外文翻譯--共同基金可以看透市場嗎（節(jié)選）

1、<p>　　1500單詞，7500英文字符，2050漢字</p><p>　　Can Mutual Funds Outguess the Market</p><p>　　JL Treynor，KK Mazuy</p><p>　　ANA LYTICAL APPROACH</p><p>　　Thus, when we talk

2、about investment managers outguessing the market, we mean anticipating whether the general stock market is going to rise or fall and adjusting the composition of their portfolios accordingly. That is, if they think the m

3、arket is going to fall, they shift the composition of the portfolios they manage from more to less volatile securities (including bonds). If they think the market is going to rise, they shift in the opposite directi

4、on. The result of such shifts is a change</p><p>　　Performance Data Used</p><p>　　Data for the mutual funds in our sample were obtained from Investment Compa- nies 1963, by Arthur Wiesenberger

5、Company.2 For open-end investment companies, Wiesenberger employs the following formula to compute rate of return: “To asset value per share at the end of the period, adjusted to reflect reinvestment of all capital gains

6、 distributions, add dividends per share paid during the period from investment income, similarly adjusted; divide the total by the starting per share asset value.”3</p><p>　　The resulting rate-of-return fig

7、ure is only approximate, since it disregards sub- tleties relating to (1) the timing within the period of dividend distributions and (2) the relative after-tax value to the shareholder of market appreciation, on the one

8、hand, and of dividend-interest income, on the other. We feel, however, that the measure is probably adequate for our purpose, even though these effects are disregarded.</p><p>　　The Characteristic Line</p

9、><p>　　If, year by year, the rate of return for a managed fund is plotted against the rate of return, similarly defined, for a suitable market average—such as the Dow-Jones Industrial Average or the Stan

10、dard & Poor’s 500-Stock Index—the result is the kind of patterns shown in Exhibit 11.1. A line fitting the pattern is called the characteristic line. If the line has the same slope for years in which the market goes

11、up as for years in which the market goes down, the slope of the line is constant;</p><p>　　Outguessing the Market</p><p>　　What happens, however, if a fund management tries continually to outgue

12、ss the mar- ket by oscillating between two characteristic lines, one of which has a high volatility and the other, a low volatility?</p><p>　　Part B of Exhibit 11.1 illustrates the extreme case in which man

13、agement is able to outguess the market at every turn. Whenever management has elected the highly volatile composition demonstrated by characteristic line C-D, the market has risen; whenever management has elected the low

14、-volatility line A-B, the market has fallen. It is clear in this case that the characteristic line is no longer straight.</p><p>　　If, on the other hand, fund management guesses wrong as often as it guesses

15、right, then we have the kind of picture shown as Part C of Exhibit 11.1. Here the fund’s performance traces out the undesirable points H, G, F, and E as frequently as it traces out the desirable points A, B, C, and D. Th

16、e result is considerable scatter in the characteristic-line pattern, but no curvature.</p><p>　　Probably no fund management would claim to be able to anticipate the market perfectly. Let us assume, however,

17、that management has some prediction powers. Then, the better the market performs, the more likely management is to have antici- pated good performance and to have increased fund volatility appropriately; and the larger,

18、on the average, the chosen volatility is likely to be. The result will be a gradual transition of fund volatility from a flat slope at the extreme left of the characteri</p><p>　　The key to our test for succ

19、essful anticipation is simple: the only way in which fund management can translate ability to outguess the market into a benefit to the shareholder is to vary the fund volatility systematically in such a fashion that the

20、 resulting characteristic line is concave upward, as in Exhibit 11.1D. If fund manage- ment has correctly anticipated the market more often than not, then the characteristic line will no longer be straight. </p>&

21、lt;p>　　EXHIBIT 11.1 Illustrative Characteristic Lines</p><p><b>　　Findings</b></p><p>　　What does the study show? It shows no statistical evidence that the investment man- agers o

22、f any of the 57 funds have successfully outguessed the market. More precisely, we find no evidence of curvature of the characteristic lines of any of the funds.</p><p>　　Here are some of the more technical

23、aspects of our study:</p><p>　　In order to test for the presence of curvature, we used the methods mentioned earlier. (A least-squares regression technique was employed to fit characteristic- line data for

24、the 57 open-end mutual funds in our sample. That is, for each of the funds we calculated the constants for the equation which “best” describes the performance data of the mutual fund for the Standard & Poor’s Compos

25、ite Price Index as a quadratic function of the performance.)</p><p>　　Exhibit 11.3 summarizes our results. The value of the F statistic, plotted along the horizontal axis, is a measure of the degree of curv

26、ature of the fund (and is normalized to allow for variations in the amount of random scatter observed). The vertical axis shows the number of funds which had F values equal to the F value given on the horizontal axi

27、s. As the magnitude of an F value increases, the higher the probability that the amount of curvature seen for the fund is real, i.e., is greater</p><p>　　In our sample of 57 managed funds, only one displayed

28、 even an F value of 5.6.</p><p>　　This fund’s curve and also the actual data points are given in Exhibit 11.4.</p><p>　　In other words, our findings show that for the mutual funds in our sample,

29、 at least, it is safe to assume that their characteristic lines are straight. Actual funds tend to resemble the fund in Exhibit 11.1A rather than the funds in Exhibit 11.1B and 11.1D. Our results suggest that an investor

30、 in mutual funds is completely dependent on fluctuations in the general market. This is not to say that a skillful fund management cannot provide the investor with a rate of return that is higher in both ba</p>&l

31、t;p><b>　　40</b></p><p><b>　　35</b></p><p><b>　　30</b></p><p><b>　　25</b></p><p><b>　　20</b></p>&l

32、t;p><b>　　15</b></p><p><b>　　10</b></p><p><b>　　5</b></p><p><b>　　0</b></p><p><b>　　0</b></p><p

33、><b>　　F Value</b></p><p>　　6.06.57.07.5</p><p>　　EXHIBIT 11.3 Distribution of Funds According to F Value</p><p>　　?100102030%</p><p>　　EXHIBIT 11.

34、4 Characteristic Line of the Fund That Has the Greatest F Value</p><p>　　improvement in rate of return will be due to the fund manager’s ability to identify underpriced industries and companies, rather than

35、to any ability to outguess turns in the level of the market as a whole.</p><p>　　The fact that only one of the 57 mutual funds in our sample has a character- istic line suggesting curvature indicates that

36、perhaps no investor—professional or amateur—can outguess the market. This finding has clear significance for the man in the street managing his own portfolio, for the man with fiduciary responsibility for a private esta

37、te, for the president of a manufacturing company responsible for its pension fund, and for a college treasurer managing an endowment. It means that probab</p><p>　　共同基金可以看透市場嗎?</p><p><b>

38、　　分析方法</b></p><p>　　因此，當(dāng)我們討論投資經(jīng)理預(yù)測市場時，我們的意思是預(yù)測大盤是上升還是下跌，并相應(yīng)地調(diào)整其投資組合。也就是說，如果他們認(rèn)為大盤將下跌，他們就會調(diào)整自己所管理的投資組合構(gòu)成，減少波動性較大的股票的持有（包括債券）。如果他們預(yù)測大盤將上升，就會做反方向的操作。這樣調(diào)整的結(jié)果是有效投資組合波動性的變化。（本文作者之一在《哈佛商業(yè)評論（HBR）》上提出過一個簡單的關(guān)于投資

39、組合波動性的圖形分析，后文將對此做詳細(xì)介紹）。</p><p><b>　　使用的績效數(shù)據(jù)</b></p><p>　　我們樣本中共同基金的數(shù)據(jù)來源于Arthur Wiesenberger公司的《投資公司 1963》。開放型投資公司W(wǎng)iesenberger采用下列公式計算回報率:“經(jīng)過調(diào)整以反映全部資本得利再投資的期末每股資產(chǎn)價值，加上同樣經(jīng)過調(diào)整的投資收益期間每股股

40、利；總數(shù)除以期初每股資產(chǎn)價值。</p><p>　　投資回報率的數(shù)據(jù)結(jié)果只是一個近似值，因為它忽略了一些細(xì)節(jié)，關(guān)于（1）股息分配期間的時間計算和（2）股東資本利得及股利利息的稅后價值。盡管忽略了這些因素的影響，但我們認(rèn)為這一測量方法應(yīng)該還是適用的。</p><p><b>　　特征線</b></p><p>　　如果一支共同基金的收益率被逐年繪

41、制出來以反映市場平均收益率——比如道瓊斯工業(yè)平均指數(shù)和標(biāo)準(zhǔn)普爾500指數(shù)——其結(jié)果就是如表11.1所示的模式。擬合該模式的直線就稱之為特征線。如果這條線在行情上升的年份與行情下跌的年份都保持同樣的斜率，那么這條線的斜率就是固定的；此線便是直的。如果是這種情況，一個簡單的數(shù)字——該線傾角的正切值——便足以描述此基金對市場波動的敏感性特征，從而我們可以比較有意義地討論該線的波動性。</p><p><b>

42、　　預(yù)測大盤</b></p><p>　　然而，如果基金管理人繼續(xù)試圖通過兩條特征線間的震蕩趨勢來預(yù)測市場會怎么樣呢？其中一條具有高波動性，一條則具有低波動性。</p><p>　　圖示 11.1的B部分闡明了這種極端情況，即基金管理人在每個拐點都能預(yù)測市場行情。每當(dāng)管理人選擇具有高波動性的組合，如特征線C-D所示，行情都會上升；每當(dāng)管理人選擇低波動性的組合，如特征線A-B所示

43、，行情都下降。很明顯在這種情況下，特征線就不再會是直的了。</p><p>　　另一方面，如果管理人預(yù)測錯誤的次數(shù)和預(yù)測正確的一樣多，那我們就會得到如圖示11.1C部分所示的圖形?；鸬谋憩F(xiàn)軌跡為非期望的H,G,F和E點的頻率和軌跡為期望的A,B,C和D點的一樣高。最終特征線圖中呈現(xiàn)的是大量的散點，而不是曲線。</p><p>　　大概沒有管理基金會聲稱可以完美預(yù)測市場行情。但是我們假設(shè)管

44、理人有一定的預(yù)測能力。市場表現(xiàn)越好，管理人越有可能獲得預(yù)期的良好表現(xiàn)和恰當(dāng)?shù)卦黾踊鸩▌有裕槐贿x組合的平均波動率可能也就越大。其結(jié)果是基金的波動性產(chǎn)生一個漸變，從特征線圖形最左端的較小斜率到最右端的較大斜率，斜率在兩端間差不多是連續(xù)變化，由此管理人錯誤預(yù)測導(dǎo)致的一些散點形成一條光滑的彎曲的特征線圖形（如圖示11.1的D部分所示），而不是像圖示11.1B部分所示的因政策導(dǎo)致的扭曲圖形。</p><p>　　我們關(guān)于

45、成功預(yù)測市場的研究測試的關(guān)鍵其實很簡單：在特征線彎曲向上時，如圖示11.1D部分所示，基金管理者將預(yù)測行情的能力轉(zhuǎn)換為股東利潤的唯一方式是系統(tǒng)地改變基金的波動性。如果基金管理人正確預(yù)測行情的次數(shù)多于錯誤預(yù)測，那特征線將不再是直的。</p><p>　　EXHIBIT 11.1 Illustrative Characteristic Lines</p><p><b>　　結(jié)論&l

46、t;/b></p><p>　　這一研究說明了什么？沒有統(tǒng)計證據(jù)表明57支樣本基金中有任何投資管理人可以成功預(yù)測市場行情。更準(zhǔn)確地說，我們沒有發(fā)現(xiàn)任何樣本基金特征線彎曲的證據(jù)。</p><p>　　下面是我們一些更技術(shù)層面的研究：</p><p>　　為了測試彎曲的存在性，我們使用了前文所提及的手段。（將利用最小二乘回歸法擬合我們樣本中57支共同基金的特征線數(shù)

47、據(jù)。也就是說，我們將標(biāo)普綜合價格指數(shù)作為績效二元方程，計算出每只基金在等式中的常數(shù)以最好地描述共同基金的績效數(shù)據(jù)）</p><p>　　圖示11.3歸納了我們的結(jié)果。沿著橫軸繪制的F值是對基彎曲程度的測量值（經(jīng)過標(biāo)準(zhǔn)化以容錯一些隨機散點的變動性）?？v軸表示基金的數(shù)量，它使F值與橫軸所給的F值相等。當(dāng)F值增大，基金圖形彎曲的概率越大，也就是說越不可能是偶然觀測到的隨機現(xiàn)象。垂直的虛線標(biāo)志著F值為[5.6]，與表面彎

48、曲的總數(shù)相一致，沒有發(fā)生真實彎曲的基金的F值也有一次達(dá)到了20。一支基金的F值應(yīng)大于5.6才能被視作有真實的彎曲。</p><p>　　在我們57支樣本基金中，只有一只的F值達(dá)到5.6.這只基金的曲線和具體數(shù)據(jù)點如圖示11.4所示。</p><p>　　換句話說，我們的調(diào)查顯示，就我們樣本中的共同基金而言，至少可以肯定地認(rèn)為其特征線是直的。實際的基金類似于圖示11.1A的模式而非圖示11.

49、1B和11.1D所示的基金。我們的結(jié)果顯示共同基金的投資者完全依賴大盤的波動。這并不是說高明的管理人無法給投資者帶來無論牛熊行情都比市場平均要高的收益，而是說收益率的提高取決于基金管理人識別被低估行業(yè)、企業(yè)的能力，而不是預(yù)測大盤每個拐點的能力。</p><p>　　EXHIBIT 11.3 Distribution of Funds According to F Value</p><p>

50、;　　EXHIBIT 11.4 Characteristic Line of the Fund That Has the Greatest F Value</p><p>　　我們57支樣本共同基金中只有一支特征線發(fā)生彎曲的事實說明可能沒有投資者——無論是專業(yè)的還是業(yè)余的——能夠預(yù)測大盤。這一發(fā)現(xiàn)對那些自己在市場上管理投資組合的人，對受托管理私人資產(chǎn)的人，對制造業(yè)企業(yè)養(yǎng)老金管理者，對大學(xué)基金財務(wù)主管都具明顯意義。