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The Economist What』s it all about, alpha?
是阿爾法么?
Mar 22nd 2007
From The Economist print edition
Demystifying fund managers』 returns
解讀基金經理的效用
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.
約瑟二世看完<費加羅德婚禮>后贊道」實在太多音符了」-他把音樂巨作當作一堆音符來欣賞。
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.
這種事情也發生在基金上了。最近很流行把Beta(市場系統性回報)和Alpha(基金經理人的技巧)分開來分析。投資人樂意為技巧付出高昂的費用，但認為市場回報是理所當然。然而區分兩者也許不那麼容易。
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 「 bias」, such as favouring stocks with a high dividend yield.
一個經理跑贏大市也許因為運氣或者魯莽，而不一定是技巧。比如，如果他全盤押在石油股上面，如果油價上升，那要賺不少，但是這樣玩法風險可不小。通常Alpha懷疑者認為出色的回報只是某種偏好而非技巧所造就，比如比較喜歡玩高股息的股票。 But should they be biased against 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 .
那麼基金是否應該完全沒有傾向的選股？其實一個真正完全沒有傾向的投資組合只能是包含整個市場的。即使一個包含除BP外的英國所有股票的投資組合，也可以被認為是一個帶有」小盤」,」行業」以及」貨幣(因為BP的利潤是以美金計算)」傾向的組合。實際上任何額外的回報都是某種」傾向」所帶來的。
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.
學界在研究主導基金錶現的因素。大盤股同小盤股的回報差(基金經理比較喜歡前者)、息差水平等都是研究對象。倫敦商學院的Bill Fung同Narayan Naik建立了一個包含7個因素的模型，他們認為這個模型可以解釋大多數對沖基金的表現。排除這7個因素，除了網路泡沫時期，近十年，大多數的對沖基金的回報中看不到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.
這個角度來看，Alpha也許只是一個幻像。模型可以解釋絕大部分的回報，但似乎漏掉了學界沒有想象到的因素。
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?
或者從另一個角度來看，這樣的分析等於抹殺了基金經理選擇系統性因素(也就是Beta)的功用，沒錯，買Beta本身確實費用低廉。但投資者是否有能力組合他們呢？
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.」
正如某個無聊的餐廳食客，吃完問廚師:」這餐飯味道不錯，但是化學分析顯示裡面含有65%雞肉，20%胡蘿蔔,10%麵粉以及5%牛奶。買這些材料只需10元，你為什麼要收50?。如果此廚師是個極具修養的文明人，他會強壓怒火的說」因為搭配」
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.
不過學界的研究沒有這麼無聊，因為人們開始試圖克隆基金的投資組合來達到基金的表現。根據Fung和Naik的模型，模擬出過去4年的年回報率是11.6%，遠超基金的平均表現。同時，高盛和美林在市場上推出了」克隆對沖基金」。
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.
克隆的方式存在兩個潛在問題。這複製了基金的所有系統性回報，但未能包含任何其他因素，當然所謂的」其他因素」也確實難以琢磨，即使有這樣的東西存在，Fung和Naik認為它的價值不會高於基金所收的費用，換句話說唯有基金經理自身是他們投資技巧的受益者。
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.
第二個問題是，克隆有滯后性，市場瞬息萬變，等你知道基金買入后買入，可能他們正在賣出，犯下買在頭部的經典錯誤。這還不是致命的問題，問題是，某些克隆買在頭部后不願斬倉，期盼著基金可能馬上又要買入。
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業模式的:投資者投入資金后，知道的只是最終回報。具有諷刺意味的是，針對這樣一個黑箱，學界也可以搞出個聲稱可以達到基金回報的模型。
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.
無疑莫扎特的歌劇絕對不是一堆音符，但即使這位無人可望其背項的音樂大師，也有不少二流模仿者。
[ 本帖最後由 廣南子 於 2008-2-29 16:26 編輯 ]
是阿爾法么?
Mar 22nd 2007
From The Economist print edition
Demystifying fund managers』 returns
解讀基金經理的效用
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.
約瑟二世看完<費加羅德婚禮>后贊道」實在太多音符了」-他把音樂巨作當作一堆音符來欣賞。
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.
這種事情也發生在基金上了。最近很流行把Beta(市場系統性回報)和Alpha(基金經理人的技巧)分開來分析。投資人樂意為技巧付出高昂的費用，但認為市場回報是理所當然。然而區分兩者也許不那麼容易。
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 「 bias」, such as favouring stocks with a high dividend yield.
一個經理跑贏大市也許因為運氣或者魯莽，而不一定是技巧。比如，如果他全盤押在石油股上面，如果油價上升，那要賺不少，但是這樣玩法風險可不小。通常Alpha懷疑者認為出色的回報只是某種偏好而非技巧所造就，比如比較喜歡玩高股息的股票。 But should they be biased against 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 .
那麼基金是否應該完全沒有傾向的選股？其實一個真正完全沒有傾向的投資組合只能是包含整個市場的。即使一個包含除BP外的英國所有股票的投資組合，也可以被認為是一個帶有」小盤」,」行業」以及」貨幣(因為BP的利潤是以美金計算)」傾向的組合。實際上任何額外的回報都是某種」傾向」所帶來的。
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.
學界在研究主導基金錶現的因素。大盤股同小盤股的回報差(基金經理比較喜歡前者)、息差水平等都是研究對象。倫敦商學院的Bill Fung同Narayan Naik建立了一個包含7個因素的模型，他們認為這個模型可以解釋大多數對沖基金的表現。排除這7個因素，除了網路泡沫時期，近十年，大多數的對沖基金的回報中看不到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.
這個角度來看，Alpha也許只是一個幻像。模型可以解釋絕大部分的回報，但似乎漏掉了學界沒有想象到的因素。
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?
或者從另一個角度來看，這樣的分析等於抹殺了基金經理選擇系統性因素(也就是Beta)的功用，沒錯，買Beta本身確實費用低廉。但投資者是否有能力組合他們呢？
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.」
正如某個無聊的餐廳食客，吃完問廚師:」這餐飯味道不錯，但是化學分析顯示裡面含有65%雞肉，20%胡蘿蔔,10%麵粉以及5%牛奶。買這些材料只需10元，你為什麼要收50?。如果此廚師是個極具修養的文明人，他會強壓怒火的說」因為搭配」
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.
不過學界的研究沒有這麼無聊，因為人們開始試圖克隆基金的投資組合來達到基金的表現。根據Fung和Naik的模型，模擬出過去4年的年回報率是11.6%，遠超基金的平均表現。同時，高盛和美林在市場上推出了」克隆對沖基金」。
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.
克隆的方式存在兩個潛在問題。這複製了基金的所有系統性回報，但未能包含任何其他因素，當然所謂的」其他因素」也確實難以琢磨，即使有這樣的東西存在，Fung和Naik認為它的價值不會高於基金所收的費用，換句話說唯有基金經理自身是他們投資技巧的受益者。
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.
第二個問題是，克隆有滯后性，市場瞬息萬變，等你知道基金買入后買入，可能他們正在賣出，犯下買在頭部的經典錯誤。這還不是致命的問題，問題是，某些克隆買在頭部后不願斬倉，期盼著基金可能馬上又要買入。
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業模式的:投資者投入資金后，知道的只是最終回報。具有諷刺意味的是，針對這樣一個黑箱，學界也可以搞出個聲稱可以達到基金回報的模型。
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.
無疑莫扎特的歌劇絕對不是一堆音符，但即使這位無人可望其背項的音樂大師，也有不少二流模仿者。
[ 本帖最後由 廣南子 於 2008-2-29 16:26 編輯 ]
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