贸易战引发美股动荡 人脑表现胜算法一筹

英国《金融时报》 罗宾•威格尔斯沃思 纽约报道
2019.06.10 12:00

传统的选股基金经理近几周表现好得异乎寻常,而机器驱动的“量化”基金连连失手,令人萌生波动性较高的市场也许在帮助人类投资者再度出头的希望。

美国银行(Bank of America)的数据显示,在投资于美国大公司的美国共同基金中,一半以上在5月份连续第二个月跑赢股市大盘。这表明很多共同基金成功驾驭了近期与贸易战相关的动荡。

今年迄今,47%的大盘股共同基金表现优于罗素1000(Russell 1000)指数。虽然这仍然意味着超过一半的美国大盘股共同基金落后于该指数,但如果能够保持下去,这将是后危机时代最高比例的“跑赢率”之一。此外,54%的大盘股基金跑赢了蓝筹股基准——标普500(S&P 500)指数。

传统的主动型资产管理者长期主张,他们会在不那么高涨的市场证明自己的价值。尽管有关选股者在市场低迷期间表现优异的长期证据并不充分,但他们的近期表现将让投资集团感到鼓舞。自金融危机以来,这些集团年复一年地遭遇大量资本流出。

共同基金数据提供商EPFR的数据显示,今年以来主动型股票基金又遭遇了1690亿美元资本流出,使过去10年的累计流出达到1.31万亿美元。相比之下,被动型股票基金今年已吸引逾240亿美元,过去10年累计吸引1.9万亿美元。

“如果主动型基金管理还想卷土重来,它必须展示出,它在市场低迷期间的表现好过机器,”美银资深策略师迈克尔•哈特内特(Michael Hartnett)表示。

美银的数据显示,由算法驱动的“量化”基金在5月继续表现不佳——只有34%的基金跑赢基准——原因是这类基金对表现不佳的板块有较大敞口,如价值型股票。

然而,这些主要是“只做长仓”、相对简单的量化基金,它们一般只挖掘一个或几个众所周知的信号,例如廉价股票或资产负债表强劲的股票长期而言往往会表现出色。许多量化对冲基金今年出现反弹,尤其是那些系统化的趋势追随者。

Systematica的旗舰基金、27亿美元的BlueTrend去年缩水逾10%,但今年已反弹8%以上。类似地,Aspect Capital的36亿美元Diversified基金2019年迄今的回报率超过10%后,此前该基金在2018年下跌14.6%。最强劲的反弹当属Cantab的Aristarchus基金,该基金在去年亏损23%之后,2019年迄今已取得20.5%的回报率。

投资行业本身对其未来仍然感到沮丧,因为不断上升的成本压力——加上在收费上受到的无情压力——预计将在未来几年乃至几十年挤压资产管理的利润率。

此外,以前短暂出现的主动型管理强劲表现,到头来都转瞬即逝,主动型管理的较长期记录仍然不怎么样。英国知名股市操盘手尼尔•伍德福德(Neil Woodford)近期陷入的困境表明,基金经理们经常会眼看自己的声誉一落千丈,而一度点石成金般的炒股技巧突然看起来只是运气。

Dimensional Fund Advisors关于美国共同基金行业的最新报告显示,在20年前存在的2314只股票基金中,只有42%生存至今,只有23%的基金表现优于其基准。

“很多基金已经消亡,而在那些生存下来的基金中,很少能跑赢市场的,”DFA联席研究负责人Marlena Lee表示。

即使对于固定收益产品(往往被认为是一个效率较低、更适合主动型管理的市场),数据也很难让人乐观。在20年前的1826只债券基金中,只有41%仍然存在,只有8%的基金在20年期间跑赢其基准。

译者/和风

原文:Humans beat machines in rocky month for equities

By Robin Wigglesworth in New York

Traditional stockpicking fund managers have enjoyed an unusually good stretch in recent weeks even as machine-driven “quant” funds have fizzled, nurturing hopes that rockier markets may help human investors launch a comeback.

Over half of all US mutual funds that invest in big American companies managed to beat the broader stock market in May for the second month in a row, according to Bank of America. This indicates that many managed to navigate the recent trade war-related turbulence.

So far this year 47 per cent are outperforming the broad Russell 1000 index. Although this still means that over half of US “large-cap” equity mutual funds are trailing the market, if sustained this would be one of the best beat rates in the post-crisis era. Moreover, 54 per cent are beating the blue-chip S&P 500 index.

Traditional, active asset managers have long argued that they would prove their worth in less buoyant markets. Although the long-term evidence that stockpickers outperform in downturns is patchy, their recent run will be encouraging to investment groups that have battled torrential outflows year after year since the crisis.

Active equity funds have shed another $169bn already this year, taking the cumulative outflows over the past decade to $1.31tn, according to EPFR, a mutual fund data provider. In contrast, passive equity funds have attracted over $24bn this year, and $1.9tn over the past decade.

“If active management is ever going to come back, it has to show it can do better in a downturn than the machines can,” said Michael Hartnett, a senior Bank of America strategist.

Algorithmic, “quantitative” funds continued to underperform in May, with just 34 per cent beating their benchmarks due to heavy exposure to underperforming factors like “value” stocks, according to Bank of America.

However, these are mostly “long-only”, relatively simple quant funds that typically only mine one or several well-known signals, such as the long-term tendency for cheap stocks or those with strong balance sheets to perform well. Many quant hedge funds have bounced back this year, especially systematic trend-surfers.

Systematica’s flagship $2.7bn BlueTrend fund lost over 10 per cent last year but is up more than 8 per cent already this year. Similarly, Aspect Capital’s $3.6bn Diversified fund has returned over 10 per cent in 2019, after shedding 14.6 per cent in 2018. The strongest comeback has come from Cantab’s Aristarchus fund, which has flipped last year’s 23 per cent loss into a 20.5 per cent return already in 2019.

The investment industry itself remains gloomy about its future, as relentless pressure on fees and rising cost pressures is expected to crimp asset management margins in the coming years and decades.

Moreover, previous flashes of robust active performance have quickly faded and the longer-term record of active management remains underwhelming. The recent woes of Neil Woodford, a well-known UK stockpicker, shows how fund managers can often see their reputation crumble quickly and a once-deft touch suddenly seem like luck.

Dimensional Fund Advisors’ latest report on the US mutual fund industry indicated that of the 2,314 equity funds that existed two decades ago, only 42 per cent have survived and a mere 23 per cent have outperformed their benchmarks.

“A lot of funds die, and of those that survive only a few outperform the market,” said Marlena Lee, co-head of research at DFA.

Even in fixed income, often assumed to be a less efficient, more active-friendly market, the data are grim reading. Of the 1,826 bond funds registered two decades ago, only 41 per cent are still around, and just 8 per cent have beaten their benchmarks over those 20 years.

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