2007年10月12日星期五

频繁交易注定失败

频繁交易注定失败

'Bull's-eye investors' still lose
New study says 82% of day-traders end up in red


By Paul B. Farrell, MarketWatch.com, August 17, 2004


It was billed as a "debate," on a nationally syndicated radio show. Me, a buy-and-hold investor to the core, versus John Mauldin, author of the Bull's-Eye Investor and Millennium Wave Investments, a newsletter publisher and investment adviser ... and a guy who is totally against a buy-and-hold strategy for the coming years.

Why is he against buy-and-hold? Well a good part of the reason is he believes the market's going nowhere for the rest of this decade, maybe longer. But, he says, with the right aggressive strategies, you can beat the market.

Mauldin is so thoroughly convinced that if you don't give up on a long-term buy-and-hold strategy and actively engage in alternative strategies (such as hedge funds, gold funds and trading in value stocks) you will lose a lot of money

So, who won the debate? Nobody! In fact, nobody ever wins this debate.

Why? Probably because 99 percent of American investors are born with buy-and-hold DNA, they are passive investors who rely on well-diversified portfolios often of low-cost index funds. They don't have the time, money or interest in active portfolio management, nor do they trust in the market or in professional market experts.

Meanwhile, the DNA of the other one percent, the so-called "Bull's-Eye Investors," contains a rare overconfidence gene that pumps an "I-am-convinced-I-can-beat-the-market" drug directly into their brains. Of course the odds are against them beating the market, but that gene contains a blocker that suppresses negative information.

The brain chemistry and psychological profiles of these two types of investors are worlds apart. If you listened to a debate between Shotgun Investors and Bull's-Eye Investor you'd think you were talking to two aliens, one from Mars, the other from Venus. They are more different than voters in blue versus red states.

82% of all day-traders are losers

And each type of investor is as dogmatic as the other. DNA-based ideologies control each one. Minds are locked up. Opinions already cast in concrete. The facts are totally irrelevant. Of course that was a given from the start, as I found out once again in our so-called debate. Here's why: Just before the "debate" I got some interesting new data from a BusinessWeek article.

Get this, most traders are losers; 82 percent of all day-traders lose money.

That data comes from a new study by a couple professors at the University of Taipei working in conjunction with University of California finance professors Terry Odean and Brad Barber.

For your information, that's the same Odean and Barber who researched 66,400 Merrill Lynch investors back in the '90s and concluded "the more you trade the less you earn." In fact, that earlier study proved that the returns of the buy-and-hold investors (with two percent turnover) were a whopping 50 percent higher than the returns of the most active traders (averaging 258 percent annual turnover). Transaction costs, commissions and taxes killed them.

In the new study these four behavioral finance professors had access to all the records of the Taiwan Stock Exchange for the 1995-1999 period. Not just 66,400 randomly selected accounts in Merrill Lynch's huge database of millions of clients but 100 percent of the traders on TSE, including their identities -- a total of 925,000 investors.

Assuming the DNA of a Taiwanese trader is essentially the same as the DNA of a trader at Merrill Lynch, the new Odean-Barber study results actually confirm what we already know, that market timing and day-trading is a loser's game.

Dumb and dumber, can't stop losing

The research also showed that the heaviest traders, a small group equaling just one percent of all traders, actually accounted for over half of all the exchange's volume. But while they made money trading, after transaction costs were deducted they also were net losers.

The study actually went much deeper: Listen to this new bit of information about the trader's strange self-sabotaging obsession to lose money.

The study broke the traders into six groups depending on their past successes. They wanted to see if past winners repeated. The answer was yes, but at a high cost!

While the average trader lost $45 a day, the average winner did in fact repeat as a winner, netting $251 a day after transaction costs. But ... things were so bad that 82 percent of all the traders lost money!

You heard me: Out of 925,000 traders, about 750,000 were losers. And using 250 trading days a year, each trader lost roughly $11,250 a year for a total loss of about $8.4 billion annually.

On the other hand, each of the 175,000 repeat winners, made an estimated $62,750 a year each after transaction costs, for a total annual gain for all these winners of roughly $11 billion. So a small percentage of investors made $62,750 a year for all that risk.

Chimp made chump of best day-traders

Big deal? No. This is one big fat joke because it gets worse: This study covered the 1995-1999 period. Remember, folks, those were the heady go-go days of the great bull market when even 30 percent returns on funds were considered so-so. Those were the days when over a hundred funds made returns in excess of 100 percent in 1999, many over 300 percent!

And back then I remember Raven the chimpanzee was picking stocks by throwing darts and he was even beating the top portfolio managers with 300 percent annual returns on his Monkeydex portfolio. So the joke's on the trading community.

Folks, this new study is a huge embarrassment for traders! These traders were not only huge losers, the 82 percent who were repeat losers were so blind and dumb they still stayed in this loser's game and just kept losing! That's the trader's DNA at work!

Dumb, dumber ... and the dumbest

Worse yet, the "winners" were the dumbest of all. The so-called winning traders were not only making less than Raven the monkey, they were making less than a buy-and-hold investor would have made from a portfolio with a couple hundred thousand dollars just sitting passively in tech funds and stocks in the 1995-1999 period.

So once again my hat's off to Odean and Barber. They reconfirmed the findings in their prior study and proved once again what we all know -- trading is a loser's game.

The only people who really make money in trading are the service professionals (stock brokers, hedge-fund managers, financial advisers, etc). The pros get their commissions no matter how much investors and traders lose. Even in bear markets their ads paint a different picture, appealing to the trader's self-sabotaging, addictive, super-confident DNA, to convince them that they (the pros) have the secret to beating the market, using buzzwords like "Bull's-Eye Investing."

The truth is: They can't, they don't and they never will hit the target and beat the market. But as I found out one more time in this latest "debate," I may as well have been trying to convince Raven that eventually he too would lose, and lose big.

In that respect, chimpanzees are superior to human traders. The trader's DNA controls their brains; they have no choice but to chase the fantasy that they can beat the market. They are addicted to losing. The pros know this and love milking their delusional "winner's fantasy" like a cash cow.

So the game goes on ad infinitum, with all the pros having a big laugh as they rake off big commissions and get rich off the 82 percent who are repeat losers.

评语:

要 尊重统计规律,短线频繁交易注定会失败。Day Trading(当日交易)是十分冒险的做法,你需要非常严格的纪律、迅速的反应和娴熟的技巧才“有可能”成功。如果你的目的是为了获得高额回报,请想一 想是否有其它方法可以达到很好的效果,却少了许多心力的折磨(一点不夸张)。而且不要忘了计算交易成本和各项费用,千万不要落得“为券商打工”的地步。

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