华
尔街有众多共同基金想卖给你，它们或是“绝对回报”基金，或是“中型股混合”基金，还有可能是“小型股增长”基金。许多经纪商、理财顾问和销售员都会对你说，只有将所有这些基金按适当比例混合持有，你才能构建出合理的投资组合，使其回报与你的“风险承受能力”做到完美匹配。
一派胡言。
在你投入真金白银前，不妨听听鲍勃•豪根（Bob Haugen）的高见。
曾担任金融学教授的他花费了半生时间来研究股票市场。他撰写过众多书籍和论文，还与人合写了Case Closed这篇非凡的分析文章。
他在文中不厌其烦地详细分析了在1963年至2007年近半个世纪时间内那些表现最好（以及表现最差）股票的特征。
他发现了什么？
大多数所谓“时尚”股票都不值得投资。而那种要获得更多回报就得承受更大“风险”的说法则是彻头彻尾的谎言。
豪根说，股票市场其实有一个巨大秘密。
他说，几十年来，“那些有着最高风险的股票创造了最低的回报，而那些有着最低风险的股票则创造了最高的回报。”换句话说，股票的风险与回报应该成反比才对......从他对45年间股市表现的研究看，市场对风险的回报一向是为负的。
你不会因为自己承受风险而获得回报，却会因选择不承受风险而获得回报。
所有那些迷人而性感的“增长型”股票，所有那些你在不顾一切追求高回报过程中承受的额外波动性，都不是什么好东西。
如果你当初把资金投入那些似乎只能让你保本微利的低风险“价值型”股票，你的投资收益其实会好得多。
在时间检验中胜出的是那些综合考虑每股净资产值、收益、现金流和派息等因素后价格显得低廉的股票。发行这些股票的公司目前就有数额巨大且不断增长的利润，这些股票不属于那些将幸福一股脑寄希望于未来10年的公司。它们还常常能从股市近期的增长动力中获益。
虽然豪根说，很难找到堪称“完美”的个股，但你依然能够找到表现良好的股票来构建投资组合。
投资价值型股票可以获得良好回报。豪根和Case Closed一文的另一位作者纳丁•贝克（Nardin Baker）写道：有强大证据显示，与所有那些有关预期回报的复杂理论相比，简单的直觉更为靠谱。
简单的直觉事实上会让你更轻松地赚更多的钱。即使是在计算进交易成本后，凭直觉进行投资的策略也能奏效。
这一发现也并非只适用于美国。豪根还研究了英国、法国、德国和日本股市的历史数据。
结果是一样的。波动性较低的股票带来了较高的回报。简直是免费午餐嘛。
很多专业投资者已经知道这一点，但有太多的人不知道。而知道的人当中，又有很多人不断忘记，一次又一次地急着追捧那些昂贵的“潜力股”。最近的情况就是这样。
华尔街也不会过于广泛地向公众散播这种宝贵的信息。跟客户解释起来是很困难的。而且，如果客户知道有一个以更低风险获取更高回报的简便方法，他们还需要基金经理干吗呢？
不只豪根一人做出了这样的分析。反向投资者多年来强调的数据显示，在任何一个较长时间段内，“价值型”股票总能跑赢“增长型”股票。
投资公司GMO的知名策略师蒙迪埃(James Montier)曾经证明，日本过去20年的大熊市完全是缘于“魅力”股的下跌。他发现，这期间如果你持有日本的价值股，同时做空这些魅力股，你实际上会赚到钱。
这种免费午餐证明，市场远远谈不上完全“有效”。豪根说，这个事实对有效市场假说堪称致命一击。
就连一些狂热崇拜有效市场假说的人也都被迫部分承认了这类观点。他们几十年来坚持认为，要获得更高回报，你就得承受更大波动或曰“风险”。回过头来看数据时，他们才意识到实际情况并不全是这样。他们承认，小公司的表现比大公司好，价值型股票的表现比增长型股票好──尽管它们含有的风险更低。
哦，原来就是这样有效啊。
这对今天的你来说意味着什么？
碰巧，过去两年股市反弹期间增长型股票出现了大幅上涨。于是投资者再次任由自己幻想未来的辉煌，而不是紧盯今天的利润。FactSet的数据显示，从2009年年初开始，增长型股票的表现比价值型股票好20%。这令人难以置信。小盘增长型股票表现最好。所有股票中最安全的大盘价值股表现最差。
如果历史可为镜鉴，这种现象将会是一时的，它对聪明的长线投资者来说是一次机会。显而易见的结论是，现在就该抛售增长型股票、买入价值股或价值股基金。虽然我对处于目前水平的整个股市持谨慎态度，但如果要买股票的话，我会买进一只低估值的大盘价值股基金。
Brett Arends
（本文译自MarketWatch）
（本文版权归道琼斯公司所有，未经许可不得翻译或转载。）
Wall Street has a wide array of mutual funds it wants to sell you. 'Absolute return' this. 'Midcap blend' that. 'Small-cap growth' whatever.
Many brokers, advisers and salesmen will tell you that just the right mix of each one will give you a portfolio that's 'right for you,' with returns perfectly adjusted to your 'risk tolerance.'
Phooey.
Before you invest a penny, listen to Bob Haugen.
He's a former finance professor who's spent half a lifetime studying the stock market. He's written a number of books and papers, and is the co-author of remarkable piece of analysis entitled 'Case Closed' and available here. Read the analysis .
He looked in excruciating detail at the characteristics of which stocks did best (and worst) over nearly half a century, from 1963 to 2007.
His finding?
Most of these 'styles' are a waste of time. And the idea that you need to take on more 'risk' to earn higher returns is a total con.
On the contrary, he says, the stock market has a big secret.
Over many decades, 'the stocks with the highest risk produced the lowest returns ─ and stocks with the lowest risk produced the highest returns.' In other words, he says, 'the risk/return ratio was upside down ... the payoff to risk is consistently negative over the 45-year period of this study.'
Instead of being paid to take risk, you got paid not to.
All those glamorous, sexy 'growth' stocks? All that extra volatility you took on in the desperate pursuit of the next big thing? It was a bad move.
You would have done much better investing in the dull, low-risk, widow and orphan 'value' stocks.
These winners were stocks that were cheap in relation to their net assets, earnings, cashflows, and dividends. They were stocks in companies that had big and growing profits today, not pie-in-the-sky expectations for next decade. They often also had recent positive momentum on the stock market.
While Haugen tells me it's rare to find an individual stock that's a 'perfect fit,' you can build a portfolio of stocks that are good fits.
Investing in value works. Haugen and Nardin Baker, in 'Case Closed,' wrote: 'the evidence strongly suggests that this simple intuition is more powerful than any of the complex theories about expected return that can be found in the literature of Modern Finance!'
They actually earned you more money and gave you a smoother ride. The strategy worked even after counting trading costs.
This has not just been true in the U.S., either. Haugen has also looked at historical data on the British stock market. On the Paris bourse. In Germany. In Japan.
The results were the same. Lower volatility stocks gave you higher returns. A free lunch.
Many professional investors already know this. But too many don’t. And many of those who do know it keep forgetting it ─ and rushing out and chasing expensive “growth” stocks all over again. That’s what’s been happening lately (more on this below).
Wall Street doesn’t spread the value message too widely to the public, either. It’s hard to explain to customers. And if the customers knew there was a simple way to get more return with less risk, why would they need their fund managers?
Haugen is not alone in his analysis. For years, contrarian investors have highlighted data showing that “value” has beaten “growth” over any decent stretch of time.
James Montier, the renowned strategist at GMO, once showed that the great Japanese bear market over the past 20 years has been due entirely to falling “glamor” stocks. If you had owned Japanese value stocks, and “shorted” or got against the glamor stocks, he found, you actually would have made money.
This free lunch proves that the market is far from perfectly “efficient.” Haugen himself argues it drives “a stake through the heart of the efficient market hypothesis.”
Even members of the efficient market cult have been forced to concede some of these points. For decades they maintained that to earn higher returns, you needed to take on more volatility, or “risk.” Then they looked again at the data and realized it wasn’t quite true. They admitted, instead, that small companies had done better than large companies. And value stocks had done better than growth stocks even though they entailed less risk.
Oops. So much for efficiency!
What does this mean for you today?
It just so happens that growth stocks have boomed in the rally of the past two years. Once again, investors have allowed themselves to start dreaming of future glory instead of looking hard at present day profits. Since the start of 2009, growth stocks have outperformed value by 20%, according to FactSet. That’s an incredible margin. Small-cap growth stocks have done best. And large-cap value stocks ─ the safest of them all ─ have done worst.
If history is any guide, this will be a temporary phenomenon ─ and an opportunity for wise long-term investors. The obvious conclusion is that this is a moment to dump growth stocks and buy value stocks, or value funds, instead. While I am cautious about the stock market overall at current levels, if I were buying stocks here I’d buy a low-cost, large-cap value fund.
Brett Arends
Many brokers, advisers and salesmen will tell you that just the right mix of each one will give you a portfolio that's 'right for you,' with returns perfectly adjusted to your 'risk tolerance.'
Phooey.
Before you invest a penny, listen to Bob Haugen.
He's a former finance professor who's spent half a lifetime studying the stock market. He's written a number of books and papers, and is the co-author of remarkable piece of analysis entitled 'Case Closed' and available here. Read the analysis .
He looked in excruciating detail at the characteristics of which stocks did best (and worst) over nearly half a century, from 1963 to 2007.
His finding?
Most of these 'styles' are a waste of time. And the idea that you need to take on more 'risk' to earn higher returns is a total con.
On the contrary, he says, the stock market has a big secret.
Over many decades, 'the stocks with the highest risk produced the lowest returns ─ and stocks with the lowest risk produced the highest returns.' In other words, he says, 'the risk/return ratio was upside down ... the payoff to risk is consistently negative over the 45-year period of this study.'
Instead of being paid to take risk, you got paid not to.
All those glamorous, sexy 'growth' stocks? All that extra volatility you took on in the desperate pursuit of the next big thing? It was a bad move.
You would have done much better investing in the dull, low-risk, widow and orphan 'value' stocks.
These winners were stocks that were cheap in relation to their net assets, earnings, cashflows, and dividends. They were stocks in companies that had big and growing profits today, not pie-in-the-sky expectations for next decade. They often also had recent positive momentum on the stock market.
While Haugen tells me it's rare to find an individual stock that's a 'perfect fit,' you can build a portfolio of stocks that are good fits.
Investing in value works. Haugen and Nardin Baker, in 'Case Closed,' wrote: 'the evidence strongly suggests that this simple intuition is more powerful than any of the complex theories about expected return that can be found in the literature of Modern Finance!'
They actually earned you more money and gave you a smoother ride. The strategy worked even after counting trading costs.
This has not just been true in the U.S., either. Haugen has also looked at historical data on the British stock market. On the Paris bourse. In Germany. In Japan.
The results were the same. Lower volatility stocks gave you higher returns. A free lunch.
Many professional investors already know this. But too many don’t. And many of those who do know it keep forgetting it ─ and rushing out and chasing expensive “growth” stocks all over again. That’s what’s been happening lately (more on this below).
Wall Street doesn’t spread the value message too widely to the public, either. It’s hard to explain to customers. And if the customers knew there was a simple way to get more return with less risk, why would they need their fund managers?
Haugen is not alone in his analysis. For years, contrarian investors have highlighted data showing that “value” has beaten “growth” over any decent stretch of time.
James Montier, the renowned strategist at GMO, once showed that the great Japanese bear market over the past 20 years has been due entirely to falling “glamor” stocks. If you had owned Japanese value stocks, and “shorted” or got against the glamor stocks, he found, you actually would have made money.
This free lunch proves that the market is far from perfectly “efficient.” Haugen himself argues it drives “a stake through the heart of the efficient market hypothesis.”
Even members of the efficient market cult have been forced to concede some of these points. For decades they maintained that to earn higher returns, you needed to take on more volatility, or “risk.” Then they looked again at the data and realized it wasn’t quite true. They admitted, instead, that small companies had done better than large companies. And value stocks had done better than growth stocks even though they entailed less risk.
Oops. So much for efficiency!
What does this mean for you today?
It just so happens that growth stocks have boomed in the rally of the past two years. Once again, investors have allowed themselves to start dreaming of future glory instead of looking hard at present day profits. Since the start of 2009, growth stocks have outperformed value by 20%, according to FactSet. That’s an incredible margin. Small-cap growth stocks have done best. And large-cap value stocks ─ the safest of them all ─ have done worst.
If history is any guide, this will be a temporary phenomenon ─ and an opportunity for wise long-term investors. The obvious conclusion is that this is a moment to dump growth stocks and buy value stocks, or value funds, instead. While I am cautious about the stock market overall at current levels, if I were buying stocks here I’d buy a low-cost, large-cap value fund.
Brett Arends
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