巴菲特致合伙人的信（1965年）⑤关于分散

Diversification

Last year in commenting on the inability of the overwhelming majority of investment managers to achieve performance superior to that of pure chance, I ascribed it primarily to the product of: "(1) group decisions - my perhaps jaundiced view is that it is close to impossible for outstanding investment management to come from a group of any size with all parties really participating in decisions; (2) a desire to conform to the policies and (to an extent) the portfolios of other large well-regarded organizations; (3) an institutional framework whereby average is "safe" and the personal rewards for independent action are in no way commensurate with the general risk attached to such action; (4) an adherence to certain diversification practices which are irrational; and finally and importantly, (5) inertia.”

关于分散

去年，在讲到大多数基金经理的业绩还不如随机选股时，我给出的分析是，说这种现象有如下几个原因：“(1)群体决策——这或许是我的偏见：我认为，只要是一个群体，所有成员共同参与决策，投资管理工作想要达到一流水平几乎不可能；(2)与其他声誉卓著的大型机构保持一致的倾向，无论是策略，还是部分投资组合；(3)机构框架的束缚——平均水平很“安全”，对个人而言，特立独行的回报与风险毫不相称；(4)僵化固守某些不理智的分散投资策略；最后一点，也是最重要的一点：(5)惯性。”

This year in the material which went out in November, I specifically called your attention to a new Ground Rule reading, "7. We diversify substantially less than most investment operations. We might invest up to 40% of our net worth in a single security under conditions coupling an extremely high probability that our facts and reasoning are correct with a very low probability that anything could drastically change the underlying value of the investment."

在今年11月份给各位寄送的材料中，我特别提醒各位注意，我新增加了一条基本原则：“7.与大多数同行相比，我们的分散程度远远更低。一笔投资，我们掌握了事实和逻辑，正确的概率极大，与此同时，这笔投资的内在价值不可能出现根本变化，出错的概率很小，在这种情况下，我们可能最多拿出40%的净资产用于这笔投资。”

We are obviously following a policy regarding diversification which differs markedly from that of practically all public investment operations. Frankly, there is nothing I would like better than to have 50 different investment opportunities, all of which have a mathematical expectation (this term reflects the range of all possible relative performances, including negative ones, adjusted for the probability of each - no yawning, please) of achieving performance surpassing the Dow by, say, fifteen percentage points per annum. If the fifty individual expectations were not intercorelated (what happens to one is associated with what happens to the other) I could put 2% of our capital into each one and sit back with a very high degree of certainty that our overall results would be very close to such a fifteen percentage point advantage.

It doesn't work that way.

在分散投资方面，我们遵循的策略显然与几乎所有公募投资机构截然不同。说实话，要是有50个不同的投资机会摆在我面前，每个机会都有每年领先道指15个百分点的数学期望值（mathematical expectation是一个统计学术语，它描述的是所有可能出现的相对收益（包括负收益），按照各种相对收益的概率调整后，计算出的范围。别晕！），这再好不过了。要是这50个投资机会的期望值是不相关的（在其中一个投资机会中发生的事件不会影响其他投资机会），我可以把我们的资金分成50份，每个机会投资2%的资金，然后就可以高枕无忧了，因为我们的整体业绩会非常接近于领先道指15个百分点，这个确定性极高。

实际上不是这么回事。

We have to work extremely hard to find just a very few attractive investment situations. Such a situation by definition is one where my expectation (defined as above) of performance is at least ten percentage points per annum superior to the Dow. Among the few we do find, the expectations vary substantially. The question always is, “How much do I put in number one (ranked by expectation of relative performance) and how much do I put in number eight?" This depends to a great degree on the wideness of the spread between the mathematical expectation of number one versus number eight.” It also depends upon the probability that number one could turn in a really poor relative performance. Two securities could have equal mathematical expectations, but one might have .05 chance of performing fifteen percentage points or more worse than the Dow, and the second might have only .01 chance of such performance. The wider range of expectation in the first case reduces the desirability of heavy concentration in it.

经过一番艰苦的努力，我们也就能找到寥寥几个特别可能赚钱的投资机会。按照我们的目标，对于这样的投资机会，我的要求是拥有领先道指至少10个百分点的数学期望值。这样的机会能找到的就不多，找到的机会里，每个的数学期望值又存在巨大差异。我们总要回答这个问题：“按照相对收益的数学期望值，排名第一的要分配多少仓位？排名第八的要分配多少仓位？”这主要取决于第一和第八的数学期望值相差多少，还要考虑第一有多大的概率会出现极其糟糕的相对收益。两只股票的数学期望值可能相同，但是其中一只有5%的概率落后道指15个百分点以上，另一只出现这个情况的概率只有1%。前者的数学期望值范围较大，这就会降低我集中投资这只股票的意愿。

The above may make the whole operation sound very precise. It isn't. Nevertheless, our business is that of ascertaining facts and then applying experience and reason to such facts to reach expectations. Imprecise and emotionally influenced as our attempts may be, that is what the business is all about. The results of many years of decision-making in securities will demonstrate how well you are doing on making such calculations - whether you consciously realize you are making the calculations or not. I believe the investor operates at a distinct advantage when he is aware of what path his thought process is following.

上面的论述把投资说得好像是非常精确的操作。其实不然。我们做投资就是确定事实，然后用经验和理智分析事实，得出数学期望值。这个过程不精确，受情绪影响，但这就是投资。一位投资者，无论是否有意识地进行这样的估算，他在股市摸爬滚打很多年，对许多股票做过决策，从他的长期业绩里，就能看出他估算水平的高低。有的投资者有着非常清晰的思维过程，我相信他们在投资中有明显优势。

There is one thing of which I can assure you. If good performance of the fund is even a minor objective, any portfolio encompassing one hundred stocks (whether the manager is handling one thousand dollars or one billion dollars) is not being operated logically. The addition of the one hundredth stock simply can't reduce the potential variance in portfolio performance sufficiently to compensate for the negative effect its inclusion has on the overall portfolio expectation.

有一点我非常肯定。就算不以追求良好业绩为首要目标，无论资金量是1000美元，还是10亿美元，一个投资组合，要是其中包含了一百只股票，就肯定不符合逻辑。在投资组合中加入第一百只股票，它拉低整个投资组合数学期望值的弊，远远大于平滑组合业绩波动的利。

Anyone owning such numbers of securities after presumably studying their investment merit (and I don't care how prestigious their labels) is following what I call the Noah School of Investing - two of everything. Such investors should be piloting arks. While Noah may have been acting in accord with certain time-tested biological principles, the investors have left the track regarding mathematical principles. (I only made it through plane geometry, but with one exception, I have carefully screened out the mathematicians from our Partnership.)

谁要是持有这么多只股票，而且还像模像样地研究过每一只，无论他们的名头有多响，我都把他们称为诺亚方舟派，什么东西都来两个。他们还是别投资了，去开诺亚方舟得了。诺亚可能遵循了某些久经考验的生物学规律，诺亚方舟派的投资者却偏离了数学原理。（我平面几何差点就挂科了。除了一个例外，在挑选合伙人时，数学好的，我一律不收。）

Of course, the fact that someone else is behaving illogically in owning one hundred securities doesn't prove our case. While they may be wrong in overdiversifying, we have to affirmatively reason through a proper diversification policy in terms of our objectives.

别人持有一百只股票的做法不符合逻辑，这证明不了我们就是对的。别人的投资过度分散可能是错的，我们必须从正面证明，按照我们的目标，我们如何分散才是正确的。

The optimum portfolio depends on the various expectations of choices available and the degree of variance in performance which is tolerable. The greater the number of selections, the less will be the average year-to-year variation in actual versus expected results. Also, the lower will be the expected results, assuming different choices have different expectations of performance.

一个最佳投资组合，有两个决定因素：一是各种股票的不同数学期望值，二是对业绩波动的容忍程度。选的股票越多，每年的实际收益率与预期收益率越接近，波动越小。既然各只股票具有不同的业绩数学期望值，选的股票越多，预期收益率也越低。

I am willing to give up quite a bit in terms of leveling of year-to-year results (remember when I talk of “results,” I am talking of performance relative to the Dow) in order to achieve better overall long-term performance. Simply stated, this means I am willing to concentrate quite heavily in what I believe to be the best investment opportunities recognizing very well that this may cause an occasional very sour year - one somewhat more sour, probably, than if I had diversified more. While this means our results will bounce around more, I think it also means that our long-term margin of superiority should be greater.

为了追求更高的长期整体收益率，我会毫不犹豫地放弃平滑每年的业绩波动（请注意，我这里所说的“业绩”是指相对道指的表现）。简单点说，一旦看准了最佳投资机会，我愿意下重注集中投资。我很清楚，我这么操作可能偶尔一年业绩特别差，要是分散了，就没这个情况。我们的业绩波动幅度更大，但是从长期来看，我们的领先优势也更大。

You have already seen some examples of this. Our margin versus the Dow has ranged from 2.4 percentage points in 1958 to 33.0 points in 1965. If you check this against the deviations of the funds listed on page three, you will find our variations have a much wider amplitude. I could have operated in such a manner as to reduce our amplitude, but I would also have reduced our overall performance somewhat although it still would have substantially exceeded that of the investment companies. Looking back, and continuing to think this problem through, I feel that if anything, I should have concentrated slightly more than I have in the past. Hence, the new Ground Rule and this long-winded explanation.

各位从过去几年的业绩里就看得出来。我们相对道指的领先优势，最低的是1958年的2.4个百分点，最高的是1965年的33个百分点。再看一下基金公司和道指的比较情况，你会发现我们的波动幅度大得多。要我降低我们的波动幅度，我完全做得到，而且还能远远领先基金公司，但我们的整体收益肯定会降低。结合过去几年的投资经历思考这个问题，我有这么个感觉：我以前应该再集中一些。于是，我新增加了一条基本原则，又在这里解释了这么多。

Again let me state that this is somewhat unconventional reasoning (this doesn't make it right or wrong - it does mean you have to do your own thinking on it), and you may well have a different opinion - if you do, the Partnership is not the place for you. We are obviously only going to go to 40% in very rare situations - this rarity, of course, is what makes it necessary that we concentrate so heavily, when we see such an opportunity. We probably have had only five or six situations in the nine-year history of the Partnership where we have exceeded 25%. Any such situations are going to have to promise very significantly superior performance relative to the Dow compared to other opportunities available at the time. They are also going to have to possess such superior qualitative and/or quantitative factors that the chance of serious permanent loss is minimal (anything can happen on a short-term quotational basis which partially explains the greater risk of widened year-to-year variation in results). In selecting the limit to which I will go in anyone investment, I attempt to reduce to a tiny figure the probability that the single investment (or group, if there is intercorrelation) can produce a result for our total portfolio that would be more than ten percentage points poorer than the Dow.

重复一遍，我的逻辑有些不合常规（是对是错，不能通过是否符合常规来判断，你必须独立思考），我尊重你的不同见解，但如果你和我看法相左，合伙基金不适合你。我们能投入40%的仓位，肯定是遇到了特别罕见的情况。正因为罕见，抓准了机会，才要下重注。合伙基金成立九年来，我们仓位超过25%的投资也只有五六笔。能成为集中投资的机会，首先是与其他机会相比，它们相对道指的预期收益率必须远远更高。除此之外，它们还必须是通过定性和/或定量分析挑选出来的一等一的好机会，出现严重永久性损失的风险极低（短期的市场报价多高多低都有可能，所以说集中投资，每年业绩的波动风险更大）。在安排仓位时，任何一笔投资，我都要对它的仓位进行限制，尽可能降低一笔投资（或相关的一组投资）导致整体组合落后道指10%的概率。

We presently have two situations in the over 25% category - one a controlled company, and the other a large company where we will never take an active part. It is worth pointing out that our performance in 1965 was overwhelmingly the product of five investment situations. The 1965 gains (in some cases there were also gains applicable to the same holding in prior years) from these situations ranged from about $800,000 to about $3 1/2 million. If you should take the overall performance of our five smallest general investments in 1965, the results are lackluster (I chose a very charitable adjective).

目前，我们有两笔投资仓位在25%以上，一个是我们控股的公司，另一个是我们将始终保持被动投资的大型公司。值得指出的是，我们1965年的收益绝大部分来自五笔投资。1965年，这五笔投资对收益的贡献在80万美元到350万美元之间（其中有几笔投资的收益是前几年就有了）。要是只算1965年我们规模最小的五笔低估类投资，我们的业绩就黯然失色了（我选择了比较文明的字眼形容）。

Interestingly enough, the literature of investment management is virtually devoid of material relative to deductive calculation of optimal diversification.All texts counsel "adequate" diversification, but the ones who quantify "adequate" virtually never explain how they arrive at their conclusion. Hence, for our summation on overdiversification, we turn to that eminent academician Billy Rose, who says, "You've got a harem of seventy girls; you don't get to know any of them very well.”

有个奇怪的现象，关于最佳分散选择的推理计算这个问题，在投资管理文献中竟然鲜有论述。所有材料都建议“充分”分散，但是提出“充分”分散的人从来不讲他们是怎么得出结论的。我们关于过度分散的论述这就讲完了，最后就用著名学者比利·罗斯(Billy Rose)的话结尾：“你后宫要是有70个女人，没一个女人你能懂。”