论文标题
大赢家对被动和积极的公平投资策略的影响
The impact of big winners on passive and active equity investment strategies
论文作者
论文摘要
我们使用数值和分析技术的组合研究了大赢家股对积极和被动投资策略的性能的影响。我们的分析基于2006年至2021年的历史股票价格数据，用于各种全球指数。我们表明，对数正态分布为大多数世界股票指数的总回报提供了合理的适合，但强调了该模型的局限性。使用分析表达式进行对数正常随机变量的有限总和，我们表明，浓缩投资组合的典型回报小于同等加权指数的典型回报。这一发现表明，由于有可能错过大赢家股票产生的大量回报，因此主动管理者面临着表现不佳的重大风险。我们的结果表明，不涉及选择单个股票的被动投资策略可能在实现长期财务目标方面更有效。
We investigate the impact of big winner stocks on the performance of active and passive investment strategies using a combination of numerical and analytical techniques. Our analysis is based on historical stock price data from 2006 to 2021 for a large variety of global indexes. We show that the log-normal distribution provides a reasonable fit for total returns for the majority of world stock indexes but highlight the limitations of this model. Using an analytical expression for a finite sum of log-normal random variables, we show that the typical return of a concentrated portfolio is less than that of an equally weighted index. This finding indicates that active managers face a significant risk of underperforming due to the potential for missing out on the substantial returns generated by big winner stocks. Our results suggest that passive investing strategies, that do not involve the selection of individual stocks, are likely to be more effective in achieving long-term financial goals.
