随机漫步的傻瓜

Fooled by Randomness

纳西姆·塔勒布 · Nassim Nicholas Taleb · 2001

风险风险·肥尾与不确定性S1 · E04 · 第 4 集难度 ●●○○○320 页通读约 8 小时P11

同样一年赚 15%，每年看一次是 93% 的胜率，每秒看一次是 50.02%。Same 15% a year: checked yearly it is a 93% win rate, checked every second it is 50.02%.

本集角度 · 你赚的钱里，有多少只是运气

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ABOUT这本书

2001 年初版，塔勒布当时是在华尔街做了十八年期权的交易员，管着自己的基金 Empirica。全书围着一个问题打转：你的成绩里多少是本事，多少是运气。他用一把六发左轮讲「另类历史」，赢一千万的轮盘赢家和赢一千万的牙医账面一样、命不一样；用一个在阁楼里看盘的牙医讲观察频率，同一套策略按年看 93% 是赢的，按秒看只剩 50.02%；用无数只打字的猴子讲幸存者偏差，有一只打出了《伊利亚特》，你敢押它下一本是《奥德赛》吗。《黑天鹅》从这里长出来。

First published in 2001, when Taleb was an option trader with eighteen years on Wall Street running his own fund, Empirica. The book circles one question: how much of your record is skill and how much is luck. A six-chamber revolver explains alternative histories, where $10 million from Russian roulette and $10 million from dentistry look identical on a statement but are not. A dentist trading from his attic explains observation frequency: the same strategy wins 93% of years and 50.02% of seconds. A roomful of typing monkeys explains survivorship bias: one types the Iliad, so would you bet your savings on the Odyssey next? The Black Swan and Antifragile both grew out of this book.

POINTS要点

小成功靠本事和苦干，大成功靠方差，账面上一样的一千万，来路不一样Mild success is skill and labour; wild success is variance. Two identical $10 million balances can have very different origins
同一套策略，按年看 93% 赢，按秒看 50.02%，你盯盘看到的是方差，不是收益The same strategy wins 93% of years and 50.02% of seconds. What you see on the screen intraday is variance, not return
无数只猴子里总有一只打出《伊利亚特》，问的是有多少只猴子，不是这只多厉害Among enough monkeys one types the Iliad. The question is how many monkeys, not how good this one is
长期平稳的高息资产在攒一次爆炸，比索、卢布、日元 carry，换币种不换剧本Calm high-yielders are saving up one blowup: peso, ruble, yen carry. The currency changes, the script does not

EXCERPTS原文摘句 · 5 条

尼禄相信，懂风险的勤奋加纪律，能让一个人以很高的概率过上舒服的日子。再往上，全是随机：要么冒了巨大（而且自己不知道）的风险，要么运气特别好。小成功可以用本事和苦干解释，大成功归因于方差。

Nero believes that risk-conscious hard work and discipline can lead someone to achieve a comfortable life with a very high probability. Beyond that, it is all randomness: either by taking enormous (and unconscious) risks, or by being extraordinarily lucky. Mild success can be explainable by skills and labor. Wild success is attributable to variance.

Ch.1 · 印刷页 p.12 · PDF p.56

全书立论最短的一句，小成靠本事，大成靠方差

靠俄罗斯轮盘赢来的一千万美元，和靠勤勉精湛的牙医手艺赚来的一千万美元，价值不一样。钱是一样的钱，买得起一样的东西，只是一个比另一个更依赖随机。

$10 million earned through Russian roulette does not have the same value as $10 million earned through the diligent and artful practice of dentistry. They are the same, can buy the same goods, except that one's dependence on randomness is greater than the other.

Ch.2 · 印刷页 p.24 · PDF p.68

另类历史的核心比喻，赢家不等于好玩家

年化 15% 的收益配 10% 的波动率，换算下来任意一年赢的概率是 93%。可是把时间尺度缩到很窄，任意一秒赢的概率只有 50.02%。

A 15% return with a 10% volatility (or uncertainty) per annum translates into a 93% probability of success in any given year. But seen at a narrow time scale, this translates into a mere 50.02% probability of success over any given second

Ch.3 · 印刷页 p.65 · PDF p.109

牙医那张表，看盘越勤，越被噪音耍

在很短的时间片里，你看到的是组合的波动，不是收益。也就是说，你看到的是方差，别的几乎没有。

Over a short time increment, one observes the variability of the portfolio, not the returns. In other words, one sees the variance, little else.

Ch.3 · 印刷页 p.67 · PDF p.111

盘中 P&L 闪动的学名

想象一只猴子带着漂亮的历史业绩来敲你的门。嘿，他可写过《伊利亚特》。

Think about the monkey showing up at your door with his impressive past performance. Hey, he wrote the Iliad.

Part II 开篇 · 印刷页 p.135 · PDF p.177

幸存者偏差写得最好笑的一句

GODZILLA哥斯拉怎么读

从东京的利率台子上看

第三章那张表值得贴在台子边上，年 93%、月 67%、天 54%、秒 50.02%，管一本 DV01 上百万美元的 JGB 账，每跳一个 bp 就是一百万在闪，不看那张表，人就跟着它闪。第六章比索问题对做利率的人最亲切，稳定的高息货币吸引一批人，炸掉一批人，再换一批没记忆的人进来，1998 年有人跟他说我们不碰比索只做卢布，几个月后爆掉。今年日元 carry 又满员了。塔勒布脾气大，三分之一篇幅在骂记者和 MBA，跳过。我们这行谁都有过连着几个月顺风、觉得自己开悟的阶段，猴子那章就是给那个阶段读的，读到一半多半会认出来，谁都可能是那只打出《伊利亚特》的。

The table in chapter three belongs taped to the desk: 93% yearly, 67% monthly, 54% daily, 50.02% by the second. On a JGB book with a DV01 above a million dollars, every basis point flashes a million on the screen; without that table you flash with it. The peso passage in chapter six is written for rates traders: a calm high-yielder draws a crowd, the crowd blows up, a new crowd arrives with no memory. Yen carry is crowded again this year. Taleb's flaw is temper; a third of the book abuses journalists and MBAs, skip it. Everyone in this trade has had a run of good months and felt enlightened. The monkey chapter is written for that stretch; halfway through, most recognize the one that typed the Iliad.

FOR适合谁

刚连赢一两年、开始觉得自己有天赋的人，现在读。还没赚过钱的人读了会太早悲观，先赢几把再来挨这盆冷水。

Read it now if you have had one or two winning years and are starting to feel gifted. Those who have never made money will come away too gloomy; win a few first, then take the cold shower.