亲爱的投资者，我们都知道需要多样化。这是投资智者们经常讨论的一个话题。事实上，这可能是一个难题。因为我们总是习以为常而没有真正考虑一下为什么需要那么做。投资者通过课本、金融课程可以学到关于波动性、标准偏差、协方差、相关性等概念，它们引导读者相信他们可以通过B资产的升值来弥补A资产的贬值，或者在A资产升值的情况下弥补B资产的贬值。
以课本为例。这种联系时常发生。现实生活中则更常见，随着A资产收益下降，B资产也下降。但是我们希望B资产的降幅不会比A资产大（但愿不会超过A资产）。这不像你通过客观数据了解的那样。货币对之间的相关性是十分不稳定的，所以，律师以及监管机构关于“货币对过去的表现不能代表未来的表现”的说法是正确的。事实上，现实情况比数据统计出来的结果要糟糕。由于全球化以及多年的货币宽松政策，相关性正在上升并且有可能持续（比如我们唯一拥有的相关性数据历史，它在降低投资组合风险方面的效果也在下降）。所以，不要轻信你听到、看到的或者那些声称可以带来很好结果的股票和基金组合。这是一个较以前有更大相关性的领域。
但是如果我们没有以说教的态度看待多样化，并且没有炫耀自己的多样化统计数据，我们可以看到这一话题的另外一个方面：这是一个非常伟大的方式来管理风险。你可以通过观察猜测低价股来完成这一任务。我认为，你需要了解它们的风险性。我能感觉到风险的存在，相信你们也能感觉到。
然而，40只股票总清单以及15只组合模型的总交易记录，尽管投资组合不是所有月份都有良好表现，但大体上的表现很好。那么，那些数据能代表你个人的交易结果吗？你可以从这里或那里随便选择几只股票，如果幸运的话，你可能有很好的交易结果；反之，则会很糟糕。
不论你购买还是定期地更新整个组合模型，还是你随机选取的较大数量的、全球性的股票，你投资组合中所包含的股票越多，收益就越依赖于股票总体情况，而不是你的幸运。罗素2000或者别的小型股（不限于我在2013年10月15号根据时讯所列举投资组合的16%）的持续性增长力，迄今为止总体表现良好。这是由于，随着头寸的增加，你个人选择的低价股的基本面就越可能代表整个组合的基本面。投资组合首先应该考虑的就是低价股的基本面。并且由于购买单一的公司股票的风险性大，重要交易组合的具有较小的总风险性很关键。
让我们非正式地思考一下关于投资组合的平均基本面这个问题。这不是一个精确的研究；一些公司的报告中没有包含某些样品。但是它应该为此做出一些粗略的回应。我们首先开始估值。当前股票组合的价值与销售额比（价格/销售额的强化说法）、股价与账面价值比以及接下来12个月的价格与现金流比值分别是1.5、1.7和9.7.对于40只股票总清单，平均比值是2.8、2.2和11.3。而标普500，平均则是3.6、5.5和16。所以，基于上述投资组合的一个具有充分多样性的组合可以让你成为一个更有价值的投资者，而不是一个狂热的投机者、赌徒。
现在，让我们考虑一下销售额增长率。投资组合模型的上一个季度以及过去12个月的同比增长率分别是17.8% 和14.0%、总清单股票的增长率则分别为23.7% 和 20.1% 、标准普尔500为1.7% 和 5.8%。所以，关于小公司增长速度较快的说法似乎是成立的。但如果你拥有一个代表性的投资组合而不是随便选取一个组合，你作为一个投资者从中收益的机会将会增加。那么收益如何？我不需要去考虑那些烦人的数字。我们一个重要的投资理念就是随着股票的升值，它可以弥补甚至藐视固定交易成本。我们希望看到的是股票盈利的增加。我们看到标准投资组合模型以及总清单股票的五年以及过去一年的平均净盈利是31.1% 、38.8% 和39.6%、46.1%。但就固定成本以及操作手续费（体现在日常管理费）方面，五年以及过去12个月的标准投资组合是-0.7% 和 10.7%，总清单则是7.8% 和16.1%。这就是我们所寻求的股票特点。
形成鲜明对比的是成熟的蓝筹股标普500指数，它五年及过去12个月的平均毛利率为42.0% 和42.4%，营业毛利分别为19.3% 和 18.4%。所以，与我们所关注的发展中公司相比，标普500表现很好。但是市场超额回报是基于公司未来基本面的好转，而不是保持不变。我们也看到了标普500股利回报率的增长，五年期及一年期增幅分别为17.7% 和 18.2%。总清单上股票总体表现好转，五年和一年期的平均回报率分别为-2.0% 和9.6%。但是，15只表现最好的股票是不足以代表整个清单的。它们相应的股利回报率分别为12.2%和8.8%。
同时，投资组合代表显示了一些与标普500一致的基本面风险特征。投资组合模型的长期负债资本比率是43%，总清单为47%，标普500是44%。会计收益，作为收益的一部分，它是一个很好的收益衡量指标。三组的会计收益平均水平都表现良好。就数字而言，数值越低，表现越好，负数的情况更好。投资组合模型、总清单和标普500的会计收益分别为-7%，-1%和-6%。
你可以通过投资低价股大赚一笔，如果你拥有一个真正多元化具有代表性的投资组合，你将有很大的可能性从这组股票的平均表现中盈利，并且不需要承担不必要的风险。这也就是我鼓励你在佣金允许的情况下尽可能多地寻找那些可以让你更加经济地投资的公司。（就我而言，我通常拥有40只总清单股票）。在具有所有基本面指标、技术指标、评估公司帮助我们识别公司和股票的情况下，我们所考虑最重要的一点应该是经纪公司的费用列表。
Getting Serious And Getting Real About Diversification
By Marc H. Gerstein, Portfolio123, Director of Research of Portfolio 123
Saturday, June 6, 2015 3:26 PM EDT
Dear Investor, We all know we need to diversify. It may be the single most frequently repeated item of investment wisdom. Actually, though, that may be a problem. It’s been repeated so often, it’s easy to wind up allowing the advice to go in one ear and out the other without really thinking about what implementation is really all about and why we need to do it; aside from avoiding accusations of being a bad person. Those who check the textbooks, whether on their own or as part of a finance class, will read of such concepts as volatility, standard deviation, covariance and correlation. Readers are led to expect that they’ll be able to protect against declines in Asset A by also owning Asset B, which goes up whenever Asset B goes down.
In textbook examples, such relationships occur all the time. In real life, more often than not, as Asset A declines, Asset B also declines but we hope it won’t fall as much (or, heaven forbid, more than) Asset A. But even that often winds up little more than a wing and a prayer. It’s not like you can learn anything by looking at objective data. Correlation among pairs of assets is remarkably unstable over time, so the lawyers and regulators are spot on when they tell us about past performance not determining future outcomes. And actually, the situation is worse than mere statistical crunching suggests. Due to globalization and years of easy money, correlations have been rising and are likely to continue to do so (making historical correlation data, the only kind we have, even less effective in pointing us toward the sort of diversification that can mitigate risk). So please do not give credence to anything you may see or hear that purports to demonstrate how effective well-diversified stock and-bond portfolios have fared. That’s really an area where we should expect much higher correlations in the future.
But if we can look at diversification without getting preachy and without flexing our statistical muscles, we can see a different aspect of the topic and how it really is a great way to manage risk. We’ll do so by looking at, you guessed it, low-priced stocks. Individually, you have to know how risky these are. I’ve felt it. I have to assume you have too.
Nevertheless, the overall track record of the 40-stock) Master List and the (15-stock) Model Portfolio, despite not all months being wonderful, have been pretty good overall, as you can see from the accompanying table. Are those figures representative of your personal results? If you choose a few stocks here and there and are lucky, you might be doing considerably better. If you’re not so lucky, you might be doing considerably worse.
The more stocks you choose, however, whether you buy and regularly update the entire Model Portfolio, the entire Master List, or a decent-sized group you put together however you wish from among the universe of stocks discussed here, your performance is less likely to depend on luck or hard-to-predict events and more likely to depend on the overall characteristics of the group as a whole. And considering our prolonged strength against the Russell 2000, and even the larger low-priced group that is not limited to those that pass the model I use (up only 16% since the 10/15/13 inception of this format for the newsletter), performing in line with the group as a whole has so far been a pretty good outcome. This stems from the fact that as you add positions, the overall fundamental profile of your personal low-priced portfolio is more likely to resemble the fundamental profile of the group as a whole, the fundamental profile that motivated me, and presumably, you, to get interested in low-priced stocks in the first place. And while individual companies may be very risky, the aggregate of a substantial portfolio is likely to have a less intimidating risk profile.
Let’s take an informal glance at this. Let’s consider some group-average fundamentals. This is not a precise study; some companies that didn’t report certain items fell out of the samples. But it should make for a useful back-of-the-envelope type view. We’ll start with valuation. The average Enterprise Value-to-Sales (a souped-up version of price/sales), Price-To-Book, and Price-to-Cash Flow (trailing 12 month) ratios for the current Model Portfolio are 1.5, 1.7 and 9.7. For the 40-stock Master List, the average ratios are 2.8, 2.2 and 11.3. For the S&P 500, the averages are 3.6, 5.5 and 16.0. So there’s a good chance that a well-diversified representative portfolio drawn from the stocks discussed in this and prior issues makes you a more a value investor than a wild-eyed crazy speculator/gambler.
Now let’s consider sales growth rates. For the last quarter (year-to-year) and the past 12 months respectively, these were 17.8% and 14.0% for the Model Portfolio, 23.7% and 20.1% for the Master List stocks, and 1.7% and 5.8% for the S&P 500. So the stereotype of little companies being able to grow faster seems to be playing out. But your chances of benefitting from it as an investor improve if you own a representative portfolio, rather than a stock here or there. What about earnings? I don’t need to look at the numbers to know they likely stink. An important investment theme for us is the potential for these companies to better cover, and eventually dwarf burdensome fixed costs as they grow. What we’d like to see is progress in terms of margin. We see that a bit in Gross Margin, where the average five-year and trailing 12 month figures for the Model Portfolio and Master List are 31.1% and 38.8%, and 39.6% and 46.1%. But in terms of fixed-cost coverage, operating margin (which reflects more in the way of overhead) is where the rubber meets the road. The five-year and trailing-12-moth figures for the Model Portfolio are -0.7% and 10.7%; for the Top 40, the figures are 7.8% and 16.1% This is exactly the sort of characteristic we seek in these stocks.
And it stands in stark contrast to the mature blue-chip S&P 500 companies, for which five-year and trailing-12-month average gross margins are 42.0% and 42.4%; the five-year and 12-month average blue-chip operating margins are 19.3% and 18.4%. So in contrast to the evolving companies in which we focus, the S&P 500 firms, on average, are what they are. What they are is good. But excess returns in the market come from change for the better, not staying in place; even if it’s a good place. We see this in return on equity (ROE) as well. For the S&P 500, the five-year and 12-month averages are 17.7% and 18.2%. Positive change from a weaker position is evident in the Master List, where these averages are -2.0% and 9.6%. But the Top 15 is not a big enough group to represent the Master List, at least not this month: The corresponding ROEs here are 12.2% and 8.8%.
Meanwhile, representative portfolios show some fundamental risk characteristics in line with the S&P 500. Long-term debt-to-capital ratios are 43% for the Model Portfolio, 47% for the Master List and 44% for the S&P 500. Accounting accruals as a percent of revenue, a big earnings-quality measure, are good on average for all three groups. As to the numbers, the lower the better and negative is even better. For the Model Portfolio, the Master List, and the S&P 500, these figures are -7%, -1% and -6%.
So while you can make a killing investing in individual low-priced stocks, if you can get a truly diversified and representative portfolio, there’s a higher probability you can benefit from the overall investment appeal of this group without taking on undue risk. That’s why I encourage you to spread your low-priced investments among as many names as is feasible given your your brokerage-fee arrangements, and/or to look for firms that can let you trade more economically. (Speaking for myself, I regularly own the 40 Master List stocks through an account at FolioInvesting.com.) With all the fundamental and technical indicators and metrics available to help us evaluate companies and stocks, the most important one of all may be our respective broker fee schedules.
本文翻译由兄弟财经提供
文章来源：http://www.talkmarkets.com/content/stocks--equities/getting-serious-and-getting-real-about-diversification?post=66358&page=4