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华尔街最聪明、最优秀的投资者,在跑赢标普500指数方面并没有出色的成绩,但Research Affiliates公司的董事长罗伯·阿诺特可能找到了一个解决方案,并设计出一个替代指数来证明这一点。
在他与弗利斯特·亨斯利共同发表的名为《被指数抛弃的好处》(Nixed: The Upside of Getting Dumped)的报告中,他说被指数剔除的股票,最终表现优于指数,而新加入指数的股票却表现更差。
他们写道:“事实证明,被指数剔除可能带来巨大的好处,就像失恋能够播下个人成长的种子一样。出人意料的是,被指数剔除的公司及其股东的平均表现更好,甚至胜过取代他们的股票。“
报告称,虽然新加入指数的股票在初期会暴涨,特别是在宣布指数变动和变动生效期间,但这种上涨的势头很快就会消失。
从1990年至2022年,在指数变动之后的一年,标普500指数新增股票的表现,比市场整体表现低1%至2%。相比之下,被标普500指数、罗素1000指数和纳斯达克100指数剔除的股票,在之后五年每年的表现,均领先大盘指数5%以上。
由于许多基金跟踪备受关注的指数,因此股票被指数剔除之后,会面临巨大的卖出压力,这通常会导致这些股票的价格远低于被剔除之前。
报告称:“这为股价大幅反弹奠定了基础。”
报告估计,从1991年初到2023年底,如果投资者持有被指数剔除股票组合,且这些股票在被剔除后的五年经过优化,则他的财富将增长74倍。
只有纳斯达克100指数的投资者的收益能够与之相媲美,但在这个过程中,他需要忍受令人痛苦的市场下跌。与此同时,标普500指数、罗素1000指数和罗素2000价值股指数的表现,将比被剔除股票组合的表现低55%至65%。
阿诺特和亨斯利指出,过去十年,被指数剔除的股票确实没有跑赢大盘指数,这是因为当前的牛市由成长股主导,而价值股和小盘股的表现不佳。
他们补充道:“但成长股占主导的情况可能结束,到那时,其他股票的表现将超过标普500指数和纳斯达克100指数的整体表现。”
为了用这些研究结果检验当前的市场,咨询公司Research Affiliates推出了Research Affiliates剔除股指数(NIXT)基金。
该指数从包含前500和前1,000家公司的市值加权指数中买入被剔除的股票,持有五年,并每年进行重新平衡,使每只股票的权重相等。
报告称:“过去30年,被指数剔除的股票均大幅反弹。我们很想看看它们在未来几十年能否保持这种韧性。”
NIXT基金基于阿诺特之前的研究结果。他曾在2020年12月预测,特斯拉(Tesla)在标普500指数上市一年后的表现,将落后于该指数的整体表现。
半年后,标普500指数上涨了17%,而特斯拉表现平平,但被剔除的股票Apartment Investment and Management却暴涨了44%。(财富中文网)
译者:刘进龙
审校:汪皓
华尔街最聪明、最优秀的投资者,在跑赢标普500指数方面并没有出色的成绩,但Research Affiliates公司的董事长罗伯·阿诺特可能找到了一个解决方案,并设计出一个替代指数来证明这一点。
在他与弗利斯特·亨斯利共同发表的名为《被指数抛弃的好处》(Nixed: The Upside of Getting Dumped)的报告中,他说被指数剔除的股票,最终表现优于指数,而新加入指数的股票却表现更差。
他们写道:“事实证明,被指数剔除可能带来巨大的好处,就像失恋能够播下个人成长的种子一样。出人意料的是,被指数剔除的公司及其股东的平均表现更好,甚至胜过取代他们的股票。“
报告称,虽然新加入指数的股票在初期会暴涨,特别是在宣布指数变动和变动生效期间,但这种上涨的势头很快就会消失。
从1990年至2022年,在指数变动之后的一年,标普500指数新增股票的表现,比市场整体表现低1%至2%。相比之下,被标普500指数、罗素1000指数和纳斯达克100指数剔除的股票,在之后五年每年的表现,均领先大盘指数5%以上。
由于许多基金跟踪备受关注的指数,因此股票被指数剔除之后,会面临巨大的卖出压力,这通常会导致这些股票的价格远低于被剔除之前。
报告称:“这为股价大幅反弹奠定了基础。”
报告估计,从1991年初到2023年底,如果投资者持有被指数剔除股票组合,且这些股票在被剔除后的五年经过优化,则他的财富将增长74倍。
只有纳斯达克100指数的投资者的收益能够与之相媲美,但在这个过程中,他需要忍受令人痛苦的市场下跌。与此同时,标普500指数、罗素1000指数和罗素2000价值股指数的表现,将比被剔除股票组合的表现低55%至65%。
阿诺特和亨斯利指出,过去十年,被指数剔除的股票确实没有跑赢大盘指数,这是因为当前的牛市由成长股主导,而价值股和小盘股的表现不佳。
他们补充道:“但成长股占主导的情况可能结束,到那时,其他股票的表现将超过标普500指数和纳斯达克100指数的整体表现。”
为了用这些研究结果检验当前的市场,咨询公司Research Affiliates推出了Research Affiliates剔除股指数(NIXT)基金。
该指数从包含前500和前1,000家公司的市值加权指数中买入被剔除的股票,持有五年,并每年进行重新平衡,使每只股票的权重相等。
报告称:“过去30年,被指数剔除的股票均大幅反弹。我们很想看看它们在未来几十年能否保持这种韧性。”
NIXT基金基于阿诺特之前的研究结果。他曾在2020年12月预测,特斯拉(Tesla)在标普500指数上市一年后的表现,将落后于该指数的整体表现。
半年后,标普500指数上涨了17%,而特斯拉表现平平,但被剔除的股票Apartment Investment and Management却暴涨了44%。(财富中文网)
译者:刘进龙
审校:汪皓
The best and the brightest on Wall Street don’t have a great track record when it comes to beating the S&P 500, but Research Affiliates Chairman Rob Arnott may have found an answer and has launched an alternate index to prove it.
In a report titled “Nixed: The Upside of Getting Dumped” that was co-authored with Forrest Henslee, he said stocks that get booted off indexes eventually outperform them while stocks that are added underperform.
“As it turns out, getting dumped by an index can have an impressive upside, just as a romantic breakup can sow seeds for personal growth,” they wrote. “Dumped companies and their shareholders fare surprisingly well on average, better even than the stocks that replaced them.”
While stocks added to indexes surge early on, especially between the date a change is announced and the date when the change takes effect, momentum quickly fades, according to the report.
Over the subsequent year following a change, additions to the S&P 500 lagged the market by 1%-2% from 1990 through 2022. By contrast, stocks that were dumped by the S&P 500, Russell 1000 and Nasdaq 100 outperformed the broad market index by more than 5% annually for the next five years.
Because so many funds track widely followed indexes, deleted stocks face massive selling pressure, often resulting in prices that are much lower than where they would’ve been before the decision.
“This sets the stage for an impressive rebound,” the report said.
An investor in a dumped-stocks portfolio optimized for the five years after deletion would have multiplied their wealth by a factor of 74 between the start of 1991 and the end of 2023, it estimated.
Only a Nasdaq-100 investor would have matched that performance but would have endured gut-wrenching downturns in the process. Meanwhile, S&P 500, Russell 1000, and Russell 2000 Value investors would be behind by 55%-65%.
To be sure, dumped stocks haven’t beaten the big indexes over the past decade, as the current growth-dominated bull market has crushed value and small-cap stocks, Arnott and Henslee noted.
“But growth’s dominance will likely come to an end, and when it does, almost anything should beat the S&P 500 and Nasdaq-100,” they added.
To put these findings to the test in today’s market, the advisory firm launched the Research Affiliates Deletions Index (NIXT).
It buys dumped stocks from top 500 and top 1,000 market-cap weighted indexes, holds them for five years, and rebalances them annually to equal weight.
“For the past 30 years, stocks have rebounded well after being dumped by an index,” the report said. “We’re looking forward to seeing if they maintain that resilience in the decades ahead.”
The NIXT fund builds on earlier findings from Arnott, who predicted in December 2020 that Tesla would lag the S&P 500 in the year after being added to the index.
Just half a year later, the S&P 500 was up 17% while Tesla was flat and the stock that was dumped, Apartment Investment and Management, had soared 44%.