赌输的对冲基金

《经济学人》述评：对冲基金（hedgefunds）太贵了，无法延续高额回报的承诺。...

手绘图：花菜菜


关于对冲基金（hedge funds）的神话一直是这么讲的：一群全世界最聪明的人探寻（exploit）一般投资经理无法觉察的投资机会，从而给投资人和他们自己带来高回报。记得当年小编还买过一本书《Hedge Hogging》（《对冲基金风云录》）。

不过，最新一期《经济学人》发表了题为“A losing bet”的梧桐树专栏文章，指出对冲基金的黄金时代已一去不复返，无论从短期还是长期来看，都难以再现上世纪九十年代索罗斯（George Soros）等明星经理所取得的两位数年回报（double-digit returns）。

从短期来看，对冲基金研究公司（Hedge Fund Research）公布的今年一季度对冲基金平均扣除管理费后回报率为-0.8%；2015年和2014年的平均回报率分别为-1.1%和3%。也就是说，2014年以来，对冲基金投资人累积投资收益率仅为1%。

从长期来看，股神巴菲特（Warren Buffett）和专门投资对冲基金的基金Protege Partners在2007年有过一场赌局：对冲基金能否在十年内跑赢标普500指数？虽然，离十年之约还有19个月，但几乎可以肯定巴菲特赢了。难怪他在刚刚过去的股东大会（Berkshire Hathaway annual meeting）上强调：“华尔街那些人靠销售能力（salesmanship abilities）赚的钱比靠投资能力（investment abilities）赚的钱要多的多的多的多的多。。。”对此，已经有对冲基金喊冤，认为拿标普500指数比较不公平——对于投资经理不仅仅要看能不能赚的最多，还要看他控制风险和持续稳定赚钱的能力。可惜，即使拿这个标准，对冲基金也跑输了投资组合配置为60%美国股票+40%债券的一般公募基金。

正如巴菲特所述，虽然投资人吃不饱，对冲基金经理们仍然能够大鱼大肉（While clients have made do with the crumbs, the managers are still dining well）：不管表现如何，每年2%的管理费是旱涝保收的；那些明星经理们的业绩提成则会更高。总之，经年累月的，那些基金经理们赚的比客户要多的多。

文章认为，找出对冲基金不行的原因不难：现在全世界的存款低利率、债券低收益和低分红，对冲基金又收那么高的管理费，自然留给投资人的蛋糕就很小了。

当然，你也可以说虽然整个行业看起来不行，但总是有神人般的（deux ex machina）明星基金经理还是能比别人赚很多，比如徐大夫。对此，文章提供了一贯的批判逻辑：没错，但是如何提前发现这些神人？如果这些神人容易发现，那谁还会把钱交给其他基金经理？文章认为，你总是能找到那些表现优异的投资经理，这和总有人买莱切斯特球队（Leicester）夺冠一样（之前赔率为5000：1）。

文章最后指出，对冲基金行业还是吸引着一大群极其聪明、极其勤奋的投资经理寻找着投资机会。问题在于，这么一个2.9万亿美元、1万家对冲基金的市场真的有那么多机会吗？Nowhere near。

小编觉得，在遇到天外飞仙（deux ex machina）之前，还是安耽点做指数定投吧。

封面和图表选自Economist

彩蛋 - 学外语

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最近一段时间《经济学人》官网可能不太稳定。小编先做回搬运工，把原文附上。

还是原来的口号：相信厚积薄发的力量！欢迎大家多给反馈！HEDGE funds employ the cleverest people in the world to exploit the opportunities that other managers miss. That is why they deserve their high fees—or so the story goes.

That story is getting harder and harder to believe. In the first quarter of the year the average fund lost 0.8% after fees, according to Hedge Fund Research, an index provider. That follows a loss of 1.1% for the average fund in 2015, and a gain of just 3% in 2014. In other words, the average investor has earned a cumulative 1% since the start of 2014.

While clients have made do with the crumbs, the managers are still dining well. They get annual management fees of 2% or so, however the funds perform. Those that have done well have earned performance fees on top. All told, managers will have earned a lot more than their clients over the past couple of years.

Market conditions have been difficult for the hedge-fund titans. Sudden shifts between “risk-off” and “risk-on” markets, such as the market turnaround in February, are very hard to time. Official intervention in the markets, either through central banks or regulatory action, can also blindside the savviest investors. In January Martin Taylor closed down his Nevsky Capital fund, citing economic nationalism, the poor quality of data in China and India, and less transparent markets as reasons for his decision.

Dan Loeb, who runs the Third Point hedge fund, told clients in a letter in late April that recent months have seen “one of the most catastrophic periods of hedge-fund performance that we can remember”. Mr Loeb says many hedge funds were convinced that China would be forced to devalue the yuan early this year; it didn’t. Others backed big technology stocks like Apple and Netflix; they have underperformed. And some fund managers have lost out because of events in the pharmaceutical sector: the collapse of the Allergan-Pfizer merger and the plunge in Valeant’s share price.

Individual funds have their ups and downs. It is unfair to judge fund managers over the short term. So what about the longer run? In 2007 Warren Buffett, the investment guru who heads Berkshire Hathaway, a conglomerate, struck a $1m bet with Protégé Partners, a fund of hedge funds, over whether a hedge-fund portfolio would beat the S&P 500, after fees, over the subsequent ten years. As the chart shows, with around 19 months to go, Mr Buffett seems almost certain to collect. He drummed the point home at Berkshire’s recent annual meeting, saying, “There’s been far, far, far more money made by people in Wall Street through salesmanship abilities than through investment abilities.”



Defenders of hedge funds would say that the S&P 500 is not the best benchmark. Instead of aiming for the highest total return, managers use their skill to limit risk and deliver a more consistent performance. Even in this respect, however, hedge funds have lagged a long way behind a typical institutional portfolio comprising 60% American equities and 40% Treasury bonds.

It is not too difficult to figure out why. In a world of low interest rates, low bond yields and low dividends, the fees charged by hedge funds simply take too big a bite out of gross returns to leave much for clients. The golden age of hedge funds was in the 1990s, when the likes of George Soros delivered double-digit returns every year. Pension funds and endowments still have a dim memory of those days; that is why they hope hedge funds will act as a deus ex machina and deliver the outsize returns needed to fund the promises they have made. They have been repeatedly disappointed; some, such as CalPERS, a giant Californian pension fund, have liquidated all their investments in the sector.

All the statistics in this article refer to the average hedge-fund return; of course, there will always be managers who perform much better than average. But how to spot them in advance? If it were easy, then why would anyone give money to below-average managers? It will always be possible to find managers who have earned exceptional returns in the past, just as some people actually did back Leicester for the English football title at 5000-to-1. That doesn’t mean you’d pay good money for the same punters’ tips on the Kentucky Derby.

There is no doubt that many hedge-fund managers are extremely clever and work diligently at ferreting out profitable opportunities. But are there enough opportunities to sustain an industry with 10,000 individual funds and $2.9 trillion of assets? Nowhere near.

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