Sunday, August 19, 2012

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許多研究顯示,絕大部分的主動型投資經理人,無法成功地為投資人創造超額報酬(alpha);然而,市場上不乏有投資人,仍然願意在投資管理的項目上支付高昂的費用。本文將探討,是什麼原因促使投資人堅持這種看似不理性的行為,造成了只要投資人願意買單,績效平凡的主動型基金經理人,也當仁不讓地持續收取高昂管理費用”的現象
投資管理者總是喜歡告誡客戶:依附希望,不是一種有效的投資策略。但諷刺的是,販售希望卻成為投資經理人的銷售策略。投資人應該三思,想清楚他們究竟願意折損多少資金來購買“希望”。
 希望的統計學
 投資的目的是從風險資本中賺取收益,但多數投資人總是不切實際地期待不合理的超高報酬,抱著錯誤的統計學概念參與如博彩遊戲的投資活動。不出所料的,大部分投資人總是在付出高額費用,買進投資顧問大力推薦的飆漲基金之後,卻換來令人失望的報酬率,投資人為此感到困惑不已。我們就以下述的簡單例子,說明一般投資人篩選投資經理人的統計哲學。試想有一百隻猴子玩擲硬幣遊戲,每當有一隻猴子擲出人頭面時,即可獲得一根香蕉。經過十回合後,會有一隻猴子擲出九次人頭面,獲得九根香蕉註一。於是,這隻猴子開始經營顧問事業,建議其他猴子如何擲硬幣賺香蕉,並向牠們收取一堆香蕉當做顧問費。
最近的一篇學術論文為什麼人們願意購買完全無用的預測?(Why Do People Pay for Useless Advice?)英國倫敦大學經濟學家Powdthavee和新加坡南洋理工學院教授Riyanto共同研究發現,居然有很多人樂意付費給專家”,來預測類似擲硬幣或轉輪盤遊戲般的隨機事件,尤其是當這位 專家”瞎矇到幾次擲硬幣的結果時,就會有更多人付費購買他下一次的預測。當然這些“專家”的預測,如同廟口的乩童占卜出的下期彩券號碼般,不具任何實質價值
何以即使基金經理人一再的令投資人失望,投資人卻執迷不悟的追尋下一位明星經理人,並樂意預支高昂的費用?只要這種非理性的行為持續存在,基金公司當然會持續販售如預測擲硬幣”般無用的服務。如果基金公司可以透過渲染的誘人廣告,兜售一夜致富的夢想,換湯不換藥的把績效普通的投資產品,美其名為對沖基金,並因此提高其管理費用,他們理所當然地樂於坐享其成。
“希望”的經濟學
 研究顯示,基金經理人的平均績效其實不如預期,即使是近期績效最佳的基金,後勢績效通常也差強人意。為什麼投資人還是堅持為看似毫無價值的投資管理技能買單?也許,投資人對基金經理人的績效並非真的感到興趣。英國《經濟學人》(The Economist)雜誌的金融市場專欄提到:投資人可能只對自己的投資信念,是否能獲得他人的認同感到興趣。當投資人聽到專家”與自己對於不可預料事物持有相同觀點時,他會產生一種錯誤的安全感,以為透過專家加持就可以降低投資行為中與生俱有的隨機性。
值得強調的是,並非所有的投資管理都是以創造良好投資績效為目的。許多經理人和投資顧問的最大價值,是來自於阻止客戶做出不當的財務決定;例如:過於集中的投資組合、太頻繁的交易,或是在情緒不佳時做出投資決定。BarberOdean2000年的《財經》雜誌中的報導指出:積極的自我主導型投資人,其每年績效平均低於市場表現6.5%,因為這些投資人對於自己的選股和市場進出能力過於自負,造成他們持有太集中的部位,且交易頻率過高。美國財經作家史威格(Jason Zweig) 亦在2002年的調查報告中指出,共同基金投資人的平均每年績效低於市場4.7%,再度驗證投資人因頻於更換基金與市場進出時間,導致慘淡的投資結果。總而言之,投資人的自我投資績效只能說是慘不忍睹。
相對於主動型基金與自我主導投資,雖然廉價的寬基指數基金可以提供投資人更好的報酬率;但可悲的是,投資人對於以透明簡單的投資組合取得合理的投資報酬,卻是毫無興趣。投資經理人能夠輕而易舉地將一個巨大報酬的夢想”,包裝在主動投資產品中一併賣給客戶,卻難以向客戶說明BogleMalkiel的股價醉步理論(Random Walk Theory),並推薦投資人購買指數基金。雖然一般主動基金的投資報酬率落後指數基金約1.5% ,但相較於投資人自我主導投資的績效卻是卓越的;就某程度而言,主動基金是兩害相權取其輕。而對那些樂觀,且不願相信任何與其意見相左的狂熱投資份子而言,唯有能言善辯的銷售技巧、投資策略神秘且收費高昂註二的對沖基金,才能令這群自負的投機者信服,並願意將投資控制權交給基金管理人處置,而避免走向自我財富的毀滅。
 結論
  “希望”也許不是一種投資策略,卻似乎是我們的本性。身為投資人,我們常會分析所獲得的投資報酬是否合理,或許我們也該反省為了“我們不切實際的希望所付出的高昂管理費是否合理——我們願意付多大的成本給所謂的大師”來告訴我們甜蜜的謊言,讓我們相信市場的隨機性是可以被預測?實際上,我們完全明白擲硬幣的結果,並不會受到廟口乩童的符咒所影響,但我們還是覺得有了大師的加持,就可以心安理得、高枕無憂;必然的,這位大師”的收費愈昂貴,他的指點才愈顯價值。

註一:擲硬幣十次中出現人頭面的機率為10 x 0.510 = 0.976%,因此可推算出每一百隻猴子中,約有一隻猴子可擲出九個人頭面。美國基金數量已超過一萬檔,亦即大約有一百檔基金能夠在過去十年中有九年可超越市場的表現,其實這只是純屬偶然。
註二:避險基金經理人每年收取總資產2%的管理費,加上20%的超額績效表現費(即收取該基金超越基準報酬之獲利部分的20%)

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