「主動投資是場零和遊戲？你可能只是繳學費的那一方」〈The Arithmetic of Active Management〉

from 論文投資學 Quantified Dialogues · host J&A

敘述這裡是論文投資學 Quantified Dialogues，用AI工具每周探討有意思的投資學術論文和我們一起踏入投資的專業世界論文大綱: 主動管理平均報酬必等於市場，但扣除較高的成本後，長期績效一定低於被動管理，這是簡單的數學事實。內文討論: a. 如果主動管理的平均報酬在扣除成本後一定輸給被動管理，那為什麼還有這麼多人選擇主動管理？ b. 這篇文章說“平均”主動管理績效會輸給市場，那是不是代表某些厲害的經理人還是可以長期打敗市場？ c. 文中提到“樣本偏誤（survivorship bias）”，這是什麼意思？為什麼會影響主動基金績效的統計？ d. 如果我是小資族，只能投資幾萬塊，是不是更應該選擇被動投資？還是可以嘗試選一些看起來績效比較好的主動基金？ e. 什麼是“正常投資組合（normal portfolio）”或“基準（benchmark）”？我應該怎麼選我的 benchmark？ f. 文章說“用簡單的算術就可以證明主動投資平均輸給被動投資”，這是怎麼計算出來的？可以舉一個簡單的例子嗎？ g. 很多人說在市場低迷時主動基金表現會比較好，這種說法和文章的觀點矛盾嗎？資料來源: Sharpe, William F. "The arithmetic of active management." Financial Analysts Journal 47.1 (1991): 7-9. Powered by Firstory Hosting

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「主動投資是場零和遊戲？你可能只是繳學費的那一方」〈The Arithmetic of Active Management〉

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