Aktiv-Passiv Fonds Debat Danmark - Religiøse Professorer II

Børsen har i januar 2016 en lille artikelserie, omkring Morningstar's performancemåling.

To professorer optræder som uafhængige observatører, og retter en hård kritik af Morningstar, som beskyldes for tendentiøs og manipulerende talgymnastik.

Jeg anerkender det er svært at finde uafhængighed nogen steder, når det kommer til aktiv-passiv debatten.

Men, jeg må ærligt sige, at danske professorers grad af uafhængighed, ikke længere står mål med deres saglighed.

I medier, på møder, på seminarer og alle andre steder, hvor emnet diskuteres, der klumper professorerne sammen og udmærker sig ved at være meget lidt lyttende, meget lidt forstående, og med synspunkter, mejslet fast i meget filosofi, og meget lidt relevant empiri. De taler med én tunge, og det i en grad, at iagttagere må antage, at der ligger store videnskabelige analyser til grunds. Men det gør der ikke.

Der er ikke lavet noget på danske aktier i Danmark i 10-15 år, indenfor Alpha performance (fraset lidt specialer, som er vejledt af de samme 3-4 professorer, som er aktive i debatten). Der kan ganske vist henvises til studier i USA og Europa på aktier.

Men det er altså ikke Danmark.

Derfor bliver argumentationen fra dansk forskning ofte mere filosofisk, end empirisk. Mere religiøs end videnskabelig.  

For resultatet må og skal bare give negativt når omkostninger trækkes ud, og hvis ikke dette er en vilkårlig analyses udfald (se eksempelvis Morningstar artiklen), så trækkes ofte et eller to filosofiske kort i debatten. Enten nulsumsspillet eller markedsefficiensteorien.

Særligt førstnævnte som også kaldes "ligevægtsregnskabet", er en ofte anvendt reference i modstanden mod aktiv forvaltning, uagtet analyseresultater.

Men, som vi også redegør for i Aktiv-Passiv Fonds Debat Danmark - Religiøse Professorer II, misforstår eller manipulerer forskerne begrebet.

Forskerne slipper nemlig hver gang af sted med at stryge alle aktive investorer over én kam, i én aggregeret gruppe, mod passive investorer i indeksgruppen. På den måde giver aktiv forvaltning 0% (før omkostninger), da passiv forvaltning giver 0% pr. definition. Hvorfor? fordi summen af de to gruppers afkast/performance skal give 0% pr. aritmetik. Dermed gælder det også i denne Sharpe (1991) aritmetik/logik, at aktiv forvaltning ikke kan svare sig, da omkostningerne her, er højere end på indeksforvaltning.

Men aktiv fondsforvaltning er blot en delgruppe af den aggregerede aktive gruppe. En pensionskasse der forvalter aktier aktivt mod et indeks, er også i aktivgruppen, men i den anden delgruppe. En privatinvestor er også en aktiv investor i den anden delgruppe.

Derfor kan der naturligvis sagtens være +/- afkast/performance, eller +/- Alpha inden for den aggregerede aktivgruppe. Summen af de to delgrupper skal bare være 0%. Det er i substansen hele ideen i aktiv fondsforvaltning. At vinde på bekostning af aktiv ikke-fondsforvaltning.

Fra en stor præsentation for Dansk Aktionærforening, konkluderer Tom Engsted,

"Men husk: Aktiv forvaltning er et nulsumsspil: Hvis der er nogen
aktive forvaltere der klarer sig bedre end markedet (gennemsnittet), må
der nødvendigvis være andre aktive forvaltere, der klarer sig dårligere end
markedet!"

Det er rigtigt, men splittet mellem aktiv fondsforvaltning og aktiv ikke-fondsforvaltning "glemmes". Det er imidlertid den, der er interessant, og som internationale forskere også empirisk tester for.

Thomas Peter Clausen

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