巴菲特致股东的信（1988年）⑧有效市场理论

Efficient Market Theory

The preceding discussion about arbitrage makes a small discussion of “efficient market theory” (EMT) also seem relevant. This doctrine became highly fashionable - indeed, almost holy scripture in academic circles during the 1970s. Essentially, it said that analyzing stocks was useless because all public information about them was appropriately reflected in their prices. In other words, the market always knew everything. As a corollary, the professors who taught EMT said that someone throwing darts at the stock tables could select a stock portfolio having prospects just as good as one selected by the brightest, most hard-working security analyst. Amazingly, EMT was embraced not only by academics, but by many investment professionals and corporate managers as well. Observing correctly that the market was frequently efficient, they went on to conclude incorrectly that it was always efficient. The difference between these propositions is night and day.

有效市场理论

前面提到的套利活动使得我们有必要讨论一下有效市场理论 EMT，这种理论在近年来变得非常热门，尤其在1970 年代的学术圈被奉为圣旨，基本上它认为分析股票是没有用的，因为所有公开的信息皆已反应在其股价之上。换句话说，市场永远知道所有的事，学校教有效市场理论的教授因此做了一个推论：任何一个人射飞镖随机所选出来的股票组合可以媲美华尔街最聪明、最努力的证券分析师所选出来的投资组合。令人惊讶的是，市场有效率理论不但为学术界所拥抱，更被许多投资专家与企业经理人所接受。他们正确地观察到市场常常是具有效率的，他们就以此认为市场永远都具有效率，这中间的假设差异，简直有天壤之别。

In my opinion, the continuous 63-year arbitrage experience of Graham-Newman Corp. Buffett Partnership, and Berkshire illustrates just how foolish EMT is. (There’s plenty of other evidence, also.) While at Graham-Newman, I made a study of its earnings from arbitrage during the entire 1926-1956 lifespan of the company. Unleveraged returns averaged 20% per year. Starting in 1956, I applied Ben Graham’s arbitrage principles, first at Buffett Partnership and then Berkshire. Though I’ve not made an exact calculation, I have done enough work to know that the 1956-1988 returns averaged well over 20%. (Of course, I operated in an environment far more favorable than Ben’s; he had 1929-1932 to contend with.)

就我个人过去在格雷厄姆-纽曼公司、巴菲特合伙企业与伯克希尔公司连续 63 年的套利经验来看，说明了有效市场理论有多么的愚蠢(当然还有其它一堆证据)，当初在格雷厄姆-纽曼公司上班时，我将该公司 1926 年到1956 年的套利成果做了一番研究，平均每年 20%的无杠杆投资回报率。之后，从 1956 年开始我在巴菲特合伙企业与之后的伯克希尔公司，运用格雷厄姆的套利原则，虽然我并没有仔细地去算，但 1956 年到 1988 年间的投资回报率应该也超过 20%，(当然，之后的投资环境比起格雷厄姆当时要好的许多，因为当时他遇到过 1929-1932年的经济大萧条)。

All of the conditions are present that are required for a fair test of portfolio performance: (1) the three organizations traded hundreds of different securities while building this 63-year record; (2) the results are not skewed by a few fortunate experiences; (3) we did not have to dig for obscure facts or develop keen insights about products or managements - we simply acted on highly-publicized events; and (4) our arbitrage positions were a clearly identified universe - they have not been selected by hindsight.

所有的条件皆已具备来公平测试投资组合的表现：(1)三个公司 63 年来买卖了上百种不同的股票证券；(2)结果应该不会因为某个特别好的个案所扭曲；(3)我们不需要故意隐瞒事实或是宣扬我们的产品优秀或是经营者眼光独到，我们只是对高度公开的个案采取行动；(4)我们的套利部分可以很容易就被追查到，他们并不是事后才特别挑选出来的。

Over the 63 years, the general market delivered just under a 10% annual return, including dividends. That means $1,000 would have grown to $405,000 if all income had been reinvested. A 20% rate of return, however, would have produced $97 million. That strikes us as a statistically-significant differential that might, conceivably, arouse one’s curiosity.

过去 63 年来，大盘整体的投资报酬(加计股利)大概只有 10%，意思是说若当初投入 1,000 美元的话，现在可以获得 40.5 万美元，但是若投资回报率改为 20%的话，现在却会变成 9,700 万美元。这对我们来说是统计上的显著差异，可以想象这会激起人们的好奇心。

Yet proponents of the theory have never seemed interested in discordant evidence of this type. True, they don’t talk quite as much about their theory today as they used to. But no one, to my knowledge, has ever said he was wrong, no matter how many thousands of students he has sent forth misinstructed. EMT, moreover, continues to be an integral part of the investment curriculum at major business schools. Apparently, a reluctance to recant, and thereby to demystify the priesthood, is not limited to theologians.

然而，理论支持者却从来就不会对这种不和谐的证据感兴趣，确实现在他们讲话已不如过去那么大声，但据我所知却没有任何一个人愿意承认错误，不管他们已经误导了多少个学生，有效市场理论还是继续在各个企管名校间列为投资课程的重要教材之一，很显然的，死不悔改、甚而曲解神意，不是只有神学家才做的出来。

Naturally the disservice done students and gullible investment professionals who have swallowed EMT has been an extraordinary service to us and other followers of Graham. In any sort of a contest - financial, mental, or physical - it’s an enormous advantage to have opponents who have been taught that it’s useless to even try. From a selfish point of view, Grahamites should probably endow chairs to ensure the perpetual teaching of EMT.

自然而然，这些遇人不淑的学生与被骗的投资专家在接受有效市场理论后，对于我们与其它格雷厄姆的追随者实在有莫大的帮助，在任何的竞赛中，不管是投资、心智或是体能方面，要是遇到对手被告知思考与尝试是没有用的，对我们来说等于是占尽了优势，从一个自私的观点来看，格雷厄姆学派应该祈祷有效市场理论能够在校园中永为流传。

All this said, a warning is appropriate. Arbitrage has looked easy recently. But this is not a form of investing that guarantees profits of 20% a year or, for that matter, profits of any kind. As noted, the market is reasonably efficient much of the time: For every arbitrage opportunity we seized in that 63-year period, many more were foregone because they seemed properly-priced.

说了那么多，最后还是要提出一个警告，最近套利看起来相当容易，但它却不是永远都保证有 20%回报的投资活动，现在的市场比起过去来的有效率许多，除了我们过去 63 年所真正抓住的套利活动之外，还有更多是因为定价合理而被我们舍弃掉了。

An investor cannot obtain superior profits from stocks by simply committing to a specific investment category or style. He can earn them only by carefully evaluating facts and continuously exercising discipline. Investing in arbitrage situations, per se, is no better a strategy than selecting a portfolio by throwing darts.

一个投资者很难只靠单一品种投资类别或投资风格而创造超人的收益，他只能靠着仔细评估事实并持续地遵照原则训练才能赚取超额利润。就套利投资本身而言，并没有比选择利用飞镖选股的策略好到哪里去。