Читать книгу Behavioral Portfolio Management - C. Thomas Howard - Страница 22

Basic Principle I would seem to open the door for BDIs to earn superior returns by taking positions opposite the Crowd. This is not necessarily the case, since even though there is little doubt emotions increase volatility, the resulting distortions might be random and unpredictable, making it difficult if not impossible to take advantage of them. So beyond the fact that emotions drive prices, it is necessary to show that the resulting distortions are measurable and persistent.

The behavioral finance literature is full of examples of measurable stock price distortions. ^[7] It would therefore seem easy to build superior performing portfolios, but in order to do so means taking positions that are different from the Crowd. The powerful need for social validation acts as a strong deterrent for many investors, discouraging them from pursuing such an approach. It is tough to leave the Emotional Crowd and become a BDI. Thus price distortions are measurable and persistent, but building a portfolio benefiting from these distortions is emotionally difficult.

In order to demonstrate that it is possible to earn superior returns, I turn to active equity mutual fund research. This group of investors is one of the most studied in finance because of the availability of extensive, long-time-period data. One stream within this large body of research reveals that active equity funds are successful stock pickers. ^[8] Rather than focus on long-term fund performance, these studies examine individual fund holdings and confirm that a fund’s top stock picks produce superior returns. ^[9] The most compelling results are reported by Randy Cohen, Christopher Polk and Bernhard Silli (CPS), and these are reproduced in Figure 1.1.