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投资成功到底靠运气还是靠实力?

投资成功到底靠运气还是靠实力?

Lauren Silva Laughlin 2014年03月24日
“债券之王”格罗斯曾经一语双关地说:“理论上,每个人都能用一对骰子连续掷出12个7点”。但是,和曾经的股票之王比尔•米勒一样,如日中天的格罗斯创造了多年的辉煌业绩后,也遭遇了低谷。他能证明自己的成功绝不仅仅是靠运气吗?
    债券之王比尔•格罗斯(左)与股票大王比尔•米勒(右)

    太平洋投资管理公司(Pimco)的创始人、“债券之王”比尔•格罗斯曾经一语双关地说:“理论上,每个人都能用一对骰子连续掷出12个7点”。据《巴伦周刊》(Barron's )2003年初报道,他当时说这番话是因为顺便谈起了当时如日中天的股票大王、美盛集团(Legg Mason)的比尔•米勒。那时候比尔连续十二年跑赢了标准普尔指数(S&P)。

    这是这位令人敬畏的固定收益大师对运气和技巧之间关系的有力阐述。但客户们不免会问,是不是也可以把这话用在格罗斯自己头上呢。

    和米勒类似,格罗斯自己也在债券市场上连续多年领跑同行。但当市场不景气时,格罗斯的投资也会陷入困境。去年,对美国国债的一笔时机失当的投资就让太平洋投资管理的总回报基金(Total Return Fund)出现了损失。投资者为此撤回了400亿美元投资。而最近,有关他与前任首席执行官穆罕默德•埃利安之间内部不和的传闻也见诸报端,使得市场对格罗斯能否东山再起产生了怀疑。

    格罗斯并不是第一个把好手气和投资成功扯上关系的人。经济学家经常会用掷硬币这个比方来探讨全球那些最老谋深算的投资高手是否真的十分在行,或者他们只是因为投的次数不多才显得无往不胜。

    加州大学戴维斯分校(UC Davis)加拉格尔金融教授,同时也是“CalPERS(加州公共雇员养老基金,美国最大的公共养老基金——译注)可持续研究项目”(CalPERS Sustainable Research Initiative)联合首席研究员布莱德•巴布尔说:“实际上,目前评价某个投资经理这个问题不太考虑运气这一因素。”学者在看待掷硬币这个问题上,“总能理清头绪”。而如果将这一点用到对投资行为的评估上,“问题在于,这种业绩到底是超过还是不如你期望都是靠运气取得的。”他说,对那些手气好的投资者的深入研究表明,很难证明是技巧、而不是运气帮助他们取得了过人的业绩。

    巴布尔对这种几率的解释是:如果掷四次,出现四次正面朝上的几率是十六分之一。如果有2000支经营四年的共同基金,那么其中就有125支会凑巧“跑赢大市”(即1除以16再乘以2000)。而十年过后,就有两支会凑巧创下10年不败的记录(而截至去年底,全球一共有7500支共同基金)。

    有几项研究可以证明巴布尔的这一说法。芝加哥大学(the University of Chicago)2010年开展的一项深入统计分析发现,没几个基金经理拥有足够的技能,哪怕能把自己所花的成本给挣回来。2009年由包括波士顿大学(the University of Chicago)的司各特•斯图尔特在内的几位教授开展的一项研究发现,1984年到2007年期间,一些机构投资者由于决策失误导致客户损失了约1700亿美元。这项研究称:“和那些在不当时机转投其他共同基金的个人投资者很像,这些机构投资者似乎也没能从自己的投资决策中创造价值。”

    但是现任瑞士信贷(Credit Suisse)全球金融战略主管,曾任美盛集团(Legg Mason)战略分析师的迈克尔•莫布森则对此另有看法。他曾写过好几本书,试图阐释技巧和运气之间的差异——尤其是这种运气似乎总和少数几个超级明星经理形影不离。他的观点是,如果说无法刻意去输,那也就无法刻意地赢。一个更合适的类比是篮球或其他既需要技巧、也需要运气的运动项目。从统计上看,差劲的选手可以取得连胜(比如纽约尼克斯队的林书豪2012年的强劲表现),但许多选手的持续获胜则表明,技巧才是不可或缺的(比如费城76人队的光辉人物维尔特•张伯伦)。

    莫布森在自己的大作《你所不知道的秘密:非常之处探寻金融智慧》(More Than You Know: Finding Financial Wisdom in Unconventional Places)中写道:“我们只能希望格罗斯这位拥有辉煌业绩、精通赌博的大师那句话是被人曲解了,原话应该是:掷出12个7点的几率大约是22亿分之一。”

    就在格罗斯发出这番高论几年之后,米勒热得发烫的手气就开始变冷了。他一连15年都跑赢大市,但从2006年开始,他的业绩就大不如前了。2012年,他从自己掌管的主要基金中退了下来,在美盛集团出任了一个相对较低的职位。今年春天,他将和自己的儿子管理一支基金。而格罗斯呢?除了有一年业绩有所波动外,他仍是债券界的天王。只有时间能告诉我们,他的这种财运到底只是托运气的福,还是真正高超技巧的体现。(财富中文网)

    译者:清远

    Pimco's founder "The Bond King" Bill Gross once quipped that "anyone can theoretically roll 12 sevens in a row." According to Barron's in early 2003, he was talking in passing about the then-reigning ruler of stocks, Legg Mason's Bill Miller, who at the time had beaten the S&P for the previous dozen years.

    It was a powerful statement about luck vs. skill from the formidable fixed income guru. Clients might ask if they could apply the same words to Gross, too.

    Similar to Miller, Gross has outperformed his peers in the bond market for years. But as the market blinked, Gross's investments struggled. An ill-timed bet on U.S. Treasuries last year made the Pimco Total Return Fund post a loss. Investors pulled out some $40 billion. Most recently, some internal bickering with former CEO Mohamed El-Erian, aired in unseemly ways through press reports, has raised questions about Gross' ability to bounce back.

    Gross wouldn't be the first person to draw parallels between hot hand streaks and investment success. Economists often use a coin toss analogy to discuss whether the world's most sophisticated risk takers are actually good at their trade, or if they've simply played the game too few times to tell.

    "Essentially, the problem with assessing any individual manager is disentangling some luck," says Brad Barber, the Gallagher Professor of Finance at UC Davis and co-principal investigator for the CalPERS Sustainable Research Initiative. When academics look at coin tosses, "you'll always get streaks of tails or streaks of heads." When applying this to investing, "the question is whether this is more or less than you would expect by chance." Focus on the folks that have streaks, he said, and there is little evidence skill, rather than luck, helps them outperform.

    Barber explains the odds like this: With four tosses, the odds of four heads is one in 16. If there are 2,000 mutual funds with 4-year track records, then 125 funds would "beat the market" by chance (one divided by 16 multiplied by 2,000). After 10 years, about two out of 2,000 funds would have 10-year winning streaks by chance. (At the end of last year, there were over 7,500 mutual funds.)

    Several studies support Barber's assertions. An in-depth statistical analysis from the University of Chicago in 2010 found that few managers have enough skill to simply cover their costs. A 2009 study from several professors including Scott Stewart of BostonUniversity found that institutional investors lost some $170 billion for clients between 1984 and 2007 because of bad decisions. "Much like individual investors, who seem to switch mutual funds at the wrong time, institutional investors do not appear to create value from their investment decisions," the study said.

    Michael Mauboussin, former strategist for Legg Mason and current head of global financial strategies at Credit Suisse (CS), disagrees. Mauboussin has written several books trying to explain the difference between skill and luck -- particularly as it pertains to the few superstar managers. He says that if you can't lose on purpose, then you can't win on purpose either. A more appropriate comparison is basketball or other games that require both skill and luck. Poor players could statistically speaking experience winning streaks (think Jeremy Lin's performance in 2012 with the Knicks), but consistent streaks by a handful of performers suggest that skill is involved (Wilt Chamberlain).

    In his book More Than You Know: Finding Financial Wisdom in Unconventional Places, Mauboussin writes, "We can only hope that Gross, who has a great investment track record and familiarity with gambling, was misquoted: The odds of rolling twelve sevens in a row are approximately 1 in 2.2 billion."

    A few years after Gross' comments, Miller's hot hand went cold. He beat the market for 15 years, but starting in 2006, he grossly underperformed. In 2012, he stepped down from his main fund and took a lesser role at Legg Mason. This spring, he will start to manage a fund with his son. With only one shaky year, Gross still reigns in bonds. Only time will tell if his fortunes have been the product of a lucky streak or if they are representative of real skill.

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