要是國債和長期看漲期權。SWAN 的下跌幅度應低於股票，但在股票上漲時會從期權中獲得額外收益。BTAL 對 SPMO 有幫助，但無法保護 QGMIX 和/或 ARBIX 出現問題。</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>助手隨後列出了十種宏觀策略來壓力測試該組合，但我不確定它是否正確執行。它包括了 2017 年、2018/19 年和 2022 年的例子，這些例子可能對組合不利，但在所有情況下表現良好。我對此提出了質疑，它解釋説這更多是可能出錯但實際上沒有出錯的情況。</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>這篇文章中有幾處 AI 輸出的結果似乎不太正確。我被問到如何使用 AI，我的部分觀點是質疑輸出是很重要的。它會重新思考答案，這樣可以提高工作效率。</p>
</div><p>SPMO, QGMIX, and ARBIX are all in my ownership universe.</p>
<div class="lb-trans"><p>SPMO、QGMIX 和 ARBIX 都在我的持有範圍內。</p>
</div><hr/>
<div class="lb-trans"><hr/>
</div><p><em>More By This Author:</em></p>
<div class="lb-trans"><p><em>更多來自此作者的文章：</em></p>
</div><p>Insanity And Stability All In One Blog Post</p>
<div class="lb-trans"><p>瘋狂與穩定盡在一篇博客中</p>
</div><p>Accessing &amp; Harnessing Sophisticated Strategies</p>
<div class="lb-trans"><p>獲取與利用複雜策略</p>
</div><p>&#34;Braking News,&#34; Gold &amp; Silver Markets Are Broken</p>
<div class="lb-trans"><p>“突發新聞”，黃金和白銀市場崩潰</p>
</div>

讓人工智能遵循規範