I.H.25.Warren Buffett.Long-short Strategy

1、《2002-05-04 Berkshire Hathaway Annual Meeting》

46. Ben Graham and the long/short model

本·格雷厄姆和多空策略模型

WARREN BUFFETT: Six?

沃伦·巴菲特：第六区？

AUDIENCE MEMBER: Hi, I’m Steve Rosenberg (PH). I’m 22, from Ann Arbor, Michigan. It’s a privilege to be here.

听众：你好，我是斯蒂夫·罗斯本（PH），22岁，来自密歇根州安娜堡。能在这里真是荣幸。

First, I’d just like to thank you both for serving as a hero and positive role model for me and many others. Much more than your success, itself, I respect your unparalleled integrity.

首先，我要感谢你们俩作为我的英雄和正面榜样，不仅仅是你们的成功，更重要的是我敬佩你们无与伦比的诚信。

I have three quick questions for you. The first is how a youngster like myself would develop and define their circle of competence.

我有三个简短的问题。第一个是像我这样的年轻人如何发展和定义自己的能力圈。

The second involves the role of creative accounting in the stories of tremendous growth and success over many years. GE, Tyco, and IBM immediately come to mind for me, but I was hoping you could also discuss that issue in relation to Coke.

第二个问题是关于创造性会计在多年巨大增长和成功故事中的作用。通用电气、泰科和IBM立刻让我想起了，但我希望您也能讨论一下与可口可乐相关的这一问题。

Some people have said that their decision to lay off much of the capital in the system onto the bottlers, who earn low returns on capital, is a form of creative accounting.

有人说，他们将系统中大量资本转移给那些资本回报率低的瓶装商的决定，是一种创造性会计。

On the flip side, others counter that Coke’s valuation, at first glance on, say, a price-to-book metric, is actually less richly valued than it seems because they earn basically all the economic rents in the entire system.

另一方面，另一些人反驳说，初看可口可乐的估值，例如基于市净率的估值，实际上比看起来的更不昂贵，因为他们基本上在整个系统中赚取了所有的经济租金。

My final question is, if you could comment on the A.W. Jones model, the long/short equity model. I understand that it doesn’t make sense for capital the size of Berkshire’s to take that type of a strategy.

最后一个问题是，您能否评论一下A.W.琼斯模型，多空股票模型。我理解对于像伯克希尔这样规模的资本来说，采取这种策略没有意义。

But it just seems to me that playing the short side in combination also seems incredibly compelling, even giving the inherent structural and mathematical disadvantages of shorting. And I was wondering if you could talk a little bit more about why you would have lost money on your basket of a hundred frauds.

但在我看来，结合做空策略似乎也非常具有吸引力，即使考虑到做空的固有结构性和数学上的劣势。我想知道您能否再多谈谈为什么您在做空一百只“欺诈”股票时会亏钱。

WARREN BUFFETT: Yeah, it’s an interesting question. And we’ll start — we’ll go in reverse order.

沃伦·巴菲特：嗯，这是一个有趣的问题。我们从后往前回答。

Many people think of A.W. Jones, who was a Fortune writer at one time, and who developed the best-known hedge fund, whenever it was, in the early ’60s or thereabouts, maybe the late ’50s even.

许多人都会想到A.W.琼斯，他曾是《财富》杂志的作者，并在1960年代初期（或者说是1950年代末）发展了最著名的对冲基金。

And for some of the audience, the idea originally with A.W. Jones is that they would go long and short more or less equal amounts and have a market-neutral fund so that it didn’t make any difference which way the market went.

对于一些观众来说，最初A.W.琼斯的理念是他们将以多空大致相等的比例进行投资，建立一个市场中性基金，这样无论市场如何波动，都不受影响。

They didn’t really stick with that over time. And I’m not even sure whether A.W. Jones said that they would. But they, you know, sometimes they’d be 140 percent long and 80 percent short, so they’d have a 60 percent net long, or whatever it might be.

但随着时间的推移，他们并没有始终坚持这一策略。我甚至不确定A.W.琼斯是否曾表示他们会这样做。但你知道，有时他们会做140%的多头和80%的空头，所以他们会有60%的净多头，或者其他的。

They were not market-neutral throughout the period, but they did operate on the theory of being long stocks that seemed underpriced and short stocks that were overpriced.

他们并不是始终保持市场中性，但他们确实遵循了多头投资被低估的股票，空头投资被高估的股票的理论。

Even the Federal Reserve, in a report they made on the Long-Term Capital Management situation a few years ago, credited A.W. Jones with being sort of the father of this theory of hedge funds.

甚至几年前联邦储备委员会在一份关于长期资本管理的报告中，将A.W.琼斯视为这种对冲基金理论的奠基人之一。

As Mickey Newman, if he’s still here, knows, I think it was in 1924 that Ben Graham set up the Benjamin Graham Fund, which was designed exactly along those lines, and which even used paired securities.

正如米基·纽曼（如果他还在这里）知道的那样，我认为本·格雷厄姆于1924年设立了本杰明·格雷厄姆基金，基金设计正是沿着这种思路，它甚至使用了配对证券。

In other words, he would look at General Motors and Chrysler and decide which he thought was undervalued relative to the other, and go long one and short the other.

换句话说，他会比较通用汽车和克莱斯勒，决定他认为哪个相对于另一个被低估，然后做多一个，做空另一个。

So, the idea — and he was paid a percentage of the profits. And it had all of the attributes of today’s hedge funds, except it was started in 1924.

所以，这个理念——他按利润比例获得报酬。它拥有今天对冲基金的所有特征，除了它是在1924年启动的。

And I don’t know that Ben was the first on that, but I know that he was 30 years ahead of the one that the Federal Reserve credited with being the first, and that many people still talk about as being the first, A.W. Jones.

我不知道本是否是第一个采用这种方法的人，但我知道他比联邦储备委员会称之为第一个的A.W.琼斯早了30年，许多人仍然认为A.W.琼斯是第一个。

Ben did not find that particularly successful. And he even wrote about it some in his — in terms of the problems he encountered with that approach.

本并没有发现这种方法特别成功。他甚至在他的著作中提到过他遇到的一些问题。

And my memory is that a quite high percentage of the paired investments worked out well. He was right. The undervalued one went up and the overvalued — or the spread between the two narrowed.

我记得配对投资中有相当高的比例是成功的。他是对的，低估的股票上涨了，而高估的股票——或者说两者之间的差距缩小了。

But the one time out of four, or whatever it was, that he was wrong lost a lot more money than the average of the three that he was right on.

但每四次中的一次，或者不管是多少次，当他错的时候，损失的金额远远超过了他对的三次的平均数。

And you know, all I can say is that I’ve shorted stocks in my life, and had one particularly harrowing experience in 1954.

你知道，我唯一能说的就是我一生中做过空头，并且在1954年有一次特别令人惊慌的经历。

And I have — I can’t — I can hardly think of a situation where I was wrong, if viewed from 10 years later.

而我——我几乎无法想到任何一个我错过的情况，如果从十年后回看的话。

But I can think of some ones where I was certainly wrong from the view of 10 weeks later, which happened to be the relevant period, and during which my net worth was evaporating and my liquid assets were getting less liquid, and so on.

但我能想到一些情况，在十周后的视角下，我肯定是错的，那恰好是相关的时期，期间我的净资产蒸发了，流动资产变得更加不流动，等等。

So, it’s — all I can tell you is it’s very difficult.

所以，我能告诉你的是，这真的很难。

And the interesting thing about it, of course, is A.W. Jones was a darling of the late 1960′s.

当然，有趣的是，A.W.琼斯曾是1960年代末的宠儿。

And Carol Loomis is here, and she wrote an article called “The Jones Nobody Keeps Up With.” And it’s a very interesting article, but nobody’s writing articles — nobody was writing articles about A.W. Jones in 1979.

卡罗尔·卢米斯（Carol Loomis）在这里，她写过一篇文章叫做《没有人能追得上琼斯》。这是篇非常有趣的文章，但在1979年没有人再写关于A.W.琼斯的文章了。

I mean, something went wrong, and there were spin-offs from his operation. Carl Jones spun off from his operation, Dick Radcliffe spun off from his operation.

我的意思是，出了问题，他的业务有分支出来。卡尔·琼斯从他的业务中分出来，迪克·拉德克利夫也从他的业务中分出来。

There were — you can go down the list.

有很多，你可以列出一长串。

And out of many, many, many that left, they — a very high percentage of them bit the dust, including suicides, cab drivers, subsequent employment — the whole thing.

而且，许多许多离开的人——其中很高比例的都失败了，包括自杀、开出租车、后来找工作——一切都发生了。

There was a book written in the late ’60s, it had a lot of pictures in it. I don’t remember the name of it, but it showed all these portraits of all these people that were highly successful in the hedge fund business, but they didn’t bring out a second edition.

在60年代末有一本书，它有很多照片。我记不清书名了，但它展示了这些在对冲基金行业非常成功的人的肖像，但他们没有出版第二版。

So, it’s just tough.

所以，这真的很困难。

Logically, it should work well, but the math of only — you can’t short a lot of something. You can buy till the cows come home if you’ve got the money. You can buy the whole company if need be, but you can’t short the whole company.

从逻辑上讲，它应该行得通，但数学上只有一个问题——你不能做空很多东西。如果你有钱，你可以买到天荒地老。如果有需要，你可以买下整家公司，但你不能做空整家公司。

A fellow named Robert Wilson, there’s some interesting stories about him. He’s a very, very smart guy, and he took a trip to Asia one time, being short, I think it was Resorts International or maybe it’s Mary Carter Paint, it was still called in those days.

有一个叫做罗伯特·威尔逊的人，有一些有趣的故事。他是一个非常非常聪明的人，有一次他去亚洲，他在做空，我认为是度假村国际，或者是玛丽·卡特涂料，当时还是叫这个名字。

And he lost a lot of money before he got back to this country. He’s a very smart guy, and he made a lot of money shorting stocks, but it just takes one to kill you.

他在回到美国之前损失了很多钱。他是一个非常聪明的人，他通过做空股票赚了很多钱，但它只需要一个错误就能致命。

And you need more and more money as the stock goes up. You don’t need more and more money when a stock goes down, if you paid for it originally and didn’t buy it on margin. You just sit and find out whether you were right or not.

随着股价上涨，你需要越来越多的钱。当股价下跌时，如果你是原价买入且没有使用保证金，你就不需要更多的钱。你只需要静坐，看看自己是否正确。

But you can’t necessarily sit and find out whether you’re right on being short a stock.

但你不能简单地坐在那里，看看自己是否做空股票是对的。

I think I’ll let Charlie comment on that before I go to your other two questions.

我想在回答您的其他两个问题之前，让查理评论一下这个问题。

2、《2008-05-03 Berkshire Hathaway Annual Meeting》

17. Long-short strategy wasn’t a big money maker

多空策略并不是一个大赚的策略

WARREN BUFFETT: Thank you. Number 2.

沃伦·巴菲特：谢谢。2 号。

AUDIENCE MEMBER: Hi. My name is Henry Pattener (PH). I’m hailing from Singapore, most recently.

观众成员：你好。我的名字是亨利·帕特纳。我来自新加坡。

In one of your older letters, you — your older partnership letters in 1964 — you introduced a fourth investment method called “Generals — Relatively Undervalued.”

在你的一封较早的信中，你——你在 1964 年的较早合伙信中——介绍了一种投资方法，称为“普通股——相对低估”。

In your description you say, “We have recently begun to implement a technique which gives promise of very substantially reducing the risk from an overall change in valuation standards.

在您的描述中，您提到：“我们最近开始实施一种技术，这种技术有望大幅降低整体估值标准变化的风险。

“We buy something at 12 times earnings when comparables or poor-quality companies sell at 20 times earnings, but then a major revaluation takes place so that the latter only sell at ten times.”

“我们以12倍的收益购买某种股票，而可比或劣质公司则以20倍的收益出售，但随后发生了重大重新估值，使得后者仅以10倍出售。”

Is this technique pair trading and, if so, how did you think about and calculate the ratio of longs to shorts?

这种技术是配对交易吗？如果是这样，您是如何考虑和计算多头与空头的比例的？

WARREN BUFFETT: Yeah. I didn’t remember we started as early as ’64, but certainly in the ’60s we did some of what, in a very general way, would be called pair trading now, which is a technique that’s used by a number of hedge funds, and perhaps others, that go long one security and short another, and often they try to keep them in the same industry or something.

沃伦·巴菲特：是的。我不记得我们在 64 年就开始了，但可以肯定的是，在 60 年代我们确实做了一些现在被称为配对交易的事情，这是一种被许多对冲基金和其他人使用的技术，即买入一种证券并卖空另一种证券，通常他们会尝试将它们保持在同一行业或类似的领域。

They say that British Petroleum is relatively attractive compared to Chevron or vice versa, so they long one and short the other.

他们说，与雪佛龙相比，英国石油相对有吸引力，反之亦然，所以他们做多一个，做空另一个。

And actually that technique was employed first by Ben Graham in the mid-1920s when he had a hedge fund, oftentimes — I read articles all the time that credit A.W. Jones with originating the hedge fund concept in the late ’40s, but Ben Graham had one in the mid-1920s — and he actually engaged in pairs trading.

实际上，这种技术最早是由本·格雷厄姆在 1920 年代中期使用的，当时他有一个对冲基金。我经常读到一些文章，将对冲基金概念的起源归功于 A.W.琼斯，认为是在 40 年代末，但本·格雷厄姆在 1920 年代中期就已经有一个对冲基金了——而且他实际上参与了配对交易。

And he found out it worked modestly — very modestly — well because he was right about four times out of five but the time he was wrong tended to kill him on the other four.

他发现这种方法有效——非常有限地有效——因为他在五次中对四次是正确的，但他错误的那一次往往会让他在其他四次中遭受损失。

We did — we shorted out the general market for about five years in the partnership, to a degree. We borrowed stocks directly from some major universities. I think we were probably quite early in that.

我们确实——在合伙企业中，我们在一定程度上做空了大约五年的大盘。我们直接从一些主要大学借入股票。我想我们可能在这方面相当早。

We went to Columbia and Harvard and Chicago and different places and actually arranged for direct borrowing. They weren’t — it wasn’t as easy to facilitate in those days as it is now.

我们去了哥伦比亚大学、哈佛大学、芝加哥大学和其他不同的地方，并实际安排了直接借用。在那些日子里，这并不像现在这样容易促成。

And so we would take their portfolios and we would just say, “Give us any of the stocks you want, and then we’ll return them to you after a while and we’ll pay you a little fee.”

所以我们会拿他们的投资组合，然后我们就说：“把你想要的任何股票给我们，然后过一段时间我们会还给你，并支付你一点费用。”

And then we went long things that we thought were attractive. We did not go short things that we thought were unattractive; we just shorted out the market generally.

然后我们就会做多那些我们认为有吸引力的股票。我们并没有做空我们认为不吸引的股票；我们只是做空了整体市场。

It was always kind of interesting to me, when I would visit the treasurer of Columbia or something like and I’d say, “We’d like to borrow your stocks to short,” and, you know, he thought his stocks were pretty good at that point.

我总是觉得有点有趣，当我去拜访哥伦比亚的财务主管或类似的人时，我会说：“我们想借用你的股票来做空。” 你知道，他当时认为他的股票相当不错。

And he’d say, “Which ones do you want?” And I said, “Just give me any of them — (laughs) — I’m happy to short your whole damn portfolio.” (Laughter)

他会说：“你想要哪一个？”我说：“随便给我一个——（笑）——我很乐意做空你整个该死的投资组合。”（笑声）

I needed the Dale Carnegie course to get me through that kind of thing, you know.

我需要戴尔·卡耐基课程来帮助我度过那种事情，你知道的。

We didn’t have any specific ratios in mind. We were always limited by the number of institutions that would give us the stocks to short.

我们并没有心中设定任何具体比例。我们总是受到愿意借给我们股票的机构数量的限制。

So it was not a big deal, but we probably made some extra money on it in the ’60s. It’s not something that would fit our — what we do these days at all.

所以这不是什么大事，但我们可能在 60 年代从中赚了一些额外的钱。这完全不符合我们现在所做的事情。

And, generally speaking, I think if you’ve got some very good ideas on businesses that are undervalued, it’s really unnecessary to do any shorting out of the market.

一般来说，我认为如果你有一些关于被低估的企业的好想法，实际上没有必要在市场上做空。

There’s a — for those of you who are in the field — I mean, there’s a — kind of a popular proposal — money managers always have some popular proposal that’s being sold to the potential investors — and now there’s something called 130-30, where you’re long 130 percent long, short 30 percent.

对于那些在这个领域的人来说，我的意思是，有一个——一种流行的提议——资金管理者总是向潜在投资者推销一些流行的提议——现在有一种叫做 130-30 的东西，你是 130%做多，30%做空。

That stuff is all basically a bunch of stuff just to try and sell you the idea of the day. It doesn’t really have any great statistical merit.

那些东西基本上就是一堆东西，只是为了向你推销当天的想法。它实际上并没有什么很大的统计价值。

But the fish bite, as Charlie says. Charlie can elaborate on that.

但鱼咬钩了，正如查理所说。查理可以详细说明。

CHARLIE MUNGER: Yeah. We made our money by being long some wonderful businesses. We didn’t make it by a long-short strategy.

查理·芒格：是的。我们通过持有一些优秀的企业赚到了钱。我们不是通过长短策略赚到的。

3、《2024-12-02 Hedge Fund Paloma Partners Offers IOUs to Fleeing Investors》

Founded in 1981 by Sussman, a onetime Democratic megadonor, Paloma trades across asset classes and hedge-fund strategies, with an emphasis on computer-driven algorithmic investing. The firm has also been a prolific early backer of other hedge funds, most notably industry giant D.E. Shaw.

由曾是民主党大金主的苏斯曼于 1981 年创立，Paloma 在资产类别和对冲基金策略上进行交易，重点是计算机驱动的算法投资。该公司也是其他对冲基金的早期支持者，最著名的是行业巨头 D.E. Shaw。

Lately, though, Paloma’s quant business has been a drag on returns and lost money so far in 2024. Through November, Paloma generated returns of about 4%, which is on par with the firm’s average annualized return over the past three years, people familiar with the matter said.

不过，最近 Paloma 的量化业务拖累了收益，截至 2024 年，已经亏损。知情人士表示，截至 11 月，Paloma 的收益约为 4%，这与该公司过去三年的平均年化收益率相当。

A broad hedge-fund index returned 8.5% through October, according to the most recent data compiled by research firm PivotalPath. The S&P 500 is up 27% so far this year.

根据研究公司 PivotalPath 编制的最新数据，一个广泛的对冲基金指数截至 10 月回报率为 8.5%。标准普尔 500 指数今年迄今上涨了 27%。

“We must begin by acknowledging that our performance over the last few years has not met our high standards,” Sussman wrote in the Nov. 22 letter. “As a result, we have received significant withdrawal and redemption requests from investors.”

“我们必须承认，过去几年的表现未能达到我们的高标准，”苏斯曼在 11 月 22 日的信中写道。“因此，我们收到了投资者大量的撤资和赎回请求。”

I.H.25.Warren Buffett.Long-short Strategy

I.H.25.Warren Buffett.Long-short Strategy

1、《2002-05-04 Berkshire Hathaway Annual Meeting》

2、《2008-05-03 Berkshire Hathaway Annual Meeting》

3、《2024-12-02 Hedge Fund Paloma Partners Offers IOUs to Fleeing Investors》

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