What’s it all about, alpha?
是阿尔法么?
Mar 22nd 2007
From The Economist print edition
Demystifying fund managers’ returns
解读基金经理的效用
TOO many notes. That’s what Emperor Joseph II famously said to Mozart on seeing his opera “The Marriage of Figaro”. But surely to think of a musical work as just a series of notes is to miss the magic.
约瑟二世看完<费加罗德婚礼>后赞道”实在太多音符了”-他把音乐巨作当作一堆音符来欣赏。Could the same be said about fund management? It is the fashion these days to separate beta (the systematic return delivered by the market) from alpha (the manager’s skill). Investors are happy to pay high fees for the skill, but regard the market return as a commodity. Distinguishing the two is, however, difficult.
这种事情也发生在基金上了。最近很流行把Beta(市场系统性回报)和Alpha(基金经理人的技巧)分开来分析。投资人乐意为技巧付出高昂的费用，但认为市场回报是理所当然。然而区分两者也许不那么容易。
A fund manager might beat the market because of luck or recklessness, rather than skill, for example. Suppose he packed his portfolio with oil stocks. When the crude price rises that would pay off, but it would be a pretty risky portfolio. More generally, alpha sceptics often attribute eye-catching returns to “style bias”, such as favouring stocks with a high dividend yield.
一个经理跑赢大市也许因为运气或者鲁莽，而不一定是技巧。比如，如果他全盘押在石油股上面，如果油价上升，那要赚不少，但是这样玩法风险可不小。通常Alpha怀疑者认为出色的回报只是某种偏好而非技巧所造就，比如比较喜欢玩高股息的股票。
But should they be biased against style bias? After all, the only portfolio utterly free of bias would be one that included the entire market. Were a Britain portfolio to exclude just one stock, such as BP, it would have a small-cap bias, a sector bias and a currency bias (most of BP’s revenue is in dollars). Hence any excess return must stem from some element of style.
那么基金是否应该完全没有倾向的选股？其实一个真正完全没有倾向的投资组合只能是包含整个市场的。即使一个包含除BP外的英国所有股票的投资组合，也可以被认为是一个带有”小盘”,”行业”以及”货币(因为BP的利润是以美金计算)”倾向的组合。实际上任何额外的回报都是某种”倾向”所带来的。 Academics have entered this debate, trying to pin down the factors that drive a fund’s performance. These might include the difference in returns between small-cap and large-cap stocks (fund managers tend to favour the former) or the level of credit spreads and so on. Bill Fung and Narayan Naik of London Business School have come up with a seven-factor model which, they say, can explain the bulk of hedge-fund performance. After allowing for these factors, the average fund of hedge funds has not produced any alpha in the past decade, except during the dotcom bubble.
学界在研究主导基金表现的因素。大盘股同小盘股的回报差(基金经理比较喜欢前者)、息差水平等都是研究对象。伦敦商学院的Bill Fung同Narayan Naik建立了一个包含7个因素的模型，他们认为这个模型可以解释大多数对冲基金的表现。排除这7个因素，除了网络泡沫时期，近十年，大多数的对冲基金的回报中看不到Alpha成份。
This approach suggests the whole idea of alpha might be an illusion. Academics can explain most of it, and the only reason they cannot explain all of it is because they are not clever enough to think of the missing factors.
这个角度来看，Alpha也许只是一个幻像。模型可以解释绝大部分的回报，但似乎漏掉了学界没有想象到的因素。
However, it is also possible to take the opposite tack. This type of analysis gives managers no credit for choosing the systematic factors—the betas—that drive their portfolios. Yes, these betas could often have been bought for very low fees. But would an investor have been able to put them together in the right combination?
或者从另一个角度来看，这样的分析等于抹杀了基金经理选择系统性因素(也就是Beta)的功用，没错，买Beta本身确实费用低廉。但投资者是否有能力组合他们呢？
It is as if a diner in Gordon Ramsay’s restaurants were brave enough to tell the irascible chef: “This meal was delicious. But chemical analysis shows it is 65% chicken, 20% carrot, 10% flour and 5% milk. I could have bought those ingredients for £1.50. Why should I pay £20?” The chef’s reply, shorn of its expletives, might be: “The secret is in the mixing.”
正如某个无聊的餐厅食客，吃完问厨师:”这餐饭味道不错，但是化学分析显示里面含有65%鸡肉，20%胡萝卜,10%面粉以及5%牛奶。买这些材料只需10元，你为什么要收50?。如果此厨师是个极具修养的文明人，他会强压怒火的说”因为搭配”
This debate matters because people are now trying to replicate the performance of hedge funds with cloned portfolios. Indeed Messrs Fung and Naik have shown that their model would have produced an annual return over the past four years of 11.6%, well ahead of the average fund of hedge funds. Their performance was purely theoretical. But Goldman Sachs and Merrill Lynch have launched cloned hedge funds on the market.
不过学界的研究没有这么无聊，因为人们开始试图克隆基金的投资组合来达到基金的表现。根据Fung和Naik的模型，模拟出过去4年的年回报率是11.6%，远超基金的平均表现。同时，高盛和美林在市场上推出了”克隆对冲基金”。
There are two potential criticisms of the cloned approach. One is that it will simply reproduce all the systematic returns that hedge funds generate and none of their idiosyncratic magic. However, this “magic” is hard to pin down. Even if it does exist, Messrs Fung and Naik suggest it may be worth no more than the fees hedge funds charge, so the managers are the only ones to benefit from their skills.
克隆的方式存在两个潜在问题。这复制了基金的所有系统性回报，但未能包含任何其他因素，当然所谓的”其他因素”也确实难以琢磨，即使有这样的东西存在，Fung和Naik认为它的价值不会高于基金所收的费用，换句话说唯有基金经理自身是他们投资技巧的受益者。
The second criticism is that the clones will always be a step behind the smart money. You cannot clone a hedge fund until you know where it has been. But by then it may have moved on. As a result, the clones may pile into assets that the hedge funds are selling, making the classic mistake of buying at the top. This may not be a fatal flaw, however. It is possible to imagine some clones taking contrary bets, buying the betas that seem temporarily out of favour, in the hope that they will be purchasing what the hedge funds are about to buy.
第二个问题是，克隆有滞后性，市场瞬息万变，等你知道基金买入后买入，可能他们正在卖出，犯下买在头部的经典错误。这还不是致命的问题，问题是，某些克隆买在头部后不愿斩仓，期盼着基金可能马上又要买入。
There are some nice ironies at work here. Hedge-fund managers often rely on secretive “black box” models: the investor puts his money in at one end and sees the returns spat out at the other, but no more than that. Now, armed with just that information, academics are coming up with their own models, which almost match the hedge funds’ performance.
基金通常都是黑箱作业模式的:投资者投入资金后，知道的只是最终回报。具有讽刺意味的是，针对这样一个黑箱，学界也可以搞出个声称可以达到基金回报的模型。
Mozart might have sympathised. His operas were more than the sum of his notes. But even if the great composer had no peers, he has had plenty of imitators.
无疑莫扎特的歌剧绝对不是一堆音符，但即使这位无人可望其背项的音乐大师，也有不少二流模仿者。
确实，几乎所有回报都可以分解成市场带来的的，行业带来的，国家带来的等等，但永远都不能忽略的是：是谁做出了这些选择和分配。做出这些选择和分配就是基金经理的价值所在。但基金经理和厨师也有一个显著的区别：那就是厨师大部分时候可以保证自己炒出的菜味道还不错，但基金经理能保证的次数和程度就少得可怜了。
约瑟二世看完后赞道”实在太多音符了”————这里并无称赞之意，只是一则有名的笑谈。
“音符太多了”。这是奥地利皇帝约瑟夫二世在观看歌剧《费加罗的婚礼》时对莫扎特说的话，成为了音乐史上有名的轶事。