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Monkey beats man on stock market picks
Cass Business School puts smart beta and market cap indices to the test
Even a chimpanzee picking stocks at random could easily beat the US stock market, according to academics at the Cass Business School in London. They calculated 10m “monkey” portfolios to analyse how well smart beta indices and a conventional market capitalisation weighted index compared with an approach based solely on luck.
The Cass researchers used computers to choose a thousand stocks at random from the thousand largest US companies to build a monkey portfolio. Each pick was given a weight of 0.1 per cent with no limit on how many times the same stock could be chosen.
This process was repeated 10m times for each year between 1968 and 2011, creating an army of monkey investors.
“The results were quite shocking,” says Andrew Clare, professor of asset management at Cass.
An investment of $100 in the US stock market at the start of 1968 would have grown to just under $5,000 by the end of 2011. But half the monkeys generated more than $8,700, a quarter returned more than $9,100 and 10 per cent made more than $9,500.
“Nearly every monkey beats the performance of the market cap weighted index,” says Prof Clare.
https://www.ft.com/content/abd15744-...f-00144feabdc0
Monkey beats man on stock market picks
Cass Business School puts smart beta and market cap indices to the test
Even a chimpanzee picking stocks at random could easily beat the US stock market, according to academics at the Cass Business School in London. They calculated 10m “monkey” portfolios to analyse how well smart beta indices and a conventional market capitalisation weighted index compared with an approach based solely on luck.
The Cass researchers used computers to choose a thousand stocks at random from the thousand largest US companies to build a monkey portfolio. Each pick was given a weight of 0.1 per cent with no limit on how many times the same stock could be chosen.
This process was repeated 10m times for each year between 1968 and 2011, creating an army of monkey investors.
“The results were quite shocking,” says Andrew Clare, professor of asset management at Cass.
An investment of $100 in the US stock market at the start of 1968 would have grown to just under $5,000 by the end of 2011. But half the monkeys generated more than $8,700, a quarter returned more than $9,100 and 10 per cent made more than $9,500.
“Nearly every monkey beats the performance of the market cap weighted index,” says Prof Clare.
https://www.ft.com/content/abd15744-...f-00144feabdc0
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