Getting Actively Passive: Index Funds Still Win -- If You
Go Beyond the S&P 500
or so it seems. Consider:
? Diversified U.S. stock funds climbed 12%, comfortably ahead of the Standard & Poor's 500-stock index's 10.9%.
? Today's most celebrated fund manager, Legg Mason Value Trust's Bill Miller , outpaced the S&P 500 for the 14th consecutive year.
? Indexing's basic approach -- weighting stocks based on their market value -- came under attack, with critics charging that there are better ways to index.
So is it time to give up on good old index funds? You've got to be kidding.
? Standing tall. Whenever index funds come under assault, you ought to be suspicious, because the critics aren't exactly disinterested observers. Overconfident investors consider index funds an affront to their machismo, while Wall Street sees them as a threat to its profit margins because the Street can make a whole lot more money flogging actively managed funds.
Indeed, index funds are often dismissed as somehow anti-American and anticompetition. But in truth, when you index, you are acknowledging that Adam Smith's invisible hand really works, that the stock market efficiently sets prices and that your best bet is to give up on costly efforts to beat the market.
"Who's left that believes that markets don't work?" asks Rex Sinquefield, co-chairman of Dimensional Fund Advisors in Santa Monica, Calif. "Apparently, it's only three groups -- the North Koreans, the Cubans and the active managers."
The brutal reality: A low-cost index fund will always outperform the collective performance of active investors in the same market sector. Before costs, these active investors will -- as a group -- match the sector's performance. After costs, they will fall behind. That's where index funds get their edge. They also earn the sector's performance, but they incur far lower costs.
So why do index funds look so bad today? If you want to look tall, stand next to short people. If you want to beat the market, pick a poor-performing index.
Thanks to the proliferation of exchange-traded index funds, there's now an astonishing array of index funds. Yet almost everybody seems to associate indexing with the S&P 500 -- and that's where the mischief begins.
? Big picture. Sure, the S&P 500 accounts for 75% of U.S. stock-market value. But how the other 25% performs is critical. If small U.S. stocks outperform the big companies in the S&P 500, anybody owning smaller companies has a good shot at beating the S&P 500.
So what happened in 2004? You guessed it. Small stocks outperformed large stocks, so stock-fund managers appear to be market-beating geniuses.
But if, instead, you compare funds to the broader Dow Jones Wilshire 5000 "total market" index, the results don't look nearly so spiffy. Last year, the 12% clocked by diversified U.S. stock funds lagged behind the Wilshire's 12.6% gain.
The performance is even more disheartening if you go category by category, which is what Standard & Poor's does. S&P, a unit of McGraw-Hill, slots U.S. stock funds into nine categories based on their stock-picking style and the size of company bought.
Last year, a majority of funds failed to beat their benchmark index in eight of the nine categories. The five-year results are equally bad, with funds again striking out in eight of the nine categories.
? Miller time. There are, of course, winners. That brings us to Legg Mason's Mr. Miller. I noted in a 2002 column that, with thousands of funds on offer, it was no great statistical surprise that one manager had such a dazzling record.
Since then, Mr. Miller has posted three more market-beating years, and I would argue that you can no longer explain his record in terms of luck alone (though, if you were feeling churlish, you might note that his 2004 gain of 12% trailed the Wilshire 5000).
Still, today's purchasers can't buy Mr. Miller's past performance. What matters is the future. Mr. Miller is clearly a talented stock-picker. But does he have sufficient skill to beat the market with a fund that now has $17 billion in assets and whose retail shares still charge a hefty 1.7% in annual expenses? It will be fun to watch. But I don't plan to bet any of my own money.
? Weighty issues. Last year, index funds also came under attack from folks who argued there are better ways to index.
For instance, Research Affiliates of Pasadena, Calif., analyzed the past 42 years and found you could have beaten a traditional index fund, which weights stocks by their market value, by instead weighting stocks using fundamental factors such as revenue and operating income.
Meanwhile, in another hit to traditional indexing, Morgan Stanley Equally Weighted S&P 500 Fund D shares and Rydex S&P Equal Weight ETF -- both of which divide their money equally among the S&P 500 stocks -- turned in market-beating gains of more than 16%.
I find all this intriguing. There is, however, no free lunch. When you buy a low-cost total-market index fund, you know you will get the market's performance and you know you will outperform most active investors. But as soon as you stray from a market-weight approach, this certainty slips away and you run the risk of lagging behind the broad market, just like all those actively managed funds.
表现稳定的指数基金
指数基金在2004年的表现很差--或者说是看起来如此。原因在于：
--选股广泛的美国股票基金其投资回报在2004年攀升至12%，高于标准普尔500指数的10.9%。
--现在最热门的基金经理人，莱格马森价值信托基金(Legg Mason Value Trust)的比尔?米勒(Bill Miller)已连续第14年使其基金表现超过标准普尔500指数(S&P 500)。
--指数基金的基本操作原理--即根据股票市值决定该股在指数基金中的比重--遭到质疑，批评人士表示还有更好的方法来确定权重。
难道说，现在该放弃我们的老朋友指数基金了吗？你一定是在开玩笑。
--保持头脑清醒。每次有人质疑指数基金时，你都应该持怀疑态度，因为那些唱反调的并非纯粹的局外人。那些过于自信的投资者把指数基金视为对他们投资能力的侮辱，同时华尔街经纪市场认为指数基金将威胁到其利润来源，因为华尔街能靠那些交易频繁的股票基金赚更多佣金。
确实，指数基金经常都被看成是非美国精神和反对市场竞争的体现。然而实际上，当你依据指数投资时，正是认可了亚当?史密斯(Adam Smith)“看不见的手”的市场原理，认为股市能够有效设定股票价格，投资者最好的策略就是放弃那些试图通过昂贵的交易行为跑赢大市的做法。
“现在还有谁不相信市场的力量？”位于加州圣莫尼卡的Dimensional Fund Advisors的联席主席莱克斯?辛克菲尔德(Rex Sinquefield)说道，“很显然，只剩下三类人--朝鲜人、古巴人，以及积极型基金经理人。”
残酷的现实是：低成本的指数基金其表现总能在同一市场类股中超出积极型投资者的总体表现。在扣除交易成本前，积极型投资者的表现从整体而言能与该类股的平均回报水准持平；但计入成本后，其表现总是落后的。这就是指数基金的优势所在，因为它们能够获得该类股的平均回报水准，而其费用水平要低得多。
那么，为什么现在指数基金的表现看来如此糟糕呢？如果想看起来高一些，就该站在矮子旁边。如果想跑赢大市，就挑选那些表现较差的指数进行比较。
由于上市交易指数基金(ETF)的繁荣，现在市场中有大量指数基金存在，但几乎每个人都把标准普尔指数当作市场准绳--这就是误解产生的根源。
--让我们从大局来看清市场。标准普尔500指数在市值上代表了75%的美国股市，但另外25%股票的表现至关重要。如果小型股表现优于标准普尔500指数中的那些大型股，那么每个购买小型股的投资者其表现都有可能优于标准普尔500指数。
2004年的情况如何呢？不说你也猜得到。小型股表现优于大型股，所以股票基金经理们看上去似乎都成了表现出众的天才。
然而，如果将股票基金的表现与几乎代表整个股市的道琼斯威尔希尔5000指数(Dow Jones Wilshire 5000)相比，其结果并不是那么好看。2004年美国股票基金引以为荣的12%的回报率要比威尔希尔5000指数12.6%的水平低。
如果将这些股票基金再进行分类比较，结果更令人失望。麦格劳-希尔公司(McGraw-Hill)旗下的标准普尔公司(Standard & Poor's)根据美国股票基金的选股风格和挑选公司的规模大小将其分为九大类。
在2004年，九类股票基金中有八类其表现绝大多数未能超过基准指数水平。五年的平均表现也同样糟糕，九类中又有八类走了麦城。
--那么怎么评价米勒现象呢？当然，市场中总有赢家，比如莱格马森基金的比尔-米勒。我在2002年的一篇专栏文章中写道，在成千上万的股票基金中，其中有一个基金经理取得令人眩目的成绩并不值得大惊小怪。
从那时起，米勒又连续三年表现优于大市，可能你感到不能再仅仅以运气好来解释他的骄人记录。（当然，从挑剔的角度来看，你可以说米勒在2004年12%的投资回报低于威尔希尔5000指数的回报率。）
不过，米勒以往的成绩并不能保证他未来的成功，而未来才是我们所关注的。米勒先生显然是位才华横溢的选股高手，但现在莱格马森管著170亿美元的资产，每年对散户资金收取高达1.7%的佣金，在这种情况下他是否仍能游刃有余地获得优于大市的回报率？我们将饶有兴趣地予以关注，但我个人一点赌注也不想压在他的身上。
--权重问题。在2004年，有人指责指数基金说还有更好的权重设计方法。
举例而言，加州Pasadena的Research Affiliates公司经过对以往42年股市资料的分析发现，可以根据公司营业收入和运营利润等基本面指标来设定股票权重，这样设计出来的指数基金能比传统指数基金获得更高的回报率。传统的指数基金用股票的市值作为其权重。
与此同时，对传统权重设计方式也受到另一个事实的冲击。Morgan Stanley Equally Weighted S&P 500 Fund D shares和Rydex S&P Equal Weight ETF这两个以等同金额购买标准普尔500指数成份股的基金获得了超过16%的回报率，优于大市。
我觉得这些说法都很有意思。不过，天底下没有免费的午餐。当你购买低成本的紧跟大市的指数基金时，你知道最终能获得市场的平均回报水准，并能击败大多数积极型投资者
。然而，一旦你开始放弃以市值确定股票权重的方法，指数基金带给你的回报确定性就会渐渐消失，并有可能象所有积极型股票基金一样，总有投资回报落后于大市的风险存在。
