当“选股大师”跑赢指数，运气or实力？| 经济学人财经

Finance & economics | Buttonwood

财经 | 梧桐树专栏

英文部分选自经济学人20230128财经版块

Finance & economics | Buttonwood

财经 | 梧桐树专栏

When professional stockpickers beat the algorithms

当“选股大师”击败bot

Just occasionally, their fees are worth it

砖家偶尔也专家

Last year’s plunging markets left few investors smiling. Stocks and bonds fell in tandem; haven assets failed to offer safe harbour. Doing well meant making single-figure percentage losses rather than double. It might, therefore, seem an odd time for fund managers to be walking with a spring in their step.

面对2022年一路狂跌的股市，没有几个投资者能笑得出来。股市和债市同步下挫，避险资产也未能幸免于难。能避免两位数的亏损就算上佳表现了。这样的行情之下，如果基金经理们还表现的春风得意，可能确乎有些奇怪。

But on January 23rd it emerged that Citadel, a secretive investment firm based in Miami, had generated $16bn in net profits for its clients in 2022, breaking the record for the largest annual gain in dollar terms. Its main hedge fund posted a 38% return—while msci’s broadest index of global stocks declined by 18%. Champagne corks were popping elsewhere, too. Strategas Securities, a brokerage and research firm, reckons that 62% of active fund managers investing in large American firms beat the s&p 500 index of such shares in 2022, the highest percentage since 2005.

然而，1月23日传来消息，总部位于迈阿密的行事低调的投资公司Citadel在2022年为客户创造了160亿美元净利润，打破年度最高盈利记录（以美元计）。Citadel主要对冲基金回报率高达38%，相较之下，MSCI旗下覆盖面最广的全球股票指数跌幅达18%。大开香槟的可不止Citadel：据股票经纪商兼研究公司Strategas Securities的估算，去年，投资标普500指数（覆盖美国主要上市公司）成分股的主动型基金中，有62%跑赢了大盘，这一比例为2005年以来最高。

Last year therefore snapped a miserable losing streak for stockpickers. Every year from 2010 to 2021, more than half of active managers who benchmarked their performance against the s&p 500 failed to beat it. In other words, the average fund manager was outclassed by a simple algorithm blindly buying every stock in the index. Such algorithms—known as “passive” or “index” funds—are taking over. By 2021 they held 43% of the assets managed by American investment companies, and owned a greater share of the country’s stockmarket than their actively managed counterparts.

由此，选股专家们在去年一举扭转多年颓势：2010至2021年间，每年都有一多半锚定标普500的主动型基金经理没能跑赢大盘。换句话说，主动型基金的平均回报率还不如无脑买入指数中所有股票的bot。这样的“bot”，也就是所谓的被动型或者指数型基金，正强势崛起。截至2021年，美国所有投资公司管理的资产中，约有43%通过这种方式持有；其在股票市场中占有的份额也大于主动型基金。

注释: losing streak [体育]连败场数、记录；连续亏损

The logic that drives passive funds is inescapable. By definition, the performance of an index is the average of those who own the underlying stocks. Beating an index is a zero-sum game. If one investor does, another must lose out. Active managers may spot a superstar stock that ends up leaving the rest in the dust. But it will also be in the index, so passive investors will buy it too. Meanwhile, active managers tend to charge fees that are orders of magnitude higher than passive ones: often 1-2% a year, and more for whizzy hedge funds, compared with as little as 0.03% for their algorithmic peers. This drag on performance makes it all but inevitable that index funds will outpace human money managers in the long run.

被动型基金的胜利是必然的。量化而言，一个指数的表现，是所有持有标的股票的投资者表现的平均值。这就注定了围绕指数展开的博弈是一场零和游戏：一个投资者跑赢，就必然有一个投资者跑输。主动型基金经理可能发现一只超级明星股票，令其他股票望尘莫及，但该股票仍然属于该指数，因此被动型投资者同样能买到这只股票。与此同时，与仅收取0.03%费用的bot相比，主动型基金收取的管理费要高出几个数量级：通常为每年1%到2%，新兴的对冲基金费用还要更高。长此以往，人类基金经理必然不敌指数基金bot。

So how did fund managers outperform in 2022? One possibility is sheer luck. Pick a group of stocks from an index at random, subtract a percentage point or two from their returns for fees, and occasionally you will have chosen shares that do well enough to beat the average.

那么，基金经理们又是如何在2022年一转攻势的呢？一种可能是，他们纯粹就是运气好。从一个指数中随机挑选一篮子股票，从收益中扣除一两个点的费用，偶尔跑赢大盘也不是什么难事。

A variation on this allows for some skill on the stockpicker’s part.At the start of 2022, Alphabet, Amazon, Apple, Microsoft and Tesla accounted for nearly a quarter of the total market capitalisation of the s&p 500. Their collective value dropped by 38% over the year; that of the rest of the index dropped by just 15%. So concentrated was the index that a single good judgment—thinking the shares of America’s tech giants were frothy and to be avoided—would have left a stockpicker with a decent chance of beating the market.

新近的变化给了选股大师们施展本领的空间。2022年初，Alphabet、亚马逊、苹果、微软和特斯拉占标普500指数总市值的近四分之一。一年中，五家公司的总市值缩水了38%，而同期标普500指数的其余成分股仅下跌了15%。标普500指数是如此集中，以至于选股师只消做出一个正确的判断——认定美国科技巨头存在泡沫，应敬而远之——就有相当大的机会跑赢大盘。

注释：Alphabet：谷歌母公司，采取控股公司结构，把旗下搜索、YouTube、其它网络子公司与研发投资部门分离开来。

Broadening out this tech queasiness to a more general worry about stock valuations would have given stockpickers a second chance to outperform. Quibbling about such things went out of fashion during the years of cheap money that followed the global financial crisis of 2007-09 and then covid-19. Share prices soared toeye-watering multiples of the underlying companies’ earnings or assets, then kept climbing. Those who took that as a signal to shun them, in anticipation of a correction, lost out. Passive funds that indiscriminately bought everything, including stocks which seemed overpriced, prospered. But in 2022 rising interest rates brought the trend to an abrupt halt. Investors who had hunted for stocks that were cheap relative to their fundamentals were at last rewarded.

如果基金经理们能更进一步，对股票估值忧心忡忡，他们就有了第二个逆袭的机会。2007-09年金融危机以及新冠疫情之后的廉价资金时代，在估值问题上吹毛求疵就成了时代的逆流。股价飙升到标的公司营收或资产的不知多少倍，但仍继续上升。把这一点当做危险信号并预期回调的投资者遭受损失，不加拣选买入所有股票（包括那些似乎估值过高的股票）的被动基金却大赚特赚。但2022年里高涨的利率刹住了这股“不正之风”，选择买入价格低于基本面的股票的投资者最终获得了回报。

注释：

1. Queasiness n.恶心

eg: The queasiness at breakfast had not left her.

早饭还是让她感到要吐。

2. Quibble v.诡辩，纠结，挑剔

Eg: As defined, it is hard to quibble with.

按照规定，它是很难被挑毛病的。

For firms like Citadel, a final chance to prove their worth came from plummeting share and bond prices. Market crashes and an uncertain economic backdrop are the raison d’être for hedge funds with a mandate to invest in any asset class they wish. Stockmarket indices that are falling by double digits are a lot easier to beat if you aren’t obliged to buy stocks, as are the funds which track the market. And for the most nimble managers, last year’s crises looked like opportunities. As a convulsing sovereign-debt market forced British pension funds into fire-sales in September, Apollo, a private-investment firm, started snapping up assets to book a quick profit. Index funds are not going away, and nor should they. But just occasionally, active managers are worth their fees.

对于Citadel这样的公司而言，最后一个证明自己价值的机会来自于双杀的股债市场。市场崩溃和不确定的经济背景就是对冲基金存在的理由，是他们买入任何中意资产的尚方宝剑。如果你不像指数基金那样必须买入所有股票，而是还拥有选择股票的自由，那么跑赢跌幅达两位数的股票指数就容易多了。对于最机敏的经理来说，去年的危机更像是机遇。9月，混乱的主权债务市场迫使英国养老基金大甩大卖之时，，私人投资机构阿波罗（Apollo）大肆抢购资产，挣到一笔快钱。指数基金不会消失，也不应该消失。但有那么些时候，主动型基金经理也物有所值。

注释：

1. Plummet v. 直线下跌，暴跌，坠落

Eg: Everyone expects Broadway's box office to plummet in September.

大家都预料到9月百老汇的票房会大幅下跌。

2. raison d’être 法语：reason for being，存在的目的或理由

3. nimble adj. 灵活的，（头脑）敏捷的

eg: She was extremely nimble on her feet.

她的双脚特别灵活。

4. convulsing v.（使）痉挛（或抽筋）（convulse 的现在分词）