[2008.06.14] The Lo down 业绩下降的罗氏解释

 Hedge funds
对冲基金

The Lo down
业绩下降的罗氏解释

Jun 12th 2008
From The Economist  print edition

THE basic idea behind efficient market theory is that it seems implausible that there are $20 notes lying on pavements waiting to be picked up. It is thus tough for investors to beat the stockmarket average. But the billion-dollar fortunes accumulated by hedge-fund managers (and the outsized fees they charge) imply that not just $20 notes but bulging wallets can be grabbed by those that are smart enough.
有效市场理论（efficient market theory）的一个基本思想是：你不可能在大街上发现20美元钞票等着你去捡。同理，投资者要想击败市场平均指数难之又难。然而对冲基金（hedge fund）经理动辄数十亿美元的身家（及其收取的高额管理费）似乎表明，只要足够聪明，大街上不仅有20美元支票，鼓鼓囊囊的钱包也是比比皆是。

The belief that hedge-fund managers have the magic touch has prompted the industry to grow from just $39 billion of assets in 1990 to around $2 trillion today. But it has also prompted academics to examine exactly how hedge-fund managers are making their money, to question whether clients are getting the short end of the stick and to assess the impact of hedge-fund actions on the stability of financial markets as a whole.
人们对对冲基金经理战胜市场的魔力深信不疑，这促使对冲基金业的资产规模从1990年的390亿美元增长到今天的2万亿美元。资产规模的暴增引起了经济学家的兴趣，开始仔细考察对冲基金赚钱的方式、对冲基金客户是否处于劣势、以及对冲基金的行为对金融市场的整体稳定性会造成怎样的影响。

Andrew Lo, a professor at the Massachusetts Institute of Technology, has been at the forefront of that process. His latest book, packed as it is with statistical tables and equations, will appear daunting to the casual reader. Nevertheless, anyone who is considering investing in hedge funds, or is involved in regulating the financial-services industry, should give it a go.
麻省理工学院教授罗闻全（Andrew Lo）是此类研究的先行者。他的最新著作充满了统计图表和方程，普通读者读起来可能有点困难。不过，要是你正在考虑投资某个对冲基金，或者从事金融服务业监管工作的话，本书绝对值得一读。

All those tables and equations are required because hedge-fund strategies are highly complex and, in the jargon, “non-linear”. In other words, all may appear to be going well, but then suddenly goes horribly wrong. The problem for investors is that strategies dubbed “picking up nickels in front of steamrollers” may deliver fat fees for the manager, only for the clients to pick up the bill when disaster hits.
书中所有的图表和方程都是必不可少的，因为对冲基金的投资策略十分复杂，并且，用术语讲，是”非线性（non-linear）”的。换句话说，很有可能这一秒还万事祥和，下一秒就天崩地裂了。投资者面临的问题是，对冲基金”压路机前捡硬币”的投资策略能给基金经理带来丰厚的管理费，但对于基金客户而言，灾难一来就会血本无归。

This pattern of returns occurs because hedge-fund managers often invest in illiquid (hard-to-trade) assets. Since the prices of such assets rarely change, that can produce the illusion of smooth returns and make hedge-fund portfolios look less risky than they are. Mr Lo duly suggests a number of ways of assessing those dangers.
对冲基金之所以会产生此种回报模式，是因为基金经理通常会投资低流动性（交易规模极低）资产。此类资产的价格鲜有变动，于是造成了一种幻觉，好像对冲基金投资组合的回报相当稳定，而且风险看起来比实际的要小。作者提出了几种可用于评估这些风险的方法。

He also examines the market turmoil of August 2007, when some of the best- known hedge funds experienced unprecedented losses in the course of a couple of days. He says this provided the first piece of evidence that problems in one corner of the markets-in this case, subprime mortgages-can spill over into a completely unrelated area. Regulators should take note. Specifically, Mr Lo argues that the American watchdog, the Securities and Exchange Commission, should get more data on hedge-fund positions and should undertake an “air safety review” when individual funds go bust.
作者还考察了2007年8月的市场动荡，其间一些大名鼎鼎的对冲基金在几天之内经历了前所未有的损失。作者认为这可以作为第一手证据证明，市场某个方面出现的问题–这次是次级抵押贷款–会蔓延到另一个与之完全无关的领域。监管者应该对此有所警觉。具体说来，作者认为美国的市场监督机构–证券与交易委员会（the Securities and Exchange Commission）应该搜集更详尽的对冲基金头寸数据，还应该在发生单个基金倒闭时进行”航空安全检查”。

What about the thought that hedge funds undermine the idea of efficient markets? Instead, Mr Lo suggests an alternative concept: adaptive market theory. Under that system, he says, spare $20 notes do exist, maybe not on the high street, but in remote culs-de-sac. Hedge funds may be the first to spot them, but eventually a crowd gathers and the chance disappears.
对于对冲基金的表现是否与有效市场思想冲突的问题，作者没有直接回答，而是提出了另一种概念：适应性市场理论（adaptive market theory），指出躺在地上的20美元钞票是存在的，只不过不是在大街上，而是在死胡同里。对冲基金第一个发现了它，不过闻风而来的芸芸众生最终会使机会消失殆尽。

This implies that a hedge-fund manager can build up a brilliant track record-but with no guarantee that he can keep it up. And that may explain why so many hedge-fund managers get rich, and why their clients are much less likely to do so.
这意味着，对冲基金可以创造辉煌的历史业绩，但不能保证持之以恒。这也许能够解释为什么许多对冲基金经理能赚到盆满钵满，他们的客户却不能。

Book details
Hedge Funds: An Analytic Perspective
By Andrew W. Lo
Princeton University Press; 364 pages; $45 and £26.95

译者:  majer  http://www.ecocn.org/forum/viewthread.php?tid=12053