全套美国投资哲学,过千张pdf版pptindexn

AswathDamodaran1TheCaseForPassiveInvestingAswathDamodaranAswathDamodaran2TheMechanicsofIndexingQFullyindexedfund:Anindexfundattemptstoreplicateamarketindex.Itisrelativelysimpletocreate,oncetheindextobereplicatedhasbeenidentified.1.Identifytheindextobereplicated.(Example:S&P500)2.Estimatethetotalmarketvaluesofequityofallfirmsinthatindex.3.Createamarket-valueweightedportfolioofstocksintheindex.Thisfundwillreplicatetheindexandisselfcorrecting.Itwillneedtobeadjustedonlyifstocksenterorleavetheindex.QSampledIndexfund:Here,yousampleanindexbecausetheindexcontainstoomanystocksliketheWilshire5000oritistooexpensivetoindextheassetsinafund.AswathDamodaran3TheVanguard500IndexFundFigure13.2:GrowthoftheVanguard500indexfund01020304050607080901001980198119821983198419851986198719881989199019911992199319941995199619971998199920002001YearFundAssetsinbillionsAswathDamodaran4TheCaseforIndexingQThecaseforindexingisbestmadebyactiveinvestorswhotrytobeatthemarketandfail.QInthefollowingpages,wewillconsiderwhether•Individualinvestorswhoareactiveinvestorsbeatthemarket•ProfessionalmoneymanagersbeatthemarketAswathDamodaran5IndividualInvestorsQTheaverageindividualinvestordoesnotbeatthemarket,afternettingouttradingcosts.Between1991and1996,forinstance,theannualnet(oftransactionscosts)returnonanS&P500indexfundwas17.8%whereastheaverageinvestortradingatthebrokeragehousehadanetreturnof16.4%.QThemoreindividualinvestorstrade,thelowertheirreturnstendtobe.Infact,thereturnsbeforetransactionscostsareaccountedforarelowerformoreactivetradersthantheyareforlessactivetraders.Aftertransactionscostsareaccountedfor,thereturnstoactivetradinggetworse.QPoolingthetalentandstrengthsofindividualinvestorsintoinvestmentclubsdoesnotresultinbetterreturns.BarberandOdeanexaminedtheperformanceof166randomlyselectedinvestmentclubsthatusedthediscountbrokeragehouse.Between1991and1996,theseinvestmentclubshadanetannualreturnof14.1%,underperformingtheS&P500(17.8%)andindividualinvestors(16.4%).AswathDamodaran6ProfessionalMoneyManagersQProfessionalmoneymanagersoperateastheexpertsinthefieldofinvestments.Theyaresupposedtobebetterinformed,smarter,havelowertransactionscostsandbebetterinvestorsoverallthansmallerinvestors.QStudiesofmutualfundsdonotseemtosupportthepropositionthatprofessionalmoneymanagerseachexcessreturns.AswathDamodaran7Jensen’sResultsFigure13.3:MutualFundPerformance:1955-64-TheJensenStudy-0.08-0.07-0.06-0.05-0.04-0.03-0.02-0.0100.010.020.030.040.050.06Intercept(ActualReturn-E(R))AswathDamodaran8Thesameholdstrueforbondfundsaswell…100200300LehmanBondIndexActiveBondfunds84838586878889909192AswathDamodaran9MoreFindingsonMoneyManagersQTheseresultshavebeenreplicatedwithmildvariationsintheconclusions.Inthestudiesthataremostfavorableforprofessionalmoneymanagers,theybreakevenagainstthemarketafteradjustingfortransactionscosts,andinthosethatareleastfavorable,theyunderpeformthemarketevenbeforeadjustingfortransactionscosts.AswathDamodaran10MeasurementIssue1:SensitivitytoRiskMeasuresQTheJensenstudyusedthecapitalassetpricingmodeltoestimateandcorrectforrisk.QThelimitationsoftheCAPMhaveopenedupthequestionofhowsensitivetheconclusionsattodifferentriskandreturnmodels.AswathDamodaran111.RelativetotheMarket0%10%20%30%40%50%60%70%80%197119721973197419751976197719781979198019811982198319841985198619871988198919901991199219931994199519961997199819992000YearFigure13.5:PercentofMoneyManagerswhobeattheS&P500AswathDamodaran122.OtherRiskMeasuresQ:TheSharperatio,whichiscomputedbydividingtheexcessreturnonaportfoliobyitsstandarddeviation,theTreynormeasure,whichdividestheexcessreturnbythebetaandtheappraisalratiowhichdividesthealphafromtheregressionbythestandarddeviationcanbeconsideredcloserelativesofJensen’salpha.Studiesusingallthreeofthesealternativemeasuresconcludethatmutualfundscontinuetounderperformthemarket.QInastudythatexaminedthesensitivityoftheconclusiontoalternativeriskandreturnmodels,LehmannandModestcomputedtheabnormalreturnearnedbymutualfundsusingthearbitragepricingmodelfor130mutualfundsfrom1969to1982.Whilethemagnitudeoftheabnormalreturnsearnedissensitivetoalternativespecificationsofthemodel,everyspecificationofthemodelyieldsnegativeabnormalreturns.AswathDamodaran133.ExpandedProxyModelsQStudiesseemtoindicatethatriskandreturnmodelconsistentlyunderestimatetheexpectedreturnsforstockswithlowpricetobookratios,lowmarketcapitalizationandpricemomentum.QIn1997,Carhartusedafour-factormodel,includingbeta,marketcapitalization,pricetobookratiosandpricemomentumasfactors,andconcludedthattheaveragemutualfundstillunderperformedthemarketbyabout1.80%ayear.Inotherwords,youcannotblameempiricalirregularitiesfortheunderperformanceofmutualfunds.AswathDamodaran14MeasurementIssue2:SurvivorBiasQOneofthelimitationsofmanystudiesofmutualfundsisthattheyuseonlymutualfundsthathavedataavailableforasampleperiodandareinexistenceattheendofthesampleperiod.Sincethefundsthatfailarelikelytobethepoorestperformers,thereislikelytobeabiasintroducedinthereturnsthatwecomputeforfunds.QCarhartexaminedallequitymutualfunds(includingfailedfun