本文摘要:Investors for years have been searching in vain for a formula to replicate Warren Buffetts legendary returns over the past 50 years.多年来,投资者仍然在找寻一套公式,意欲拷贝沃伦巴菲特(Warren Buffett)50年获得的神秘报酬,但都徒劳无功。The wait could be over.也许不用再行去找了。


Investors for years have been searching in vain for a formula to replicate Warren Buffetts legendary returns over the past 50 years.多年来,投资者仍然在找寻一套公式,意欲拷贝沃伦巴菲特(Warren Buffett)50年获得的神秘报酬,但都徒劳无功。The wait could be over.也许不用再行去找了。

A new study that claims to have uncovered this formula was published last month by the National Bureau of Economic Research in Cambridge, Mass. Its authors, all of whom have strong academic credentials, work for AQR Capital Management, a firm that manages several hedge funds and other investment offerings and has $90 billion in assets.马萨诸塞州坎布里奇国家经济研究局(National Bureau of Economic Research)11月份公开发表一项新的研究成果,声称寻找了这套公式。论文作者都有很深的学术资历,他们供职的AQR资产管理公司(AQR Capital Management)管理着多只对冲基金和其他一些投资产品,资产规模约900亿美元。

The studys authors analyzed Mr. Buffetts record since he acquired Berkshire Hathaway in 1964. Their formula, which has more than a dozen individual components, comes in two major parts.论文作者分析了巴菲特从1964年并购伯克希尔哈撒韦公司(Berkshire Hathaway)以来的投资成绩。他们的公式所含十多个单项,可以概括为两个主要部分。The first is a focus on cheap, safe, quality stocks, defined as those that have exhibited below-average volatility and sport low ratios of price-to-book value -- a measure of net worth. In addition, the researchers looked for stocks whose profits are growing at an above-average pace and that pay out a significant portion of their earnings as dividends.第一部分是“专心于低廉、安全性、优质的股票”,即波动性高于平均水平、股价与每股账面价值之比(市净率,一种净值取决于指标)不高的股票。除此以外,研究人员还寄予厚望利润快速增长低于平均速度、相当大一部分利润当成股息发放过来的股票。

The second part of the formula will raise eyebrows: It calls for investing in these stocks on margin -- that is, borrowing money to buy more shares than could otherwise be purchased. To match Mr. Buffetts long-term return, the researchers found, a portfolio would need to be 60% on margin -- borrowing enough so that it owned $160 of cheap, safe, quality stocks for every $100 of portfolio value.公式的第二部分将不会令人讶异:它拒绝用“保证金交易”来投资这些股票,也就是还债卖股,买入的数量比不还债需要购买的更好。研究人员找到,要超过巴菲特那样的长年报酬,投资人组必须有60%的买入比例,也就是说,借款比例不足以让每100美元的投资人组持有人160美元“低廉、安全性、优质的股票”。Andrea Frazzini, one of the studys authors, a finance professor at New York University and a vice president at AQR, said the Berkshire portfolio has, on average, been leveraged to a similar extent through Mr. Buffetts career.论文作者之一、纽约大学(New York University)金融学教授、AQR公司副总裁安德烈亚弗拉奇尼 (Andrea Frazzini)说道,在巴菲特整个职业生涯中,伯克希尔投资人组的平均值杠杆率仍然与上述水平非常。

It can be easy to overlook the extent of this leverage, since Mr. Buffett is able to borrow from other parts of his business. But that doesnt mean the company isnt still leveraged, Mr. Frazzini argues. According to its most recent annual report, for example, the total value of Berkshires holdings are double the companys net worth, implying that its current leverage is about 2-to-1 -- somewhat higher than its long-term average.这样的杠杆率很更容易被忽视,因为巴菲特可以从他公司的其他部门借款。但弗拉奇尼说道,这并不意味著该公司就没杠杆了。

比如从最近年报来看,伯克希尔的股权总值是其净值的两倍,解释它当前的杠杆率大约为2比1──比它的长年平均水平还要低一些。Employing margin can magnify profits, of course. It also increases potential losses when things go wrong. But note that the formula combines a heavy use of margin with stocks that tend to be much less risky than the market, so the net result can still be a portfolio that is no riskier than the market as a whole.使用保证金交易当然可以缩放利润。当行情危急的时候,它也不会减少潜在损失。但请注意,前面说道的那套公式是将保证金交易的大量用于同风险近高于市场的股票融合,所以综合来看的话,投资人组的风险依然可以不低于大市。

To be sure, a heavily margined portfolio will always run the risk of getting a margin call -- the need to come up with additional cash -- if its holdings fall too far. Berkshire Hathaway has been able to sidestep that risk over the last 50 years. Despite a heavily reliance on leverage, its worst return in any calendar year was a loss of 9.6%. And its book value has been less volatile than the SP 500. Volatility is a common measure of a portfolios risk.无可否认的是,大量用于保证金交易的投资人组一直不存在接到“新增保证金通报”的风险──如果所所持资产跌幅过于大,那么就要现金更好的现金。伯克希尔哈撒韦在过去50年里仍然需要避免这种风险。

虽然相当严重依赖杠杆,其大自然年度最好的回报率也就是亏损9.6%。而且其账面价值的波动性也高于标准普尔500种股票指数(SP 500)。波动性是取决于投资人组风险的一个常用指标。

One factor that is conspicuous in its absence from the formula is anything to account for Mr. Buffetts significant investments in privately owned companies. But that isnt necessary, according to the researchers, because the public companies in which he has invested have outperformed the private ones.公式中显著缺陷的一个因素,是它没说明巴菲特为什么大量投资非上市公司。但研究人员说道,这没适当,因为他所投上市公司的展现出好于非上市公司。

This is somewhat surprising, given that Mr. Buffett has often trumpeted his abilities to pick good managers. Yet the researchers nevertheless find that his returns are more due to stock selection than to his effect on management. (A Berkshire Hathaway spokeswoman said that Mr. Buffett declined to be interviewed.)考虑到巴菲特经常提倡他挑选出杰出管理人员的能力,这一点多少让人惊讶。但研究人员还是找到,其报酬“更好地源自选股,而非他对管理层的影响”。

(伯克希尔哈撒韦发言人回应巴菲特不拒绝接受专访。)Lasse Pedersen, another of the studys authors, a finance professor at New York University and a principal at AQR, stressed that Mr. Buffett still deserves plenty of credit. After all, he says, it has taken years for researchers to come up with a formula that, after the fact, does as well as Mr. Buffett has been doing for nearly 50 years. In addition, he had the discipline to stick to his approach through both thick and thin.论文的另一名作者、纽约大学金融学教授、AQR主要负责人之一拉斯佩德森(Lasse Pedersen)特别强调,巴菲特并非浪得虚名。


Unfortunately, the investment formula that the researchers devised isnt necessarily easy for individual investors to follow. It requires investing in a large and diversified basket of stocks, for example. Furthermore, adhering to the formula can be challenging for a portfolio that relies on margin.意外的是,研究人员总结出来的这套投资公式散户应用于一起不一定更容易。比如它拒绝投资众多篮子多样化的股票。

另外,对于一个依赖保证金交易的投资人组来说,固守这套公式也有可能遇上挑战。Nevertheless, it may be possible for you to at least partially follow the researchers formula without actually resorting to borrowed money. If you have cash in your portfolio, for example, you could add it to the portion you already have allocated to equities-achieving the equivalent of going on margin by, in effect, borrowing from yourself. This, of course, is what Mr. Buffett does by borrowing from other parts of his business.但是,你也许还是需要在不还债的情况下最少部分地运用研究人员总结出有的这套公式。比如,如果你的投资人组里面有现金,你可以把这些现金特到早已配备于股市的那部分中去。

这在事实上是自己给自己还债,也就相等于做到保证金交易。巴菲特从他公司的其他部门还债,当然也就是这种办法。Even if you decide not to follow the researchers investment formula precisely, this new study has important investment implications. For example, since the studys authors find that Mr. Buffetts record is due to neither luck nor magic, Berkshires performance need not suffer after Mr. Buffett retires -- so long as his successor is able to do just as good a job picking stocks.即使你要求不几乎按照研究人员的投资公式去做到,这项新的研究也具有最重要的投资含义。

比如论文作者找到巴菲特的成绩“既不是因为运气,也不是因为魔力”,所以如果继任者的选股能力跟他一样好,伯克希尔在巴菲特卸任之后的展现出就不一定很差。Thats a pretty big if, of course, but the researchers findings imply that a strict adherence to the same investment principles could, over time, do as well as Mr. Buffett has done historically.当然这个“如果”是个相当大的假设,但研究人员的找到意味著,如果严格遵守某种程度投资原则的话,随着时间的流逝,投资成绩是可以超过巴菲特的历史水平的。The study also holds out the tantalizing possibility that an investor following the formula can perform even better than Berkshire. Thats because, as Mr. Buffett has pointed out, his portfolio has grown so large that it will be difficult for it to perform as well in the future. In contrast, a smaller portfolio can profit from investing in stocks that are too small to make any meaningful difference to Berkshires bottom line.另外,这项研究也展出了一种撩拨人心的可能性:遵从这套公式的投资者甚至可以获得比伯克希尔还要好的成绩。


The following stocks from within the SP 1500 index score favorably along each of the five dimensions that the researchers employ in defining cheap, safe, quality stocks, according to FactSet. The ratios of their prices to per-share book values are below average, as are their betas -- a measure of the extent to which their prices move in lock step with the overall market.据FactSet说道,以下来源于标准普尔1500种股票指数(SP 1500)的股票十分合乎研究人员在定义“低廉、安全性、优质股票”时确认的五个维度。它们的价格相对于每股账面价值的比率高于平均水平,取决于股价与大市同步程度的“beta系数”也高于平均水平。In addition, these stocks are of companies whose profitability -- or total profits as a percentage of assets -- is above average, as is the five-year growth rate of that profitability. And, finally, these stocks are of firms whose dividends represent an above-average proportion of their earnings.除此以外,这些股票代表的公司“盈利能力”(总利润除以资产总额)低于平均水平,“盈利能力”五年增长率也低于平均水平。

最后,这些股票所代表公司的派息额占到其利润的比重也低于平均水平。Examples include drug retailer CVS Caremark; Devry Education Group, a for-profit education company; chipmaker Intel, Owens Minor, a medical-supplies distributor; grocery distributor Spartan Stores; and Vectren, an energy holding company.这些股票还包括:药品零售企业CVS Caremark;营利性教育企业Devry Education Group;芯片生产企业英特尔(Intel);医药用品经销商Owens Minor;百货经销企业Spartan Stores;能源控股公司Vectren。

Though there are no mutual funds that pick stocks according to the precise formula the researchers devise, several come close. One is offered by AQR: the U.S. Defensive Equity Fund, with an annual 0.51% expense ratio, or $51 for every $10,000 invested. Though the fund has a high minimum for those investing in it directly, it is available to investors through their financial advisers.虽然没哪只联合基金是几乎根据研究人员总结的公式来选股,但也有好几只较为相似。有一只是AQR销售的“防守型美股基金”(U.S. Defensive Equity Fund),年费率0.51%,即投资1万美元要交51美元的费用。

这只基金为必要投资的人原作了一个很高的低于额度,但投资者可以通过他们的投资顾问机构来投资。Another fund that focuses on some of the same stock-picking methods is the DFA US Large Cap Equity Portfolio. It is available to individuals only through their financial advisers or certain retirement and 529 plans, and fees vary.另一只侧重于上述一部分选股方法的基金是“DFA大盘美股投资人组”(DFA US Large Cap Equity Portfolio)。

散户不能通过投资顾问机构或某些退休金计划、529大学储蓄计划来投资,费率各有差异。The exchange-traded fund that perhaps come closest to following the researchers stock-picking methodology is iShares MSCI USA Quality Factor, with an expense ratio of 0.15%. It invests in stocks with a high return on equity and stable earnings growth.最相似研究人员选股方法的交易所交易基金,有可能是“iShares MSCI USA Quality Factor”。费率为0.15%。