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几天前，Dalio在Linkedin 发表了一篇文章，谈论市场形态的变幻。

大意是市场的形态（beta场景）在不断变化，没有任何以一种形态可以长期不变，比如低利率场景和高利率场景，低波动率场景（适合价值，统计套利，被动投资）和高波动率场景（适合全球宏观），不断变化。也没有一种策略可以适应所有的场景。所以在场景切换的时候，依赖之前场景的投资者会受到伤害。

实际这些内容我们在前几年的文章中都已经提出，甚至不断强调。

比如2015-17年，我们多次提出全天候策略将会因为升息周期失效，彼时我们看到大众对全天候的盲目崇拜；

2017年我们指出的假alpha的大小盘风格切换；

2018年年初，我们指出地产、银行、金融、家电、奢侈品等传统白马会因为高利率崩溃...

都是基于类似的理念 —— 实际是全球宏观策略的核心，质疑权威，质疑自身。

实际Soros在后来的《Alchemy of Finance - 序》中也提到过类似的场景切换。无独有偶，5月在上海听 Howard Marks 讲周期，实际是在解读 Soros 的反射理论。难道现在的大师们有依靠解读Soros度日的趋势？

实际这些理论都脱胎于中国道家哲学的阴阳此消彼长，但又互相依赖的原理。比如塞翁失马，福祸双依。

但群氓崇拜权威的特性，依然是从众。（讽刺的是，形态的切换，从行为金融学的角度，就是从众导致趋势反转）。

人群纷纷转发的时候，我看到的是买椟还珠 —— 大多数人都只看到了Dalio推荐买入黄金，而对藏在文章里的“剑诀”暴殄天物。

黑天鹅，与流动性风险就像孪生兄弟，我们经常看到黑天鹅由流动性风险触发。

我们之前解读的新疆德隆，LTCM，次债危机，保时捷/大众汽车收购案，2010年闪电崩盘，都是低流动性资产，遇到波动率上升，触发流动性风险。

今天，白马，低波动核心资产之一，涪陵榨菜因为业绩低于预期跌停板开盘，没有给任何逃亡的机会：

1. 部分原因由于A股交易机制不合理性 —— 涨跌停板助涨助跌，且带来流动性风险；

2. 涪陵榨菜的技术形态已经具备庞氏骗局的特征 —— 高Sharpe，低波动，低流动性 —— 机构的抱团取暖，甚至不排除互相联手锁仓，锁住流动性，利用边际效应达到操纵股价的效果 —— 这其实是一种庞氏骗局形态。

于是乎，在火警响起的时候，众人锁在一个密闭的房间，形成踩踏。

类似涪陵榨菜或庞氏骗局的形态，在A股市场还有很多。

注意，我们并不是预测文中提到的金融资产的方向，只是从风险管理的角度，所有案例仅用于图示阐释如何管理黑天鹅风险，不构成任何投资或交易建议。

（待续）

附：

One of my investment principles is:

Identify the paradigm you’re in, examine if and how it is unsustainable, and visualize how the paradigm shift will transpire when that which is unsustainable stops.

Over my roughly 50 years of being a global macro investor, I have observed there to be relatively long of periods (about 10 years) in which the markets and market relationships operate in a certain way (which I call “paradigms”) that most people adapt to and eventually extrapolate so they become overdone, which leads to shifts to new paradigms in which the markets operate more opposite than similar to how they operated during the prior paradigm. Identifying and tactically navigating these paradigm shifts well (which we try to do via our Pure Alpha moves) and/or structuring one’s portfolio so that one is largely immune to them (which we try to do via our All Weather portfolios) is critical to one’s success as an investor. 

How Paradigm Shifts Occur

There are always big unsustainable forces that drive the paradigm. They go on long enough for people to believe that they will never end even though they obviously must end. A classic one of those is an unsustainable rate of debt growth that supports the buying of investment assets; it drives asset prices up, which leads people to believe that borrowing and buying those investment assets is a good thing to do. But it can’t go on forever because the entities borrowing and buying those assets will run out of borrowing capacity while the debt service costs rise relative to their incomes by amounts that squeeze their cash flows. When these things happen, there is a paradigm shift. Debtors get squeezed and credit problems emerge, so there is a retrenchment of lending and spending on goods, services, and investment assets so they go down in a self-reinforcing dynamic that looks more opposite than similar to the prior paradigm. This continues until it’s also overdone, which reverses in a certain way that I won’t digress into but is explained in my book Principles for Navigating Big Debt Crises, which you can get for free here. 

Another classic example that comes to mind is that extended periods of low volatility tend to lead to high volatility because people adapt to that low volatility, which leads them to do things (like borrow more money than they would borrow if volatility was greater) that expose them to more volatility, which prompts a self-reinforcing pickup in volatility. There are many classic examples like this that repeat over time that I won’t get into now. Still, I want to emphasize that understanding which types of paradigms exist and how they might shift is required to consistently invest well. That is because any single approach to investing—e.g., investing in any asset class, investing via any investment style (such as value, growth, distressed), investing in anything—will experience a time when it performs so terribly that it can ruin you. That includes investing in “cash” (i.e., short-term debt) of the sovereign that can’t default, which most everyone thinks is riskless but is not because the cash returns provided to the owner are denominated in currencies that the central bank can “print” so they can be depreciated in value when enough money is printed to hold interest rates significantly below inflation rates.  

In paradigm shifts, most people get caught overextended doing something overly popular and get really hurt. On the other hand, if you’re astute enough to understand these shifts, you can navigate them well or at least protect yourself against them. The 2008-09 financial crisis, which was the last major paradigm shift, was one such period. It happened because debt growth rates were unsustainable in the same way they were when the 1929-32 paradigm shift happened. Because we studied such periods, we saw that we were headed for another “one of those” because what was happening was unsustainable, so we navigated the crisis well when most investors struggled.

—— Paradigm Shifts， Ray Dalio