Active Equity Managers Actually Do Generate Alpha. Here’s How They Squander It.

Love affairs are exciting in their early stages — but in stocks, as in life, it pays to know when it’s time to move on.

这是根据Essentia Analytics的最新研究得出的，Essentia Analytics基于行为科学分析基金经理的决策。该公司发现，尽管有人大肆宣传积极经理人表现不佳，但这些经理人确实产生了阿尔法，“远远超过了他们收取的费用，”该公司发现。问题是：他们倾向于把所有的钱都还给别人，然后又把一些钱还给别人，因为他们坚持的时间太长了。

There is a way to break this cycle, however. Active managers who get control of their tendency to become overly attached to stocks can generate alpha of 1.2 percent annually, on average, at the portfolio level. That’s enough to beat their benchmarks after an average fee of 75 basis points (0.75 percent), the consultant found.

After evaluating about 10,000 “episodes” — full cycles of a given position from first entry to last exit — across 43 portfolios over 14 years, Essentia Analytics found that “alpha starts out strong and fades sharply with age.”

根据这份报告，“投资者通常持有仓位的时间过长（我们认为，这是捐赠效应的结果），“捐赠效应”是行为金融学中的一个概念，指的是人们对自己已经拥有的物品的估价过高的倾向。

Active managers have been under pressure from index funds for a decade. But Clare Flynn Levy, the founder of Essentia Analytics, said her firm’s findings are positive in that they demonstrate there is something active equity managers can do about it.

“There is an opportunity there,” Flynn Levy said in an interview with亚博赞助欧冠. “They don’t have to roll over and die; they can do something to stop themselves from giving up the alpha.”

In other words, by monitoring their portfolios, they can learn to become disciplined about exiting positions at or near the peak of their alpha curve, she said.

“Once you know your pattern, and when your ideas tend to run out of alpha, you could get an automated reminder that says, ‘Be careful, the relationship is over,’” she added. “People have a tendency to wait too long, and then it turns nasty and they get divorced.”

[IIIDeep Dive:Fund Firms Work to Translate Behavioral Research into Better Results]

弗林·利维解释说，如果一个基金经理在一只股票上赚了钱，那么就很自然地给予该头寸怀疑的好处，并停止对其提出尖锐的问题。但这种自满会导致问题。

Portfolio managers don’t need to find the perfect time to sell their positions. They can gain significant alpha by making decisions about their stocks in a six-month window, according to Essentia’s research.

Flynn Levy explained that fund managers who they studied held on to the average idea for 257 business days. The top quartile of alpha generation, by contrast, was 133 business days, about six months.

“Then it turns downward and you lose alpha,” she said. “So you have a six-month period where if you get out in that period you would have preserved some, if not all, of the alpha. But if you wait longer, historically we’ve seen all the alpha go away. Portfolio managers might need a reminder that says, ‘The clock is ticking!’”

Most portfolio managers are taught to let their winners run, so the research runs counter to what many people think, Flynn Levy said. It’s good to be a long term investor, just not too long, according to the consultant.

“You can be a victim of being a long-term investor if you’re not careful,” Flynn Levy said. “Companies go out of business all the time. There is being long term and then there is being vigorous about the alpha creation petering out.”