相关文章：巴菲特：我们的套利方法（点击阅读）
通过前面关于套利的讨论，我们似乎也可以对 “有效市场理论”（EMT）稍作讨论。 这一理论在 20 世纪 70 年代非常时髦，在学术界几乎成了圣经。 从本质上讲，该理论认为分析股票毫无用处，因为有关股票的所有公开信息都已适当地反映在其价格中。 换句话说，市场总是知道一切。 作为推论，教授 EMT 的教授们说，在股票桌上投掷飞镖的人可以选出一个股票投资组合，其前景与最聪明、最勤奋的证券分析师选出的组合一样好。 令人惊讶的是，EMT 不仅受到学术界的欢迎，还受到许多投资专业人士和公司经理的青睐。 他们正确地观察到市场经常是有效的，却错误地得出了市场总是有效的结论。 这些命题之间的差别可谓天壤之别。
在我看来，格雷厄姆-纽曼公司（Graham-Newman Corp. 巴菲特合伙公司和伯克希尔公司连续 63 年的套利经验说明，EMT 是多么愚蠢。(在格雷厄姆-纽曼公司工作期间，我对该公司 1926-1956 年整个生命周期的套利收益进行了研究。 非杠杆收益平均每年为 20%。 从 1956 年开始，我应用了本-格雷厄姆的套利原则，先是在巴菲特合伙公司，然后是伯克希尔公司。 虽然我没有做过精确计算，但我已经做了足够多的工作，知道 1956-1988 年的平均回报率远远超过 20%。(当然，我所处的环境要比本的环境有利得多；他要面对的是 1929-1932 年）。
公平检验投资组合业绩所需的所有条件都已具备：（1）三家机构在建立这 63 年记录的过程中交易了数百种不同的证券；（2）结果没有被少数几次幸运的经历所扭曲；（3）我们不必挖掘晦涩难懂的事实，也不必对产品或管理层有敏锐的洞察力--我们只是根据高度公开的事件采取行动；（4）我们的套利头寸是一个明确确定的范围--它们不是事后选定的。
在这 63 年中，包括股息在内，一般市场的年回报率略低于 10%。 这意味着，如果将所有收入进行再投资，1,000 美元将增长到 405,000 美元。 而 20% 的回报率则会带来 9,700 万美元的收益。 这在统计学上是一个显著的差异，可以想象，这可能会引起人们的好奇心。
然而，该理论的支持者似乎从未对这类不和谐的证据感兴趣。 诚然，如今他们不再像过去那样大谈特谈他们的理论了。 但是，据我所知，从来没有人说过他是错的，不管他误导了成千上万的学生。 此外，EMT 仍然是各大商学院投资课程中不可或缺的一部分。 显然，不愿意悔改，从而揭开神职神秘面纱的，并不局限于神学家。
当然，学生和受骗上当的投资专业人士吞下 EMT，对我们和格雷厄姆的其他追随者来说是一种非同寻常的伤害。 在任何形式的竞赛中，无论是金融竞赛、心理竞赛还是体能竞赛，如果对手被灌输了 “即使努力也没有用 ”的思想，那将是一个巨大的优势。 从自私的角度来看，格雷厄姆的追随者或许应该捐赠教席，以确保 EMT 的永久教学。
说了这么多，还是应该提个醒。 套利最近看起来很容易。 但这种投资方式并不能保证每年获得 20% 的利润，或者说，不能保证任何形式的利润。 如前所述，市场在很多时候都是合理有效的：在 63 年的时间里，我们每抓住一个套利机会，就会有更多的套利机会被放弃，因为它们看起来定价合理。
投资者不可能通过简单地投资于某一特定的投资类别或风格而从股票中获得超额利润。 他只能通过仔细评估事实和不断遵守纪律来获取利润。 投资套利本身并不比通过投掷飞镖来选择投资组合更好。
英语原文：
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.
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.)
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.
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.
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.
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.
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.
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.
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