信念，信心和勇气

贡献者
Anu R. Ganti.,CFA, Senior Director, Index Investment Strategy
anu.ganti@spglobal.com

Craig J. Lazzara,CFA，董事总经理，指数投资策略全球负责人
craig.lazzara@spglobal.com.

“Courage is reckoned the greatest of all virtues; because, unless a man has that virtue, he has no security for preserving any other.”– Samuel Johnson¹

EXECUTIVE SUMMARY

Never wish to show courage, a wise man once counseled; courage can be displayed only in circumstances where one’s natural instinct is to be afraid, and fear is an unpleasant emotion. This principle, with obvious qualifications, applies to investment management.Successful portfolio management can require holding positions when one’s natural instinct is to sell.


曾几何时

它是1999年12月31日。您是一家专业的投资组合经理为您的客户思考长期股票选择。您分享Warren Buffet的视图，即“我们最喜欢的控股期是永远的，”²而且你决定问你的四个最喜欢的华尔街预测员建议无限期地持有股票。他们迫切地推荐四个不同的名称，现在表示为股票到D，您仔细考虑。

你很清楚一些建议比其他建议更好。什么可能导致你对这四只股票中的任何一个失去信心？由于您将在期望购买股票以至于他们将上涨，实际上将胜过市场，令人失望的回报可能会削弱永远的决心。

在考虑这一切的同时，你一直拿着一瓶旧的葡萄酒，以便朋友给你了上一个生日。你打开瓶子，认为品味可能有助于解决你的困惑。当你拆下软木塞时，突然蒸汽喷出，一个精神出现。感谢你的释放他，他为你提供了一个愿望。

当然，你想要的是要知道这四只股票将成为未来20年的最佳表演者。不幸的是，我们的精灵已经用葡萄酒塞满了一些太久了。他对波动性的效果很了解，但对个人股票的回报很少。这个精灵确实知道市场将在未来20年内上涨，并且个人股票回报将高度倾斜，因为图表1说明。中位数库存中S&P 500^®will appreciate by 52%, well below the average appreciation of 239%. Only 267 of the 1,010 stocks that will appear in the S&P 500 for the next 20 years will beat the average.³

Having been made aware that a relatively small number of stocks will determine your success or failure, you’re happy to have whatever specific information you can get, and ask the genie to tell you what he knows about the four recommendations.

在Vino Veritas.

Although our genie can’t tell us which stock will be the best performer, nor indeed whether any of them will outperform the market averages, he does know something about the frequency of outperformance. Suppose we buy each stock at Dec. 31, 1999’s closing price and hold for the next 20 years. Those 20 years will encompass 5,031 trading days. On how many of those days will the cumulative return of each position exceed the cumulative return of the S&P 500? Exhibit 2 tells us the answer.

当然，这对您来说是一个很好的舒适感，因为无论您购买哪些库存，当您的客户看起来他们的返回时，他们通常会看到表现优惠。股票D特别令人印象深刻，A也脱颖而出。

Genie下一步揭示了每股股票的未来波动，仅通过每月回报的标准偏差测量。在展览3中示出了此启示。

所有四个都比标准普尔500指数更有挥发，标准偏差范围从17.4％（股票d）到46.8％（股票b）。

你对A和B的高挥发率水平有点紧张，但当然你知道大多数股票比整个市场更易失去;这些数据不会导致您对任何预测者失去信心。

The genie next tells you about the frequency of large losses. Will any of the four stocks decline more than 10% in a single month? Exhibit 4 shows that they all will.

Stocks A and B are substantially more likely to have large one-month losses than are stocks C and D, as we might have predicted from Exhibit 3’s standard deviation data. You remain confident in the four stocks, although perhaps a little less about stocks A and (especially) B.

累积损失

The genie reminds you that some loss periods don’t correspond neatly to a single calendar month. He then presents Exhibit 5, which shows the maximum peak-to-trough loss each of the stocks will endure.

The S&P 500 will, at some point in the next 20 years, decline by just over 50%. Stock D will be more stable than the market, while stocks A and B will experience even larger drawdowns.

而且，Genie提醒您，绘图故事可能会感觉比展览5展示更多的令人震惊。假设您的客户在每股股票中投资1,000美元。他们在每个位置的最小值是多少？

您的客户可以投资于库存A，换句话说，您的客户可能只值得超过275美元，因为图表6说明。1000美元投资于库存B将有一天仅限78美元。股票C和D也经历了下降，但严重程度较少，这对整个市场也是如此。即使您仍然相信，每股股票将比长期超过1000美元，在你到长远来看之前，可能会有一些困难的客户会议.

您的预测员定罪的勇气

股票A和B，每种措施，似乎比股票C和D似乎更易失去。知道这一点，你还愿意为您的客户购买A和B吗？您知道库存波动，但您还记得大多数股票随着时间的推移表现不佳。⁴

当你投资了1000美元Stock A is worth only $275, will you still have faith in the forecaster who recommended it?More importantly, will your clients still have faith in you?如果在1,000美元到275美元之间，这将是完全理解的，你决定预测的预测是，如果没有错，则至少不再值得捍卫的麻烦。⁵

知道你现在知道有关四项建议的风险，你是否愿意购买并持有所有四个名字？如果没有，你会消除哪些？

20年后 - 揭示的名字

It’s now Dec. 31, 2019, 20 years after your interactions with the forecasters and the genie. It’s time to evaluate how well each of the forecasters did, and how well you would have done to have taken their advice. Exhibit 7 tells us the actual identity of the four stocks and their total return for the 20 years ended Dec. 31, 2019.

股票A，Apple Inc.是我们学习20年的标准普尔500指数中最好的表演者，而亚马逊（股票B）也没有落后。股票C和D，更为被称为IBM和EXXON，两者都表现不佳。在每个风险维度，两个最好的表演者都是挥发性的持股. This is important, becausevolatility tests an investor’s conviction- 如果你买的每股股票总是上升，你就不会想知道你是否犯了一个错误。当你在你认为是胜利者的情况下赔钱时，怀疑是不可避免的蠕变。什么展览7和较早的波动性证据表明有时你将最想要拥有的股票是最难持有的.

这种心理困难对于专业的资产管理人员进行了复杂化。你可能很乐意用自己的钱挥动A和B，但你也是您的客户的受托，当然，您公司的合规性和风险管理人员将会俯瞰肩膀。即使您对A和B的长期前景仍然有信心，您也可能相信让您的客户分享信心是一个不可逾越的任务。“有时你卖掉你的哑巴，所以你不必再谈论它们了—to the firm’s risk manager or to your clients.”⁶This is why “professional investors tend to move the fastest when a market suddenly turns…The biggest risk they face is being so out-of-step with the market that their clients fire them.”⁷

THE MORAL OF THE STORY

Stock selection is difficult. Data from many sources over many years have demonstrated that successful active management is rare. A number of reasons—the professionalization of investment management, high costs, etc.—help to explain the persistent failure of active management to produce positive relative returns.⁸积极管理人员面临的困难，换句话说，换句话说是不是巧合 - 他们出于充分原因而出现，因此可能持续存在。

This paper’s simple example adds to our understanding of the challenges of active management. Over long horizons, most stocks underperform the market as a whole. The challenge for an active manager is not limited to identifying the relatively small number of long-term winners.成功也取决于当他们经历痛苦的​​表现时期的时候坚持他们。信念和信心不足以赢得当天 -还需要勇气，并且最需要的是最难的集合.

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