In this paper, we strove to provide evidence about the alleged structural changes in the US equity markets that have dramatically reduced the potential for stock picking strategies to work. First, we designed a simple test that looks, from a macro point of view, at potential common factors that would drive stock prices synchronously. The results are very robust and reject the claim that something structural has changed in the US equity market in the last 10 years, which in turn has made stock picking more challenging. We do not claim that the market today is as it was 40 years ago. Nevertheless, if the potential stock picking is high when the idiosyncratic component of stock returns is high, then the situation today is in line with the pattern we have seen since 1964. We then look at the problem from the point of view of a stock picking manager. We identified three basic characteristics of stock picking strategies (success rate, conviction and consistency) and investigated whether the market has changed in a way that what used to work in the past is no longer working. We focused on the role played by the success rate of stock picking. For this, we designed a test that reveals how a decent success rate would have delivered solid results over time, both in the last 10 years and in the previous forty. With all the limitations of such a test, we can at least draw the conclusion that with a decent success rate stock picking strategies would have delivered outperformance. But the difference between 40 years ago and today is that investors can now have access to passive and low-cost investment vehicles. This in turn increases pressure for stock picking strategies to deliver. But to do so, one needs to increase her own success rate, especially during financial events, when wrong choices are costly, which is objectively a difficult thing to do. On the other hand, greater competition and ease to trade have made investors eager to revisit their choice of manager (overall a positive thing) but also to chase past winners.

在本文中，我们力求提供证据，说明美国股票市场所谓的结构性变化，这些变化极大地降低了选股策略发挥作用的可能性。首先，我们设计了一个简单的测试，从宏观的角度看待潜在潜在的共同因素，这些因素将同步推动股票价格。结果非常有力，并拒绝了过去十年美国股市发生了某些结构性变化的说法，这反过来又使选股更具挑战性。我们并不声称今天的市场是40年前。但是，如果在股票收益的特殊成分较高的情况下潜在的选股很高，那么今天的情况就符合我们自1964年以来的模式。然后，我们从选股的角度来看问题。经理。我们确定了选股策略的三个基本特征（成功率，信念和一致性），并调查了市场是否已经以过去无法使用的方式发生了变化。我们专注于选股成功率所扮演的角色。为此，我们设计了一个测试，该测试揭示了过去10年和过去40年中，随着时间的推移，成功率可观的结果是怎样的。在这种测试的所有局限性下，我们至少可以得出这样的结论，即成功率不错的话，选股策略将带来超乎预期的表现。但是40年前与今天之间的区别在于，投资者现在可以使用被动和低成本的投资工具。反过来，这增加了执行库存拣选策略的压力。但是要这样做 人们需要提高自己的成功率，特别是在财务事件期间，如果错误的选择代价高昂，客观上这是一件困难的事情。另一方面，竞争的加剧和交易的便利性使投资者渴望重新考虑他们对经理人的选择（总的来说是积极的事情），但也渴望追逐过去的赢家。