Mon

18

Jul

2016

Readings in Q1-'16

一、Translated by Bibek Debroy. “Section Four: Pouloma Parva." The Mahabharata 1, 2010:55-66. 还是蛇祭的背景;其中一个小故事是一个英雄王者把自己寿命的一半换了没有过门的未婚妻的性命。

 

二、"1. The Opening, al-Fatihah." The Study Quran, 2015: 3-11. 《可兰经》共分114“章”,此章很短但被认为是全经的精华,只分七“颂”。一颂都不一定是整句话。

 

三、《史记》的《项羽本纪》。因为内容的关系,写的比较像列传,比其他之前几篇本纪都精彩。十册的新修本,终于算是读过第一册除了三家注的部分。

 

四、 "Hadji Murat," The Death of Ivan Ilyich and Other Stories, Leo Tolstoy, translated by Richard Pevear and Larissa Volokhonsky, 2009. 此是关于战争的悲剧英雄的故事;但和托尔斯泰其他短篇故事一样,充满了各种不同人等去世之前的心理描述。不知道是他对这方面有研究,还只是在其老年对此事特感兴趣。

 

五、Benjamin Graham. "Chapter 8. The Investor and Market Fluctuations." The Intelligent Investor, 2006: 188-212. 廖版主推荐的书!把投资股市的主要问题与投资者面对的问题说明的挺清楚的。但在此章开头的一点关于Dow Theory的部分好像廖版主没有注意到:"in stock-market affairs the popularity of a trading theory has itself an influence on the market's behavior which detracts in the long run from its profit-making possibilities." 所以请廖版主要是找到股市投资秘诀的话,请千万不要出书公告天下!

另、读了此章才记得原来自己对债券一无所知。

 

六、Benjamin Graham. "Chapter 20. "Margin of Safety" as the Central Concept of Investment." The Intelligent Investor,2006: 512-524. 这个安全边际,就是要是对未来预测错误的话,后果会有多严重的问题。比较有意思的是,Graham使用的例子是企业的盈利能力与企业债券利息的区间,他认为如果这个区间如果有百分之五的话,十年投资年限就是一个50%的安全边际,要是同时分散在10-20只股票之间,这就很理想。当然,盈利能力是长期的概念,并不就只是当年的市盈率的倒数(Inverse)。我之前从没有注意到过企业的债券利息,可真算是孤陋寡闻!

 

1。《Income Investing: An Intelligent Approach to Profiting from Bonds, Stocks, and Money Markets》,Jason Brady, 2012。 因为对债券不理解,就找了一本书来补课。书对Money Markets其实没有什么好说的(除了Money Markets也有不保本的时候)。主题是Fixed Income其实就是卖出了一个Option:当Underlying的Credit没有问题的时候,Coupon就是Option的Premium。因为Credit的分析很复杂,就是评分机构也会用错假设而严重失误(如次贷时候房价被假设为稳定),所以不容易真正知道风险有多大。对我来说最有趣的就是作者把银行定性为一个Leveraged Fixed Income Portfolio without Capital Permanence。因此银行其实风险很大;欧洲的问题就是一般情况可以救银行的国家本身也有信用问题。Leveraged的意思就是银行的Equity就是在金融风暴之后,也只是被提高到12-13%左右,其他的都是靠存款和其他贷款来提供资金(Liquidity)。而存款没有Capital Permanence,因为客户有Option可以随时提款,而不断Rollover的贷款也有难以接续的时候(两者都发生在银行信用被质疑的时候)。

 

七-二十二、Benjamin Graham and Jason Zweig. Chapters 1-7 and Commentary. The Intelligent Investor, 2006: 1-187. 我觉得有必要依照他的观点,在现在的时间点,审视Graham会否改变他的一些实际提议:
1。股票和债券比例:现在为什么需要拿债券?是否现金更好?
2。Dollar cost averaging:是否应该想像做现金和股市等的portfolio rebalancing?
3。Value stock的dividend yield与high grade corporate bond yield的关系(另、他到此还没有说清楚应该是10年还是更长年限的企业债)
4。风险分散,为什么是10-30只股票?他会否反对etf index funds?
5。为什么他会接受P/E(TTM)少于20作为开始可以接受的范围?这看来太高了,因为他算的是企业债利息4%,与现在(10年的median)差不多20 P/E earnings yield 只有5%,与他在书的另外一处说的需要10 year earning yield 9%有较大的区别。
6。除了rebalancing之外,他没有谈到什么时候要卖的问题。
7。现在应该基本上没有很低的current assets - total liabilities少于市场价值的股票了
8。Price-to-book少于1.33

 

二十三-三十、Pat Dorsey. Introduction, Chapters 1, 2, 9, 12-14, 17. The Five Rules for Successful Stock Investing: Morningstar's Guide to Building Wealth and Winning in the Market, 2004。此书可以说是Graham的2004年普及版。对于每个行业特别需要注意的地方对我有用。看到这里我开始把自己定位为“Value Speculator”。

 

三十一-三十二、Peter Stanyer. Chapters 1-2. Guide to Investment Strategy: How to understand markets, risk, rewards and behavior, Third Edition, 2014: 3-32. 这本书谈的是现在比较实际的市场情况,和现在的投资理论。希望能把此书读完。

- 在市场崩溃的时候入市而盈利,其实就是“taking on more risk when others wish to take less”。因此这个回报也是High risk, high return的一个例子。
- “Risk concentration where there is no information advantage is a recipe for ruin”
- loss aversion rather than risk aversion
- "regret from taking action that was subsequently unprofitable is usually felt more acutely than regret from decisions to take no action that were subsequently equally costly

 

三十三-三十五、Peter Stanyer. Chapters 3-5. Guide to Investment Strategy: How to understand markets, risk, rewards and behavior, Third Edition, 2014: 33-117. 

- Tobin定理,不管是需要什么样的风险回报,一个Portfolio只需要两个Basket:Risk-free 和 risky assets(注意:不是债券和股票)

- "Risk-free"有三种:短期的是T-bill (还是有Reinvestment risk); 长期是TIPS(本金还是有Interest rate risks,还加上liquidity risk) ;一般来说长期的还有T bond,但这已经多了Inflation risks。
[因此:Risk-free不真正是Risk-free; 包括的风险有除了利率、通涨, 还有年限前是否保本(我觉得是liquidity risk的一种)、政府信用等。就是存在银行的现金,虽然美国有政府担保,还是有政府信用的问题。更广义的政府信用,还有一个部分是税率的风险。]
- Risky assets 最起码有企业信用风险(或是Counterparty),在此基础上要使Equity的话连任何承诺都没有,有Equity risks.。在美国股市这两个加起来起码是2-2.5%
- 在此之外,money manager是否有Alpha;或其中有多少是Noise。
上面这些就是投资回报的根本理由。

- Value investing的基础就是相信终于有一天市场会"revert towards the mean“

 

三十六-三十九、Peter Stanyer. Chapters 6-8, 11. Guide to Investment Strategy: How to understand markets, risk, rewards and behavior, Third Edition, 2014: 121-194, 248-267. 

- liquidity risk; arbitrage costs; tax risks
- beta: value / small cap more exposed to "bad beta" (corp earnings change); growth / large cap more exposed to "good beta" (market discount rate change)
- value investor tended to sell stock too early; growth investor too late
- cap-weighted indices (like S&P 500 gives higher weight to over-priced stocks); wealth (profit, cash flow, or book) weighted indices should outperform
- "deep" vs. "relative" value managers; latter seek portfolio balance to avoid "regret" risk
- value stock - needs to watch out for bankruptcy (or first, credit) risk
- problem of investing with credit quality guideline
- mortgaged-back securities - investors face pre-payment (refinance, or interest reduction) risk
- currency risk is a big risk that is easily hedged; especially important for bond; currency risk is zero-sum game
- equity REITs, usually highly leveraged, behaving more like equity, but income return more like corporate bonds
- core vs. opportunistic approach to real estate investing
- real estate - tenant credit risk; obsolescence; non-liquid investment should not be currency-hedged

其他三章关于hedge fund, private equity, art investment就不读了。没有到可以玩这些的水平。

 

四十、Pat Dorsey. Chapter 15. The Five Rules for Successful Stock Investing: Morningstar's Guide to Building Wealth and Winning in the Market, 2004。关于零售与餐饮业的。连锁店的发展周期;cash conversion cycle; traffic and service, off balance-sheet obligations。

 

四十一、Translated by Bibek Debroy. “Section Five: Astika Parva." The Mahabharata 1, 2010:67-142. 这段挺长的故事,总的来说,有点“虎头蛇尾”的感觉。不过总算讲完了蛇祭。

 

四十二、《维摩经文疏》卷第十六。读的很断续,除了能告诉自己已经过目一遍外,就没有什么好说的了。

 

四十三、Gary Tubb. "3. Baking Uma" Innovations and Turning Points: Toward a History of Kavya Literature。此章主要讲Kalidasa的前期Mahakavya Kumarasambhava和Kalidasa如何回应马鸣的作品。

 

四十四 - 四十五、Walter Isaacson. "Chapter One: The Light-Beam Rider," "Chapter Fifteen: Unified Field Theories, 1923-1931" Einstein: His Life and Universe, 2007: 1-7, 336-356. 爱因斯坦是小时候的偶像。连爱因斯坦都找不到答案的统一场论就像一个永远解不开的谜。1927年群星汇聚的Solvay会议的描述还是能牵动人心。

 

四十六、Translated by Bibek Debroy. “Section Six: Adi-Vamshavatarana Parva." The Mahabharata 1, 2010:143-164. 又回到故事的导言。55章是一个非常短的故事总结。56章是读到这里最重要的一章,可以说是全书的真正的导论。

"I shall recount the entire history, that which was composed by the great-souled maharshi Vyasa, whose powers are infinite and who is worshipped in all the worlds. This contains 100,000 sacred shlokas, composed by Satyavati's son, Vyasa, of infinite powers. ... This is equal to the Vedas. It is sacred and supreme. It is the best of all that can be heard. It is a purana worshipped by the rishis. It contains all the useful instructions on artha and kama. This immensely sacred history makes the mind desire to attain salvation. ... This history, called jaya, should be heard by those who wish to attain victory. ...
"Vyasa, of infinite intelligence, has said that it is the sacred arthshastra and the supreme dharmashastra. It has been said that it is also the great mokshashastra. It is recited in the present time and it will be recited in the future. ... It is said that this Bharata is the treasury of jewels, like the ocean who is the lord and the great snow-clad mountain. ... It is said that the Mahabharata is the history of the births of the Bharata lineage. He who knows the etymology of this name is freed from all sin. The sage Krishna Dvaipayana arose regularly for three years and composed this wonderful history known as the Mahabharata. ... Whatever is found here on dharma, artha, kama and moksha, may be found elsewhere. But whatever is not in it, cannot be found anywhere else."

 

四十七、Walter Isaacson. "Chapter Twenty-Three: Landmark." Einstein: His Life and Universe, 2007: 508-523. 我一直都对爱因斯坦晚年沉迷于统一场论感兴趣。

 

四十八、Cheng, Ta-pei. "Chapter 1: Introduction and Overview." Relativity, Gravitation and Cosmology: A Basic Introduction, 2005: 3-13。要理解爱因斯坦在统一场论的尝试,基础是广义相对论。这本书的第一章写的不错,把相对论定性为坐标(或观察者)的相对性,就是物理定律对不同坐标系的协变性。很简单但清楚的应用于狭义相对论开始时的状况(用以太解释光速不变就是违法惯性坐标相对性;把光速不变应用于不同的惯性坐标结果就是把时间也相对化)。谈到爱因斯坦创立广义相对论的三个motivation(最重要的的就是等效原理)。另外两点:

p.10 "the question of whether Einstein's final formulation of GR actually incorporates Mach's principle is still being debated. For a recent discussion see, for example, Wilczek (2004), who emphasized that even in Einstein's theory not all coordinate systems are on equal footing." (this is related to the fact that Einstein's theory is a geometric theory restricted to a metric field)

p. 11 "GR is a field theory of gravity with curved spacetime ... Its essence is nicely captured in an aphorism (by John A. Wheeler): Spacetime tells matter how to move / Matter tells spacetime how to curve" 就像电磁学中场决定带电粒子的运动而带电粒子的运动产生电磁场。

 

四十九、Helge Kragh. "Cosmologies and Cosmogonies of Space and Time."The Cambridge History of Science, Volume 5: The Modern Physical and Mathematical Sciences, 2002: 522-537. 20世纪初的宇宙模型并没有与广义相对论发生很大的关系;广义相对论被公认为宇宙论的基础是1960年代的事

 

2。《The Most Important Thing Illuminated: Uncommon Sense for the Thoughtful Investor》,Howard Marks, annotated by Christopher C. Davis, Joel Greenblatt, Paul Johnson, and Seth A. Klarman, 2013. Marks 像Buffett一样,历年都不断的从Value Investing的角度去写文章。此书是汇编加点评。内容通透,不过读起来重重复复,有点沉闷。

p.17 "Many of the best bargains at any point in time are found among the things other investors can't or won't do."
p.45 "The possibility of permanent loss is the risk I worry about" (not volatility)
p.58 "High risk comes primarily with high prices."
p.60 "The feeling of safety tends to increase risk while the awareness of risk tends to reduce it."
p.72 "Loss is what happens when risk meets adversity. Risk is the potential for loss if things go wrong."
p.90 "The inevitable hallmark of bubbles is a dearth of risk aversion."
p.104 "The road to investment success is usually marked by humility, not ego"
p.121 "a hugely profitable investment that doesn't begin with discomfort is usually an oxymoron."
p.169 "It's more important to ensure survival under negative outcomes than it is to guarantee maximum returns under favorable ones."
p.177 "Because ensuring the ability to survive under adverse circumstances is incompatible with maximizing returns in the good times, investors must choose between the two"
p.183 "Investing scared, requiring good value and a substantial margin for error, and being conscious of what you don't know and can't control are hallmarks of the best investors I know."
p.193 "Correlation is often underestimated, especially because of the degree to which it increases in crisis
p.200 "When there's nothing particularly clever to do , the potential pitfall lies in insisting on being clever."
p.208 "Oaktree actually returns capital whenever the opportunity set shrinks."
p.209 "Return expectations must be reasonable"
p.211 "In addition to 'Is it too good to be true,' just ask 'Why me?'"
p.212 "If we think something is **, we buy. If it gets **er, we buy more. And if we commit all our capital, we assume we'll be able to raise more."
p.213 "It's just not realistic to expect to be able to buy at the bottom."
p.216 "Outstanding buying opportunities exist primarily because perception understates reality."
p.218 "We can infer where markets stand in their cycle from the behavior of those around us."
p.218 "Buying based on strong value, low price relative to value, and depressed general psychology is likely to provide the best results."
p.220 "The more micro your focus, the greater the likelihood you can learn things others don't."

还有一些主题如 contrarianism, second-level thinking ...

 

五十 - 五十一、陈敏龄“《教行信证》的思想构造和著作形态”;“《教行信证》和中国净土思想的渊源探究”。2014:1-102。《教行信证》是我150种世界文化典籍的一种。此书看到第二章还只是读到日本式的资料统计。

 

3。《Rational Expectations: Asset Allocation for Investing Adults》, William J. Bernstein著,2014.
挺短的一本书。最重要的发现是原来买Municipal债券应该通过Mutual funds而非ETF。应该为未来可能发生的高通胀做一定的准备。

p. 27 “Value stocks tend to be more highly indebted”
p.47 “broad stock market does not keep pace with inflation, commodity-producing equity-asset classes – PME (precious metals equity) and NR (oil/base metals producers, natural resources) – do.”
p.63 “rebalancing bonus among stock asset classes can be viewed as a kind of risk premium for betting that stock asset classes will revert to the mean and produce similar long-run returns”
p.65 “the real purpose of rebalancing is to reduce risk and that in the very long run this will obviously reduce return”
p.66 “it is far more efficient to simply substitute riskless assets for risky ones rather than try to inoculate your risky assets with other risky and non-correlating ones.
p.71 “What overall mix of risky and riskless assets do I want? How much of my risky assets do I invest in the US, developed foreign markets, and emerging markets? How much tilt do I want towards value stocks, small stocks, and other, newer returns factors, such as momentum and profitability? How much exposure do I want in “ancillary asset classes,” such as REITs, PME, and NR stocks?”
p.72 “With a commercial annuity you’re taking considerable credit (default) risk, whereas with a TIPS ladder you run the risk of outliving it.”
p.78 “foreign stock allocation somewhere in the 30% to 45% region seems reasonable”
p.85 “firms with high profitability, which we can define here as earnings / book value ratio, tend to also earn a premium, in the range of several percent per year. This is surprising, since these tend to be growth companies.” (注:Earnings / book value ratio = P/B 除以 P/E)
p.87 “stick to short Treasuries, CDs, and munis” (在现在加息预期高的时候)”For the first two, I’d own them individually – a 5-year ladder, with an average maturity of around 2.5 years, is the furthest out I’d go.” “Vanguard municipal bond funds” (但应该是mutual fund而非ETF)
p.94 Elroy Dimson, Paul Marsh, and Mike Staunton Triumph of the Optimists; in association with Credit Suisse, since 2009 they have produced annual yearbooks
p.96 “strategic adjustments to the overall stock and bond mix would seem to make the most sense for older investors with little human capital or savings potential left, not so much for returns enhancement as for risk reduction”
p.96 “All investors, in my opinion, will likely benefit from tilting their equity portfolios towards the **est nations and regions.”
p.97 “To the extent that you wish to rebalance the asset classes in your portfolio, all sales should be done within a sheltered account”
p.115 推荐的投资经典作品批
p.117 “liability matching portfolio” (LMP)
p.132 “the older you are, and the fewer working years you have ahead of you, the riskier stocks are”
p.135 “risk tolerance increases with wealth”
p.150 “What’s new is the chaos wrought by computerized markets”
p.165 “You should focus your attention on the deep risk of inflation. It is the most likely threat you’ll face, and it’s the one risk you can do the most about.”
p.166 “shallow risk, which is best protected against by high-quality fixed-income assets, especially TIPS, comes to the fore for those assets needed to defray future retirement expenses, the LMP”
p.169 “avoid all ETF bond funds … An ETF, unlike open-end fund, trades throughout the day at a discount or premium relative to the net asset value (NAV) of the underlying shares … bonds can be highly illiquid. During a financial disturbance, when liquidity becomes even thinner and most corporate bonds trade only by appointment, the AP mechanism fails, often at considerable disadvantage to the shareholder… the open-end fund holder, who can always buy and sell at the 4 p.m. (eastern standard time) NAV, has no such problem.”
p.170 “Tax-sheltered investors should keep almost all of their fixed-income assets in government-guaranteed securities: Treasury bills and notes and CDs”
p.171 “CDs sold by a brokerage can impose a haircut of principal if they are sold before maturity, whereas usually only a limited interest penalty is incurred when you redeem before maturity at the issuing bank.”
p.171 “Unless your account size is tiny, it makes no sense to own a Treasury or government-bond fund, since you can buy these securities at auction and hold them at no cost. The same goes double for TIPS, the main purpose of which is to pay for future real living expenses.”
p.172 “A reasonable fixed-income allocation for a largely sheltered portfolio might be equal amounts of CDs and Treasury bills or notes. ... A largely taxable portfolio might be equal parts munis, CDs, and Treasuries. … with munis, the choice is clear: Vanguard offers a wide variety of national and state-specific mutual funds”
p.173 (ETFs) “Only consider funds with more than $200 million in assets, Anything under that amount puts their survival at risk.”
p.173 “If you can make the $10,000 minimum purchase of the Admiral class shares, I prefer them to the ETF class”
p.181 推荐的一些基金
p.182 “The return benefits of rebalancing, to the extent they exist at all, are relatively small – about half a percentage point per year.”
p.183 “Because threshold rebalancing tends to catch market peaks and valleys more effectively than simple calendar rebalancing, I believe it is likely to be superior to calendar rebalancing. But since rebalancing is a very path-dependent process, I can’t be sure.”
P.184 “Rebalancing once every two to three years is plenty. … Your target should be to rebalance once every 2 to 4 years for each asset class.”
P185 “shifting allocations among equity asset classes according to valuation can be beneficial.”
p.186 “small, infrequent changes in allocation opposite large changes in valuation”
p.188 “returns on assets have been falling over the past several thousand years … the supply and demand balance of capital shifts in favor of its consumers (companies) and away from its providers (investors) … The further the world population dwells above the subsistence level, the lower its cost of capital.”

 

五十二、Edward N. Luttwak. 时殷弘 惠黎文译。“第一章、朱利乌斯--克劳狄体系”《罗马帝国的大战略》。1976年的原著,是一本经典作品。主要以帝国防御的目标和成本(资源投入)来评论罗马帝国的第一阶段,就是广泛使用附庸国的阶段。

 

五十三、高克勤选注。“诗”“词”,《王安石诗词文选注》,2013:1-81。原来想读完选文才记录,但既然这三个月没有读多少书,那就先记录下来再说。

 

4. 《Value Averaging: The Safe and Easy Strategy for Higher Investment Returns》, by Michael E. Edleson, 是2007的更新版。只是定期购买指数的一种与dollar cost averaging差不多的方法(“to make the value of your stock holdings go up by some predetermined amount with a slow growth rate every quarter”)。没什么意思的书。从方法上也有问题-根本问题是:如果有钱的话,先放进股市,而冒当前可能不是好时机;还是稳步的入市,来把入市时间的风险抵消,但相对的因为钱进去股市往后了,因此实际回报减少;这两者哪个方法比较好一些?谈了一整本书,连这个最基本的问题都没有提出来。 Value Averaging是要求卖股的,因此放在tax-deferred account会好些。

 

五十三、Edward N. Luttwak. 时殷弘 惠黎文译。“第二章、从弗拉维王朝到塞维鲁王朝”《罗马帝国的大战略》。1976年的原著,是一本经典作品。罗马帝国的第二阶段,“科学”边境的成立,帝国防御的双重目的(抵御低烈度骚扰以保障境内农业定居和罗马化进程,和高烈度入侵),和附庸国的瓦解阶段。在此阶段,很多罗马军团被边境化(最早是叙利亚的几个军团,镇压小小的Judaea叛乱都遭失利),而失去作为储备军的能力和弹性。

 

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