【英语社会】如何打造低风险的未来？

The Financial Times has spent the last three weeks pondering the Future of Investing. We did not see the future. And even the present is surprising.

The reckoning that many predicted during the worst of the crisis has, at least, been postponed. Quant funds, which had their disaster as early as August 2007, are still in business, and trying out new strategies. With less money in them, they may even be less overcrowded, and more profitable, than they were before.

The widely predicted clean-out of hedge funds is also yet to happen. The March rebound came just in time to thwart it.

And the long-term nature of pensions ensures that their reckoning is delayed. Pension funds were in crisis two years ago. Since then, with lower yields and a disastrous fall in returns, that crisis has deepened, but it is still not imminent.

One change, however, is already clear. A certain humility has replaced the hubris of the years before the crisis.

And the future plainly holds many changes. The evolution of the industry depends on the answers to two questions: about risk and trust.

How can we manage risk?

The prevailing model of risk management, as practised by much of the industry, went badly wrong. Basic assumptions must be re-examined.

Most importantly, there is the notion that stocks do best in the long run. This is true, but after two bear markets in a decade, it is of much less practical use than people thought.

Even with the rebound, putting everything into stocks and waiting for “the long run” to bail you out of difficulty is no longer viable. Savers need to have more than “the long run” to protect them from the volatility of stock markets.

Second, we must now reject the notion that risks can be traded off against each other on the assumption that the correlations between asset classes are stable. Last year, efforts to limit risk by diversifying into alternative asset classes went disastrously wrong as they all fell together.

So the next few years will be dominated by a search for a better way to manage risk. Interest at the moment focuses on testing portfolios for specific “worst-case scenarios”, and on building asset allocation around a list of different risks (which might affect different asset classes in the same way), rather than different asset classes.

Some specific moves from hubris to humility are already evident. For a few years, the vogue was to look for “portable alpha” – to identify the portion of an alternative asset manager's return that was down to true skill, isolate it, and then add to it “beta”, or the return from the market.

These strategies generated money for broker-dealers. But it was never as simple to separate “beta” and “alpha”. When things got bad, all kinds of strategies turned out to be exposed to the market, and went down with it. “Portable alpha” in effect meant making an even bigger bet on the direction of the market.

Now, the idea is to try to identify investor “skill” rather than “alpha” using ideas borrowed from behavioural psychology. The great investors tend not to be brighter or better informed than the rest. What sets them apart is their emotional intelligence – the ability to cut losses on losers, or to stay away from investment bubbles – and it may just be possible to derive this by looking for patterns of behaviour in their individual trades. Investment performance, or comparing to investment benchmarks, will not do it.

How to persuade the investing public to trust fund managers again?

The rebound is not making retail investors feel better. Instead, the mere fact that last year's crash was possible seems to have had a lingering effect on confidence. And many large institutions who put their money into hedge funds are feeling duped.

For retail investors, the answer will revolve around a much simpler, possibly rather paternalistic offering, where savers are given very strong guidance on their asset allocation. It also makes sense to explore the idea that defined contribution pension plans should include an element of guarantees, to provide assurance that money is building that cannot be taken away.

As for hedge funds, their fees are going to come down. At the very least, they will have to clear much stricter hurdles before they start enjoying performance fees.

That is a painful issue, but the direction is clear. A tougher issue is transparency. Investors will demand to know more than hedge fund managers currently tell them, and rightly so. The presumption of trust has been lost for a while.

But true transparency is impractical for many hedge fund strategies that trade constantly through the day. And for many hedge funds, desperate not to let others see their plans, it is actively counterproductive. If, as a client, you have found a truly skilful manager, you really do not want their holdings to be transparent, public knowledge.

But if that form of transparency is not going to happen, hedge fund managers probably will have to provide much greater clarity about the strategy that is being pursued.

Armed with this knowledge, it should be possible to work out whether the returns they are reporting make sense, or whether they are diverging from what they said they would do.

过去三周里，英国《金融时报》一直在探讨“投资的未来”。我们看不清未来。就连现状也出人意料。

许多人在危机最严重时刻所预言的报应至少已经推迟了。早在2007年8月就已深陷泥沼的定量基金(Quant funds)依然在运营，并在尝试各种新策略。由于打理的资金减少，比起以前，它们甚至可能变得不那么拥挤了，盈利情况也更好。

人们普遍预计的对冲基金大洗牌至今也没有发生，3月份的反弹行情及时地阻挡了这一趋势。

养老金的长期性确保了它们的惩罚得以推迟。养老基金两年前就身陷危机。此后，随着收益率降低、回报严重下滑，危机已经加深，但目前仍未到危急关头。

然而，有一个变化已经显而易见。危机前盛行多年的傲慢作风，已为某种谦卑所取代。

显然，未来存在许多变数。基金行业的演变取决于两个问题的答案：一个关于风险，一个关于信任。

我们如何管理风险？

业内大部分人士采用的主要风险管理模型出现严重问题。我们必须重新审视基本假设。

最重要的是，在人们的观念中，股票在长期内表现最佳。这是正确的，但十年里经历过两轮熊市之后，这一策略远远不像人们所以为的那么实用。

即便市场反弹，把一切投入股市、静等“时间”帮助你脱离困境也不再可行。要保护自己不受股市波动的影响，储蓄者不能单纯指望“时间”。

其次，我们现在必须摒弃以下观点：即假定各资产类别之间的相关性是平衡的，如此一来各种风险就能够相互抵消。去年，通过把资金分散到另类资产类别以降低风险的做法严重失策，因为它们全都下跌了。

因此，未来数年内，人们将热衷于寻找更佳的风险管理方式。当前的兴趣集中在两个方面：测试投资组合能否适应特定的“最恶劣情境”；围绕一组不同风险（每种风险可能以相同方式影响不同资产类别），而非不同资产类别，构建资产配置。

从傲慢向谦卑转变的某些具体行动已清楚可见。几年来，寻求“可转移阿尔法回报”(portable alpha)是潮流所在，即辨别出某个另类资产基金经理凭借真本事所创造的那收益部分，将其分离，然后再加上“贝塔回报”(beta)，即来自市场的收益部分。

这些策略为经纪自营商带来收益。但分离“阿尔法”和“贝塔”从来不是容易的事。当形势转差时，各种策略都会受到市场的影响，并随之沉沦。“可转移阿尔法”实际上意味着，对市场走向押下更大的赌注。

如今的想法是，借用行为心理学的观点，设法识别投资者的“本领”，而非“阿尔法”。高明的投资者，往往并不比别人更聪明，或者消息更灵通。使他们与众不同的，是他们的情商(EI)，即对出现亏损的投资进行减仓，或者远离投资泡沫的能力。而且从他们的每一笔交易中寻找行为模式，或许就可以归纳出这种情商。投资表现，或者与投资基准相比较的做法，则收不到这种效果。

如何让投资大众再度信任基金经理？

市场反弹并没有让散户投资者情绪好转。相反，去年那样的崩盘是有可能发生的这个事实，似乎对信心产生了挥之不去的影响。此外，许多把资金托付给对冲基金的大型机构感觉遭到了愚弄。

对散户来说，答案系于能否提供更简明、或许颇具家长式作风的建议，让储蓄者在资产配置方面得到非常充分的指导。还有一种观点也值得探讨：养老金固定缴款计划是否应包含担保成分，以保障增加中的资金不会消失。

至于对冲基金，它们收取的费用将会下降。最起码，在它们开始享受绩效费(performance fees)之前，必须扫除的障碍要比以前严峻得多。

这是个棘手的问题，但方向是明确的。一个更严峻的问题是透明度。投资者将要求对冲基金经理透露更多情况，而且他们理当如此。一段时期以来，信任的前提已不复存在。

但是，许多对冲基金投资策略需要整日不间断地进行交易，对它们而言，真正的透明是不现实的。而对于许多拼命防止别人了解自己计划的对冲基金来说，透明对它们极其不利。作为客户，如果你发现了一位真正高明的基金经理，你其实并不希望他的仓位情况成为透明的公共信息。

然而，即使这种形式的透明无法实现，对冲基金经理或许也必须对于自己所采取的策略进行更加清楚透彻的说明。

了解这些情况后，应该就能够判断他们所公布的回报率是否合理，以及他们的行为是否与承诺不符。

译者/岱嵩