【Joe’s華爾街脈動】專題：專業投資人如何思考？獨家策略公開

一份衡量自身優勢，並建立可複製成功模式的指南

Joe 盧, CFA | 2025年9月12日

摘要

• 單憑高報酬率是衡量投資能力的一個糟糕指標，因其時常隱藏著過度的風險，且可能僅僅是運氣的結果，而非技巧高超、可複製的流程。
• 專業人士使用的一個更好的指標是資訊比率(Information Ratio, IR)，它透過衡量超額報酬相對於為達成此目標所需承擔風險的一致性，來評估投資技巧。
• 根據主動式管理的基礎法則(Fundamental Law of Active Management)，一個優異的資訊比率，是兩個關鍵組成部分的產物：資訊係數(Information Coefficient, IC)，即您投資洞見的品質；以及投資廣度(Investment Breadth, IB)，即您應用該洞見的獨立機會數量。
• IR ≈ IC x √IB 此一關係式表明，持久的成功需要一個真正的分析優勢，以及將此優勢應用於廣泛、不相關的投資組合中的紀律。
• 要成為一個技巧更高超的投資者，您必須將焦點從追逐報酬，轉向建立一個嚴謹的流程：定義您的優勢(IC)，廣泛地應用它(IB)，並透過一致的、經風險調整後的績效(IR)來衡量您的成功。

在我的職涯中，我一直在分析世界頂尖投資者，最關鍵的問題始終如一：他們的成功是源於真正的技巧，還是僅僅是運氣好？作為一位自主的投資者，您也面臨著完全相同的挑戰。我們很容易沉浸在一場大勝的快感中——單一個股30%的漲幅感覺好極了。但這是一次高明的操作，還是一場幸運的賭博？要取得長期的成功，您需要一個框架來區分技巧性的流程與幸運的結果。您可以從採納專業人士用以衡量自身的相同工具開始。

擊敗市場的殘酷現實

首先，一個發人深省的真相：大多數專業的基金經理人，儘管擁有專業知識和資源，長期而言卻未能持續擊敗他們的基準指數（如標普500指數）。在競爭激烈且被充分研究的市場中，例如美國大型股，情況尤其如此。這並非因為他們不夠聰明，而是因為市場極度有效率。當您將他們的管理費以及他們所承擔的風險程度納入考量後，許多經理人最終提供的價值，甚至低於一個簡單、低成本的指數型基金。這是每位投資者都面臨的挑戰。擊敗市場極其困難，且需要的遠不只是幾個好點子——它需要一個嚴謹且具技巧的流程。

資訊比率 (Information Ratio, IR)：您真正的技巧分數

用投資組合的報酬率來評判自己的成功是很誘人的，但單憑報酬率具有欺騙性。真正的技巧，在於能在不將自己暴露於災難性風險的情況下，持續地創造穩健的報酬。為了衡量這一點，許多專業的基金經理人使用資訊比率(IR)。

您可以將IR視為您的「技巧分數」。其核心，資訊比率是衡量每單位超額風險所帶來的超額報酬。

• 超額報酬 (Excess Return): 這是您超越基準指數所創造的報酬。如果您的投資組合報酬率為12%，而標普500指數報酬率為10%，那麼您的超額報酬就是2%。這部分是您的「alpha」。
• 超額風險 (Excess Risk): 這是您超額報酬的波動率，通常稱為「追蹤誤差」(tracking error)。它衡量您達成超額表現的一致性。一條平穩、穩定地擊敗基準指數的路徑被視為低風險，而一趟充滿大贏大輸的瘋狂旅程則是高風險。

一個正的IR意味著，相對於市場，您為所承擔的風險正獲得回報。一個高的IR是技巧的標誌，因其表明您正持續地創造超額表現，而沒有不穩定的擺動。它回答了這個關鍵問題：您的投資決策是在增添可靠的價值，還是您只是運氣好？

解構技巧：主動式管理的基礎法則

金融理論學家Richard Grinold和Ronald Kahn進行了更深入的研究，發展出「主動式管理的基礎法則」，以解釋是什麼創造了一個高的資訊比率。他們將其分解為兩個核心組成部分：您的預測能力，以及您應用此能力的次數。

他們的公式優雅而簡單：

資訊比率 ≈ 資訊係數 x √投資廣度
IR ≈ IC x √IB

讓我們來分解這個等式中的兩個關鍵部分。

1. 資訊係數 (Information Coefficient, IC) – 您優勢的品質

IC資訊係數為衡量投資洞見的品質。它是一個分數，代表預測與實際發生情況之間的相關性。簡單來說，選對標的進行投資的頻率有多高？

您不需要一個完美的水晶球；即使是一個微小但一致的優勢，也極其強大。一位職業撲克玩家並非每手牌都贏，但他們擁有一個能讓他們長期獲勝的「優勢」。您的IC係數就是您的投資優勢。它可能是您分析財務報表以找出被低估公司的能力、您對某個利基產業的深入了解，或是您解讀總體經濟趨勢的技巧。您的IC係數越高，您的預測技巧就越強大。

2. 投資廣度 (Investment Breadth, IB) – 獨立投資的數量

投資廣度是您在一段時期內（通常是一年）所做的獨立投資決策的數量。擁有一個絕佳的優勢（高的IC係數），但如果不使用它，也是枉然。IB係數則代表了應用自身技巧所抓住的所有機會。

此處的關鍵詞是「獨立」。購買十支不同的大型科技股並非高廣度，因為它們很可能都會同步波動。一個真正高的IB係數，來自於在不同產業、資產類別或策略上，進行大量不相關的投資。

請注意公式中的平方根(√IB)，這至關重要。它意味著，您從進行更多投資中所獲得的好處，是以遞減的速率增加的。將您的獨立投資從25個增加一倍至50個，並不會使您的IR加倍，但會顯著地改善它。這就是大數法則的實際應用：您應用自身技巧的次數越多，您真正的優勢就越可能突顯出來，從而沖淡任何單一決策上壞運氣的影響。

為自己整合這一切

要成為一個技巧更高超的投資者，建議停止追逐隨機的報酬，並開始建立一個專業的流程。

1. 定義並磨練個人的優勢 (IC係數): 您在哪方面比一般投資者了解得更透徹？努力精進該項技能，使您的預測隨時間變得更加準確。
2. 廣泛應用自身優勢 (IB係數): 抵抗將所有賭注押在一兩個「穩賺」標的上的衝動。建立一個由許多獨立點子組成的投資組合，給予您的技巧最高的成功機會。
3. 誠實地衡量績效 (IR係數): 追蹤您相對於基準指數的表現。您是否為所承擔的風險，持續地增添了價值？

透過用這些數據化方式進行思考，您可以從依賴運氣，轉向開始建立一個為長期成功而設計的、嚴謹的、可複製的策略。

👍若您覺得這份研究有價值，請對本文按讚。

📲加入並追蹤鉅亨號，與我們互動，即可獲取更多趨勢指標和市場資訊。

📰追蹤此部落格。

💬LINE好友。

➡️將此分析分享給您的親朋好友，一同獲取最新投資觀點。

本電子報僅供參考，不構成任何證券或資產類別的投資建議或買賣推薦。文中所表達的觀點為作者截至發布日期的觀點，如有變動，恕不另行通知。所呈現的資訊乃基於從相信可靠的來源所獲取的數據，但其準確性、完整性和及時性不作保證。過往表現並非未來結果的指標。投資涉及風險，包括可能損失本金。讀者在做出任何投資決策前，應諮詢其財務顧問。作者及相關實體可能持有本文所討論的資產或資產類別的部位。

A Framework for Thinking Like A Professional Investor

A Guide to Measuring Your Edge and Building a Process for Repeatable Success

By Joe 盧, CFA | 09/12/2025

Executive Summary

• High returns alone are a poor measure of investment ability, as they often hide excessive risk and may simply be the result of luck rather than a skillful, repeatable process.
• A better metric used by professionals is the Information Ratio (IR), which evaluates skill by measuring the consistency of excess returns relative to the risks taken to achieve them.
• According to the Fundamental Law of Active Management, a strong Information Ratio is the product of two key components: Information Coefficient (IC), the quality of your investment insight, and Investment Breadth (IB), the number of independent opportunities you use to apply that insight.
• The relationship IR ≈ IC x √IB demonstrates that lasting success requires both a genuine analytical edge and the discipline to apply it across a wide portfolio of uncorrelated bets.
• To become a more skilled investor, you must shift your focus from chasing returns to building a disciplined process: define your edge (IC), apply it broadly (IB), and measure your success through consistent, risk-adjusted performance (IR).

Throughout my career analyzing the world's top investors, the most critical question was always the same: is their success due to genuine skill or just a lucky break? As a self-directed investor, you face this exact challenge. It's easy to get caught up in the thrill of a big win—that 30% gain on a single stock feels fantastic. But was it a brilliant move or a fortunate gamble? To achieve long-term success, you need a framework to distinguish between a skillful process and a lucky outcome. You can start by adopting the same tools the professionals use to measure themselves.

The Harsh Reality of Beating the Market

First, a sobering truth: most professional fund managers, despite their expertise and resources, fail to consistently beat their benchmarks (like the S&P 500) over the long run. This is especially true in highly competitive and well-researched markets, such as large-cap US stocks. It's not that they aren't smart; it's that the market is incredibly efficient. When you factor in their management fees and the level of risk they take on, many managers end up delivering less value than a simple, low-cost index fund. This is the challenge every investor faces. Beating the market is extremely difficult and requires more than just a few good ideas—it requires a disciplined and skillful process.

The Information Ratio (IR): Your True Skill Score

It’s tempting to judge your success by your portfolio’s return. But returns alone are deceptive. True skill is about generating solid returns consistently without exposing yourself to catastrophic risk. To measure this, many professional fund managers use the Information Ratio (IR).

Think of the IR as your "skill score." At its core, the Information Ratio is a measure of excess return per unit of excess risk.

• Excess Return: This is the return you generated above and beyond a benchmark. If your portfolio returned 12% and the S&P 500 returned 10%, your excess return is 2%. This part is your "alpha."
• Excess Risk: This is the volatility of your excess returns, often called "tracking error." It measures how consistently you achieved that outperformance. A smooth, steady path of beating the benchmark is considered low risk, while a wild ride of big wins and big losses is high risk.

A positive IR means you are being rewarded for the risks you are taking relative to the market. A high IR is the hallmark of skill, as it indicates you are generating consistent outperformance without erratic swings. It answers the crucial question: Are your investment decisions adding reliable value, or are you just getting lucky?

Deconstructing Skill: The Fundamental Law of Active Management

Financial theorists Richard Grinold and Ronald Kahn went deeper, developing the "Fundamental Law of Active Management" to explain what creates a high Information Ratio. They broke it down into two core components: your forecasting ability and the number of times you apply it.

Their formula is elegantly simple:

Let's break down these two critical parts of the equation.

1. Information Coefficient (IC) – The Quality of Your Edge
   The IC measures the quality of your investment insights. It’s a score that represents the correlation between your forecasts and what actually happens. In simple terms, how often are you right?
   You don't need a perfect crystal ball; even a small, consistent edge is incredibly powerful. A professional poker player doesn't win every hand, but they have an "edge" that allows them to win over the long run. Your IC is your investment edge. It could be your ability to analyze financial statements to find undervalued companies, your deep understanding of a niche industry, or your skill in interpreting macroeconomic trends. The higher your IC, the more powerful your forecasting skill is.
2. Investment Breadth (IB) – The Number of Independent Bets
   Investment Breadth is the number of independent investment decisions you make over a period, typically a year. Having a great edge (a high IC) is useless if you don't use it. The IB represents all the opportunities you take to apply your skill.

The key word here is independent. Buying ten different large-cap technology stocks is not high breadth, because they are all likely to move together. A truly high IB comes from making a large number of uncorrelated bets across different industries, asset classes, or strategies.
Notice the square root in the formula (√IB). This is crucial. It means that the benefit you get from making more bets increases at a diminishing rate. Doubling your independent bets from 25 to 50 doesn't double your IR, but it significantly improves it. This is the law of large numbers in action: the more you apply your skill, the more likely your true edge will shine through, washing out the effects of bad luck on any single decision.

Putting It All Together for Yourself

To become a more skilled investor, you must stop chasing random returns and start building a professional process.

• Define and Hone Your Edge (IC): What do you know better than the average investor? Work to refine that skill so your forecasts become more accurate over time.
• Apply Your Edge Widely (IB): Resist the urge to bet the farm on one or two "sure things." Build a portfolio of many independent ideas to give your skill the highest chance of success.
• Measure Yourself Honestly (IR): Track your performance against a benchmark. Are you consistently adding value for the risks you're taking?

By thinking in these terms, you can move away from relying on luck and begin building a disciplined, repeatable strategy designed for long-term success.

👍'Like' this article if you found this research valuable.

📲 Join our private channels to get more trend indicators and market information delivered directly to you. Choose your preferred channel to stay informed.

📰Follow this blog.

💬Connect with us on LINE.

➡️Share this analysis to someone in your network who appreciates a data-driven perspective.

This newsletter is provided for informational purposes only and does not constitute investment advice or a recommendation to buy or sell any security or asset class. The views expressed are those of the author as of the date of publication and are subject to change without notice. Information presented is based on data obtained from sources believed to be reliable, but its accuracy, completeness, and timeliness are not guaranteed. Past performance is not indicative of future results. Investing involves risks, including the possible loss of principal. Readers should consult with their own financial advisors before making any investment decisions. The author and associated entities may hold positions in the assets or asset classes discussed herein.

立即加入《Joe’s 華爾街脈動》LINE@官方帳號，獲得最新專欄資訊（點此加入）

關於《Joe’s 華爾街脈動》

鉅亨網特別邀請到擁有逾 22 年美國投資圈資歷、CFA 認證的機構操盤人 Joseph Lu 擔任專欄主筆。
Joe 為台裔美國人，曾管理超過百億美元規模的基金資產，並為總資產高達數千億美元的多家頂級金融機構提供資產配置優化建議。
Joe 目前帶領著由美國頂尖大學教授與博士組成的精英團隊，透過獨家開發的 "趨勢脈動 TrendFolios® 指標"，為台灣投資人深度解析全球市場脈動，提供美股市場第一手專業觀點，協助投資人掌握先機。