深入探究「及早止損，讓利潤奔馳」

The first book that many new arrivals on the trading floors of banks and hedge funds are encouraged to read is Reminiscences of a Stock Operator by Edwin Lefevre (1923). The story highlights the importance of controlling one’s emotions in trading, while being attuned to the herd mentality that often drives markets. The following two quotations reflect these twin themes of individual discipline and the pack-like movement of crowds:
許多新來者在銀行和對沖基金的交易樓層上都被鼓勵閱讀的第一本書是愛德溫·勒費夫爾（1923年）的《股票操作者的回憶錄》。這個故事強調了在交易中控制情緒的重要性，同時也要注意常常推動市場的群體心態。以下兩句引言反映了個人紀律和群眾般的行動這兩個主題。

“Cutting losses quickly is the foremost rule of speculating.”
「迅速削減損失是投機的首要原則。」
“The big money is not in the buying or the selling, but in the waiting.”
「大錢不在買進或賣出，而在等待中。」

For many successful speculators, “Cut your losses early; let your profits run” tops the list of advice they offer to the next generation of traders, as was the case with 12 out of the 14 renowned money men interviewed by Jack Schwager in Market Wizards: Interviews With Top Traders (1989).² Here’s how one of the interviewees, Paul Tudor Jones, expressed it: “If I have positions going against me, I get right out; if they are going for me, I keep them.” This dictum is not lost on today’s most successful money managers, such as the Millennium, Balyasny and Exodus Point hedge fund groups, who put the tenet of cutting losses quickly at the very core of their investment and risk management policies.
對於許多成功的投機者來說，「及早止損，讓利益奔馳」是他們向下一代交易者提供的首要建議之一，正如傑克·施瓦格（Jack Schwager）在《市場巫師：頂尖交易者訪談錄》（1989）中訪問的14位知名金融人士中的12位所說的那樣。以下是其中一位受訪者保羅·圖多·瓊斯（Paul Tudor Jones）的表達方式：「如果我的持倉朝著我不利的方向發展，我會立即退出；如果朝著我有利的方向發展，我會保持持倉。」這一原則對於如今最成功的資金管理者來說並不陌生，例如Millennium、Balyasny和Exodus Point對沖基金集團，他們將迅速止損的原則置於其投資和風險管理政策的核心位置。

Also, the Cut-Losses-Early-and-Let-Profits-Run strategy outperformed the static portfolio during the two worst market sell-offs in 1929-32 and 2007-09, when the static portfolio’s max drawdowns were 70% and 41% respectively while the CLE-LPR largest drops during the same crises were 42% and 21%.
此外，「及早止損，讓利潤奔馳」策略在1929-32年和2007-09年兩次最嚴重的市場抛售中表現優於靜態投資組合，當時靜態投資組合的最大回撤分別為70%和41%，而在同一危機期間，「及早止損，讓利潤奔馳」策略的最大跌幅分別為42%和21%。

Why Does Cut-Losses-Early-and-Let-Profits-Run Work?
為什麼「及早止損，讓利潤奔馳」的策略有效？

One way to answer this question might be to notice that this investment approach is very similar to momentum-based investing,⁵ which has been very successful over a wide range of asset markets and time periods. For example, in “Time Series Momentum” (2012), Moskowitz et al. found “… significant time series momentum in equity index, currency, commodity, and bond futures for each of the 58 liquid instruments we consider.”⁶ Over the period of our simulation, a momentum signal based on the past year of stock market performance would have lined up with the positioning from the CLE-LPR strategy 94% of the time.
回答這個問題的一種方法可能是注意到者種投資方法與基於動量的投資非常相似，這種方法在各種資產市場和時間段上都非常成功。例如，在2012年的《時間序列動量》一文中，莫斯科维茨等人發現“我们考慮的58種流動性工具中，股票指数、貨幣、商品和債券期貨都存在顯著的時間序列動量。”在我們模擬的期間，基於過去一年的股市表现的動量信號與CLE-LPR策略的倉位調整相符的情况達到了94%。

Of course, pointing out that CLE-LPR is very similar to momentum investing doesn’t really answer the question, it just reformulates it into: “Why do momentum strategies work?” It’s hard to know for sure, but there are many theories to choose from. They range from underreaction to new information, to over-reliance on recent returns in forming expectations of future returns (a.k.a “return chasing”), to slow recognition of regime shifts in markets, just to name a few. In most markets, positive momentum is usually associated with periods of lower risk, which in turn may encourage investors to want to own more of that asset, thus increasing the price.⁷ Whatever the reason, there is little doubt that momentum in asset prices has been present for a long time, across a wide range of traded assets.
當然，指出CLE-LPR與動量投資非常相似並不能真正回答這個問題，它只是將問題重新表述為：“為什麼動量策略有效？”很難確定，但有很多理論可供選擇。這些理論從對新信息的反應不足，到過度依賴最近的回報形成對未來回報的預期（即所謂的“追逐回報”），再到市場制度轉變的認識緩慢等等。在大多數市場中，正向動量通常與風險較低的時期相關，這反過來可能鼓勵投資者希望擁有更多該資產，從而提高價格。無論原因如何，毫無疑問，資產價格的動量長期以來一直存在於各種交易資產中。

Conclusion 結論

Most people are naturally inclined to patiently, and painfully, stick with losing decisions for too long while cashing out of winning decisions too quickly. Indeed, this was an early finding in the field of behavioral economics, and was important enough to be given a name: the “Disposition Effect.”¹⁴ It is often the case that controlling our natural instincts can be rewarding. We suspect that much of the power of cutting losses quickly and letting profits run, at least when it comes to investing, lies in the difficulty of overcoming our propensity to do the exact opposite.
大多數人天生傾向於在輸的決策上耐心而痛苦地堅持太久，同時又過快地退出贏的決策。事實上，這是行為經濟學領域的早期發現，並且足夠重要以至於被賦予了一個名字：「處置效應」。我們常常發現，控制我們的自然本能是有回報的。我們懷疑，在投資方面，快速削減損失並讓利潤增長的力量很大程度上在於克服我們恰恰相反的傾向的困難。

原文網址:

https://elmwealth.com/cut-losses-early-let-profits-run/