投资领袖和他们的思想之光

作者：石川，北京量信投资管理有限公司创始合伙人，清华大学学士、硕士，麻省理工学院博士。

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未经授权，严禁转载。

摘

要

这些先行者的杰出工作和重要贡献塑造了如今人们对投资的认知。

引言

前不久，借着 Vertin Award 颁发 25 周年之际，CFA 协会推出了题为 Investment Luminaries and Their Insights 的特刊（对，本文的标题参考了这个题目），回顾了 25 年来评选的获奖者们对投资业界的巨大贡献。

https://www.cfainstitute.org/en/research/foundation/2021/twenty-five-years-rf-vertin-award

下图列出了截至 2021 年的获奖者，各个如雷贯耳。他们虽然有些来自学界，有些扎根业界，但共同点是其杰出工作和重要贡献都塑造了人们如今对投资的认知和对市场的理解。

对每位获奖者（除去已故获奖者），特刊从以下几个方面进行了介绍：

1. 主要成就；

2. 代表文献以及对其影响最大的文献；

3. 最重要的投资心得；

4. 对未来的看法；

5. 是否有职业遗憾。

通过前两方面的介绍，我们能够了解大佬们自身对投资的贡献，而第三、第四点则传递出他们关于投资非常深刻的 insights，读来颇有启发。比如，关于重要的投资心得，我们能够听到：

"Alpha is like a mushroom: when exposed to the light, it withers."

以及这样：

"In the long run, we’re all dead, but make sure the short run doesn’t kill you first."

还有这样：

"Investment suc­cess requires a healthy appreciation of markets and a deep understanding of when each model will and will not work."

鉴于此，本文挑一些我最感兴趣的大佬进行介绍（仅仅反映了我个人的偏好），依照获奖顺序，他们包括：William Sharpe、Andrew Lo、Clifford Asness、Campbell Harvey、Robert Shiller、Richard Grinold、Ronald Kahn、Kenneth French、Terrance Odean 以及 Maureen O’Hara。

在叙述中，我只会在某些“代表文献”环节稍加评论或补充信息。此外，“最重要的投资心得”和“对未来的看法”两部分会保留英文、不做翻译（相信各位已经从上面的“剧透”中体会到大佬金句的精妙了）。

William F. Sharpe

成就：CAPM 发明者之一，Sharpe Ratio（无需多言），1990 年诺贝尔经济学奖获得者。

代表文献：

• Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19(3), 425 – 442.

• Sharpe, W. F. (1992). Asset allocation: Management style and performance measurement. Journal of Portfolio Management 18(2), 7 – 19.

• Sharpe, W. F. (1966). Mutual fund performance. Journal of Business 39(1), 119 – 138.

第一篇是 CAPM，就不说了；第二篇则拉开了投资组合风格分析的序幕，而 Sharpe 也因该文获得了 2015  Wharton-Jacobs Levy Prize；第三篇关于 Sharpe Ratio 是我补充的。

对其影响最大的文献：

• Markowitz, H. (1952). Portfolio selection. Journal of Finance 7(1), 77 – 91.

• Arrow, K. J. (1964). The role of securities in the optimal allocation of risk-bearing. Review of Economic Studies 31(2), 91 – 96.

最重要投资心得：The importance of diversification in investment management.

对未来的看法：Growing importance of life cycle investing.

是否有任何职业上的遗憾：没有产生任何重大后果的遗憾。

Andrew W. Lo

成就：MIT 教授，提出适应性市场假说（Adaptive Markets Hypothesis）。

代表文献：

• Lo, A. W. and A. C. MacKinlay (1988). Stock market prices do not follow random walks: Evidence from a simple specification test. Review of Financial Studies 1(1), 41 – 66.

• Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997). The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.

• Lo, A. W. (2017). Adaptive Markets: Financial Evolution at the Speed of Thought. Princeton, NJ: Princeton University Press.

对其影响最大的文献：

• Merton, R. C. (1981). 15.415 Lecture notes, Spring 1981. Cambridge, MA: MIT Sloan School of Management.

• Merton, R. C. (1992). Continuous Time Finance. London, UK: Blackwell.

• Wilson, E. O. (1975). Sociobiology: A New Synthesis. Cambridge, MA: Harvard University Press.

最重要投资心得：(1) Markets can stay irrational longer than you can stay solvent. (2) In the long run, we’re all dead, but make sure the short run doesn’t kill you first. (3) It’s amazing how much more you can accomplish if it doesn’t matter who gets the credit.

对未来的看法：Markets will become far more adaptive in the future, and technological innovations will play a bigger role in creating new opportunities as well as new challenges.

是否有任何职业上的遗憾：要是能够更早和学界和业界的同事展开合作该有多好！我从每个合作者那里学到了很多东西，我们取得了更快的进步，这也比独自研究要有趣得多！

Clifford S. Asness

成就：AQR 的联合创始人。

代表文献：这部分我建议感兴趣的小伙伴参考 AQR 出版的 20 for 20，那本书里收录了 AQR 最重要的 20 篇文章，其中不少都有 Asness 的身影。

对其影响最大的文献：

• Fama, E. F. (1976). Foundations of Finance. New York: Basic Books.

• Fama, E. F. and K. R. French (1992). The cross-section of expected stock returns. Journal of Finance 47(2), 427 – 465.

• Fama, E. F. and K. R. French (1993). Common risk factors in the returns of stocks and bonds. Journal of Financial Economics 33(1), 3 – 56.

确实对得起“Eugene Fama 过去 20 年最优秀的学生”这个 comment。另外，Asness 在这部分还补充了“Anything by Jack Bogle”。

最重要投资心得：Finding an investment strategy you believe in for the long term turned out to be the easy part. Sticking with it through its ups and downs turned out to be the hard (but doable) part.

对未来的看法：Lower long-term returns on traditional stocks and bonds than we’ve grown used to. Higher long-term returns on out-of-favor simple strategies like international diversification and a value tilt.

是否有任何职业上的遗憾：如果我认为自己是对的，我从来不会回避任何分歧，而是总是全力以赴。是的，你可能会对同样的事情感到最自豪和最后悔。有时你需要为坚持你所引以为豪的事而付出代价！

Campbell R. Harvey

成就：Duke 教授，前 AFA 主席。

代表文献：

• Harvey, C. R. (2017). Presidential address: The scientific outlook in financial economics. Journal of Finance 72(4), 1399 – 1440.

• Graham, J. R., C. R. Harvey, and S. Rajgopal (2005). The economic implications of corporate financial reporting. Journal of Accounting and Economics 40(1-3), 3 – 73.

• Claude, B. E. and C. R. Harvey (2006). The strategic and tactical value of commodity futures. Financial Analysts Journal 62(2), 69 – 97.

在 Harvey 教授的诸多研究中，我最喜欢的是他对于 p-hacking 问题的关注和发现，见《出色不如走运》系列，以及《Tortured Data》。

对其影响最大的文献：

• Russell, B. (1931). Scientific Outlook. London, UK: George Allen and Unwin Ltd.

• Markowitz, H. (1952). Portfolio selection. Journal of Finance 7(1), 77 – 91.

• Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. 

Markowitz (1952) 二度被提及。

最重要投资心得：The importance of economic incentives in shap­ing research.

对未来的看法：My new book, DeFi and the Future of Finance (with Ashwin Ramachandran and Joey Santoro), sketches a vision of finance in the future where the traditional banks, brokers, and insurance companies are replaced by decentralized algorithms.

是否有任何职业上的遗憾：仅是读博的时候在 UChicago 呆了三年。时光转瞬即逝，有太多的东西来不及学习。

Robert J. Shiller

成就：Yale 教授，前 AEA 主席，2013 诺贝尔经济学奖获得者，行为金融学奠基人。

代表文献：

• Shiller, R. J. (2000). Irrational Exuberance. Princeton, NJ: Princeton University Press.

• Akerlof, G. A. and R. J. Shiller (2010). Animal Spirits: How Human Psychology Drives the Economy, and Why It Matters for Global Capitalism. Princeton, NJ: Princeton University Press.

• Akerlof, G. A. and R. J. Shiller (2016). Phishing for Phools: The Economics of Manipulation and Deception. Princeton, NJ: Princeton University Press.

• Shiller, R. J. (2019). Narrative Economics. Princeton, NJ: Princeton University Press.

• Shiller, R. J. (1981). Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends? American Economic Review 71(3), 421 – 436.

• Shiller, R. J. (1984). Stock prices and social dynamics. Brookings Papers on Economic Activity 1984(2), 457 – 510.
  

• Case, K. E. and R. J. Shiller (1989). The efficiency of the market for single-family homes. American Economic Review 79(1), 125 – 137.

Shiller 的众多畅销书无需多言。作为行为金融学的奠基人，Shiller (1981) 通过 variance ratio tests 指出价格的方差比未来股息折现值之和的方差要大得多；而 Shiller (1984) 则提出了噪声交易者模型和套利限制，拉开了行为金融学研究的大幕。此外 Case-Shiller Housing Index 也是家喻户晓。

对其影响最大的文献：

• Smith, A. (1759). The Theory of Moral Sentiments. London: George Bell and Sons.

• Wilson, E. O. (1998). Consilience: The Unity of Knowledge. New York: Vintage Books.

• Markowitz, H. (1952). Portfolio selection. Journal of Finance 7(1), 77 – 91.

Markowitz (1952) 第三次被提及！

最重要投资心得：As Adam Smith recounted in 1759, we can nor­mally rely on others because of a desire among normal adults for praiseworthiness, not just a desire for comforts or a desire to be praised. One must judge the character of investment advisers to see if they express this normal sentiment. As Akerlof and I wrote in Phishing for Phools, there are so many opportunities for manipulation and deception in business that we must rely on this better side of human nature.

对未来的看法：At this point in history, August 2021, I see an unusually left-skewed probability distribution of future real returns in the United States and some other countries for all three major asset classes: stocks, bonds, and real estate.

是否有任何职业上的遗憾：我希望有更多的时间享受职业生涯中的美好时刻，有更多的时间让我与学生和其他同僚变得更加密切。我还要引用古代诗人贺拉斯的不朽名言：carpe diem（活在当下，及时行乐）！

Richard C. Grinold

成就：业界巨作 Active Portfolio Management 作者之一，曾任Global Director of Research at Barclays Global Investors，曾任 Director of Research/President of BARRA。

代表文献：

• Grinold, R. (1989). The fundamental law of active management. Journal of Portfolio Management 15(3), 30 – 38.

• Grinold, R. (1994). Alpha is volatility times IC times score. Journal of Portfolio Management 20(4), 9 – 16.

• Grinold, R. (2007). Dynamic portfolio analysis. Journal of Portfolio Management 34(1), 12 – 26.

• Grinold, R. C. and Ronald N. Kahn (2000). Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk. New York: McGraw-Hill.

• Grinold, R. C. and Ronald N. Kahn (2019). Advances in Active Portfolio Management: New Developments in Quantitative Investing. New York: McGraw-Hill.

无论是 Grinold (1989) 还是 Grinold (1994) 都对业界影响深远，刊载这样的文章本是 JPM 的初衷。再想想如今 JPM 上一篇篇的“无病呻吟”，实在令人唏嘘。Grinold and Kahn (2000) 的 Active Portfolio Management（这已是第二版，第一版是 1994）更是业界人手一本。两位在 2019 也又推出了该书的最新版。

对其影响最大的文献：

• Sharpe, W. F. (1991). The arithmetic of active management. Financial Analysts Journal 47(1), 7 – 9.

• Arrow, K. J. (1971). Essays in the Theory of Risk Bearing. Chicago: Markham Publishing.

• Cox, J. C. and M. Rubinstein (1985). Options Markets. Hoboken, NJ: Prentice Hall.

最重要投资心得：Alpha is like a mushroom: when exposed to the light, it withers.

对未来的看法：There is a lot of room to improve the service and reduce the cost of retail and institutional invest­ment management.

是否有任何职业上的遗憾：我曾预感到 2007 年量化危机发生的可能性，但我并没有采取行动。

Ronald N. Kahn

成就：业界巨作 Active Portfolio Management 作者之一，Global head of systematic equity research at BlackRock，曾任 Director of Research of BARRA。

代表文献：

• Kahn, R. N. and A. Rudd (1995). Does historical performance predict future performance? Financial Analysts Journal 51(6), 43 – 52.

• Kahn, R. N., M. H. Scanlan, and L. B. Siegel (2006). Five myths about fees. Journal of Portfolio Management 32(3), 56 – 64.

• Grinold, R. C. and Ronald N. Kahn (2000). The efficiency gains of long-short investing. Financial Analysts Journal 56(6), 40 – 53.

• Grinold, R. C. and Ronald N. Kahn (2000). Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk. New York: McGraw-Hill.

• Grinold, R. C. and Ronald N. Kahn (2019). Advances in Active Portfolio Management: New Developments in Quantitative Investing. New York: McGraw-Hill.

对其影响最大的文献：

• Sharpe, W. F. (1991). The arithmetic of active management. Financial Analysts Journal 47(1), 7 – 9.

• Grossman, S. J. and J. E. Stiglitz (1980). On the impossibility of informationally efficient markets. American Economic Review 70(3), 393 – 408.

• McLean, R. D. and J. Pontiff (2016). Does academic research destroy stock market predictability? Journal of Finance 71(1), 5 – 32.

• Christensen, C. (1997). The Innovator’s Dilemma: When New Technologies Cause Great Firms to Fail. Boston, MA: Harvard Business School Press.

最重要投资心得：We build quantitative investment mod­els designed to work on average over time. Consistent investment success, however, requires us to navigate through unexpected and unprecedented environments. Investment suc­cess requires a healthy appreciation of markets and a deep understanding of when each model will and will not work.

对未来的看法：The current explosive growth in unstructured data and associated analytics is the biggest opportunity for active management in at least the past decade.

是否有任何职业上的遗憾：唯一后悔的是没能更早地投入到量化投资这个令人兴奋的事业当中。

Kenneth R. French

成就：Dartmouth 教授，前 AFA 主席，实证资产定价的代表人物之一。

代表文献：

• Fama, E. F. and K. R. French (1992). The cross-section of expected stock returns. Journal of Finance 47(2), 427 – 465.

• Fama, E. F. and K. R. French (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33(1), 3 – 56.

• Fama, E. F. and K. R. French (2015). A five-factor asset pricing model. Journal of Financial Economics 116(1), 1 – 22.

光听这个名字就知道不用太多介绍了。Ken French 和 Eugene Fama 合作的经典文章自然不止这些，它们都值得反复读。

对其影响最大的文献：

• Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. Journal of Finance 25(2), 383 – 417.

• Black, F. and M. Scholes (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81(3), 637 – 654.

• Merton, R. C. (1973). The intertemporal Capital Asset Pricing Model. Econometrica 41(5), 867 – 887.

• Shleifer, A. and R. W. Vishny (1997). The limits of arbitrage. Journal of Finance 52(1), 33 – 55.

最重要投资心得：The high volatility of realized equity returns obscures their information about expected returns. As a result, 5, 10, even 20 years of past returns may say little about the cross-section of future returns. A good strategy for inves­tors is to presume that patterns in past equity returns are just noise and to require a compel­ling model and robust evidence to reject that hypothesis.

对未来的看法：Financial markets will remain volatile, with lots of unexpected challenges and opportunities, and the turbulence will continue to provide great new topics for researchers like me.

是否有任何职业上的遗憾：我有很多遗憾，不过除我之外没人会对它们感兴趣。

Terrance Odean

成就：UC Berkeley 教授，最早研究个人投资者的行为金融学学者之一。

代表文献：

• Odean, T. (1998). Are investors reluctant to realize their losses? Journal of Finance 53(5), 175 – 1798.

• Barber, B. M. and T. Odean (2001). Boys will be boys: Gender, overconfidence, and common stock investment. The Quarterly Journal of Economics 116(1), 261 – 292.

• Barber, B. M. and T. Odean (2008). All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors. Review of Financial Studies 21(2), 785 – 818.

Odean 和其合作者 Brad Barber 是最早使用投资者账户数据分析投资者行为的学者。此外，通过和其他研究者分享数据，他们极大促进了这一细分但非常重要领域的研究进展。

对其影响最大的文献：

• Kahneman, D. and D. Lovallo (1993). Timid choices and bold forecasts: A cognitive perspective on risk taking. Management Science 39(1), 17 – 31.

• Thaler, R. (1985). Mental accounting and consumer choice. Marketing Science 4(3), 199 – 214.

Odean 曾是 Kahneman 的学生。根据 The Undoing Project 一书中的描述，在 2002 年 10 月 9 日这个注定成为传奇的日子，Kahneman 正坐在桌边热情洋溢地为 Odean 写推荐信，而就在此时，一通来自瑞典的电话打破了深夜的宁静。

最重要投资心得：Markets need heterogeneity.

对未来的看法：We need to change the defined contribution pension model.

是否有任何职业上的遗憾：曾花了大量精力研究如下课题，即通过面向对象的包含个人和机构投资者的股票市场模拟来研究行为偏差对资产定价的影响，然而却未能将其发表。

Maureen O'Hara

成就：Cornell 教授，前 AFA 主席（首位女性 AFA 主席），研究市场微观结构的权威，提出 PIN/VPIN 模型。

代表文献：

• O’Hara, M. (1995). Market Microstructure Theory. Hoboken, NJ: Blackwell.

• Easley, D. and M. O’Hara (1987). Price, trade size, and information in securities markets. Journal of Financial Economics 19(1), 69 – 90.

• Easley, D., N. M. Kiefer, and M. O’Hara (1997). One day in the life of a very common stock. Review of Financial Studies 10(3), 805 – 835.

• Easley, D., S. Hvidkjaer, and M. O’Hara (2002). Is information risk a determinant of asset returns? Journal of Finance 57(5), 2185 – 2221.

• O’Hara, M. (2003). Presidential address: Liquidity and price discovery. Journal of Finance 58(4), 1335 – 1354.

• Easley, D., M. M. Lopez de Prado, and M. O’Hara (2012). Flow toxicity and liquidity in a high-frequency world. Review of Financial Studies 25(5), 1457 – 1493.

对其影响最大的文献：

• Bagehot, W. (1971). The only game in town. Financial Analysts Journal 27(2), 12 – 14, 22.

• Almgren, R. and N. Chriss (2000). Optimal execution of portfolio transactions. Journal of Risk 3(2), 5 – 39.

BTW，上述第一篇中 Walter Bagehot 是一个笔名，该作者真正的名字是 Jack Treynor。

最重要投资心得：Market structures change, but they still have to provide liquidity and price discovery — and the details of market design matter.

对未来的看法：Changes in fixed income trading, new ETF structures, and the evolution of cryptocurrency microstructures present huge opportunities for investment management.

是否有任何职业上的遗憾：无。

除了上述这些大佬，最后再介绍两位已故大佬：Jack Treynor 和 John Bolge。在专刊中，对于他们的介绍都是由其他人主笔的，我从中挑选了“成就”、“代表文献”以及“别人能从他的贡献中学到什么”三部分。

Jack L. Treynor

成就：CAPM 发明者之一，Fischer Black 的引路人（没错，这是我的私心）。

代表文献：

• Treynor, J. L. (1961). Market value, time, and risk. Unpublished manuscript. Rough Draft dated 8/8/61, #95-209.

• Treynor, J. L. (1962). Toward a theory of market value of risky assets. Unpublished manuscript. Rough Draft dated by Treynor to the fall of 1962. A final version was published in 1999, in Asset Pricing and Portfolio Performance. R. A. Korajczyk (editor), London: Risk Books, 15 – 22.

• Treynor, J. L. and F. Black (1973). How to use security analysis to improve portfolio selection. Journal of Business 46(1), 66 – 68.
  

关于 Treynor 和 CAPM 的故事，见《CAPM 的一小段历史》。Fischer Black 赞其为第一个发明 CAPM 的人。在上世纪 60 到 70 年代，Treynor 和 Black 合作并共同发表了很多论文，它们为量化投资管理提供了最初的框架和必要的模块。

别人能从他的贡献中学到：Incorporating risk into discount rates, return expectations, performance measurement, along with implications for portfolio management, market making, and corporate and pension investment decision making.

John C. Bogle

成就：Founder of Vanguard，指数基金之父。

代表文献：

• Bogle, J. C. (2000). Common Sense on Mutual Funds: New Imperatives for the Intelligent Investor. Hoboken, NJ: Wiley.

• Bogle, J. C. (2007). The Little Book of Common-Sense Investing: The Only Way to Guarantee Your Fair Share of Stock Market Returns. Hoboken, NJ: Wiley.

Vanguard！指数基金！这些标签足以让人铭记 John Bogle。

别人能从他的贡献中学到：Jack was an ardent proponent of long-term thinking, patient investment style, and prudent fund design. He believed chasing market returns with high turnover investment approaches wipes out most or all of the gains an investor would otherwise earn. He practiced what he preached with the Vanguard family of mutual funds focusing on no-load, low-cost, low-turn­over portfolios — many of which are passively managed.

结语

除了本文节选出来的很少的一部分，在特刊中，每位获奖者还对自己多年的投资研究和实践以及在这个过程中体会到的深刻感悟进行了总结，感兴趣的小伙伴请阅读特刊。通过进一步阅读，我们也不难看出他们之间的共同点：

1. 获奖者们非常谦逊，在“遗憾”环节，我们听到的最多的是“我希望有时间能够学习更多的东西”；

2. 他们都指出模型都有自身的限制，依赖的假设可能很危险，而人的行为充满着意外；

3. 对于在业界获得成功的获奖者来说，他们都清醒的认识到投资中的恐惧和贪婪，并清楚地知道他们在哪些方面具备优势，而在哪些方面应该绕道而行。

毫无疑问，这些投资领袖所表现出来的坚持、毅力以及永不满足的好奇心塑造了我们今天所看到的投资实践，而也正是这些素质让我们为今后一个又一个新的突破做好准备。

BTW，如果你问我最喜欢的名言是哪一句，答案就是 Ken French 说的：

"The high volatility of realized equity returns obscures their information about expected returns. As a result, 5, 10, even 20 years of past returns may say little about the cross-section of future returns."

More to come…

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