Читать книгу Behavioral Portfolio Management - C. Thomas Howard - Страница 24

A better known conclusion from this line of research is that the average active equity mutual fund earns a return that is less than, or at best equal to, the index return. ^[11] That is, the average fund earns a zero or negative alpha. This leads to the oft-stated conclusion that equity fund managers lack stock picking skill, which is in fact the opposite of what was just presented.

One would think that professional investors, such as mutual funds, hedge funds, and institutional managers, would be BDIs. Indeed, the analysts within such organizations are most often BDIs, but the further up one goes in the organization and the larger the fund, the more like the Crowd it becomes.

In order to grow AUM, funds must attract and retain emotional investors, which means the fund often caters to client emotions and thus ends up taking on the features of the Crowd. As the fund grows in size, it increasingly invests in those stocks favored by the Crowd, since it is easier to attract and retain clients by investing in those stocks to which clients are emotionally attached. ^[12] What often starts out as BDIs harnessing behavioral factors ends up with a fund morphing into something that is acceptable to the Crowd, a process I refer to as “bubble wrapping” the portfolio. Such behavior is rational on the part of the fund, as revenues are based on AUM. ^[13] Consistent with this argument, others have found that returns decline as the fund grows large. ^[14]

The combination of the many documented price distortions and the excess returns earned by active equity mutual funds on their best idea stocks provides empirical support for basic principle II. But many investors will find it more difficult to assimilate principle II than principle I, since the emotional barrier of social validation must be overcome in order to build a successful BDI portfolio.