在回顧2017年股市的強(qiáng)勁表現(xiàn)時，投機(jī)商們不約而同地為科技巨頭們拍手稱贊。標(biāo)普500和納斯達(dá)克之所以能夠不斷地再創(chuàng)新高，這股力量所做的貢獻(xiàn)比其他任何股票都要大。華爾街的各大機(jī)構(gòu)預(yù)測，也正是因為有這些世界級的牛股作為支撐，股東們在2018年將再次斬獲兩位數(shù)的收益增長。

然而，對于數(shù)千萬投資指數(shù)基金的美國人來說，科技股的爆發(fā)式增長的結(jié)果很有可能會適得其反，并成為其實現(xiàn)未來回報的重大障礙。

原因何在？大多數(shù)指數(shù)基金，不管是ETF（交易型開放式指數(shù)基金）還是共同基金，都是所謂的“市值加權(quán)型”產(chǎn)品。在標(biāo)普500基金中，如果一只股票或同一行業(yè)的一組股票的表現(xiàn)遠(yuǎn)超整個指數(shù)，投資者所持有某一公司或某一行業(yè)的股份在其股票中的比例會突然大增。隨著高波動股票價格的一路高歌，其市值也會水漲船高，而且指數(shù)基金會自動與這些熱股掛鉤。你的股票組合會嚴(yán)重偏向股價最高的公司，并拋棄那些毫無起色的股票。

問題在于，隨著時間的推移，對最高股價公司加大投資通常會有損未來的業(yè)績。Research Affiliates（為2000億美元共同基金和ETF提供投資策略）維塔利·卡爾斯尼克說：“數(shù)十年的研究顯示，要實現(xiàn)最大回報，投資者應(yīng)減少對最高股價股票的敞口，選擇價格較低的股票?！北窘苊鳌じ窭瓭h姆與沃倫·巴菲特也奉行類似的“價值”策略。作為對比，市值加權(quán)型方法看重的是擁有高市盈率倍數(shù)的增長型股票（這類股票反應(yīng)了對未來收益的強(qiáng)烈預(yù)期），同時避開僅憑平庸表現(xiàn)便能夠帶來不俗回報的低價股（這些股票在長期內(nèi)的回報則要好得多）。

指數(shù)基金如何成為科技股基金

要了解指數(shù)基金如何大量增持熱門高價股票，最好的研究案例莫過于2017年的科技股熱潮。Facebook、蘋果、亞馬遜、微軟和Alphabet子公司谷歌（我們將其統(tǒng)稱為FAAMG公司）去年平均收益為47.3%。僅這5家公司便為標(biāo)普全年23.7%的增幅貢獻(xiàn)了5.2個百分點。

我們不妨將FAAMG看作是一個大公司，并看看其合并市值的巨大飛躍如何提升其在某一標(biāo)普指數(shù)基金中的權(quán)重。

在2017年初，F(xiàn)AAMG的總市值為2.09萬億美元，iShares Core S&P 500 ETF（由黑石管理）投資額的11.06%流向了這些公司。在去年年末，其市值已升至3.01萬億美元，增長了44%，使其在該ETF中的權(quán)重增至13.36%。換句話說，人們在FAAMG的投資在去年增長了20%，而FAAMG占總ETF資產(chǎn)組合的比重則增加了2.3個百分點。

如果FAAMG的收益能夠擁有其股價那樣或接近股價的強(qiáng)勁表現(xiàn)，問題就不會那么嚴(yán)重。據(jù)《財富》雜志測算，F(xiàn)AAMG在2016年的營收達(dá)到了939億美元，其當(dāng)年的市盈率倍數(shù)為22。2017年，其合并利潤增長了21.8%，但其“股價”卻翻了一番多，將其市盈率倍數(shù)推至27，最終讓FAAMG比之前貴了兩成多。其市盈率比標(biāo)普500年底的整個市盈率高出了4個點。值得注意的是，F(xiàn)AAMG中收益最高的公司蘋果，到目前為止還沒有釋放任何收益增長的信號。

將股票組合中一個企業(yè)的持股比例從11.1%增至13.4%看起來并不是很大的增幅。但是，考慮到“均值回歸”現(xiàn)象（某一趨勢在經(jīng)歷了一段時間的特定走向之后會回歸其正常值），此舉可能會對未來回報造成重大影響。我們不妨將標(biāo)普指數(shù)基金來年的目標(biāo)收益率定為10%。那么試想一下，一旦FAAMG回歸其2017年11%的權(quán)重值，那么FAAMG股價將下降10.3%，相當(dāng)于放棄2017年1個季度的收益。因此，要實現(xiàn)10%的目標(biāo)，標(biāo)普其余股票的價格則需要上漲近13%。

換句話說，如果FAAMG熱股的表現(xiàn)回歸常態(tài)，那么股票組合的剩余股票需要上漲FAAMG股票下降的幅度。

投資指數(shù)的更好方式？

幸運(yùn)的是，這里還有一個更好的選擇方案。Research Affiliates首創(chuàng)了一種名為基本面指數(shù)化的方法。這種方法并沒有按照公司的市值來加權(quán)，而是根據(jù)其經(jīng)濟(jì)印跡來確立其在指數(shù)中的比例。這一重要性由四大因素綜合決定：銷售、派息與回購、賬面價值和現(xiàn)金流。因此，如果一家公司的股價增幅要遠(yuǎn)超其經(jīng)濟(jì)權(quán)重，意味著其股價相對高昂，那么基金將減持這支高價股，并增持那些價格未能反映公司整體規(guī)模的股票。

Research Affiliates的RAFI U.S. Index使用了四大原則來衡量經(jīng)濟(jì)重要性而不是市值。它被廣泛運(yùn)用于不同的基金，覆蓋各種類型的股票，包括PowerShares FTSE RAFI U.S. 1000，它基本上涵蓋所有的標(biāo)普500股票和其他使用RAFI指數(shù)的其他基金。結(jié)果，它衡量這些大市值股票的方法與標(biāo)普指數(shù)基金的衡量方式截然不同。

年末，RAFI U.S.指數(shù)持有FAAMG股票的比例僅有6%，不到iShare Core S&P 500的一半。蘋果公司在該指數(shù)基金中的比例為2.3%，但占到了iShares基金比例的3.8%。

RAFI指數(shù)所持有的低市值股票的比重更高，高波動股票的比重則要小的多。例如，技術(shù)和醫(yī)療這兩個價格最高的板塊，在2017年末僅占RAFI U.S.持股比重的25.7%，較iShares Core S&P 35%的持股比重低了近10個百分點。

最后的業(yè)績?nèi)绾危空且驗檫@一小部分股票成為了2017年股市恢復(fù)的生力軍，RAFI U.S.指數(shù)在過去一年中落后標(biāo)普500指數(shù)3.7個百分點（18.1%對比23.8%，包括派息）。然而，在過去5年中，這兩者之間基本上沒有什么差距。而且通過回測RAFI方法，人們會發(fā)現(xiàn)在過去20年中，它比標(biāo)普平均高出2.24個百分點（9.44%對比7.20%）。這些額外的百分比累積起來不可小覷：20年后，從理論上來講，RAFI投資者的資產(chǎn)組合的價值要比使用市值加權(quán)型標(biāo)普基金的投資者高出約50%。

指數(shù)基金，包括ETF和共同基金，對于投資者來說一個不錯的低成本選擇。但是追逐高價股，拋售低價股的理念會帶來問題。適用于長線投資者的解決方案在于：逆勢投資。基本面指數(shù)化方法的內(nèi)涵便是避開熱股，追逐冷門股，它剛好能夠滿足這一需求。（財富中文網(wǎng)）

譯者:Charlie

In recapping the stock market’s strong performance in 2017, the bulls invariably laud the tech titans as the force that, more than any other, propelled the S&P 500 and the Nasdaq to record after record. It’s chiefly the power of these world champions, the Wall Street crowd crows, that will make 2018 another double-digit winner for shareholders.

For the tens of millions of Americans who rely on index funds, however, the tech explosion may well prove the just the opposite—a heavy drag on their future returns.

Here’s why. Most index funds, whether ETFs or mutual funds, are what’s called “cap weighted.” In an S&P 500 fund, if a stock or group of stocks in the same industry way outpaces the overall index, you as an investor will suddenly own far more of that company, or that industry, as a share of your holdings. As the prices of high flyers soar—and with them, their market capitalization—the index fund automatically gorges on those hot stocks. Your portfolio gets heavily weighted in the priciest companies, while sloughing off the laggards.

The problem is that, over time, doubling down on the most expensive companies generally hammers future performance. “Decades of research shows that a methodology that lowers exposure to the most expensive stocks, and favors cheaper shares, produces the best returns,” says Vitali Kalesnik of Research Affiliates, a firm that oversees investment strategies for $200 billion in mutual funds and ETFs. That’s the familiar “value” strategy pioneered by Benjamin Graham and championed by Warren Buffett. By contrast, the cap-weighted approach tilts heavily towards growth stocks sporting high PE multiples that reflect big expectations for future earnings, and shuns the “dogs” that can produce strong returns just by being mediocre—and over long periods, do a lot better.

How your index fund became a tech fund

It’s hard to find a better case study on how index funds load up on hot, expensive stocks than the tech bonanza of 2017. What we’ll call the FAAMG companies, Facebook (FB, +1.40%), Apple (AAPL, +1.13%), Amazon (AMZN, +1.67%), Microsoft (MSFT, +1.25%), and Google (owned by Alphabet)(GOOG, +1.46%), posted average gains of 47.3% last year. Those five players alone accounted for 5.2 percentage points of the S&P’s total gain of 23.7%.

Let’s look at the FAAMGs as one big company, and examine how the gigantic jump in their combined value raised their weight in one S&P index fund.

At the start of 2017, FAAMG Inc.’s total market cap was $2.09 trillion, and it accounted for 11.06% of the iShares Core S&P 500 ETF managed by Blackrock. By the close of last year, its value had surged to $3.01 trillion, or 44%, raising its weight in the ETF to 13.36%. In other words, your investment in FAAMG rose by one-fifth last year, and the portion of your total ETF portfolio sitting in FAAMG increased by 2.3 percentage points.

That wouldn’t be so troublesome if FAAMG’s earnings had risen as much, or almost as much, as the astounding spike in its price. But that didn’t happen. By Fortune‘s reckoning, FAAMG earned a total of $93.9 billion in 2016, and finished the year with a PE multiple of 22. In 2017, its combined profits rose 21.8%, but its “stock price” more than doubled, raising its PE to 27, effectively making FAAMG more than one-fifth more expensive. That PE was four points higher than the S&P 500’s overall multiple at year end. It’s important to note that FAAMG’s biggest earning unit by far, Apple, is showing no pattern of growing earnings.

Raising the holding in one enterprise from 11.1% to 13.4% of a portfolio may not sound like much. But it can have a significant impact on future returns because of the phenomenon of “mean reversion,” or the tendency of trends, after they veer off in one direction, to return to normal. Let’s say our goal is a gain of 10% next year for our S&P index fund. Now imagine that FAAMG returns to its 2017 weight of 11%. In that case, FAAMG would drop 10.3%, giving back one-quarter of its gain for 2017. So to reach our 10% target, the rest of the S&P would need to rise almost 13%.

Put another way, if the performance of the FAAMG hotshots ever returns to something like normal, the rest of your portfolio will have to work that much harder.

A better way to index?

Fortunately, a better option exists. Research Affiliates has pioneered an approach known as “fundamental indexing.” Instead of weighting companies by their market cap, fundamental indexing establishes their share of the index based on their economic footprint. That heft is determined by a combination of four factors: sales; dividends plus buybacks; book value; and cash flows. Hence, if a company’s stock-market value soars far above its economic weight, indicating that it’s relatively expensive, the fund will lower its holdings in the pricey stock and boost its holdings in stocks whose value lags their overall size.

Research Affiliates’ RAFI U.S. Index uses the four-point criteria for economic heft rather than market cap. It’s used in a variety of funds covering different universes of stocks, including the PowerShares FTSE RAFI U.S. 1000, Almost all of the S&P 500 stocks would be included in that and other funds using the RAFI index. And as a result, the way it weights those big caps stocks is starkly different than that of a typical S&P index fund.

At year end, the share of the RAFI U.S. index in FAAMG was just 6%, less than half the proportion in the iShare Core S&P 500. Its Apple holding was 2.3%, versus 3.8% in the iShares fund.

The RAFI index features a far bigger proportion of low market cap stocks, and a lot less of the high-flyers. For example, tech and healthcare, the two priciest sectors, accounted for just 25.7% of the RAFI U.S. at the close of 2017, almost ten points below the 35% share for the iShares Core S&P.

So how has it performed? Precisely because such a small number of stocks accounted for so much of the 2017 rally, the RAFI U.S. index lagged the S&P 500 over the past year, by 3.7 points (18.1% to 21.8%, including dividends). Over the past five years, though, the two were roughly even. And backtesting the RAFI method, you’ll find that it would have beaten the S&P by an average of 2.24 pts, 9.44% to 7.20%, over the past 20 years. Those extra percentage points would add up to a lot: After 20 years, a theoretical RAFI investor would have had about 50% more money in her portfolio than someone who stuck with a cap-weighted S&P fund.

Index funds, including ETFs and mutual funds, are a great, low-cost choice for investors. But the chase-the-pricey stuff, sell-what’s-cheap mechanics present a challenge. The solution for someone with a long time horizon: Go contrarian. Fundamental indexing, which by its very nature dumps what’s hot and buys what’s unloved, fits that bill.