资本理念再探——第二部分：关于战胜大体有效的股票市场的思考 · 迈克尔·莫布森

美盛资本管理公司 2005 年 5 月 20 日内部资料

Legg Mason Capital May 20, 2005 Management

资本理念再探讨——第二部分迈克尔·J·莫布森关于如何击败一个基本有效的股票市场的思考莫布森

Capital Ideas Revisited—Part 2 Michael J. Mauboussin Thoughts on Beating a Mostly-Efficient Stock Market Mauboussin

• 有效市场的悖论在于，每当研究人员发现有意义的市场异象，从业者就会去利用它们，从而消除这些异象，让市场变得比以往更加有效。

• The paradox of efficient markets says whenever researchers find meaningful anomalies, practitioners exploit them, thus eliminating them and leaving the market even more efficient than before.

• 信息有效的市场极不可能出现，因为挖掘信息成本高昂，投资者需要预期获得一定回报来补偿他们的努力。

• Informationally efficient markets are highly unlikely because unearthing information is costly and investors expect some benefit to compensate them for their efforts.

• 如果噪声创造出一套与长期信号不一致的预期，就存在时间套利的机会。

• If noise creates a set of expectations that are inconsistent with the long-term signal, there’s an opportunity for time arbitrage.

• 传播缓慢的理念，是长期投资者实现超额回报的最佳赌注。

• Slow traveling ideas are a long-term investor’s best bet for delivering superior results.

Introduction

在本系列的第一部分（《资本理念再探讨：首要指令、鲨鱼与群体的智慧》，2005 年 3 月 30 日）中，我们提出主动型投资者需要仔细思考市场有效性。我们认为了解市场如何以及为何有效或无效，对于为有思想的投资者提供通往卓越业绩的路线图至关重要。

In the first part of this essay (Capital Ideas Revisited: The Prime Directive, Sharks, and the Wisdom of Crowds, March 30, 2005) we argue that active investors need to carefully consider market efficiency. We view understanding how and why markets are efficient, or inefficient, essential to providing thoughtful investors with a roadmap to superior results.

标准理论提供了三种解释市场有效性的方法：理性代理人、独立误差的异质投资者，以及无套利假设。我们认为，最常用的两个论点——理性代理人和无套利假设——其假设并不现实，而且更重要的是，它们给出的预测与实证事实不符。

Standard theory offers three approaches to explain market efficiency: rational agents, heterogeneous investors with independent errors, and the no-arbitrage assumption. We claim that the two most widely used arguments, rational agents and no-arbitrage, don’t have realistic assumptions and—more importantly—offer predictions that do not comport with the empirical facts.

我们提出应将市场视为一个复杂适应系统，其中有效的价格产生于异质投资者的互动。这种方法不依赖于代理人的理性，并能提供与实证记录高度吻合的典型化预测。然而，群体的智慧方法仅在特定条件下才奏效；当市场违反这些条件时，所有关于有效性的赌注都失效了。

We make the case for viewing markets as a complex adaptive system, where efficient prices emerge from the interaction of heterogeneous investors. This approach doesn’t rely on agent rationality and offers stylized predictions that fit well with the empirical record. The wisdom of crowds approach, however, only works under certain conditions; all efficiency bets are off when markets violate those conditions.

我们提供了一系列集体解决问题的例子，包括社会性昆虫、实验经济学和决策市场。我们不能将这些结果外推，断言股票市场是有效的——状态估计和预测问题要简单得多，因为它们有可衡量的结果和有限的时间范围——但这些例子的确证明了集体的能力。

We provide a slew of collective problem-solving examples, including social insects, experimental economics, and decision markets. We can’t extrapolate these results to assert stock market efficiency— state-estimation and prediction problems are a good deal simpler because they have measurable outcomes and finite time horizons—but they do provide evidence for the prowess of collectives.

行为金融学在投资者异质性中也扮演着核心角色。虽然研究人员经常关注个体如何做出非最优行为（丹尼尔·卡尼曼和阿莫斯·特沃斯基，1979），但我们认为只有对集体层面的分析才能揭示非有效性。即使投资者以相同的方式偏离理性（例如过度自信），他们仍然可能独立地犯错。

Behavioral finance also plays a central role in investor heterogeneity. While researchers often dwell on how individuals behave sub-optimally (Daniel Kahneman and Amos Tversky, 1979), we argue that only analysis at the collective level can unearth inefficiencies. Even if investors deviate from rationality in the same way (e.g., overconfident) they still may err independently.

第一篇论文还考察了市场的统计特性，指出市场偏离了正态钟形价格变化分布的假设，并且价格经常表现出记忆效应。这两点观察都与最基本的市场理论相违背。

The first essay also examined the statistical properties of markets, noting that markets deviate from the assumption of normal, bell-shaped price change distributions and prices often exhibit a memory effect. Both observations violate the most basic market theory.

市场为何会失效？最简单的原因是，投资者的异质性瓦解，所有人都步调一致地行动，导致了过度的乐观（贪婪）或悲观（恐惧）。社会心理学告诉我们，我们喜欢相互模仿，并且通常更看重成为群体一员，而不是相信自己的观察。这种多样性的崩溃，尽管罕见，却为投资者提供了赚取超额回报率的重大机会。

Why do markets fail? Most simply, investor heterogeneity breaks down and everyone acts in unison, leading to excessive optimism (greed) or pessimism (fear). Social psychology teaches us that we like to imitate one another, and we often place greater weight on being part of the group than on our own observations. These diversity breakdowns, albeit rare, provide investors with significant opportunities to earn excess rates of return.

我们讨论的最重要结论是，市场在很大程度上是有效的，但其原因与标准理论所主张的不同。是多样化投资者的互动，而非少数理性人或多数理性人，导致了价格合理反映预期。然而，无论价格是如何形成的，一个关键问题依然存在：你如何战胜市场？

The foremost conclusion from our discussion is that markets are largely efficient, but for different reasons than the standard theory argues. The interaction of diverse investors, not a rational few or many, leads to prices that reasonably reflect expectations. No matter how we arrive at prices, though, a key question remains: How do you beat the market?

以下是我们将涵盖的领域：

Here are the areas we cover:

• 我们从合乎逻辑的地方开始——快速回顾关于市场异象的文献。异象是那些似乎与有效市场假说核心原则相矛盾的实证发现。

• We start in a logical place—a quick review of the literature on market anomalies. Anomalies are empirical findings that appear to contradict the core principles of the efficient market hypothesis.

自然，关键问题是这些偏离是否足够显著和稳定，以便投资者能够从中获利。

Naturally, the critical question is whether or not these deviations are sufficiently significant and stable for investors to profit from them.

• 接着我们审视信息有效性，它基本上认为当前价格反映了所有相关信息。当然，投资者不能相信市场是完美信息有效的；否则他们就没有动力去收集信息。然而，许多投资者将他们的投资决策委托给代理人。由于代理人与投资者的目标并不总是一致，许多专业投资者只是被付钱来参与这场游戏。这个代理问题最严重的后果可能是投资时间视野的缩短。当短期噪声创造出一套与长期信号不一致的预期时，就产生了时间套利的机会。

• We then look at informational efficiency, which basically suggests that today’s prices reflect all relevant information. Of course, investors can’t believe markets are perfectly informationally efficient; otherwise they would have no incentive to collect information. Many investors, however, delegate their investment decisions to agents. Because the goals of the agents and investors are not always aligned, many professional investors get paid to simply take part in the game. Perhaps the most egregious result of this agency problem is shrinking investment time horizons. When short-term noise creates a set of expectations inconsistent with the long-term signal, an opportunity for time arbitrage arises.

• 接下来，我们审视剧烈的多样性崩溃，其中正反馈导致繁荣与崩溃。在这里，崩溃源于模仿行为。我们考虑这些崩溃的一些标志性特征。

• Next, we look at dramatic diversity breakdowns, where positive feedback causes booms and crashes. Here, the breakdown stems from imitative behavior. We consider some of the signatures of these breakdowns.

• 最后，我们转向一种更微妙的多样性崩溃形式——杰克·特雷诺（1975）所说的“传播缓慢”的投资理念。这些理念需要反思和判断，而由于激励导致的偏见，许多投资者并不进行这样的思考。

• Finally, we turn to a more subtle form of diversity breakdown, investment ideas that Jack Treynor (1975) says, “travel slowly.” These ideas require reflection and judgment, which many investors do not exercise because of incentive-caused biases.

Anomalies

这些[研究]发现提出了一种可能性，即市场异象可能比现实看起来更明显。与发现非寻常证据相关的知名度，诱使作者进一步调查令人费解的异象，然后试图解释它们。但即使这些异象存在于它们最初被识别的样本期内，从业者实施策略以利用异象行为的行为，也可能导致异象消失（因为研究结果使市场变得更为有效）。

These [research] findings raise the possibility that anomalies are more apparent than real. The notoriety associated with the findings of unusual evidence tempts authors to further investigate puzzling anomalies and later try to explain them. But even if the anomalies existed in the sample period in which they were first identified, the activities of practitioners who implement strategies to take advantage of anomalous behavior can cause the anomalies to disappear (as research findings cause the market to become more efficient).

G·威廉·施沃特，《异象与市场有效性》1

G. William Schwert Anomalies and Market Efficiency 1

使用“异象”一词——偏离正常秩序——来描述市场行为，本身就隐含了对市场“正常”状态的一种假设。在金融学中，异象是指与有效市场假说预测不符的市场行为。具体来说，这些异象似乎违反了均值-方差有效性或无套利假设。如果一种复杂适应系统方法能更好地描述市场，那么研究人员已经识别的所谓异象可能根本就不是异常现象。

Using the word anomaly—deviation from the normal order—to describe market behavior embeds an assumption about what is “normal” for the market. In finance, anomalies are market behavior inconsistent with the predictions of the efficient market hypothesis. In particular, these anomalies appear to violate assumptions of mean-variance efficiency or no-arbitrage. If a complex adaptive system approach better describes markets, the so-called anomalies researchers have identified may not be anomalous after all.

尽管关于异象的文献卷帙浩繁，但主要发现往往归入以下四个领域之一：

Despite voluminous literature on anomalies, the major findings tend to fall into one of four areas:

1. 日历效应。唐纳德·凯姆（1983）和马克·雷恩格纳姆（1983）表明，小市值股票在 1 月份往往表现优于资本资产定价模型（CAPM）的预测。

1. Calendar effects. Donald Keim (1983) and Marc Reinganum (1983) showed that small capitalization stocks tend to do better in January than the capital asset pricing model’s (CAPM) prediction.

2. 规模效应。罗尔夫·班兹（1981）和雷恩格纳姆（1981）发现，小公司产生的回报高于 CAPM 所对应的水平。

2. Size effects. Rolf Banz (1981) and Reinganum (1981) found that small companies generate higher returns than what is consistent with the CAPM.

3. 价值效应。大约在研究人员识别出规模效应的同时，桑乔伊·巴苏（1977 和 1983）确立了低市盈率公司的回报高于 CAPM 预期。尤金·法玛和肯尼斯·弗伦奇（1992）扩展了这一思路，认为规模和价值效应是 CAPM 未能捕捉到的风险因素。

3. Value effects. Around the same time researchers identified size effects, Sanjoy Basu (1977 and 1983) established that companies with low price-earnings generate higher-than-expected returns relative to the CAPM. Eugene Fama and Kenneth French (1992) extended the thinking, arguing that size and value effects are risk factors the CAPM does not capture.

4. 动量效应。维尔纳·德邦特和理查德·塞勒（1985）发现，过去股价表现差的股票，其平均回报高于过去表现好的股票；投资者对坏消息反应过度，为逆向投资者创造了机会。2 纳拉辛汉·杰加迪什和谢里丹·蒂特曼（1993）提出了矛盾的研究，显示近期股价赢家的表现优于近期输家。

4. Momentum effects. Werner DeBondt and Richard Thaler (1985) found that past stock price losers have higher average returns than past winners; investors overreact to bad news, creating an opportunity for the contrarian. 2 Narasimhan Jegadeesh and Sheridan Titman (1993) presented contradictory research showing that recent stock price winners outpace recent losers.

在考虑了交易成本和流动性问题等实际约束之后，许多表面上的异象无法带来超额回报。最终，由于有效市场的悖论，从异象中获益是困难的：每当研究人员发现有意义的市场异象，从业者立即试图去利用它们，从而消除了异象，使市场变得比以往更加有效。与其他一些概率性领域不同，当你在市场中根据预测采取行动时，你实际上可能改变你的预测结果。

Many apparent anomalies can’t deliver excess returns after considering practical constraints like transaction costs and liquidity issues. Ultimately, benefiting from anomalies is difficult because of the paradox of efficient markets: whenever researchers find meaningful anomalies, practitioners immediately try to exploit them, thus eliminating the anomalies and leaving the market even more efficient than before. Unlike some other probabilistic fields, when you act on your predictions in markets you can actually change the outcomes of your predictions.

关于技术交易规则的两项研究为有效市场悖论提供了一个例子。在第一篇论文中，威廉·布洛克、约瑟夫·拉科尼肖克和布莱克·勒巴伦（1992）表明，将某些简单的技术规则应用于道琼斯工业平均指数 100 年的每日数据，所产生的回报优于适当的基准。（这个结论违反了市场有效性的弱式。）在一篇后续论文中，瑞安·沙利文、艾伦·蒂默曼和哈尔伯特·怀特（1997）测试了这些发现，并发现“在随后的 10 年样本外期间，最佳的技术交易规则在交易时并未提供优越的业绩。” 3 换句话说，最佳的交易规则一直有效，直到教授们发表他们的研究成果。

A pair of studies on technical trading rules provides one example of the efficient markets paradox. In the first paper, William Brock, Josef Lakonishok and Blake LeBaron (1992) showed that certain simple technical rules, applied to 100 years of daily data for the Dow Jones Industrial Average, generated returns that outperformed appropriate benchmarks. (This conclusion violates the weak form of market efficiency.) In a follow up paper, Ryan Sullivan, Allan Timmerman and Halbert White (1997) tested the findings, and discovered “that the best technical trading rule does not provide superior performance when used to trade in the subsequent 10-year post-sample period.” 3 In other words, the best trading rule worked until the professors published their findings.

在他对异象的详细调查中，威廉·施沃特（2003）追踪了两只专门为利用规模效应和价值效应而创建的基金的表现。它们取得的成功有限。施沃特指出，“小公司异象在最初发现它的论文发表之后已经消失了”，并补充说，“当初促使基金创建的明显的[价值]异象似乎已经消失，或者至少减弱了。” 4 再一次，从业者用来利用该异象的策略失败了。

In his detailed survey of anomalies, William Schwert (2003) tracked the performance of two funds explicitly created to exploit size and value effects. They met limited success. Schwert noted, “the small-firm anomaly has disappeared since the initial publication of the papers that discovered it,” and added, “the apparent [value] anomaly that motivated the fund’s creation seems to have disappeared, or at least attenuated.” 4 Once again, the strategy practitioners used to capitalize on the anomaly failed.

理查德·罗尔，一位领先的金融研究人员和资金管理者，是判断异象价值的最佳人选之一。他的观点毫不含糊：

Richard Roll, a leading finance researcher and money manager, is one of the best-positioned individuals to judge the merit of anomalies. His view is unambiguous:

我曾亲自尝试用钱——客户的和我自己的——投资于学术界提出的每一个异象和预测结果。这包括德邦特和塞勒的策略（即，在个股一日上涨超过 5% 后立即卖空），以及相反的德邦特和塞勒策略，即杰加迪什和蒂特曼的策略（在个股下跌 5% 后买入），等等。我曾试图利用所谓的年终异象以及学术研究据称记录的各种策略。然而，在这些所谓的市场非有效性上，我还没赚到过一分钱。（着重号为原文所加。）

I have personally tried to invest money, my client’s and my own, in every single anomaly and predictive result that academics have dreamed up. That includes the strategy of DeBondt and Thaler (that is, sell short individual stocks immediately after one-day increases of more than 5%), the reverse of DeBondt and Thaler which is Jegadeesh and Titman (buy individual stocks after they have decreased by 5%), etc. I have attempted to exploit the so-called year-end anomalies and a whole variety of strategies supposedly documented by academic research. And I have yet to make a nickel on any of these supposed market inefficiencies. (Emphasis original.)

罗尔接着强调找到系统性机会的重要性。他也向复杂适应系统方法表示了赞同：

Roll goes on to underscore the importance of finding systematic opportunities. He also offers a nod to the complex adaptive systems approach:

……真正的市场非有效性应该是一个可被利用的机会。如果没有什么东西是投资者能够一次接一次地、系统性地利用的，那么就很难说信息没有被适当地纳入股票价格中。事实上，信息是通过数百万评估该信息的人的过滤器被纳入价格的。（着重号为原文所加。）

. . . A true market inefficiency ought to be an exploitable opportunity. If there’s nothing investors can exploit in a systematic way, time in and time out, then it’s very hard to say that information is not being properly incorporated into stock prices. In fact, information is being incorporated into the price through the filters of the millions of people evaluating that information. (Emphasis original.)

他以一个明确的判决作为结尾：

He ends with a clear-cut verdict:

真金白银的投资策略并没有产生学术论文所说的结果。5

Real money investment strategies don’t produce the results that academic papers say they should.5

自然，市场是不断演化的。这意味着异象会来去匆匆，而追逐利用异象的行为将继续下去。如果存在持续一致的异象，它们很可能植根于心理学（也许还有多样性崩溃的证据）。从业者很可能会迅速通过竞争消除任何可以通过算法来利用的异象。

Naturally, markets evolve. This suggests that anomalies will come and go, and the chase to exploit anomalies will continue. Consistent anomalies, should they exist, likely find root in psychology (and perhaps evidence of a diversity breakdown). Practitioners are likely to quickly compete away any anomaly that can be exploited with an algorithm.

尽管有罗尔的评论，但一些投资公司——最著名的是 LSV 资产管理公司和富勒-塞勒资产管理公司——在采用基于行为金融学的投资流程方面取得了成功。这些结果为施沃特发现的基金业绩不佳提供了平衡。

Notwithstanding Roll’s comments some investment firms—most notably LSV Asset Management and Fuller & Thaler Asset Management—have enjoyed success employing behavioral-finance-based investment processes. These results add balance to the poor fund performance Schwert found.

Informational Efficiency

当一个价格系统是信息的完美聚合器时，它就消除了收集信息的私人动机。如果信息是有成本的，那么价格系统中必须存在噪声，以便交易者能够从信息收集中获得回报……当许多人试图从信息收集中获得回报时，均衡价格会受到影响，并且它完美地聚合了信息。这为个人停止收集信息提供了激励。

When a price system is a perfect aggregator of information it removes private incentives to collect information. If information is costly, there must be noise in the price system so that traders can earn a return on information gathering . . . When many individuals attempt to earn a return on information collection, the equilibrium price is affected and it perfectly aggregates information. This provides an incentive for individuals to stop collecting information.

桑福德·格罗斯曼，《关于交易者拥有不同信息的竞争性股票市场的有效性》6

Sanford Grossman On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information 6

当学者们讨论有效市场时，他们几乎总是指信息效率——即今天的股价已完全反映所有相关信息的理念。在这样的市场中，投资者无法利用可用信息获得超过风险调整后的超额回报。长期来看，能够创造出超越市场回报率的投资经理寥寥无几，这一事实也支持了这种观点。

When academics discuss efficient markets, they almost always mean informational efficiency—the idea that today’s stock prices fully reflect all relevant information. In such a market, investors cannot use available information to earn excess risk-adjusted returns. The paucity of investment managers who have generated above-market returns over time supports this view.

信息效率还有几个值得注意的衍生推论。首先，研究者常将信息效率与随机漫步理论联系起来，该理论认为股价变动是随机的。其逻辑是：既然价格已反映所有可得信息，那么价格变动只能来自新信息，而新信息按定义是随机出现的 7。尽管随机漫步理论与有效市场假说之间的联系在学术上并不准确，但许多金融经济学家仍暗中将两者等同看待 8。

Informational efficiency has some noteworthy ancillaries. First, researchers often connect informational efficiency to the random walk theory, which says stock price changes are random. The idea is since prices reflect all available information, price changes result only from new information, which comes randomly by definition. 7 While the link between the random walk theory and the efficient market hypothesis is technically incorrect, many financial economists still implicitly associate the two. 8

第二，信息有效并不意味着价格在根本上是正确的。该理论的核心主张是，不存在可实现的超额收益。信息有效性并不能保证经济体以高效的方式配置资源，它只能说明资产价格彼此之间没有被错误定价。

Second, informational efficiency does not say that prices are fundamentally correct. The theory’s main claim is there are no achievable excess returns. Informational efficiency offers no assurance that an economy allocates resources in an efficient manner, only that asset prices are not mispriced relative to one another.

最后，随着投资者获取信息并据以行动的成本不断下降，市场会变得更加高效。

Finally, markets become more efficient as investors face falling costs to access, and act on, information.

技术的进步、确保所有投资者同时获取重要信息的监管规定，以及持续下降的交易成本，都可能促进市场效率的提升。

The advance of technology, regulations assuring all investors receive material information simultaneously, and ever-declining transaction costs likely contribute to greater efficiency.

然而，信息效率只是一种理想状态。事实上，桑福德·格罗斯曼（1976）以及格罗斯曼和约瑟夫·斯蒂格利茨（1980）曾论证，信息有效市场是不可能存在的。由于挖掘信息需要成本，投资者期望获得一定回报来补偿他们的努力。如果无法承诺超额收益，投资者一开始就没有动力去收集信息。

Still, informational efficiency is an ideal. In fact, Sanford Grossman (1976) and Grossman and Joseph Stiglitz (1980) argue that informationally efficient markets are impossible. Since unearthing information is costly, investors expect some benefit to compensate them for their efforts. Without the promise of some excess returns, investors would have no incentive to gather information in the first place.

即便我们充分重视格罗斯曼和斯蒂格利茨的论点，试图战胜市场的投资者数量也远远超过实际能够做到的人。阿尔弗雷德·拉帕波特（2005 年）针对这一困惑提出了见解，指出格罗斯曼和斯蒂格利茨的论点仅仅适用于投资者完全自主决策的世界。然而，如今委托方越来越多地将投资决策交由代理方来执行。

Even giving full weight to the Grossman and Stiglitz argument, the number of investors trying to beat the market dwarfs the number trying who actually will. Alfred Rappaport (2005) addresses this puzzle, noting the Grossman and Stiglitz case holds only in a world of investors acting on their own behalf. Principals, however, increasingly defer to agents for their investment decisions.

在多数情况下，无论委托人表现好坏，代理人都会拿到报酬。约翰·博格尔估计，2004 年对冲基金费用、共同基金直接成本以及养老金管理费合计高达 1100 亿美元。尽管大多数专业基金经理初衷良好、工作努力，但实际上他们拿钱是为了参与游戏，而不是为了取胜。

In most cases, agents get paid whether or not the principals do well. John Bogle estimates hedge fund fees, direct mutual fund costs, and pension management fees amounted to a combined $110 billion in 2004. 9 Despite the good intentions and hard work of most professional money managers, in reality they get paid to play, not necessarily to win.

当前的激励机制鼓励代理人做出并不总是与最大化长期股东回报相一致的行为（Bradford Cornell 和 Roll，2005）。近几十年来，许多大型投资公司都强调市场营销（往往以牺牲投资过程为代价），增加了它们提供的基金数量（什么热就卖什么），并提高了它们持有的股票数量，以最小化相对于基准的跟踪误差。

Current incentives encourage agent behavior that is not always consistent with maximizing long-term shareholder returns (Bradford Cornell and Roll, 2005). In recent decades many large investment firms have emphasized marketing (often at the expense of the investment process), increased the number of funds they offer (selling what’s hot), and boosted the number of stocks they hold in order to minimize tracking error versus the benchmark.

不过，也许最显著的激励导向行为，也是讨论如何战胜市场时最相关的一点，就是投资时间视野的缩短。据博格尔（2005 年）所述，股票投资组合的年均换手率从 1960 年代中期的 20% 攀升至 2004 年的 112%。而且，缩短时间视野的不只是基金经理；博格尔的数据还显示，共同基金持有人的赎回率比几十年前高出四倍。

But perhaps the most significant incentive-caused behavior, and most relevant for a discussion of how to beat the market, is the reduction in investment time horizons. According to Bogle (2005), average equity portfolio turnover rose from 20% in the mid-1960s to 112% in 2004. And fund managers aren’t the only ones with shorter time horizons; Bogle documents that mutual fund owners redeem shares at a rate four times higher than a few decades ago.

时间跨度在任何概率性领域都是一个关键的考量因素。在这些系统中，短期结果主要呈现的是噪声——噪声与信号的比率非常高。但随着时间推移，信号会逐渐显现，噪声与信号的比率也随之下降。短期投资者大多生活在噪声的世界里。

Time horizon is a crucial consideration in any probabilistic field. 10 In these systems, short-term results show mostly noise—the noise-to-signal ratio is very high. But over time, the signal reveals itself, and the noise-to-signal ratio drops. Short-term investors dwell mostly in the world of noise. 11

一个非常简单的抛硬币例子就能说明这一点。图 1 左侧面板显示了 20 次抛掷的结果，其中 35% 的抛掷结果为正面。（使用随机数生成器模拟得出）。右侧面板继续展示同一系列中接下来的 80 次抛掷结果，显示在 100 次抛掷中，比例稳定在非常接近 50% 的水平。尽管我们知道长期信号是 50%，但短期噪声可能大幅偏离长期信号。

A very simple coin-tossing example demonstrates this point. Exhibit 1’s left panel is the result of a 20-toss trial, and shows that 35% of the tosses came up heads. (Simulated with a random number generator). The panel on the right continues with the next 80 tosses in the series, and shows that the ratio settles very close to 50% over 100 flips. Even though we know the long-term signal is 50%, short-term noise can deviate substantially from long-term signal.

表 1：噪音与信号
   1   1
   0.9   0.9
   0.8   0.8
   0.7

Exhibit 1: Noise versus Signal
   1   1
   0.9   0.9
   0.8   0.8
   0.7

正面比例 0.7

Percentage of Heads 0.7

原件此处是表格，PDF 抽取时列结构已丢失，下面只剩按列读出的数字，行列对应关系无法还原。核对数据请打开来源正文。

正面朝上的比例
0.6 0.6
0.5 0.5
0.4 0.4
0.3 0.3
0.2 0.2
0.1 0.1
0 0
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 1 21 41 61 81
试验次数
试验次数

Percentage of Heads
   0.6   0.6
   0.5   0.5
   0.4   0.4
   0.3   0.3
   0.2   0.2
   0.1   0.1
   0   0
   1   2   3   4   5   6   7   8   9   10 11 12 13 14 15 16 17 18 19 20   1   21   41   61   81
   Trial Num ber
   Trial Number

来源：LMCM 分析。

Source: LMCM analysis.

资产价格反映的是一系列预期。如果追逐噪音的投资者形成了一套与长期信号不符的预期，那么时间套利的机会就出现了。这种套利只有在短期视角导致多样性崩溃——即关注信号的投资者太少——并且信号随着时间推移变得清晰时，才会奏效。

Asset prices reflect a set of expectations. If investors chasing noise create a set of expectations inconsistent with the long-term signal, an opportunity for time arbitrage arises. This arbitrage works only if the short-term focus creates a diversity breakdown—too few investors focused on the signal—and the signal becomes clear over time.

尽管如此，利用时间套利获利仍存在几个难点。首先，即便我们了解底层系统的运作规律，也往往会在不存在模式的地方看出模式。这是因为我们的大脑天生倾向于认为随机性的特征不仅会体现在整体序列中，也会在序列的局部片段中显现。心理学家特沃斯基和卡尼曼（1971）将这种现象称为“小数定律信念”。12 吉列尔莫·巴奎罗与马诺·维比克（2005）的研究表明，即便是经验丰富的投资者，在评估投资组合经理时也会落入这个陷阱。

Still, benefiting from time arbitrage is difficult for a couple of reasons. First, even when we know what the underlying system looks like, we see patterns where none exist. The reason is we’re wired to expect that the characteristics of chance show up not just in a total sequence, but also in small parts of the sequence. Psychologists Tversky and Kahneman (1971) call this the “belief in the law of small numbers.” 12 Guillermo Baquero and Marno Verbeek (2005) show that even sophisticated investors fall into this trap when evaluating portfolio managers.

第二，包括券商、投资者和计划发起人在内的关键参与方，其激励机制日益倾向于短期化。例如，交易量越大，卖方券商的佣金就越高。对数字的麻木和日益加剧的急躁情绪，为利用时间套利创造了重大的制度性障碍。

Second, the incentives for important constituencies, including brokers, investors, and plan sponsors, increasingly encourage a short-term approach. For example, more trading means higher commissions for a sell-side broker. Innumeracy and rising impatience create meaningful institutional barriers to exploiting time arbitrage.

近期研究证实了时间跨度的重要性。通过实验经济学方法，弘田伸一（Shinichi Hirota）和夏姆·桑德（Shyam Sunder）（2004 年）发现，当市场由长期投资者主导时，价格会趋近于基本面价值；但若由短期投资者主导，价格则会变得不确定。他们指出，长期投资者可以基于未来股息进行逆向归纳，而短期投资者则依赖趋势过程进行顺向推导。由于短期投资者不关注股息这一锚定因素，由短期投资者主导的市场更容易出现繁荣与崩盘。

Recent research documents the importance of time horizon. Using experimental economics, Shinichi Hirota and Shyam Sunder (2004) find that prices converge to fundamental values when set by long-term investors but become indeterminate with short-term investors. They note that long-term investors can use backward induction based on future dividends, while short-term investors use forward induction using trend processes. Because short-term investors don’t focus on a dividend anchor, markets dominated by short-term investors will more likely see booms and crashes.

换一个方向，布莱恩·布希（Brian Bushee, 2001）根据投资者的时间跨度将其分类，并指出时间跨度最短的投资者更偏好近期盈利而非长期价值。这种偏好导致了“显著的错误定价”，即一种时间套利机会。

Taking a different tack, Brian Bushee (2001) classifies investors based on their time horizon and shows that investors with the shortest time horizons prefer near-term earnings to long-term value. This preference leads to “significant misvaluations”, or a time arbitrage opportunity.

Bushee 的发现与 Shlomo Benartzi 和 Thaler（1995）所称的短视损失厌恶是一致的。

Bushee’s findings are consistent with what Shlomo Benartzi and Thaler (1995) call myopic loss aversion.

这一概念融合了损失厌恶——即人类倾向于把损失看得比收益更重——和

This concept combines loss aversion—the human tendency to weigh losses more heavily than gains—and

近视是一种心理账户（mental accounting）的表现形式，它表明投资者在频繁评估自己的投资组合时会变得更加敏感。近视性损失规避（myopic loss aversion）理论指出，对于同一项风险资产，长期投资者愿意支付比短期投资者更高的价格，因为他们基本上可以避开损失规避带来的影响。

myopia, a form of mental accounting, which shows investors are more sensitive when they evaluate their portfolios frequently. Myopic loss aversion suggests that long-term investors will pay more than short-term investors for the same risky asset because they can largely sidestep loss aversion.

戏剧性的多元化细分数据

Dramatic Diversity Breakdowns

信息级联——即群体中的个体因依据他人的行为做决策，而非依赖自身对该问题的信息，从而表现出从众行为——呈现出两个显著的定性特征：这种级联很少发生，但一旦发生，按其定义规模必然很大。

Information cascades, during which individuals in a population exhibit herd-like behavior because they are making decisions based on the actions of other individuals rather than relying on their own information about the problem . . . display two striking qualitative features: they occur rarely, but by definition are large when they do.

邓肯·J·沃茨随机网络上的全球级联简单模型 13

Duncan J. Watts A simple model of global cascades on random networks 13

低效率最可能以两种方式之一出现，两者有一个共同的根源：多样性失灵。第一种是剧烈失灵，通常伴随着股价的突然变动。

Inefficiency most likely occurs in one of two ways, which share a common root: diversity breakdowns. The first, a dramatic breakdown, is typically accompanied by an abrupt stock price movement.

当正反馈将市场对某只股票（或整个市场）的情绪推至极度乐观或悲观时，就会出现剧烈的多样性崩溃，从而大幅增加发生重大且急剧反转的可能性。在多数情况下，这种正反馈源自基本面中一个合理的利好或利空内核。但当基本面观点被过度拉伸，形成一套与基本面严重脱节的预期时，崩溃便发生了。如果几乎所有人都看涨，需求就会枯竭，市场最可能的走向便是下跌。

A dramatic diversity breakdown occurs when positive feedback launches sentiment about a particular stock (or the market) to extreme optimism or pessimism, increasing the likelihood of a significant and sharp reversal. In most cases, the positive feedback emanates from a kernel of legitimately good or bad fundamentals. The breakdown occurs when the fundamental view is overstretched, creating a set of expectations substantially out of sync with the fundamentals. If most everyone is bullish, demand dries up and the market’s most likely path is down.

如何识别一次剧烈的多样性崩溃？有多种衡量指标可供参考，包括情绪指标、资金流动数据和估值水平。14 其他可能预示着剧烈多样性崩溃的迹象还包括：价格大幅波动、个股或行业处于 52 周高点或低点，以及统计上显得昂贵或便宜的估值。

How can you recognize a dramatic diversity breakdown? There are various measures to consider, including sentiment indicators, funds flow data, and valuation levels. 14 Other possible signatures of dramatic diversity breakdowns include large price changes, stocks or industries at 52-week highs or lows, and statistically expensive or cheap valuations.

一个宽泛的指标是杂志封面上的内容：当一个投资情绪登上全国性刊物的封面时，几乎总是到了该采取相反操作的时候了。最著名的例子之一是 1979 年 8 月 13 日《商业周刊》的封面故事“股票的死亡”，文中宣称“股票的死亡看起来几乎是一种永久状态”。在 1979 年之后的二十五年里，股市创造了 12.9% 的复利年回报率，而相比之下，截至 1979 年的十年里，市场提供的实际回报为负。

One broad indicator is what appears on magazine covers: by the time an investment sentiment makes the cover of a national periodical, it’s almost always time to take the opposite side of the trade. Among the most famous examples is the “The Death of Equities” cover story in the August 13, 1979 issue of BusinessWeek that proclaimed, “the death of equities looks like an almost permanent condition.” In the twenty-five years following 1979, the stock market has generated a 12.9% compounded annual return in contrast to the negative real return the market offered in the ten years ended 1979. 15

相比之下，1999 年 9 月号的《大西洋月刊》封面故事题为“道琼斯 36000 点：股票的合理价位”，而那时距市场见顶仅剩几个月。作为那个狂热时代的标志性指数，纳斯达克综合指数至今仍比 2000 年 3 月的峰值低 60%。

In contrast, the cover of the September 1999 issue of The Atlantic Monthly featured a story called “Dow 36,000: The Right Price for Stocks,” within months of the market’s high. The Nasdaq Composite Index, emblematic of the heady times, is still 60% below its March 2000 peak.

缓慢传播的想法

Slow Traveling Ideas

在尤金·法玛教授及其他有效市场理论支持者的论述中，我看不到任何依据能说明，大批投资者不会在评估那些需要特殊专业知识才能理解和判断的抽象想法时犯下同样的错误，因此这些想法的传播速度也相对较慢。

I see nothing in the arguments of Professor Eugene Fama or the other efficient market advocates to suggest that large groups of investors may not make the same error in appraising the kind of abstract ideas that take special expertise to understand and evaluate, and that consequently travel relatively slowly.

杰克·L·特雷诺长期投资 16

Jack L. Treynor Long-Term Investing 16

第二类多样性失灵，由杰克·特雷诺（Jack Treynor）在近 30 年前提出，不那么戏剧化，它只需要投资者对同一投资信息做出与市场共识不同的解读。特雷诺区分了“两种投资想法：（a）那些含义直接、显而易见，评估起来几乎不需要特殊专业知识，因而传播迅速的想法（例如‘热门股’）；（b）那些需要思考、判断、专业知识等才能评估，因而传播缓慢的想法。”他补充道：“追求第二种想法……当然，是‘长期投资’唯一有意义的定义。”17 特雷诺运用了类似“群体智慧”的论证，指出如果投资者在掌握相同信息的情况下对证券价值的评估存在差异，那么这些差异源于他们分析中的错误。

The second type of diversity breakdown, articulated by Jack Treynor nearly 30 years ago, is less dramatic and only requires an investor to interpret the same investment information differently than the consensus of other investors. Treynor distinguishes “between two kinds of investment ideas: (a) those whose implications are straightforward and obvious, take relatively little special expertise to evaluate, and consequently travel quickly (e.g., ‘hot stocks’); and (b) those that require reflection, judgment, special expertise, etc., for their evaluation, and consequently travel slowly.” He adds, “Pursuit of the second kind of idea . . . is, of course, the only meaningful definition of ‘long-term investing’.” 17 Treynor, who uses a wisdom-of-crowds-type argument, suggests that if investors differ in their assessments of a security value when they have the same information, their differences stem from errors in their analysis

第二种想法的情形。如果这些错误彼此独立（满足多样性条件），那么“共识中隐含的错误将会很小。”

of the second idea type. If their errors are independent (satisfying the diversity condition), “the error implicit in the consensus will be small.”

Treynor continues:

作为形成准确共识所依赖的平均过程的关键在于独立性假设，如果所有这些投资者——甚至其中相当一部分——都犯了同样的错误，那么独立性假设就被打破了，共识就可能与真实价值出现显著偏离。

As the key to the averaging process underlying an accurate consensus is the assumption of independence, if all—or even a substantial fraction—of these investors make the same error, the independence assumption is violated and the consensus can diverge significantly from true value.

市场于是不再以正确定价可得信息的方式保持有效。

The market then ceases to be efficient in the sense of pricing available information correctly.

为了解释这种多样性失效何以发生，特雷诺引用了约翰·梅纳德·凯恩斯的观点，后者为此增加了两个关键要素。首先，凯恩斯认为大多数投资者：

To explain why this type of diversity breakdown can occur, Treynor turns to John Maynard Keynes, who adds two crucial elements to the case. First, he argues that most investors:

……实际上主要关心的并非对一项投资在其整个存续期内可能回报的最出色的长期预测，而是比普通公众早一小段时间预见评估标准的常规变化。他们关心的是……在大众心理影响下，三个月或一年后市场会如何评估它。（强调为原文所有。）

. . . are in fact largely concerned not with most superior long term forecasts of the probable yield of an investment over its whole life, but with foreseeing changes in the conventional basis of evaluation a short time ahead of the general public. They are concerned . . . with what the market will evaluate it at under the influence of mass psychology three months or a year hence. (Emphasis original.)

凯恩斯接着强调了长期投资者有多么困难：

Keynes goes on to underscore how hard it is to be a long-term investor:

正是长期投资者——他服务于公共利益的那位——在实践中会遭到最多的批评……因为其行为的本质，在普通大众眼中，他应该显得古怪、不合常规、甚至鲁莽。如果他成功了，那只会进一步证实人们对他鲁莽的普遍看法；而如果短期内他失败了——这非常有可能——他也不会得到多少宽恕。世俗的智慧告诉我们，为了声誉，遵守常规地失败，要好过打破常规地成功。18

It is the long term investor, he who promotes the public interest, who will in practice come in for the most criticism . . . For it is the essence of his behavior that he should be eccentric, unconventional and rash in the eyes of the average opinion. If he is successful, that will only confirm the general belief in his rashness; and if in the short run he is unsuccessful, which is very likely, he will not receive much mercy. Worldly wisdom teaches that it is better for reputation to fail conventionally than to succeed unconventionally. 18

实际上，特雷诺-凯恩斯的论述归结为时间套利：长期投资者处于更有利的位置，去评估那些不明显的投资机会并采取行动，尽管要付出心理上的代价。证据表明，投资者和公司仍然非常关注短期，这在很大程度上反映了显著的代理成本。19

In effect, the Treynor-Keynes commentary adds up to time arbitrage: long-term investors are in a much better position to assess and act on the non-obvious investment opportunities, although at a psychological toll. Evidence suggests that investors and companies remain very focused on the short term, in large part reflecting significant agency costs. 19

预期方法提供了一种可行途径，来区分基本面与资产价格所反映的预期。这个过程包括三个步骤：理解市场对未来财务表现内嵌的预期；利用战略和财务分析评估预期修正的可能性；做出投资决策。预期方法不是要求投资者明确地预测未来，而是要求投资者寻找可能的结果与市场集体预测之间的差距。

An expectations approach offers a viable way to distinguish between fundamentals and the expectations an asset price reflects. The process has three steps: understand market-embedded expectations for future financial performance; assess the likelihood of expectations revisions using strategic and financial analysis; and make an investment decision. Rather than asking investors to forecast explicitly, the expectations approach instead asks investors to seek gaps between likely outcomes and the market’s collective forecast.

这种方法补充了特雷诺的观点，并解决了投资者对预测的主要担忧。20

This approach complements Treynor’s idea and addresses the main concern investors have about forecasts. 20

Conclusion

有效市场假说提供了一个实际合理的建议：大多数投资者最好投资于低成本、被动的指数基金。持续数十年的压倒性证据表明，大多数主动投资经理无法持续地增加价值。

The efficient market hypothesis offers a practically sound prescription: most investors are best served investing in low cost, passive index funds. Overwhelming evidence, accumulated over many decades, shows a consistent inability of most active investment managers to add value.

寻求超额收益的主动投资经理应该有一个深思熟虑的投资流程，这个流程在逻辑上始于一个观点：市场错误定价如何以及为何会发生。在解释市场效率的三种方法中，只有复杂适应系统视角能够很好地容纳我们在现实世界中看到的现象：异质投资者创造出的市场，大部分时间是有效的，但会周期性地走向极端。理性代理人和无套利方法虽然是宝贵的理论构建，但并非真正的机制，并且在许多重要方面未能解释市场的真实行为。

Active investment managers seeking to earn excess returns should have a thoughtful investment process that logically starts with a view on how and why market mispricings can occur. Of the three approaches to explain market efficiency, only the complex adaptive systems perspective comfortably accommodates what we see in the real world: heterogeneous investors create markets that are efficient most of the time but that periodically go to excesses. The rational agent and no-arbitrage approaches, while valuable constructs, are not true mechanisms and fail to explain real market behavior in many important respects.

主动投资者的最终目标是，在预期修正之前买入证券。突然的多样性崩溃提供了潜在的投资机会，但要付出显著的心理成本。缓慢传播的观点，为长期投资者提供了实现卓越业绩的最佳机会。

The ultimate goal of an active investor is to buy securities in anticipation of an expectations revision. Abrupt diversity breakdowns offer potential investment opportunity, but at a significant psychological cost. Slow traveling ideas provide a long-term investor’s best bet for delivering superior results.

尾注 1 G. William Schwert, “Anomalies and Market Efficiency,” in The Handbook of The Economics of Finance, Constantinides, Harris, and Stulz, eds. (Amsterdam: Elsevier, 2003), 941.

Endnotes 1 G. William Schwert, “Anomalies and Market Efficiency,” in The Handbook of The Economics of Finance, Constantinides, Harris, and Stulz, eds. (Amsterdam: Elsevier, 2003), 941.

2 Richard H. Thaler, The Winner’s Curse: Paradoxes and Anomalies of Economic Life (Princeton, NJ: Princeton University Press, 1992, 157-158.

3 Ryan Sullivan, Allan Timmerman, and Halbert White, “Data-Snooping, Technical Trading Rule Performance, and the Bootstrap,” UCSD Working Paper, December 8, 1997.

4 Schwert, 944-948.

5 Comments by Richard Roll in “Volatility in U.S. and Japanese Stock Markets”, selections from the First Annual Symposium on Global Financial Markets, Journal of Applied Corporate Finance, Vol. 5, 1, Summer 1992.

6 Sanford J. Grossman, “On the Efficiency of Competitive Stock Markets Where Traders Have Diverse Information,” The Journal of Finance, Vol. 31, 2, May 1976.

7 Paul Samuelson, “Proof that Properly Anticipated Prices Fluctuate Randomly,” Industrial Management Review, Vol. 6, 1965, 41-49.

8 Andrew W. Lo and A. Craig MacKinlay, A Non-Random Walk Down Wall Street (Princeton, NJ: Princeton University Press, 1999), 4-5. Lo and MacKinley’s research rejects the random walk hypothesis. 9 See http://www.vanguard.com/bogle_site/sp20050210.htm.

10 Michael J. Mauboussin, “Decision Making for Investors,” Mauboussin on Strategy, Legg Mason Capital Management, May 24, 2004.

11 See Nassim Nicholas Taleb, Fooled by Randomness, 2nd ed. (New York: Thomson Texere, 2004), 64-68. 12 One recent example comes from Yankee’s owner George Steinbrenner following the team’s lackluster 4- 8 start in 2005: "It is unbelievable to me that the highest-paid team in baseball would start the season in such a deep funk. They are not playing like true Yankees. They have the talent to win and they are not winning. I expect Joe Torre, his complete coaching staff and the team to turn this around.” Not surprisingly, the Yankees had a similar streak (and one worse one) in their World-Series-winning 2000 season. See David Ginsburg, “Steinbrenner Lashes Out at Stumbling Yankees,” Associated Press, April 18, 2005. 13 Duncan J. Watts, “A simple model of global cascades on random networks,” Proceedings of the National Academy of the Sciences, April 30, 2002.

14 “An Asset Allocation Strategy for the Intelligent Investor,” Evergreen Capital Management, LLC. See http://www.gold-eagle.com/editorials_05/mauldin040505.html.

15 Ned Davis, The Triumph of Contrarian Investing (New York: McGraw Hill, 2004). See http://www.tilsonfunds.com/DeathofEquities.pdf.

16 Jack L. Treynor, “Long-Term Investing,” Financial Analysts Journal, May/June 1976, 56-59. 17 Ibid.

18 John Maynard Keynes, The General Theory of Employment, Interest and Money (New York: Harcourt Brace Jovanovich, Inc., 1936), 154-158.

19 Alfred Rappaport, “The Economics of Short-term Performance Obsession,” Financial Analysts Journal, May/June 2005.

20 Alfred Rappaport and Michael J. Mauboussin, Expectations Investing (Boston, MA: Harvard Business School Press, 2001).

Legg Mason Capital Management（“LMCM”）由（i） Legg Mason Capital Management, Inc.（“LMCI”）、（ii） Legg Mason Funds Management, Inc.（“LMFM”）和（iii） LMM LLC（“LMM”）组成。

Legg Mason Capital Management ("LMCM":) is comprised of (i) Legg Mason Capital Management, Inc. ("LMCI"), (ii) Legg Mason Funds Management, Inc. ("LMFM"), and (iii) LMM LLC ("LMM").

本评论中表达的观点仅反映 LMCM 截至本评论发布之日的观点。这些观点可能因市场或其他状况随时变更，LMCM 不承担更新这些观点的责任。这些观点不应被视为投资建议，并且由于 LMCM 客户的投资决策基于众多因素，这些观点也不应被视为代表公司交易意图的指示。本评论中提供的信息不应被视为 LMCM 或其任何关联公司推荐购买或出售任何证券。

The views expressed in this commentary reflect those of LMCM as of the date of this commentary. These views are subject to change at any time based on market or other conditions, and LMCM disclaims any responsibility to update such views. These views may not be relied upon as investment advice and, because investment decisions for clients of LMCM are based on numerous factors, may not be relied upon as an indication of trading intent on behalf of the firm. The information provided in this commentary should not be considered a recommendation by LMCM or any of its affiliates to purchase or sell any security.

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Resources

Books

Constantinides, George M., Milton Harris and Rene M. Stulz, eds., Handbook of The Economics of Finance (Amsterdam: Elsevier, 2003).

Davis, Ned, The Triumph of Contrarian Investing (New York: McGraw Hill, 2004).

Grossman, Sanford, The Informational Role of Prices (Cambridge, MA: MIT Press, 1989).

Keynes, John Maynard, The General Theory of Employment, Interest and Money (New York: Harcourt Brace Jovanovich, Inc., 1936).

Lo, Andrew W., and A. Craig MacKinlay, A Non-Random Walk Down Wall Street (Princeton, NJ: Princeton University Press, 1999), 4-5.

Rappaport, Alfred, and Michael J. Mauboussin, Expectations Investing: Reading Stock Prices for Better Returns (Boston, MA: Harvard Business School Press, 2001).

Schwert, G. William, “Anomalies and Market Efficiency,” in The Handbook of The Economics of Finance, Constantinides, Harris, and Stulz, eds. (Amsterdam: Elsevier, 2003).

Taleb, Nassim Nicholas, Fooled by Randomness, 2nd ed. (New York: Thomson Texere, 2004).

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Rappaport, Alfred, “The Economics of Short-term Performance Obsession,” Financial Analysts Journal, May/June 2005.

Reinganum, Marc R., “Misspecifications of Capital Asset Pricing: Empirical Anomalies Based on Earnings’ Yields and Market Values,” Journal of Financial Economics, vol. 9, 1981, 19-46.

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Sullivan, Ryan, Allan Timmerman, and Halbert White, “Data-Snooping, Technical Trading Rule Performance, and the Bootstrap,” UCSD Working Paper, December 8, 1997.

Treynor, Jack L., “Long-Term Investing,” Financial Analysts Journal, May/June 1976, 56-59.

Tversky, Amos, and Daniel Kahneman, “Belief in the Law of Small Numbers,” Psychological Bulletin, 76, 1971, 105-110.

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