WTT：当基准变成赌注

在我的大部分职业生涯中，标普500指数一直是评估基金经理表现的合适基准。

Throughout most of my career, the S and P 500 has been an appropriate bogey to assess manager performance.

更重要的是，它是资本市场中最广泛使用的基准。

More than that, it's the most widely used benchmark in the capital markets.

但如今，它已无法代表大多数投资者在进行被动投资或衡量经理能力时所默认的对美国经济的广泛多元化敞口。

But today, it doesn't represent the broad based diversified exposure to The US economy that most participants take for granted when investing passively or measuring manager skill.

本报告的思考基于对当前标普500指数构成所带来证据、影响和挑战的分析。

This WTT's thinking considers the evidence, implications, and challenges posed by the current composition of the S and P five hundred.

当基准本身变成一种押注时，跑赢标普500指数就变得困难了。

When the benchmark becomes a bet Beating the S and P five hundred is hard.

指数基金的理由比以往任何时候都更充分，市场份额也在持续上升。

The case for index funds seems more compelling than ever, and market share continues to rise.

我经常听到资产配置者讨论他们对公开市场采用被动管理、在私募市场采用主动管理的偏好。

I often hear allocators discuss their preference for passive management in public markets and active management in private markets.

如今，公众普遍认为公开市场中的超额收益已经消失。

It's become conventional wisdom that alpha has disappeared from public markets.

但这里有个问题。

But there's a problem.

标普500不再像一个中立的基准了。

The S and P 500 no longer behaves like a neutral benchmark.

如今，它只集中于少数几家公司。

Today, it represents a concentrated exposure to a small number of companies.

那些以为自己在获得对美国经济广泛多元化敞口的投资者，实际上只是押注于少数几家与人工智能成功紧密相关的科技公司。

Investors who think they're buying diversified exposure to The US economy are instead getting a concentrated bet on a handful of technology companies tied closely to the success of AI.

大多数投资者都明白这一点。

Most investors understand this.

但很少有人知道该如何应对。

Few know what to do about it.

治理结构使得很难摆脱标普指数作为几乎所有阿尔法定义基准的地位。

Governance structures make it difficult to shift focus away from the S and P as the benchmark for essentially every definition of alpha.

偏离指数会带来职业风险，即使坚持使用它可能并非最优选择。

Deviating from the index introduces career risk, even if sticking with it proves suboptimal.

这种矛盾位于投资组合构建的核心。

This tension sits at the heart of portfolio construction.

重新审视指数基金的优势，有助于凸显这一困境。

It's worth revisiting the case for index funds to highlight this dilemma.

越来越多的数据表明，主动管理是一场输家的游戏。

The data increasingly indicates that active management is a loser's game.

当查理·埃利斯在1987年撰写《赢者的游戏》时，仅有15%的主动管理基金跑赢市场。

When Charlie Ellis wrote Winning the Loser's Game in 1987, only 15% of actively managed funds outperformed the market.

2024年的SPIVA机构评分报告显示，主动管理者的业绩变得更差了。

The 2024 SPIVA Institutional Scorecard indicates active managers have gotten worse.

仅有10%的美国

Only 10% of all U.

股票型基金在过去三、五和十年间跑赢市场，二十年间更是只有6%。

S.

仅有10%的美国股票型基金在过去三、五和十年间跑赢市场，二十年间更是只有6%。

Equity funds outperform the market over the last three, five, and ten years, and only 6% over twenty years.

过去十五年尤其具有挑战性。

The last fifteen years have been especially challenging.

在这段时期内，超过一半的主动管理基金经理仅两次跑赢指数，而且主动管理基金的平均年落后幅度似乎在近十年达到了更高的平台期。

More than half of active managers have beaten the index only twice in that stretch, and the degree of average annual underperformance by active managers appears to have reached a higher plateau in the last decade.

如果这都不算一场输家的游戏，那我真不知道什么才算。

That's a loser's game if I ever saw one.

但这些结果中有些地方对不上。

But something about these results doesn't add up.

标普500近期的大幅超越掩盖了一个重要的基本原则。

The degree of recent S and P 500 outperformance hides an important first principle.

这本不该这么难。

It shouldn't be this hard.

就像赌场里的荷官一样，指数应该获胜，但只应微弱领先。

Like the croupier in a casino, the index should win, but only by a little.

如果发牌者在每局二十一点中赢了90%，没人会玩。

If the dealer won 90% of every blackjack hand dealt, no one would play.

还有别的原因在起作用。

Something else is going on.

那么，为什么主动管理表现得这么差呢？

So why is active management losing so badly?

我想到了三种解释。

I can think of three explanations.

第一，成本。

First, costs.

费用和交易成本是对主动管理者业绩的一种征税。

Fees and transaction costs are a tax on active manager performance.

这种始终存在的现实对主动管理者构成了逆风。

This ever present reality is a headwind for active managers.

第二，技能悖论。

Two, the paradox of skill.

迈克尔·莫布森提到一个悖论：当玩家的技能提升时，某些游戏反而变得更难赢。

Michael Mobison refers to an irony that some games get harder to win when the skill of the players increases.

随着专业投资者变得越来越聪明，而不太专业的投资者转向指数基金，专业人士获胜变得更加困难。

As professional investors have gotten smarter and less sophisticated investors have moved to index funds, it's harder for the pros to win.

第三，指数基金正在获胜。

And three, the index is winning.

我们把指数基金看作是通过不输来获胜。

We think of an index fund as winning by not losing.

但如果指数基金只是单纯地在获胜呢？

But what if the index fund is just plain winning?

让我们逐一分析。

Let's break down each.

首先，成本是投资者支付的费用。

First, costs are a toll paid by investors.

成本越高，费用就越大。

The higher the cost, the larger the toll.

然而，主动管理的成本比以往任何时候都更低。

Yet the cost of active management is lower than ever.

根据晨星的数据，主动型基金经理的年度加权平均管理费从2000年的约1%下降到2024年的60个基点。

According to Morningstar, the annual asset weighted average management fee paid to active managers fell from approximately 1% in 2000 to 60 basis points in 2024.

同样，交易成本也降至历史最低水平，佣金几乎为零，买卖价差因_decimal化和高频交易而变得微乎其微。

Similarly, transaction costs are lower than ever, commissions are close to zero, and bid ask spreads are minuscule thanks to decimalization and high frequency trading.

难道主动型基金经理不应该比过去输得少一些吗？

Shouldn't active managers be losing by less than they did in the past?

大量聪明、积极且薪酬丰厚的专业人士涌入了投资行业。

Herds of intelligent, motivated, highly compensated professionals have flowed into the investment profession.

查理·埃利斯将CFA持证人数的增长作为竞争加剧的指标。

Charlie Ellis cites the increase in CFA charterholders as a proxy for competition.

毫无疑问，主动型基金经理如今接受过更好的培训，并能比以往更快地获取更多信息。

For sure, active managers are better trained and have access to more information faster than ever before.

按照这一理论，资金流入指数基金可能已将许多非专业投资者赶出市场，留下专业投资者相互竞争以获取超额收益。

As the theory goes, fund flows into index funds may have removed many unsophisticated investors from the market, leaving professional investors to duke it out for alpha.

这一理论匆忙得出结论，却忽视了基金经理能力提升带来的其他影响。

That theory leaps to a conclusion that ignores other effects of greater manager skill.

如果投资者在证券分析方面更出色，价格波动应该更小，并更接近内在价值。

If investors are better at security analysis, prices should fluctuate less and converge closer to intrinsic value.

然而，实际情况恰恰相反。

Yet the opposite has happened.

目前个股的波动性处于其历史区间的前3%。

Single stock volatility currently sits in the top 3% of its historical range.

各个行业板块的波动也比过去更加剧烈。

Sectors are also moving around more violently than in the past.

散户投资者常常是股价变动的推动力，这一点在迷因股票中表现得最为明显。

Retail investors are often the driver of incremental stock price movement, as seen most prominently in meme stocks.

如果专业人士真的能更好地为证券和风险定价，他们就应该能够利用这种波动性。

If the professionals truly price securities and risk better, they should be able to exploit this volatility.

技能悖论是一个引人入胜的叙事，但它远非对主动型基金经理整体表现不佳的决定性解释。

The paradox of skill is a compelling narrative, but it is far from a definitive explanation for aggregate active manager underperformance.

这就留下了第三种可能性。

That leaves a third possibility.

标普500指数之所以表现优异，恰恰是因为它的主动特征。

The S and P 500 has been winning precisely because of its active characteristics.

标普指数的集中度持续上升，市场领军企业主导了经济增长、利润和表现。

Concentration in the S and P has been on the rise, with market leading companies dominating economic growth, profits, and performance.

我们无需做出负面判断，认为标普500指数过于集中、承担了超额风险或即将崩盘。

We don't need to make a pejorative statement that the S and P 500 is too concentrated, carries excess risk, or is poised for a meltdown.

更重要的是，要认清当前指数的构成，并重新思考这对投资组合构建和业绩衡量意味着什么。

It's important instead to recognize the constitution of the index today and rethink what that means for portfolio construction and performance measurement.

重新思考投资组合构建：在我职业生涯的大部分时间里，标普500指数一直是评估基金经理表现的合适基准。

Rethinking Portfolio Construction Throughout most of my career, the S and P 500 has been an appropriate bogey to assess manager performance.

但今天已经不是了。

It's not today.

股票市场敞口应提供广泛、分散且流动性良好的经济增长暴露。

Equity market exposure should provide broad based, diversified, liquid exposure to economic growth.

今天的标普500指数忽视了经济的大部分行业，而偏向那些表现优异且高度依赖人工智能未来的行业。

Today's S and P 500 ignores most sectors of the economy while favoring sectors that have been winning and are highly exposed to the future of AI.

如果标普500指数的优异表现源于一种隐性的主动押注，投资者在将其作为被动投资标的时应谨慎思考。

If the S and P 500 is winning because of an implicit active bet, investors should think carefully before accepting the index as their passive exposure.

如果这种风险是刻意承担的，那并无不妥。

There's nothing wrong with accepting this risk if it's intentional.

盲目使用标普500指数来衡量业绩也存在问题。

Blindly using the S and P 500 to measure performance is also problematic.

几乎在所有使用‘阿尔法’这个词的场合中，人们都很少关注所使用的贝塔基准。

Almost every use of the word alpha pays little attention to the beta being used for comparison.

治理委员会依据基准来评估业绩，而标普500长期以来一直是几乎所有领域的隐性基准。

Governance boards assess performance based on benchmarks, and the S and P 500 has long served as the implicit benchmark for just about everything.

更换基准从来都不是好事，因为它会让投资者显得在玩弄规则以合理化业绩不佳。

Shifting benchmarks is never a good look, as it leaves an investor exposed to the perception of playing games to justify underperformance.

但这是一个罕见的情况，资产配置者和委员会需要重新思考他们长期坚持的治理结构。

But this is a rare instance where allocators and boards need to rethink their long held governance structure.

大卫·斯文森曾称，分散投资是投资中唯一的免费午餐。

David Swenson called diversification the only free lunch in investing.

在今天的股票市场中，分散投资已不再存在于市值加权的标普500指数中。

In today's equity markets, diversification no longer resides in the cap weighted S and P 500.

对于大多数投资者来说，低成本的被动投资通常是很好的策略。

Low cost, passive investing is a great approach for many investors most of the time.

大多数主动型基金经理根本无法胜出。

The majority of active managers simply won't win.

但与过去十年不同的是，许多主动型基金经理现在将取得胜利。

But unlike over the last decade, many active managers will win.

领先的首席投资官们正在深入思考这个问题。

Leading CIOs are thinking deeply about this problem.

我与几位人士交流过，他们将分散投资作为在公开和私募市场中选择主动管理的理由。

I've spoken to several who cite diversification as a rationale for active management in both public and private markets.

这是我以前从未听过的观点。

That's something I've never heard before.

广义上的主动管理可以指指数基金的选择、因子ETF，或主动型基金经理的选择。

Active management defined broadly can mean index fund selection, factor ETFs, or the selection of an active manager.

然而，这并不意味着默认选择标普500指数。

It's not, however, a default to the S and P 500.

标普500指数的全面上涨势头可能已经见顶，因为在1月和2月，等权重标普500指数跑赢了市值加权指数7%，这是十七年来的首次。

The rising tide of the S and P 500 may have peaked, as the equal weighted S and P 500 bested the cap weighted by 7% in January and February, a gap not seen in seventeen years.

从第一性原理出发，投资者应重新思考标普500指数的使用方式，无论是作为被动投资工具，还是作为衡量成功的基准。

Investing from first principles calls for allocators to rethink their use of the S and P 500 index, both as a passive vehicle and as a benchmark for success.

感谢收听本节目。

Thanks for listening to the show.

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If you like what you heard, hop on our website at capitalallocators.com where you can access past shows, join our mailing list, and sign up for premium content.

祝你愉快，我们下次再见。

Have a good one and see you next time.