https://www.vanguard.com/bogle_site/sp2004AIMRefficientMrkts.html
直接看BOGLE說了啥好了
But the EMH may well prove less important in investment theory than a new
wisdom that is beginning to emerge. I call it the CMH: The Cost Matters
Hypothesis. Like the EMH before it, the CMH posits a conclusion that is both
trivially obvious and remarkably sweeping: The mathematical expectation of
the speculator is a loss equal to the amount of transaction costs incurred.
When he concluded otherwise, that “the mathematical expectation of the
speculator is zero,” Bachelier was wrong.
So, too, the mathematical expectation of the long-term investor is a
shortfall to the stock market’s return, a shortfall that is precisely equal
to the costs of our system of financial intermediation—the sum total of all
those advisory fees, marketing expenditures, sales loads, brokerage
commissions, transaction costs, custody and legal fees, and securities
processing expenses. Intermediation costs in the U.S. equity market may well
total as much as $300 billion a year, nearly 3% of the value of that $12
trillion market.
http://time.com/money/3956351/jack-bogle-index-fund/
Q: What about the benefits of diversification or the idea that going abroad
can lower overall risk because markets aren’t correlated?
A: Diversification is certainly true, but noncorrelation is bunk. It’s
applying higher mathematics to something I don’t think requires it. We’ve
overanalyzed the whole thing. I’m always the apostle of simplicity and lower
costs.
不管市場有沒有效率，投資人「整體」得到的報酬就是市場報酬，
成本最低的投資人會打敗大部份的投資人，市值加權先天周轉率比其他方式低，就這樣。