巴菲特的投資公式有可能被找到?

Investors for years have been searching in vain for a formula to replicate Warren Buffett's legendary returns over the past 50 years.

多年來，投資者一直在尋找一套公式，以圖複製沃倫・巴菲特(Warren Buffett)50年取得的神奇回報，但都徒勞無功。

The wait could be over.

或許不必再找了。

A new study that claims to have uncovered this formula was published last month by the National Bureau of Economic Research in Cambridge, Mass. Its authors, all of whom have strong academic credentials, work for AQR Capital Management, a firm that manages several hedge funds and other investment offerings and has $90 billion in assets.

馬薩諸塞州坎布里奇國家經濟研究局(National Bureau of Economic Research)11月份發表一項新研究成果，聲稱找到了這套公式。論文作者都有深厚的學術資歷，他們供職的AQR資產管理公司（AQR Capital Management）管理着多隻對衝基金和其他一些投資產品，資產規模達900億美元。

The study's authors analyzed Mr. Buffett's record since he acquired Berkshire Hathaway in 1964. Their formula, which has more than a dozen individual components, comes in two major parts.

論文作者分析了巴菲特從1964年收購伯克希爾・哈撒韋公司(Berkshire Hathaway)以來的投資成績。他們的公式含有十多個單項，可以歸納爲兩個主要部分。

The first is a 'focus on cheap, safe, quality stocks,' defined as those that have exhibited below-average volatility and sport low ratios of price-to-book value -- a measure of net worth. In addition, the researchers looked for stocks whose profits are growing at an above-average pace and that pay out a significant portion of their earnings as dividends.

第一部分是“專注於便宜、安全、優質的股票”，即波動性低於平均水平、股價與每股賬面價值之比（市淨率，一種淨值衡量指標）不高的股票。除此以外，研究人員還看好利潤增長高於平均速度、相當大一部分利潤當作股息派發出去的股票。

The second part of the formula will raise eyebrows: It calls for investing in these stocks 'on margin' -- that is, borrowing money to buy more shares than could otherwise be purchased. To match Mr. Buffett's long-term return, the researchers found, a portfolio would need to be 60% on margin -- borrowing enough so that it owned $160 of 'cheap, safe, quality stocks' for every $100 of portfolio value.

公式的第二部分將會令人錯愕：它要求用“保證金交易”來投資這些股票，也就是借錢買股，買進的數量比不借錢能夠買到的更多。研究人員發現，要達到巴菲特那樣的長期回報，投資組合需要有60%的借入比例，也就是說，借款比例足以讓每100美元的投資組合持有160美元“便宜、安全、優質的股票”。

Andrea Frazzini, one of the study's authors, a finance professor at New York University and a vice president at AQR, said the Berkshire portfolio has, on average, been leveraged to a similar extent through Mr. Buffett's career.

論文作者之一、紐約大學(New York University)金融學教授、AQR公司副總裁安德烈亞・弗拉奇尼 (Andrea Frazzini)說，在巴菲特整個職業生涯中，伯克希爾投資組合的平均槓桿率一直與上述水平相當。

It can be easy to overlook the extent of this leverage, since Mr. Buffett is able to borrow from other parts of his business. But that doesn't mean the company isn't still leveraged, Mr. Frazzini argues. According to its most recent annual report, for example, the total value of Berkshire's holdings are double the company's net worth, implying that its current leverage is about 2-to-1 -- somewhat higher than its long-term average.

這樣的槓桿率很容易被忽略，因爲巴菲特可以從他公司的其他部門借款。但弗拉奇尼說，這並不意味着該公司就沒有槓桿了。比如從最近年報來看，伯克希爾的持股總值是其淨值的兩倍，說明它當前的槓桿率約爲2比1──比它的長期平均水平還要高一些。

Employing margin can magnify profits, of course. It also increases potential losses when things go wrong. But note that the formula combines a heavy use of margin with stocks that tend to be much less risky than the market, so the net result can still be a portfolio that is no riskier than the market as a whole.

採用保證金交易當然可以放大利潤。當行情不妙的時候，它也會增加潛在損失。但請注意，前面說的那套公式是將保證金交易的大量使用同風險遠低於市場的股票結合，所以綜合來看的話，投資組合的風險仍然可以不高於大市。

To be sure, a heavily margined portfolio will always run the risk of getting a 'margin call' -- the need to come up with additional cash -- if its holdings fall too far. Berkshire Hathaway has been able to sidestep that risk over the last 50 years. Despite a heavily reliance on leverage, its worst return in any calendar year was a loss of 9.6%. And its book value has been less volatile than the S&P 500. Volatility is a common measure of a portfolio's risk.

無可否認的是，大量使用保證金交易的投資組合始終存在收到“追加保證金通知”的風險──如果所持資產跌幅太大，那麼就要存入更多的現金。伯克希爾・哈撒韋在過去50年裏一直能夠避開這種風險。雖然嚴重依賴於槓桿，其自然年度最差的回報率也就是虧損9.6%。而且其賬面價值的波動性也低於標準普爾500種股票指數(S&P 500)。波動性是衡量投資組合風險的一個常用指標。

One factor that is conspicuous in its absence from the formula is anything to account for Mr. Buffett's significant investments in privately owned companies. But that isn't necessary, according to the researchers, because the public companies in which he has invested have outperformed the private ones.

公式中明顯缺失的一個因素，是它沒有解釋巴菲特爲什麼大量投資非上市公司。但研究人員說，這沒有必要，因爲他所投上市公司的表現好於非上市公司。

This is somewhat surprising, given that Mr. Buffett has often trumpeted his abilities to pick good managers. Yet the researchers nevertheless find that his 'returns are more due to stock selection than to his effect on management.' (A Berkshire Hathaway spokeswoman said that Mr. Buffett declined to be interviewed.)

考慮到巴菲特常常鼓吹他挑選優秀管理人員的能力，這一點多少讓人吃驚。但研究人員還是發現，其回報“更多地源於選股，而非他對管理層的影響”。（伯克希爾・哈撒韋發言人表示巴菲特不接受採訪。）

Lasse Pedersen, another of the study's authors, a finance professor at New York University and a principal at AQR, stressed that Mr. Buffett still deserves plenty of credit. After all, he says, it has taken years for researchers to come up with a formula that, after the fact, does as well as Mr. Buffett has been doing for nearly 50 years. In addition, he had the discipline to stick to his approach through both thick and thin.

論文的另一名作者、紐約大學金融學教授、AQR主要負責人之一拉斯・佩德森(Lasse Pedersen)強調，巴菲特並非浪得虛名。他說，畢竟研究人員花了數年時間才總結出一套“馬後炮”表現與巴菲特近50年投資成績相當的公式。除此以外，他還擁有不論豐歉都堅守既定方針的自控力。

Unfortunately, the investment formula that the researchers devised isn't necessarily easy for individual investors to follow. It requires investing in a large and diversified basket of stocks, for example. Furthermore, adhering to the formula can be challenging for a portfolio that relies on margin.

不幸的是，研究人員總結出來的這套投資公式散戶應用起來不一定容易。比如它要求投資一大籃子多樣化的股票。另外，對於一個依靠保證金交易的投資組合來說，堅守這套公式也有可能遇到挑戰。

Nevertheless, it may be possible for you to at least partially follow the researchers' formula without actually resorting to borrowed money. If you have cash in your portfolio, for example, you could add it to the portion you already have allocated to equities-achieving the equivalent of going on margin by, in effect, 'borrowing' from yourself. This, of course, is what Mr. Buffett does by borrowing from other parts of his business.

但是，你或許還是能夠在不借錢的情況下至少部分地運用研究人員總結出的這套公式。比如，如果你的投資組合裏面有現金，你可以把這些現金加到已經配置於股市的那部分中去。這在事實上是自己給自己借錢，也就相當於做保證金交易。巴菲特從他公司的其他部門借錢，當然也就是這種辦法。

Even if you decide not to follow the researchers' investment formula precisely, this new study has important investment implications. For example, since the study's authors find that Mr. Buffett's record is due to 'neither luck nor magic,' Berkshire's performance need not suffer after Mr. Buffett retires -- so long as his successor is able to do just as good a job picking stocks.

即使你決定不完全按照研究人員的投資公式去做，這項新研究也有着重要的投資含義。比如論文作者發現巴菲特的成績“既不是因爲運氣，也不是因爲魔力”，所以如果繼任者的選股能力跟他一樣好，伯克希爾在巴菲特退休之後的表現就不一定很差。

That's a pretty big 'if,' of course, but the researchers' findings imply that a strict adherence to the same investment principles could, over time, do as well as Mr. Buffett has done historically.

當然這個“如果”是個很大的假設，但研究人員的發現意味着，如果嚴格遵守同樣投資原則的話，隨着時間的推移，投資成績是可以達到巴菲特的歷史水平的。

The study also holds out the tantalizing possibility that an investor following the formula can perform even better than Berkshire. That's because, as Mr. Buffett has pointed out, his portfolio has grown so large that it will be difficult for it to perform as well in the future. In contrast, a smaller portfolio can profit from investing in stocks that are too small to make any meaningful difference to Berkshire's bottom line.

另外，這項研究也展示了一種撩撥人心的可能性：遵守這套公式的投資者甚至可以取得比伯克希爾還要好的成績。因爲巴菲特自己也說過，他的投資組合已經變得十分龐大，將來會很難擁有同樣的表現。相比之下，規模更小的投資組合可以投資於因爲太小、不足以給伯克希爾利潤表現帶來實質性改變的股票，從而獲利。

The following stocks from within the S&P 1500 index score favorably along each of the five dimensions that the researchers employ in defining 'cheap, safe, quality stocks,' according to FactSet. The ratios of their prices to per-share book values are below average, as are their 'betas' -- a measure of the extent to which their prices move in lock step with the overall market.

據FactSet說，以下取自標準普爾1500種股票指數(S&P 1500)的股票非常符合研究人員在定義“便宜、安全、優質股票”時確定的五個維度。它們的價格相對於每股賬面價值的比率低於平均水平，衡量股價與大市聯動程度的“beta係數”也低於平均水平。

In addition, these stocks are of companies whose 'profitability' -- or total profits as a percentage of assets -- is above average, as is the five-year growth rate of that profitability. And, finally, these stocks are of firms whose dividends represent an above-average proportion of their earnings.

除此以外，這些股票代表的公司“盈利能力”（總利潤除以資產總額）高於平均水平，“盈利能力”五年增長率也高於平均水平。最後，這些股票所代表公司的派息額佔其利潤的比重也高於平均水平。

Examples include drug retailer CVS Caremark; Devry Education Group, a for-profit education company; chipmaker Intel, Owens & Minor, a medical-supplies distributor; grocery distributor Spartan Stores; and Vectren, an energy holding company.

這些股票包括：藥品零售企業CVS Caremark；營利性教育企業Devry Education Group；芯片製造企業英特爾(Intel)；醫藥用品經銷商Owens & Minor；百貨經銷企業Spartan Stores；能源控股公司Vectren。

Though there are no mutual funds that pick stocks according to the precise formula the researchers devise, several come close. One is offered by AQR: the U.S. Defensive Equity Fund, with an annual 0.51% expense ratio, or $51 for every $10,000 invested. Though the fund has a high minimum for those investing in it directly, it is available to investors through their financial advisers.

雖然沒有哪隻共同基金是完全根據研究人員總結的公式來選股，但也有好幾只比較接近。有一隻是AQR銷售的“防守型美股基金”(U.S. Defensive Equity Fund)，年費率0.51%，即投資1萬美元要交51美元的費用。這隻基金爲直接投資的人設定了一個很高的最低額度，但投資者可以通過他們的投資顧問機構來投資。

Another fund that focuses on some of the same stock-picking methods is the DFA US Large Cap Equity Portfolio. It is available to individuals only through their financial advisers or certain retirement and 529 plans, and fees vary.

另一隻側重於上述一部分選股方法的基金是“DFA大盤美股投資組合”(DFA US Large Cap Equity Portfolio)。散戶只能通過投資顧問機構或某些退休金計劃、529大學儲蓄計劃來投資，費率各有差別。

The exchange-traded fund that perhaps come closest to following the researchers' stock-picking methodology is iShares MSCI USA Quality Factor, with an expense ratio of 0.15%. It invests in stocks with a high return on equity and stable earnings growth.

最接近研究人員選股方法的交易所交易基金，可能是“iShares MSCI USA Quality Factor”。費率爲0.15%。它投資的是淨資產收益率高、利潤增長穩定的股票。