投資領袖和(hé)他(tā)們的(de)思想之光(guāng)

發布時(shí)間：2022-03-18  |   來(lái)源: 川總寫量化(huà)

作者：石川

摘要：這(zhè)些先行者的(de)傑出工作和(hé)重要貢獻塑造了(le)如今人(rén)們對(duì)投資的(de)認知。


引言


前不久，借著(zhe) Vertin Award 頒發 25 周年之際，CFA 協會推出了(le)題爲 Investment Luminaries and Their Insights 的(de)特刊（對(duì)，本文的(de)标題參考了(le)這(zhè)個(gè)題目），回顧了(le) 25 年來(lái)評選的(de)獲獎者們對(duì)投資業界的(de)巨大(dà)貢獻。


https://www.cfainstitute.org/en/research/foundation/2021/twenty-five-years-rf-vertin-award


下(xià)圖列出了(le)截至 2021 年的(de)獲獎者，各個(gè)如雷貫耳。他(tā)們雖然有些來(lái)自學界，有些紮根業界，但共同點是其傑出工作和(hé)重要貢獻都塑造了(le)人(rén)們如今對(duì)投資的(de)認知和(hé)對(duì)市場(chǎng)的(de)理(lǐ)解。


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對(duì)每位獲獎者（除去已故獲獎者），特刊從以下(xià)幾個(gè)方面進行了(le)介紹：


1. 主要成就；

2. 代表文獻以及對(duì)其影(yǐng)響最大(dà)的(de)文獻；

3. 最重要的(de)投資心得(de)；

4. 對(duì)未來(lái)的(de)看法；

5. 是否有職業遺憾。


通(tōng)過前兩方面的(de)介紹，我們能夠了(le)解大(dà)佬們自身對(duì)投資的(de)貢獻，而第三、第四點則傳遞出他(tā)們關于投資非常深刻的(de) insights，讀來(lái)頗有啓發。比如，關于重要的(de)投資心得(de)，我們能夠聽(tīng)到：


"Alpha is like a mushroom: when exposed to the light, it withers."


以及這(zhè)樣：


"In the long run, we're all dead, but make sure the short run doesn't kill you first."


還(hái)有這(zhè)樣：


"Investment suc­cess requires a healthy appreciation of markets and a deep understanding of when each model will and will not work."


鑒于此，本文挑一些我最感興趣的(de)大(dà)佬進行介紹（僅僅反映了(le)我個(gè)人(rén)的(de)偏好），依照(zhào)獲獎順序，他(tā)們包括：William Sharpe、Andrew Lo、Clifford Asness、Campbell Harvey、Robert Shiller、Richard Grinold、Ronald Kahn、Kenneth French、Terrance Odean 以及 Maureen O’Hara。在叙述中，我隻會在某些“代表文獻”環節稍加評論或補充信息。此外，“最重要的(de)投資心得(de)”和(hé)“對(duì)未來(lái)的(de)看法”兩部分(fēn)會保留英文、不做(zuò)翻譯（相信各位已經從上面的(de)“劇透”中體會到大(dà)佬金句的(de)精妙了(le)）。


William F. Sharpe


成就：CAPM 發明(míng)者之一，Sharpe Ratio（無需多(duō)言），1990 年諾貝爾經濟學獎獲得(de)者。


代表文獻：


  • Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19(3), 425 – 442.

  • Sharpe, W. F. (1992). Asset allocation: Management style and performance measurement. Journal of Portfolio Management 18(2), 7 – 19.

  • Sharpe, W. F. (1966). Mutual fund performance. Journal of Business 39(1), 119 – 138.


第一篇是 CAPM，就不說了(le)；第二篇則拉開了(le)投資組合風格分(fēn)析的(de)序幕，而 Sharpe 也(yě)因該文獲得(de)了(le) 2015  Wharton-Jacobs Levy Prize；第三篇關于 Sharpe Ratio 是我補充的(de)。


對(duì)其影(yǐng)響最大(dà)的(de)文獻：


  • Markowitz, H. (1952). Portfolio selection. Journal of Finance 7(1), 77 – 91.

  • Arrow, K. J. (1964). The role of securities in the optimal allocation of risk-bearing. Review of Economic Studies 31(2), 91 – 96.


最重要投資心得(de)：The importance of diversification in investment management.


對(duì)未來(lái)的(de)看法：Growing importance of life cycle investing.


是否有任何職業上的(de)遺憾：沒有産生任何重大(dà)後果的(de)遺憾。


Andrew W. Lo


成就：MIT 教授，提出适應性市場(chǎng)假說（Adaptive Markets Hypothesis）。


代表文獻：


  • Lo, A. W. and A. C. MacKinlay (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies 1(1), 41 – 66.

  • Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997). The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.

  • Lo, A. W. (2017). Adaptive Markets: Financial Evolution at the Speed of Thought. Princeton, NJ: Princeton University Press.


對(duì)其影(yǐng)響最大(dà)的(de)文獻：


  • Merton, R. C. (1981). 15.415 Lecture notes, Spring 1981. Cambridge, MA: MIT Sloan School of Management.

  • Merton, R. C. (1992). Continuous Time Finance. London, UK: Blackwell.

  • Wilson, E. O. (1975). Sociobiology: A New Synthesis. Cambridge, MA: Harvard University Press.


最重要投資心得(de)：(1) Markets can stay irrational longer than you can stay solvent. (2) In the long run, we're all dead, but make sure the short run doesn't kill you first. (3) It's amazing how much more you can accomplish if it doesn't matter who gets the credit.


對(duì)未來(lái)的(de)看法：Markets will become far more adaptive in the future, and technological innovations will play a bigger role in creating new opportunities as well as new challenges.


是否有任何職業上的(de)遺憾：要是能夠更早和(hé)學界和(hé)業界的(de)同事展開合作該有多(duō)好！我從每個(gè)合作者那裏學到了(le)很多(duō)東西，我們取得(de)了(le)更快(kuài)的(de)進步，這(zhè)也(yě)比獨自研究要有趣得(de)多(duō)！


Clifford S. Asness


成就：AQR 的(de)聯合創始人(rén)。


代表文獻：這(zhè)部分(fēn)我建議(yì)感興趣的(de)小夥伴參考 AQR 出版的(de) 20 for 20，那本書(shū)裏收錄了(le) AQR 最重要的(de) 20 篇文章(zhāng)，其中不少都有 Asness 的(de)身影(yǐng)。


對(duì)其影(yǐng)響最大(dà)的(de)文獻：


  • Fama, E. F. (1976). Foundations of Finance. New York: Basic Books.

  • Fama, E. F. and K. R. French (1992). The cross-section of expected stock returns. Journal of Finance 47(2), 427 – 465.

  • Fama, E. F. and K. R. French (1993). Common risk factors in the returns of stocks and bonds. Journal of Financial Economics 33(1), 3 – 56.


确實對(duì)得(de)起“Eugene Fama 過去 20 年最優秀的(de)學生”這(zhè)個(gè) comment。另外，Asness 在這(zhè)部分(fēn)還(hái)補充了(le)“Anything by Jack Bogle”。


最重要投資心得(de)：Finding an investment strategy you believe in for the long term turned out to be the easy part. Sticking with it through its ups and downs turned out to be the hard (but doable) part.


對(duì)未來(lái)的(de)看法：Lower long-term returns on traditional stocks and bonds than we've grown used to. Higher long-term returns on out-of-favor simple strategies like international diversification and a value tilt.


是否有任何職業上的(de)遺憾：如果我認爲自己是對(duì)的(de)，我從來(lái)不會回避任何分(fēn)歧，而是總是全力以赴。是的(de)，你可(kě)能會對(duì)同樣的(de)事情感到最自豪和(hé)最後悔。有時(shí)你需要爲堅持你所引以爲豪的(de)事而付出代價！


Campbell R. Harvey


成就：Duke 教授，前 AFA 主席。


代表文獻：


  • Harvey, C. R. (2017). Presidential address: The scientific outlook in financial economics. Journal of Finance 72(4), 1399 – 1440.

  • Graham, J. R., C. R. Harvey, and S. Rajgopal (2005). The economic implications of corporate financial reporting. Journal of Accounting and Economics 40(1-3), 3 – 73.

  • Claude, B. E. and C. R. Harvey (2006). The strategic and tactical value of commodity futures. Financial Analysts Journal 62(2), 69 – 97.


在 Harvey 教授的(de)諸多(duō)研究中，我最喜歡的(de)是他(tā)對(duì)于 p-hacking 問題的(de)關注和(hé)發現，見《出色不如走運》系列，以及《Tortured Data》。


對(duì)其影(yǐng)響最大(dà)的(de)文獻：


  • Russell, B. (1931). Scientific Outlook. London, UK: George Allen and Unwin Ltd.

  • Markowitz, H. (1952). Portfolio selection. Journal of Finance 7(1), 77 – 91.

  • Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. 


Markowitz (1952) 二度被提及。


最重要投資心得(de)：The importance of economic incentives in shap­ing research.


對(duì)未來(lái)的(de)看法：My new book, DeFi and the Future of Finance (with Ashwin Ramachandran and Joey Santoro), sketches a vision of finance in the future where the traditional banks, brokers, and insurance companies are replaced by decentralized algorithms.


是否有任何職業上的(de)遺憾：僅是讀博的(de)時(shí)候在 UChicago 呆了(le)三年。時(shí)光(guāng)轉瞬即逝，有太多(duō)的(de)東西來(lái)不及學習(xí)。


Robert J. Shiller


成就：Yale 教授，前 AEA 主席，2013 諾貝爾經濟學獎獲得(de)者，行爲金融學奠基人(rén)。


代表文獻：


  • Shiller, R. J. (2000). Irrational Exuberance. Princeton, NJ: Princeton University Press.

  • Akerlof, G. A. and R. J. Shiller (2010). Animal Spirits: How Human Psychology Drives the Economy, and Why It Matters for Global Capitalism. Princeton, NJ: Princeton University Press.

  • Akerlof, G. A. and R. J. Shiller (2016). Phishing for Phools: The Economics of Manipulation and Deception. Princeton, NJ: Princeton University Press.

  • Shiller, R. J. (2019). Narrative Economics. Princeton, NJ: Princeton University Press.

  • Shiller, R. J. (1981). Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends? American Economic Review 71(3), 421 – 436.

  • Shiller, R. J. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity 1984(2), 457 – 510.

  • Case, K. E. and R. J. Shiller (1989). The efficiency of the market for single-family homes. American Economic Review 79(1), 125 – 137.


Shiller 的(de)衆多(duō)暢銷書(shū)無需多(duō)言。作爲行爲金融學的(de)奠基人(rén)，Shiller (1981) 通(tōng)過 variance ratio tests 指出價格的(de)方差比未來(lái)股息折現值之和(hé)的(de)方差要大(dà)得(de)多(duō)；而 Shiller (1984) 則提出了(le)噪聲交易者模型和(hé)套利限制，拉開了(le)行爲金融學研究的(de)大(dà)幕。此外 Case-Shiller Housing Index 也(yě)是家喻戶曉。


對(duì)其影(yǐng)響最大(dà)的(de)文獻：


  • Smith, A. (1759). The Theory of Moral Sentiments. London: George Bell and Sons.

  • Wilson, E. O. (1998). Consilience: The Unity of Knowledge. New York: Vintage Books.

  • Markowitz, H. (1952). Portfolio selection. Journal of Finance 7(1), 77 – 91.


Markowitz (1952) 第三次被提及！


最重要投資心得(de)：As Adam Smith recounted in 1759, we can nor­mally rely on others because of a desire among normal adults for praiseworthiness, not just a desire for comforts or a desire to be praised. One must judge the character of investment advisers to see if they express this normal sentiment. As Akerlof and I wrote in Phishing for Phools, there are so many opportunities for manipulation and deception in business that we must rely on this better side of human nature.


對(duì)未來(lái)的(de)看法：At this point in history, August 2021, I see an unusually left-skewed probability distribution of future real returns in the United States and some other countries for all three major asset classes: stocks, bonds, and real estate.


是否有任何職業上的(de)遺憾：我希望有更多(duō)的(de)時(shí)間享受職業生涯中的(de)美(měi)好時(shí)刻，有更多(duō)的(de)時(shí)間讓我與學生和(hé)其他(tā)同僚變得(de)更加密切。我還(hái)要引用(yòng)古代詩人(rén)賀拉斯的(de)不朽名言：carpe diem（活在當下(xià)，及時(shí)行樂(yuè)）！


Richard C. Grinold


成就：業界巨作 Active Portfolio Management 作者之一，曾任Global Director of Research at Barclays Global Investors，曾任 Director of Research/President of BARRA。


代表文獻：


  • Grinold, R. (1989). The fundamental law of active management. Journal of Portfolio Management 15(3), 30 – 38.

  • Grinold, R. (1994). Alpha is volatility times IC times score. Journal of Portfolio Management 20(4), 9 – 16.

  • Grinold, R. (2007). Dynamic portfolio analysis. Journal of Portfolio Management 34(1), 12 – 26.

  • Grinold, R. C. and Ronald N. Kahn (2000). Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk. New York: McGraw-Hill.

  • Grinold, R. C. and Ronald N. Kahn (2019). Advances in Active Portfolio Management: New Developments in Quantitative Investing. New York: McGraw-Hill.


無論是 Grinold (1989) 還(hái)是 Grinold (1994) 都對(duì)業界影(yǐng)響深遠(yuǎn)，刊載這(zhè)樣的(de)文章(zhāng)本是 JPM 的(de)初衷。再想想如今 JPM 上一篇篇的(de)“無病呻吟”，實在令人(rén)唏噓。Grinold and Kahn (2000) 的(de) Active Portfolio Management（這(zhè)已是第二版，第一版是 1994）更是業界人(rén)手一本。兩位在 2019 也(yě)又推出了(le)該書(shū)的(de)最新版。


對(duì)其影(yǐng)響最大(dà)的(de)文獻：


  • Sharpe, W. F. (1991). The arithmetic of active management. Financial Analysts Journal 47(1), 7 – 9.

  • Arrow, K. J. (1971). Essays in the Theory of Risk Bearing. Chicago: Markham Publishing.

  • Cox, J. C. and M. Rubinstein (1985). Options Markets. Hoboken, NJ: Prentice Hall.


最重要投資心得(de)：Alpha is like a mushroom: when exposed to the light, it withers.


對(duì)未來(lái)的(de)看法：There is a lot of room to improve the service and reduce the cost of retail and institutional invest­ment management.


是否有任何職業上的(de)遺憾：我曾預感到 2007 年量化(huà)危機發生的(de)可(kě)能性，但我并沒有采取行動。


Ronald N. Kahn


成就：業界巨作 Active Portfolio Management 作者之一，Global head of systematic equity research at BlackRock，曾任 Director of Research of BARRA。


代表文獻：


  • Kahn, R. N. and A. Rudd (1995). Does historical performance predict future performance? Financial Analysts Journal 51(6), 43 – 52.

  • Kahn, R. N., M. H. Scanlan, and L. B. Siegel (2006). Five myths about fees. Journal of Portfolio Management 32(3), 56 – 64.

  • Grinold, R. C. and Ronald N. Kahn (2000). The efficiency gains of long-short investing. Financial Analysts Journal 56(6), 40 – 53.

  • Grinold, R. C. and Ronald N. Kahn (2000). Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk. New York: McGraw-Hill.

  • Grinold, R. C. and Ronald N. Kahn (2019). Advances in Active Portfolio Management: New Developments in Quantitative Investing. New York: McGraw-Hill.


對(duì)其影(yǐng)響最大(dà)的(de)文獻：


  • Sharpe, W. F. (1991). The arithmetic of active management. Financial Analysts Journal 47(1), 7 – 9.

  • Grossman, S. J. and J. E. Stiglitz (1980). On the impossibility of informationally efficient markets. American Economic Review 70(3), 393 – 408.

  • McLean, R. D. and J. Pontiff (2016). Does academic research destroy stock market predictability? Journal of Finance 71(1), 5 – 32.

  • Christensen, C. (1997). The Innovator’s Dilemma: When New Technologies Cause Great Firms to Fail. Boston, MA: Harvard Business School Press.


最重要投資心得(de)：We build quantitative investment mod­els designed to work on average over time. Consistent investment success, however, requires us to navigate through unexpected and unprecedented environments. Investment suc­cess requires a healthy appreciation of markets and a deep understanding of when each model will and will not work.


對(duì)未來(lái)的(de)看法：The current explosive growth in unstructured data and associated analytics is the biggest opportunity for active management in at least the past decade.


是否有任何職業上的(de)遺憾：唯一後悔的(de)是沒能更早地投入到量化(huà)投資這(zhè)個(gè)令人(rén)興奮的(de)事業當中。


Kenneth R. French


成就：Dartmouth 教授，前 AFA 主席，實證資産定價的(de)代表人(rén)物(wù)之一。


代表文獻：


  • Fama, E. F. and K. R. French (1992). The cross-section of expected stock returns. Journal of Finance 47(2), 427 – 465.

  • Fama, E. F. and K. R. French (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33(1), 3 – 56.

  • Fama, E. F. and K. R. French (2015). A five-factor asset pricing model. Journal of Financial Economics 116(1), 1 – 22.


光(guāng)聽(tīng)這(zhè)個(gè)名字就知道不用(yòng)太多(duō)介紹了(le)。Ken French 和(hé) Eugene Fama 合作的(de)經典文章(zhāng)自然不止這(zhè)些，它們都值得(de)反複讀。


對(duì)其影(yǐng)響最大(dà)的(de)文獻：


  • Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance 25(2), 383 – 417.

  • Black, F. and M. Scholes (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81(3), 637 – 654.

  • Merton, R. C. (1973). The intertemporal Capital Asset Pricing Model. Econometrica 41(5), 867 – 887.

  • Shleifer, A. and R. W. Vishny (1997). The limits of arbitrage. Journal of Finance 52(1), 33 – 55.


最重要投資心得(de)：The high volatility of realized equity returns obscures their information about expected returns. As a result, 5, 10, even 20 years of past returns may say little about the cross-section of future returns. A good strategy for inves­tors is to presume that patterns in past equity returns are just noise and to require a compel­ling model and robust evidence to reject that hypothesis.


對(duì)未來(lái)的(de)看法：Financial markets will remain volatile, with lots of unexpected challenges and opportunities, and the turbulence will continue to provide great new topics for researchers like me.


是否有任何職業上的(de)遺憾：我有很多(duō)遺憾，不過除我之外沒人(rén)會對(duì)它們感興趣。


Terrance Odean


成就：UC Berkeley 教授，最早研究個(gè)人(rén)投資者的(de)行爲金融學學者之一。


代表文獻：


  • Odean, T. (1998). Are investors reluctant to realize their losses? Journal of Finance 53(5), 175 – 1798.

  • Barber, B. M. and T. Odean (2001). Boys will be boys: Gender, overconfidence, and common stock investment. The Quarterly Journal of Economics 116(1), 261 – 292.

  • Barber, B. M. and T. Odean (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies 21(2), 785 – 818.


Odean 和(hé)其合作者 Brad Barber 是最早使用(yòng)投資者賬戶數據分(fēn)析投資者行爲的(de)學者。此外，通(tōng)過和(hé)其他(tā)研究者分(fēn)享數據，他(tā)們極大(dà)促進了(le)這(zhè)一細分(fēn)但非常重要領域的(de)研究進展。


對(duì)其影(yǐng)響最大(dà)的(de)文獻：


  • Kahneman, D. and D. Lovallo (1993). Timid choices and bold forecasts: A cognitive perspective on risk taking. Management Science 39(1), 17 – 31.

  • Thaler, R. (1985). Mental accounting and consumer choice. Marketing Science 4(3), 199 – 214.


Odean 曾是 Kahneman 的(de)學生。根據 The Undoing Project 一書(shū)中的(de)描述，在 2002 年 10 月(yuè) 9 日這(zhè)個(gè)注定成爲傳奇的(de)日子，Kahneman 正坐(zuò)在桌邊熱(rè)情洋溢地爲 Odean 寫推薦信，而就在此時(shí)，一通(tōng)來(lái)自瑞典的(de)電話(huà)打破了(le)深夜的(de)甯靜。


最重要投資心得(de)：Markets need heterogeneity.


對(duì)未來(lái)的(de)看法：We need to change the defined contribution pension model.


是否有任何職業上的(de)遺憾：曾花了(le)大(dà)量精力研究如下(xià)課題，即通(tōng)過面向對(duì)象的(de)包含個(gè)人(rén)和(hé)機構投資者的(de)股票(piào)市場(chǎng)模拟來(lái)研究行爲偏差對(duì)資産定價的(de)影(yǐng)響，然而卻未能将其發表。


Maureen O'Hara


成就：Cornell 教授，前 AFA 主席（首位女(nǚ)性 AFA 主席），研究市場(chǎng)微觀結構的(de)權威，提出 PIN/VPIN 模型。


代表文獻：


  • O’Hara, M. (1995). Market Microstructure Theory. Hoboken, NJ: Blackwell.

  • Easley, D. and M. O’Hara (1987). Price, trade size, and information in securities markets. Journal of Financial Economics 19(1), 69 – 90.

  • Easley, D., N. M. Kiefer, and M. O’Hara (1997). One day in the life of a very common stock. Review of Financial Studies 10(3), 805 – 835.

  • Easley, D., S. Hvidkjaer, and M. O’Hara (2002). Is information risk a determinant of asset returns? Journal of Finance 57(5), 2185 – 2221.

  • O’Hara, M. (2003). Presidential address: Liquidity and price discovery. Journal of Finance 58(4), 1335 – 1354.

  • Easley, D., M. M. Lopez de Prado, and M. O’Hara (2012). Flow toxicity and liquidity in a high-frequency world. Review of Financial Studies 25(5), 1457 – 1493.


對(duì)其影(yǐng)響最大(dà)的(de)文獻：


  • Bagehot, W. (1971). The only game in town. Financial Analysts Journal 27(2), 12 – 14, 22.

  • Almgren, R. and N. Chriss (2000). Optimal execution of portfolio transactions. Journal of Risk 3(2), 5 – 39.


BTW，上述第一篇中 Walter Bagehot 是一個(gè)筆名，該作者真正的(de)名字是 Jack Treynor。


最重要投資心得(de)：Market structures change, but they still have to provide liquidity and price discovery — and the details of market design matter.


對(duì)未來(lái)的(de)看法：Changes in fixed income trading, new ETF structures, and the evolution of cryptocurrency microstructures present huge opportunities for investment management.


是否有任何職業上的(de)遺憾：無。



除了(le)上述這(zhè)些大(dà)佬，最後再介紹兩位已故大(dà)佬：Jack Treynor 和(hé) John Bolge。在專刊中，對(duì)于他(tā)們的(de)介紹都是由其他(tā)人(rén)主筆的(de)，我從中挑選了(le)“成就”、“代表文獻”以及“别人(rén)能從他(tā)的(de)貢獻中學到什(shén)麽”三部分(fēn)。


Jack L. Treynor


成就：CAPM 發明(míng)者之一，Fischer Black 的(de)引路人(rén)（沒錯，這(zhè)是我的(de)私心）。


代表文獻：


  • Treynor, J. L. (1961). Market value, time, and risk. Unpublished manuscript. Rough Draft dated 8/8/61, #95-209.

  • Treynor, J. L. (1962). Toward a theory of market value of risky assets. Unpublished manuscript. Rough Draft dated by Treynor to the fall of 1962. A final version was published in 1999, in Asset Pricing and Portfolio Performance. R. A. Korajczyk (editor), London: Risk Books, 15 – 22.

  • Treynor, J. L. and F. Black (1973). How to use security analysis to improve portfolio selection. Journal of Business 46(1), 66 – 68.


關于 Treynor 和(hé) CAPM 的(de)故事，見《CAPM 的(de)一小段曆史》。Fischer Black 贊其爲第一個(gè)發明(míng) CAPM 的(de)人(rén)。在上世紀 60 到 70 年代，Treynor 和(hé) Black 合作并共同發表了(le)很多(duō)論文，它們爲量化(huà)投資管理(lǐ)提供了(le)最初的(de)框架和(hé)必要的(de)模塊。


别人(rén)能從他(tā)的(de)貢獻中學到：Incorporating risk into discount rates, return expectations, performance measurement, along with implications for portfolio management, market making, and corporate and pension investment decision making.


John C. Bogle


成就：Founder of Vanguard，指數基金之父。


代表文獻：


  • Bogle, J. C. (2000). Common Sense on Mutual Funds: New Imperatives for the Intelligent Investor. Hoboken, NJ: Wiley.

  • Bogle, J. C. (2007). The Little Book of Common-Sense Investing: The Only Way to Guarantee Your Fair Share of Stock Market Returns. Hoboken, NJ: Wiley.


Vanguard！指數基金！這(zhè)些标簽足以讓人(rén)銘記 John Bogle。


别人(rén)能從他(tā)的(de)貢獻中學到：Jack was an ardent proponent of long-term thinking, patient investment style, and prudent fund design. He believed chasing market returns with high turnover investment approaches wipes out most or all of the gains an investor would otherwise earn. He practiced what he preached with the Vanguard family of mutual funds focusing on no-load, low-cost, low-turn­over portfolios — many of which are passively managed.


結語


除了(le)本文節選出來(lái)的(de)很少的(de)一部分(fēn)，在特刊中，每位獲獎者還(hái)對(duì)自己多(duō)年的(de)投資研究和(hé)實踐以及在這(zhè)個(gè)過程中體會到的(de)深刻感悟進行了(le)總結，感興趣的(de)小夥伴請閱讀特刊。通(tōng)過進一步閱讀，我們也(yě)不難看出他(tā)們之間的(de)共同點：


1. 獲獎者們非常謙遜，在“遺憾”環節，我們聽(tīng)到的(de)最多(duō)的(de)是“我希望有時(shí)間能夠學習(xí)更多(duō)的(de)東西”；


2. 他(tā)們都指出模型都有自身的(de)限制，依賴的(de)假設可(kě)能很危險，而人(rén)的(de)行爲充滿著(zhe)意外；


3. 對(duì)于在業界獲得(de)成功的(de)獲獎者來(lái)說，他(tā)們都清醒的(de)認識到投資中的(de)恐懼和(hé)貪婪，并清楚地知道他(tā)們在哪些方面具備優勢，而在哪些方面應該繞道而行。


毫無疑問，這(zhè)些投資領袖所表現出來(lái)的(de)堅持、毅力以及永不滿足的(de)好奇心塑造了(le)我們今天所看到的(de)投資實踐，而也(yě)正是這(zhè)些素質讓我們爲今後一個(gè)又一個(gè)新的(de)突破做(zuò)好準備。


BTW，如果你問我最喜歡的(de)名言是哪一句，答(dá)案就是 Ken French 說的(de)：


"The high volatility of realized equity returns obscures their information about expected returns. As a result, 5, 10, even 20 years of past returns may say little about the cross-section of future returns."


More to come…



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