Safe Haven. Mark Spitznagel

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СКАЧАТЬ nothing else, a real‐life case study and out‐of‐sample test that unequivocally proves the point that risk mitigation doesn't have to be viewed that way. Risk mitigation can and should be thought of as being additive to portfolios over time—with the right risk mitigation, that is. This is the mark that I want Universa to make in the markets.

      Writing this book has been a labor of love, though it has had a difficult time competing for my attention, which is consumed by Universa. But the book has provided very important opportunities for introspection. It has also made me think more deeply about questions that I am always asked by people about what small “lay” investors can do to protect their portfolios.

As this book is, in part, a response to those questions, I do want to ensure that expectations are set appropriately at the start. This is not a “how‐to” book, but it is a “why‐to” as well as a “why‐not‐to” book. Let's be clear: What I do specifically as a safe haven investor is not to be attempted by nonprofessionals (nor—perhaps even especially—by most professionals). Nothing that I could tell you in a book will change that.

      So, I will not be holding your hand and teaching you how to do it; I will not be revealing much in the way of trade secrets, and I have no interest in selling you anything as an investment manager. This book is not about the workings of a specific safe haven strategy, per se; nor is it an encyclopedic survey of all the major safe haven investments. Moreover, it has little if any current market commentary—as this would be entirely unnecessary to the book's point.

      That said, there are big investing problems to be solved, and I do explicitly employ at Universa their conclusive solution that will be found over the course of this book. Surely, that's a good thing. After all, if it's such a great solution, wouldn't it be a big red flag if I didn't put it into practice?

      My intention in this book is to present the basic concepts underlying my approach in a straightforward manner. One‐eighth of the iceberg is above water, and that's all we need. (While I am forced into the mathematical weeds at times, believe me, I tried my best to stay out of them.) I offer a logical and practical analytical framework to demystify safe havens, for viewing and thinking about their value in mitigating systematic risk, and what that even means in the first place. That is to say, I offer a framework for rigorously testing hypotheses about safe havens and their very existence.

      If the only things readers get out of this book are a more realistic and rational premise of safe haven investing and a foundation from which to assess and tackle it—and thus avoid its traps—then the book will have achieved its purpose. It should help the reader and pay back their expense of buying this book manyfold. You will make money investing and you will lose money investing, but, when you look back at it all, what really will have mattered is getting that foundation right.

Investing is a deceptive, uneven playing field for many reasons, and I aim to help level it out a little. (To show you the honor of my intentions, I pledge all of my proceeds from the sales of this book to charity.)

PROBING BETS

      This book is the result of a discovery process and problem‐solving effort that began many years ago. I grew up a scrappy, poor kid in the Chicago commodities trading pits, back when they were the center of the financial universe. As a mere teenager, I learned from my mentor, Everett Klipp (“the Babe Ruth of the Chicago Board of Trade”), who told me over and over that “a small loss is a good loss,” and that risk mitigation and survival are everything in trading and investing. His words still ring true today: Take care of the losses; the profits will then take care of themselves. Profits matter only relative to the losses; stay in the game by protecting your capital base, your means of playing the game. Don't predict.

      Pretty obvious stuff, except people don't really focus on losses, especially the potential for big ones. In all my experience, most investors don't think about the impact of the downside the way they need to; they just don't.

For me, it began with hands‐on, trial‐and‐error experiments in my twenties as a “local” (or independent) trader in the bond pit in Chicago. (I earned much of my stake in college by writing and then selling the first portfolio management handheld computer program on the trading floor.) It continued in my thirties as a bank proprietary and hedge fund derivatives trader in New York, and even a bit in the hallowed halls of New York University's Courant Institute of Mathematical Sciences. I hashed it out in endless discussion‐walks through the streets of Manhattan with Nassim Nicholas Taleb, in the days when we started the very first formal tail hedging program, and he would later become Scientific Advisor at Universa. These ideas were the point of every conversation during countless, reckless longboard skateboard cruises up and down the treacherous hills and dales of Central Park with Brandon Yarckin as we plotted the launch of Universa, where he would become COO. (I still blame Brandon for my separated shoulder.)

      And it goes without saying that I have not made these observations from scratch. I owe an enormous gratitude to the explorers who plumbed the depths (“the triad”).

      These were the formative years of probing bets, of bold conjectures and refutations, and finding answers to how things worked through success and failure—of a bloody war against luck. The conclusion was my decision to start Universa in 2007, where we have taken our discoveries and solutions and transformed them into a formal, rational, and practical investment approach that solves the big problems and moves the needle for my investment partners.

      By opening this book and, I would hope, opening your mind to the ideas it contains, you will have the opportunity to change your perceptions about investing and risk mitigation. These pages will present a fundamentally different, unconventional perspective that I firmly believe is the most effective one for successful investing. It opposes so much of what is hailed as gospel within the collective that is the investment profession. So, we need to think objectively about the orthodoxy and dead‐end dogma of modern finance. We need to be the uncarved block.

      To be sure, I have no interest in changing the existing investing paradigm by making it obsolete. I'm no pied piper, and I harbor no delusions of grandeur that the message of this book will ever become “the new gospel according to Mark.” I do not expect for one moment that my approach will ever become another cookie‐cutter, rubber‐stamped strategy of the investment consultant herd. And that's important. Becoming conventional is self‐defeating in this business. It's the kiss of death. We take the road less traveled by, and that has made all the difference.

I have often exclaimed to my team at Universa, plundering the words of Steve Jobs, “We are pirates! Not the Navy!” (Mine are the smartest, savviest, and most experienced Great Pirates in the derivatives world.)

WHAT'S A SAFE HAVEN?

      Everyone has some intuitive understanding about what a safe haven is and why we would invest in one. Most likely, it would go something like “a place of refuge for when things go bad” or, more specifically, “an asset that provides safety from risk.” These are spot on. The term risk would likely mean scary things like stock market crashes, financial and banking crises, pandemics, monsters hiding under the bed, and so forth. Risk, then, is circularly defined as that equivocal thing we need safety from.

      Plain and simple, risk is exposure to bad contingencies. Most of these bad contingencies will likely never happen, but they can happen. In investing, the bad contingencies have financial consequences of economic loss within a portfolio. Investment risk isn't just some theoretical and spurious numerical value, like volatility or correlation or whatever. It is the potential for loss, and the scope of that loss. Nothing else.

      We have many diverging roads ahead, many potential paths forward with so many twists and turns, more than we can ever count. Some of those potential paths will be СКАЧАТЬ