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spiderman
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作者：spiderman 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
作者：英国《金融时报》首席经济评论员马丁•沃尔夫(Martin Wolf)
2008年3月25日 星期二
几乎没有哪周对冲基金不爆出问题。最近是凯雷资本(Carlyle Capital)，其每1美元的资产就对应着31美元的负债，令人震惊。但我们不应感到惊讶。这些问题是对冲基金模式中与生俱来的东西。我们甚至想象得到，这种模式会与证券化次级抵押贷款一道被抛入垃圾堆。
生产掺水的牛奶，要想逃脱处罚很难；而对于未能提升价值的投资策略，要逃避责任则并非难事。这是约翰•凯(John Kay)最近在一篇精彩的专栏文章中提出的观点（“巴菲特的投资算术”）。采用“适当的”费用结构，平庸的投资经理可能变得富有，同时他们会“保证”其投资者不再富有。
宾夕法尼亚大学(University of Pennsylvania)沃顿商学院(Wharton School)的迪安•福斯特(Dean Foster)和牛津大学(Oxford university)及布鲁金斯学会(Brookings Institution)的培顿•杨(Peyton Young)两位著名学者对这一观点进行了精妙的解释*。他们首先让我们思考一种罕见的情况——例如，未来12个月内，股市将下跌20%。他们同时假设，期权市场的价格恰当地反映了这种风险，比如说10%。一份期权的成本是0.1美元，支付金额为1美元。
现在设想我们建立一只对冲基金，从投资者那里募集1亿美元资金，收取常规的2%管理费，外加高于某一基准水平回报的20%。我们用我们的1亿美元投资于收益率为4%的国债。我们还出售1亿份担保期权，这让我们净入1000万美元。我们同样将这1000万美元投资国债，使自己可以再出售1000 万份期权。这又带来了100万美元的净收入。然后，我们就可以休假了。
此笔投资第一年获得回报的几率是90%。那么，该基金因出售期权获得1100万美元的总收入，再加上1.1亿美元国债4%的利息，实现了 15.4%的可观回报率。我们的投资者十分高兴。假设我们的基准是4%。那么，我们赚取了200万美元的管理费，加上1140万美元的20%，相当于总收入逾400万美元。无论以后发生什么事情，我们永远都不需要归还这笔钱。
5年内不会发生问题的几率接近60%。由于该基金扣除费用后的年增长率为11.4%，即便这家显然不错的企业吸引不到新资金，我们也将获得远超2000万美元的收入。但从长期角度来看，出现问题的可能性很大。由于我们已赚取巨额利润，我们的投资者已为几乎确定的赔钱局面向我们支付了可观的费用。
人们的第一反应可能是，如此赤裸裸的骗局是不可想象的。那么，设想一只基金通过在短期货币市场上大举借贷，以杠杆方式利用投资者的资金，以购买收益率更高的票据。再假设这种溢价准确地反映了相关风险。由于充分的杠杆作用，这只基金可能在数年内一直获利。但未来某天，该基金也也非常可能倒闭。这种策略听起来是否似曾相识？时至今日，大家肯定应该十分熟悉了。
我们能够找出两个有待解决的大问题。首先，许多投资策略具有“塔利布分配”(Taleb distribution)的特点，这一说法来自《随机致富的傻瓜》(Fooled by Randomness)一书的作者尼古拉斯•塔利布(Nicholas Taleb)。简言之，在任何时期，塔利布分配策略获得适度盈利的几率很高，而蒙受巨额亏损的几率则很低。
其次，对冲基金的薪酬体系未能使经理们的利益与投资者一致。其结果是，基金经理会有一种利用这种分配方式为自己谋利的冲动。
福斯特和杨认为，要解决这些难题极为困难。尤其困难的是如何弄清一位经理人是否真的技术高超，而不只是较为幸运。在他们生动的例子中，基金运行20年而不出现问题的几率在10%以上。换言之，即使20年后，外部投资者也无法确信，基金的业绩源自于运气还是骗局。
将基金经理的利益与投资者保持一致也很棘手。明显的可能性包括：以最终回报为基础对基金经理进行奖励，迫使他们持有大量股票或对业绩不佳者进行惩罚。
上述方法都无法解决将运气与技能区分开来的问题。第一种方法还会鼓励基金经理在其回报率接近开始分配收益的水平时承担很高的风险。通过在衍生品上建立头寸（这种行为可能很难控制），基金经理可以规避第二种方法的影响。最后，即便是对于显然颇具吸引力的最后一种可能性，任何一项非常严格、足以防范技能欠缺经理的惩罚性合同，似乎也会打击技能出色的基金经理。
显然，最好的办法是根本不给基金经理支付应有的薪资，而是与其一起投资，就像沃伦•巴菲特(Warren Buffett)旗下的投资公司Berkshire Hathaway那样。但我们仍面临着如何判断这位经理是否优秀的问题。今天，我们了解了巴菲特。但50年前，我们很难了解到。
所以，现在我们面临的是一个巨大的“柠檬”问题：在对冲基金行业，确实很难辨别基金经理是否有才能。因此，基金肯定会吸引那些无所顾忌且技能拙劣的人，正如这些人被吸引到二手车交易市场一样（这是“柠檬”市场最初的例子）。这一“柠檬”定律认为，这些市场可能会消失。同样的事情也可能发生在当今的对冲基金行业身上。
现在让我们想想整个金融行业吧：我们既难以区分技能和运气，也很难将管理层、员工、股东和公众的利益协调一致。将这个体系作为赌注，通过高几率事件中谋取回报，符合内部人士的利益。这意味着，当发生低几率的灾难，这些业务会垮掉，就如同北岩银行(Northern Rock)和贝尔斯登(Bear Stearns)所发生的那些引人注目的事件。
此外，如果这些不好的事情——股市崩盘、抵押出问题、流动性冻结——纷沓而来（因为太多的基金经理相互效仿），他们会说：“没人能预料到这点，但既然这些已发生在我们所有人身上，那么政府必须施以援手。”
人们越是认为这就是监管不力的金融体系所运行的方式，他们就越是感到担心。此次危机的救援行动可能已在进行，但下次和下下次危机又将如何呢？
译者/何黎
Why today's hedge fund industry may not survive
By Martin Wolf
Tuesday, March 25, 2008
Hardly
a week goes by without the implosion of a hedge fund. Last week it was Carlyle Capital, with an astonishing $31 of debt for each dollar of equity. But we should not be surprised. These collapses are inherent in the hedge-fund model. It is even conceivable that this model will join securitised subprime mortgages on the scrap heap.
Getting away with producing adulterated milk is hard; getting away with an investment strategy that adds no value is not. That was the point made by John Kay, in a superb column last week (this page, March 11). With the “right” fee structure mediocre investment managers may become rich as they ensure that their investors cease to remain so.
Two distinguished academics, Dean Foster at the Wharton School of the University of Pennsylvania and Peyton Young of Oxford university and the Brookings Institution, explain the point beautifully*. They start by asking us to consider a rare event – that the stock market will fall by 20 per cent over the next 12 months, for example. They assume, too, that the options market prices this risk correctly, say at one in 10. An option costs $0.1 and pays out $1.
Now imagine that we set up a hedge fund with $100m from investors on the normal terms of 2 per cent management fees and 20 per cent of the return above a benchmark. We put our $100m in Treasury bills yielding 4 per cent. We also sell 100m covered options on the event, which nets us $10m. We put this $10m, too, in Treasury bills, which allows us to sell another 10m options. This nets another $1m. Then we go on holiday.
There is a 90 per cent chance that this bet will pay off in the first year. The fund then grosses $11m on the sale of the options, plus 4 per cent interest on the $110m in Treasury bills, for a handsome 15.4 per cent return. Our investors are delighted. Assume our benchmark was 4 per cent. We then earn $2m in management fees, plus 20 per cent of $11.4m, which amounts to over $4m gross. Whatever subsequently happens, we need never give this money back.
The chances are nearly 60 per cent that the bad event will not occur over five years. Since the fund is compounding at a rate of 11.4 per cent a year after fees, we will make well over $20m even if no new money is attracted into this apparently stellar enterprise. In the long run, however, the bad event is highly likely to occur. Since we have made huge profits, our investors have paid us handsomely for the near certainty of losing them money.
The immediate response may be that so naked a scam is inconceivable. Well, imagine a fund that leverages investors' money by borrowing massively in short-term money markets in order to purchase higher-yielding paper. Assume, again, that the premium gives a correct estimate of the risk. With sufficient leverage, this fund, too, is likely to make profits for years. But it is also very likely to be wiped out, at some point. Does this strategy sound familiar? It certainly should by now.
We can identify two huge problems to be solved. First, many investment strategies have the characteristics of a “Taleb distribution”, after Nicholas Taleb, author of Fooled by Randomness. At its simplest, a Taleb distribution has a high probability of a modest gain and a low probability of huge losses in any period.
Second, the systems of reward fail to align the interests of managers with those of investors. As a result, the former have an incentive to exploit such distributions for their own benefit.
Professors Foster and Young argue that it is extremely hard to resolve these difficulties. It is particularly difficult to know whether a manager is skilful rather than lucky. In their telling example, the chances are more than 10 per cent that the fund will run for 20 years without being exposed. In other words, even after 20 years the outside investor cannot be confident that the results were not being generated by luck or a scam.
It is also tricky to align the interests of managers with those of investors. Obvious possibilities include rewarding managers on the basis of final returns, forcing them to hold a sizeable equity stake or levying penalties for underperformance.
None of these solutions solves the problem of distinguishing luck from skill. The first also encourages managers to take sizeable risks when they are close to the return at which payouts begin. Managers can evade the effects of the second alternative by taking positions in derivatives, which may be hard to police. Finally, even under the apparently attractive final alternative it appears that any clawback contract harsh enough to keep unskilled managers away will also discourage skilled ones.
It is obviously best not to pay the manager, as a manager, at all, but rather to invest alongside him, as at Berkshire Hathaway, Warren Buffett's investment company. But we still have the challenge of knowing whether the manager is any good. We know this today of Mr Buffett. Fifty years ago, that would have been very hard to know.
What we have then is a huge “lemons” problem: in this business it is really hard to distinguish talented managers from untalented ones. For this reason, the business is bound to attract the unscrupulous and unskilled, just as such people are attracted to dealing in used cars (which was the original example of a market in lemons). The lemons theorem states that such markets are likely to disappear. The same may happen to today's hedge-fund industry.
Now consider the financial sector as a whole: it is, again, hard either to distinguish skill from luck or to align the interests of management, staff, shareholders and the public. It is in the interests of insiders to game the system by exploiting the returns from higher probability events. This means that businesses will suddenly blow up when the low probability disaster occurs, as happened spectacularly at Northern Rock and Bear Stearns.
Moreover, if these unfavourable events – stock market crashes, mortgage failures, liquidity freezes – come in stampeding herds (because so many managers copy one another), they will say: “Nobody could have expected this, but, now that it has happened to all of us the government must come to the rescue.”
The more one believes this is how an unregulated financial system operates, the more worried one has to become. Rescue from this crisis may be on the way, but what about next time and the time after next?
作者：spiderman 在 海归商务 发贴, 来自【海归网】 http://www.haiguinet.com
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 zz: 对冲基金的钱也太好赚 -- spiderman - (9213 Byte) 2008-3-31 周一, 09:13 (570 reads)
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