2018年主动管理型投资的业绩表现与指数走势的对比结果说明了什么?

最新数据说了啥?

来源:市川新田三丁目

Since 2002, S&P Dow Jones Indices has published its S&P Indices Versus Active (SPIVA) Scorecard, which compares the performance of actively managed equity mutual funds to their appropriate index benchmarks.

2002年以来,标准普尔道琼斯指数公司每年都会定期发布标准普尔指数与主动管理型投资的业绩评比报告,这份被称为SPIVA绩效评分卡的报告比较的是主动管理风格的美股共同基金与所参照的业绩基准指数的回报率。

Most Recent Data

最新数据说了啥?

The 2018 report includes 15 years of data. Following are some of its highlights:

2018年度的SPIVA业绩评比报告列举了过去15年的数据,以下为其中一些要点:

  • In 2018, 69% of all domestic funds underperformed the S&P Composite 1500 (in a down year—so much for active managers outperforming in down markets). And 64% of large-cap managers, 46% of midcap managers and 68% of small-cap managers underperformed the S&P 500, the S&P MidCap 400 and the S&P SmallCap 600, respectively. However, over longer periods, the results were dismal.

  • 2018年,69%的专注美国国内股市投资的共同基金在业绩表现方面跑输标准普尔1500指数(标准普尔1500指数的构成涵盖了标准普尔500指数,标准普尔400中盘股指数,标准普尔600小盘股指数的成分股,因此更全面地代表了美国整体股市的情况),同时有64%的大盘股基金,46%的中盘股基金和68%的小盘股基金分别跑输了各自所参考的标准普尔500指数,标准普尔400中盘股指数标准普尔600小盘股指数。但是从长期的情况来看,结果令人感到更加沮丧。

  • Over the five-year period ending 2018, 84% of large-cap managers, 85% of midcap managers and 91% of small-cap managers lagged their respective benchmarks. Similarly, over the 15-year investment horizon, 92% of large-cap managers, 93% of midcap managers and 91% of small-cap managers failed to outperform on a relative basis. Note the poor performance in small-caps, supposedly the most inefficient asset class, where just 9% of active funds outperformed their benchmark index. Even worse was the performance turned in by small-cap growth managers, where 98% underperformed. The least poor performance was in large value, where 79% failed to beat their benchmark.

  • 在截止到2018年12月31日的5年间,84%的大盘股基金,85%的中盘股基金和91%的小盘股基金分别跑输了各自的业绩参考指数(这三个比率应该是82%,80%,89%)。同样,在截止到2018年12月31日的15年里,92%的大盘股基金,93%的中盘股基金和91%(应该是96.73%或97%,原作者看错行了,看到下面的90.70%了的小盘股基金跑输各自的业绩参考指数。一般被认为是最低效资产的小盘股基金的业绩不佳状况颇为引人注目,只有9%的主动管理型小盘股基金跑赢了业绩基准。更糟糕的是在全部小盘成长股基金中,有98%的基金业绩跑输业绩基准,专门投资大盘价值股的基金是矬子里面的大个,有79%的大盘成长股基金落败于业绩基准。

  • In 2018, the majority of active managers investing in global (71%), international (77%), international small (68%) and emerging market (78%) funds underperformed their respective benchmarks. Again, the results deteriorated as the horizon lengthened.

  • 2018年,有71%的全球股市基金,77%的非美各国股市基金,68%的非美各国小型股基金以及78%的新兴市场股市基金等各类主动管理型基金的业绩跑输了各自的业绩基准。同样,如果将投资周期拉长,考评结果也是更糟糕。

  • Over the three-, five-, 10- and 15-year investment horizons, managers across all international equity categories underperformed their benchmarks, and the longer the time horizon, in general, the more funds underperformed. For example, over the 15-year horizon, 83% of global funds underperformed, 90% of international funds underperformed, 76% of international small funds underperformed and 96% of those supposedly inefficient emerging market funds underperformed.

  • 在过去3年、5年、10年和15年的投资周期里,所有投资全球股市的主动型基金均跑不赢业绩基准。总体上看,投资周期越长,跑输业绩基准的基金越多。以15年投资周期为例,在各类主动管理型基金中,有83%的全球股市基金,90%的非美各国股市基金和76%的非美各国小盘股股市基金跑输各自的业绩基准,同时还有96%的被认为是低效资产的新兴市场股市基金也跑输了业绩基准。

  • Over the last 15 years, on an equal-weighted (asset-weighted) basis, the average actively managed U.S. equity fund underperformed by 1.43 (0.73)% per annum. Again, the worst performances were in the small-cap category, with active small-cap growth managers underperforming on an equal-weighted (asset-weighted) basis by 3.08 (1.94)% per annum, active small-cap core managers underperforming by 2.79 (1.85)% per annum and active small value managers underperforming by 2.06 (1.87)% per annum, respectively. So much for the idea that the asset class is inefficient.

  • 如果对过去15年各类主动管理型美股基金的业绩按照等权重和资产加权(等权重是指赋予每一只参与评价的基金同样的权重,不管该基金的资产规模是多少,然后计算得出所有参评基金的等权重的回报率;资产加权是指按照参评基金的实际资产规模对各基金的回报率进行加权平均后得出的回报率。下面的评比结果显示,资产加权法衡量的基金绩效要好于等权重法,说明大型基金的管理水平、经验、能力还是略胜一筹。这两种绩效评比方式进行对比,结果显示:等权重的回报率跑输业绩基准的年均幅度为1.43%,而资产加权回报率跑输业绩基准的年均幅度为0.73%。同样,表现最差的还是小盘股基金,主动管理型小盘成长股基金的回报率低于业绩参考指数的年均幅度:等权重为3.08%,资产加权为1.94%;主动管理型小盘核心股基金的回报率低于业绩参考指数的年均幅度:等权重为2.79%,资产加权为1.85%;主动管理型小盘价值股基金的回报率低于业绩参考指数走势的年均幅度:等权重为2.06%,资产加权为1.87%。认为小盘股是一种效率低下的资产类型的观点确实很靠谱。(下表中,紫线部分为业绩基准,天蓝色线为等权重法统计的基金回报率,用天蓝色线减去紫线部分的结果即为权重法统计的基金回报率跑输业绩基准部分

  • Over the 15-year horizon ending 2018, on an equal-weighted (asset-weighted) basis, active global funds underperformed by 1.36 (0.35)% per annum, active international funds underperformed by 1.78 (0.71)% per annum, active international small funds underperformed by 0.91 (0.09)% per annum, and in the supposedly inefficient asset class of emerging markets, active funds produced the worst performance, underperforming by 2.64 (1.50)% per annum, respectively.

  • 如果对截止到2018年底的15年中各主动管理型基金的业绩按照等权重和资产加权这两种绩效评比方式进行对比可知,全球股市基金的回报率每年跑输业绩基准的幅度:等权重为1.36%资产加权为0.35%;非美各国股市基金的回报率每年跑输业绩基准的幅度:等权重为1.78%资产加权为0.71%;非美各国小盘股基金的回报率每年跑输业绩基准的幅度:等权重为0.91%资产加权为0.09%;被认为是低效资产的新兴市场股市基金的回报率每年跑输业绩基准的幅度:等权重为2.64%资产加权为1.50%

  • The performance in fixed-income funds was also poor. Across the 14 categories, in just two did the majority of active funds outperform (long-term government and long-term investment grade). Over the 15-year period, in no category did the majority outperform, in only two less than 80% underperformed, in four more than 90% underperformed and in high-yield funds, the worst-performing category, 99% underperformed. On an equal-weighted basis, the underperformance ranged from 0.60% (general muni funds) to as much as 3.08% (government long funds). The news was better on an asset-weighted basis, with active funds outperforming in two categories: investment-grade intermediate (0.25%) and global income (0.89%). In the other 12 categories, the underperformance was more than 2% in two categories (long-term government and long-term investment grade), 1.5% in a third category (high-yield) and 0.8% in emerging market bonds.

  • 固定收益类基金的回报表现也不咋样。在14类主动管理型债券基金中,只有投资于长期政府债券和长期投资级债券这两类基金中的大部分基金的回报率跑赢了相应的业绩基准指数。如果投资期限放宽到15年,那么没有任何一类债券基金的大部分基金能跑赢业业绩基准,其中只有两类债券基金中跑输指数的基金数量在该类基金总数中的占比低于80%,有四类债券基金中跑输业绩参考指数的基金数量在该类基金总数中的占比超过了90%,在高收益债基金中有99%的基金跑输了业绩基准。如按等权重法进行考核,参评的债券类基金的回报率落后于指数的幅度为0.6%(美国市政债基金)至3.08%(长期政府债券基金)不等。资产加权法考核的结果要好一些,有两类主动管理型资产权重类基金的业绩跑赢了指数,专门投资中等期限投资级债券的基金的回报率超出指数的幅度为0.25%,全球票息收益型债券基金的回报率超出指数的幅度为0.89%。其他12类债券基金的回报率落后于指数的幅度分别为:长期政府债券基金和长期投资级债券基金为2%以上,高收益债基金为1.5%,新兴市场债券基金为0.8%。

  • Highlighting the importance of accounting for survivorship bias, over the 15-year period, 57% of domestic equity funds, 54% of international equity funds, 31% of international small funds and 32% of emerging market funds were merged or liquidated. Across the 14 bond fund categories, the merger and liquidation rate ranged from a high of 65% (government intermediate funds) to a low of 32% (global income funds).

  • 至于基金存活情况方面,在过去15年里,有57%的美国国内股票型基金,54%的非美外国股票型基金,31%的非美外国小盘股基金和32%的新兴市场股票基金遭遇了被兼并或清盘的命运(用100%分别减去下图中的紫线标出的存活率,就可以得出原文中的比率)。在14类债券基金中,遭到兼并或清盘的基金占比从65%(投资中等期限政府债券的基金)至32%(全球票息收益型基金,但该比率应该是100%-生存率66.67%=33.33%)不等。

While I believe the preceding data is compelling evidence of the active management industry’s failure to generate alpha, it’s important to note that all the report’s figures are based on pretax returns. Given that actively managed funds’ higher turnover generally makes them less tax efficient, on an after-tax basis, the failure rates would likely be much higher (taxes are often the greatest expense for active funds).

我认为一方面以上数据有力地证明主动管理型投资无法产生阿尔法收益,另一方面还要注意,这些报告中所有的评价结果均基于税前回报率。考虑到主动管理型投资一般很高的成交换手率在避税方面不具有优势,因此主动管理型基金失败的几率有可能会更高,因为税收往往是主动管理型基金最大的开支。

Summary

总结

The SPIVA Scorecards continue to provide powerful evidence of the persistent failure of active management’s ability to generate alpha (risk-adjusted outperformance). In particular, they serve to highlight the canard that active management is successful in supposedly inefficient markets (like small-cap stocks and emerging markets).

SPIVA业绩对比报告再一次有力地证明主动管理型投资与以往一样还是无法创造出阿尔法收益(基金的整体业绩包括贝塔和阿尔法,贝塔是指业绩基准的回报率,而阿尔法是经风险调整后超出业绩基准的回报率部分)。尤其重要的是,该报告强调指出主动管理型投资在普遍被认为是效率低下的市场(如小盘股和新兴市场等会有成功表现的说法是不正确的。

The scorecards also provide compelling support for Charles Ellis’ observation that, while it’s possible to win the game of active management, the odds of doing so are so poor that it’s not prudent to try—which is why he called it “the loser’s game.” And it’s why we continue to see a persistent flow of assets away from actively managed funds.

业绩对比报告也无可辩驳地证明了美国投资大师Charles Ellis所观察到的结果,即在投资管理方面,虽然主动管理有可能跑赢指数,但成功率太低还是不试为好,这就是为什么他会称主动管理型投资为“输家游戏”的最根本原因,也是为什么我们会见到主动管理型基金管理的资产持续出现流失的原因。

格隆汇声明:文中观点均来自原作者,不代表格隆汇观点及立场。特别提醒,投资决策需建立在独立思考之上,本文内容仅供参考,不作为实际操作建议,交易风险自担。

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