Under the weather--How a popular investment strategy unravelled

经济学人五月刊

Under the weather：身体不适；不舒服

unravel v. /ʌnˈrævl/  1.（把缠或织在一起的线）解开，拆散，松开

•I unravelled the string and wound it into a ball. 我把绳子解开并绕成一个球。

2.[ V ] ( of a system, plan, relationship, etc. 系统、计划、关系等 ) to start to fail or no longer stay together as a whole 解体；崩溃；瓦解

3.to explain sth that is difficult to understand or is mysterious; to become clearer or easier to understand 阐释；说明；澄清；变得清楚易懂 •The discovery will help scientists unravel the mystery of the Ice Age. 这一发现将有助于科学家揭开冰川时代的奥秘。

“THE PANDEMIC was a strange beast that I didn’t have an edge wrestling with,” says Ray Dalio, founder of Bridgewater Associates, the world’s largest hedge fund, explaining his losses in the first quarter. For years Bridgewater’s famed risk-parity strategy produced high returns for low risk, and was widely adopted by others. But things soured when covid-19 hit. Mr Dalio reported losses of 7-21% across his funds in the first quarter, his biggest since late 2008.

have an edge：有优势，具有优势        wrestle with：努力克服，全力对付

hedge fund：对冲基金    risk-parity：风险平价（管理投资组合的一种策略）

parity n. /ˈpærəti/  

1.[ U ] ~ (with sb/sth)~ (between A and B) （尤指薪金或地位）平等，相同，对等

•Prison officers are demanding pay parity with the police force. 狱警正要求与警察同工同酬。

2. [ UC ] ( finance 财 ) the fact of the units of money of two different countries being equal （两国货币的）平价 •to achieve parity with the dollar 取得与美元的平价

Sour：我们常见的词义是做形容词-酸、酸腐的、变馊的、还可以形容人不高兴，闷闷不乐。作动词除了变酸，变馊。还有文中的意思变坏，朝不好的方向发展( of relationships, attitudes, people, etc. 关系、态度、人等 ) to change so that they become less pleasant or friendly than before; to make sth do this （使）变坏，恶化 •The atmosphere at the house soured. 屋子里的气氛不对了

Bridgewater created the first risk-parity portfolio in 1996, when it launched its All Weather fund. It was intended to be insulated from market-wide shocks. A typical way to do this is to balance holdings of relatively volatile stocks with government bonds—in times of market stress bonds usually rise in value, offsetting losses from stocks. But that means less exposure to equities, which tend to have higher returns. Bridgewater’s innovation was to keep a high allocation of stocks, but to borrow to buy safe long-dated bonds. If the long-dated interest rate is higher than the borrowing rate, as has generally been the case, this raises the total return on the portfolio, without adding extra risk.

All Weather found：全天候基金 通过平衡投资组合中的各项资产使其在不同的市场环境均能有良好的表现

insulated adj. /ˈɪnsjuleɪtɪd/  protected with a material that prevents heat, sound, electricity, etc. from passing through 有隔热（或隔音、绝缘）保护的 • insulated wires 绝缘线

volatile adj. /ˈvɒlətaɪl/  

1.( often disapproving ) ( of a person or their moods 人或其情绪 ) changing easily from one mood to another 易变的；无定性的；无常性的 •a highly volatile personality 反复无常的个性

2.( of a situation 情况 ) likely to change suddenly; easily becoming dangerous 可能急剧波动的；不稳定的；易恶化的 •a volatile exchange rate 剧烈波动的汇率

3.( technical 术语 ) ( of a substance 物质 ) that changes easily into a gas 易挥发的；易发散的

offset /ˈɒfˌsɛt/  V-T If one thing is offset by another, the effect of the first thing is reduced by the second, so that any advantage or disadvantage is cancelled out. 抵消

long-dated ：ADJ (of a gilt-edged security) having more than 15 years to run before redemption (金边债券)长期的

The strategy’s success led others to follow. Assets allocated to the strategy probably exceeded $1trn in March, according to David Zervos of Jefferies, an investment bank. Risk parity’s outperformance during the global financial crisis was its making. The average annual return in the S&P risk-parity index in 2006-10 was 8%; by contrast, the S&P 500 equity index made nothing.

S&P：标准普尔指数    MSCI  abbr. 摩根士丹利资本国际公司（Morgan Stanley Capital International）

At first risk parity fared well during the corona-crisis. Between January 1st and March 13th the MSCI world share-price index fell by 20%. Safe assets were in high demand. In America the yield on the ten-year Treasury, which moves inversely to the price, dipped to a record low of 0.3% on March 9th. But then bond and share prices began to fall in tandem. Faced with an intense cash crunch, some investors sold their holdings of even liquid assets such as Treasuries. Risk-parity portfolios plunged in value.

Fare well：顺利，过得好     cash crunch：现金危机

Dip：v. 浸，蘸；（使）下降，下沉，减少；（把手、工具）伸入（袋子、容器）；扒窃；动用（资金）；浏览（书籍）；（给牲畜）洗药浴；制作（蜡烛）；给某人施洗礼；（道路、地面）向下倾斜；放下，下移；（把汽车前灯）调为近光 n. 浸，蘸；短暂的水浴或游泳；（暂时的）减少，下降；调味酱，蘸酱；凹陷处，低洼处；浏览，翻阅；药浴液；舀取的量；（上坡前的）短暂下坡，（上升前的）短暂下落；倾角，视倾斜；扒手

tandem n. /ˈtændəm/  双座自行车；双人自行车

 IN ˈTANDEM (WITH SB/STH)：a thing that works or happens in tandem with sth else works together with it or happens at the same time as it 并行；并驾齐驱；同时实行

With yields on Treasuries still low, proponents of risk parity are on the lookout for other ways to hedge risk. Mr Dalio reckons that government borrowing undertaken to support the economy during the pandemic will stoke inflation, making bonds less attractive to hold. Mr Zervos argues that investment-grade corporate bonds, which offer a return that is around two percentage points higher than government bonds, could be a substitute. The search for a new way to outperform begins.

proponent n. /prəˈpəʊnənt/  ~ (of sth) ( formal ) a person who supports an idea or course of action 倡导者；支持者；拥护者

hedge /hedʒ/n. 树篱；防止损失的手段；模糊措辞；障碍；v. 用树篱笆围住；避免作正面答复；避免损失；限制

stoke v. /stəʊk/  

1.~ sth (up) (with sth) to add fuel to a fire, etc. 给…添加（燃料）

•to stoke up a fire with more coal 往火里再添一些煤

2.~ sth (up) to make people feel sth more strongly 煽动；激起

•to stoke up envy 激起妒忌

STOKE ˈUP (ON/WITH STH)：( informal ) to eat or drink a lot of sth, especially so that you do not feel hungry later 吃饱；吃好；喝足