「主動投資真的沒救了嗎？一場算術的逆襲與市場的未來」

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

敘述這裡是論文投資學 Quantified Dialogues，每周用AI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: Sharpe 說主動投資註定輸？本篇挑戰這項經典論點，揭示主動管理在現實市場中如何創造價值與扮演關鍵角色內文討論:   a. 被動投資不是不需要交易嗎？為什麼作者說連被動投資者也必須頻繁交易？   b. 作者提到 IPO、增資、股票回購會讓主動投資者有機會獲利，這是真的嗎？有沒有數據支持？   c. 如果所有人都改成被動投資，市場還會有效率嗎？資金還能流向對的公司嗎？   d. 指數被重編（reconstitution）時會造成價格異常，這會不會讓被動投資者長期吃虧？   e. 文章說主動投資在 aggregate 可以創造正報酬，那為什麼大部分主動基金還是輸給市場？   f. 機構投資者在主動管理上真的比散戶有優勢嗎？優勢來自哪裡？   g. Sharpe 的理論假設市場組成不變，作者說這是假議題，這是什麼意思？   h. 作為一位投資新手，我應該怎麼選擇主動還是被動？是否有一個分界點讓我知道適合哪一種？   資料來源: Pedersen, Lasse Heje. "Sharpening the arithmetic of active management." Financial Analysts Journal 74.1 (2018): 21-36. Powered by Firstory Hosting

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「主動投資真的沒救了嗎？一場算術的逆襲與市場的未來」

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