指数投资悖论
September 26, 2024 | 储蓄和投资 读书笔记
《漫步华尔街》个人认为是一本非常好的投资小白入门书籍。本书最后，作者附了一篇很有意思的短文，他反驳了一篇由华尔街知名投资研究机构发布的关于“指数基金投资对投资市场弊大于利”的长篇论文。
这篇吐槽指数投资的论文里说到的问题，我简化为指数投资悖论。为什么是悖论呢？因为被动投资依赖的是市场的有效性，既市场的信息流通自由，价格始终反应真实价值。而被动投资逻辑是避免根据市场信息频繁交易。如果绝大部分人都躺平投资指数，如何让资本快速流通而确保市场有效性呢？
The more fundamental criticism is that index funds might grow to such a size that stocks could become massively mispriced. If everybody indexed, who would ensure that stock prices reflect all the information available about the prospects for different companies? In a world with 100% indexing, who would trade from stock to stock to ensure that the market was efficient?
《漫步华尔街》作者给出的答案：专业交易员和对冲基金。他们使用更专业的技能和工具，在市场中寻找套利机会。他们的激励机制不是“管理费”，而是从错误定价中套利。
The stock market does need some active traders who analyze and act on new information so that stocks are efficiently priced and sufficiently liquid for investors to be able to buy and sell. Active traders play a positive role in determining security prices and in turn how capital is allocated.
In our capitalist system it is inconceivable that some trader or hedge fund would not emerge to bid up the price of the stock and profit from the mispricing. In a free-market system we can expect that advantageous arbitrage opportunities are exploited by profit-seeking market participants no matter how many investor index.
仍是“激励机制”这个回归人性的话题：激励机制仅是收取“管理费”的基金经理，和激励机制是从场错误定价套利的交易员，谁更有动力去推动市场有效性呢？
当然这是个极度简化的激励机制假设。实际的金融市场及其复杂。而金融的魅力就是在于，这个复杂的体系合理地利用了人性，包括人们的贪婪和恐惧，去帮助风险转移和资源流通加速人类发展。
一个我自己的不成熟的观点：
在当前市场下，一部分主动管理基金和不专业的日交易投机者，实际是花钱给市场贡献了流动性。只有少部分基金管理者和一些专业交易员抓住了套利机会，在错误定价中获利，从而推动有效市场的形成。战胜了贪婪的投资小白，在这个相对有效的市场中被动投资，搭便车躺赢。
To be sure, index investors are free riders. They do receive the benefits that result from active trading without bearing the costs. But free riding on price signals provided by others is hardly a flaw of the capitalist system, it is an essential feature of that system. In a free-market economy we all benefit from relying on a set of market prices that are determined by others.
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