Index Investing在共同基金世界的积极管理人员中滚动。对冲基金可能证明更加难以捉摸的猎物。
由Hal Lux.
August 2002
亚博赞助欧冠机构投资者杂志
Theoretically, if any asset class should benefit from the spartan values of the index investing revolution, it ought to be hedge funds.
Consider their many vices.
Fees are exorbitant. The risk of catastrophic losses for individual funds is real. And investors can't count on hedge fund managers sticking around for long, be they colossal successes or massive failures. All of these factors make the idea of a low-cost, highly diversified hedge fund index sound like a tantalizing alternative to trying to pick the next hedge fund star.
“概念上”，风险管理公司资本市场风险顾问总裁Leslie Rahl说，“这个想法很有吸引力。”
Hedge fund index products, however, have been very slow to take off. In the past decade the hedge fund industry has grown from 2,000 funds with $67 billion under management to 6,000 funds with $600 billion under management, according to hedge fund consulting firm Van Hedge Fund Advisors International. And funds-of-hedge-funds -- the actively managed equivalents of hedge fund indexes -- have grown at an even faster clip, from $400 million in 1987 to $115 billion in 2002, according to investment management consulting firm Casey, Quirk & Acito.
But despite efforts by such powerhouses as Credit Suisse First Boston, Deutsche Bank and Zurich Capital Markets to promote hedge fund index products, the amount of money invested in hedge fund indexes is thought to be no more than a couple of billion dollars. The lure of index funds is that they can provide better, more consistent returns than an actively selected portfolio of the "best" managers within different strategies. That is well-nigh heretical in the world of hedge funds, which thrives on promoting and selling genius.
“我们正在上游游泳，”普林斯顿州普林斯顿州普林斯顿总裁蒂莫西Rudderow说，该公司在12个月内签署了一个机构投资者，为其MLM全球市场战略，这是一种跟踪对冲基金市场的综合指数亚博赞助欧冠。“我们告诉投资者他们不想听到的东西。”
但是，新推动即将在途中进行，一个可能一次以及所有测试对冲基金世界的指数潜力。标准差，可投资指标的品牌名称为传统资金管理，准备了一个40基金对冲基金指数，旨在作为机构投资者的实用投资车辆。亚博赞助欧冠摩根士丹利首都国际索引业务中的另一个门面名称刚刚发布了自己的对冲基金指数，最初将作为绩效措施，但最终可能会产生可投资的产品。
S&P's main index and specific-strategy sector indexes will be direct competition, not for hedge fund managers, but for fund-of-hedge-funds managers, who charge hefty fees for assembling portfolios of hedge funds. S&P has licensed the indexes to hedge fund investment shop PlusFunds, which will market them as investments to institutions. If fund-of-funds managers, after subtracting their typical cut of 1 percent of assets and 10 percent of profits (on top of hedge funds' take), are not able to beat these low-cost indexes, they -- just like active mutual fund managers who don't beat stock indexes -- will increasingly appear worthless to investors.
What has happened to the mutual fund industry should give fund-of-hedge-funds managers pause. For the past 20 years, only 16 percent of surviving actively managed U.S. mutual funds have beaten the cumulative returns of the Standard & Poor's 500 index, according to mutual fund data company Lipper. That sorry record has made passive investing the ascendent philosophy of mainstream stock market investors.
"That's exactly one of the arguments we're making," says Paul Aaronson, Standard & Poor's executive managing director in charge of the hedge fund product. "Why would a fund-of-funds manager trying to pick hedge funds be any better than an active manager in picking stocks?" Mount Lucas chairman Frank Vannerson, one of the founders of legendary hedge fund shop Commodities Corp., says he is equally certain that the average fund-of-hedge-funds stands no chance against his low-fee index. Says Vannerson, "We will beat them by the amount of their fees."
Fortunately for the alternative investment industry, the type of indexing that has thrived in stock mutual funds is not easily duplicated in hedge funds. For starters, mutual fund indexes invest in securities; hedge fund indexes invest in people who invest in securities. Indexing a group of managers is obviously a lot more difficult than indexing a portfolio of stocks.
此外，股票和债券相互基金指数所拥有的证券是液体，通常在公共市场交易。对冲基金往往是没有效果，任何透明;整体市场的确切规模是未知的，绩效报告是在基金经理的突发事项上完成的，而且许多最成功的对冲基金都会向新投资者关闭。甚至一些人试图构建对冲基金的指标，表达了关于他们将能够提供的东西的谨慎。
“建设对冲基金指数方面有许多特点，”麦克海氏议员的全球研究负责人Khalid Ghayur。“我们不觉得他们呼吁他们的股票和债券指数时呼吁他们的基准指数。但是，他们可以作为进行对等群体比较和分析的有意义的基础，我们认为他们对投资界非常有价值。”
一些人想知道为什么有人去建设一个hedge fund index in the first place. In a paper soon to be published in the Journal of Portfolio Management, Carlyle Asset Management Group alternative investment expert Jimmy Liew argues that investors should stick with actively managed funds-of-hedge-funds because the performance of an average hedge fund manager -- which is exactly what an index should provide -- does not appear to add value to an overall investment portfolio. "At first glance indexing appears to be a cheap, low-risk strategy to get exposure to hedge funds," writes Liew, who has a Ph.D. in economics from Columbia University. "A more careful analysis, however, argues to the contrary. In our sample only 30 percent of the managers demonstrate statistically significant skill. A corollary to this result is that a hedge fund index that includes a large fraction of unskilled managers will be significantly inferior to a portfolio of actively picked 'good' hedge funds."
即使是勋爵的索引之王 - Vanguard Group创始人Jack Bogle - 不能提出一种关于可投资对冲基金指数的善意。“我没有看到如何用对冲基金做指标，”博格尔·博格尔·博格尔，谁继续驳回所有对冲基金作为“下一个伟大的崩溃”。
Index products, however, have surprised the money management world before. Vanguard's first index mutual fund, launched in 1976, was dubbed "Bogle's folly" when it first appeared. Today Vanguard runs $210 billion in stock index funds. History is not likely to repeat itself to that extent in the hedge fund world because of the complexity of running large amounts of money in indexes tracking that market. But these index funds could certainly become a profitable niche market, especially given the high probability that they will end up beating the average high-priced fund-of-hedge-funds manager over time. In any case, these indexing projects should at the very least provide badly needed competition to a fund-of-funds business that has had it much too easy in recent years.
"We do represent a threat to some funds-of-hedge-funds," says S&P's Aaronson. "They charge an additional fee on top of hedge fund fees -- that's an expensive proposition for investors."
ADAPTING INDEX INVESTING TO HEDGE FUNDS is anything but simple. To begin with, what exactly is to be indexed? Little information is available about the distribution of assets among different hedge fund strategies, and that forces index makers to essentially guess what index would mirror the performance of the universe of hedge funds.
Even if the existence of a hedge fund is known, there's no guarantee that its performance numbers can be secured. MSCI's index will be based on returns from 350 funds divided into four broad strategies: directional, relative value, specialist credit and stock selection. But those funds may opt out of the index anytime they want.
苏黎世资本市场制作了一个相等加权指数的58个资金，由选择委员会添加或删除。CSFB / Import对冲基金指数使用数学公式选择其资产加权组385个基金。Deutsche Bank在其DB-100基准基金中有100个基金，而S＆P已决定只需要40个资金来反映整个行业。
Not surprisingly, the indexes can sometimes diverge significantly. For example, in 2001 Zurich Capital Markets' hedged equity index fell 12.2 percent; the CSFB/Tremont hedge equity index fell 3.7 percent, and an index run by Chicago-based alternative investment specialist Hedge Fund Research rose 0.5 percent.
探讨了构建代表索引table certainly requires compromise. Standard & Poor's can put any stock or bond it chooses into its traditional indexes. But the company is much more restricted in creating its hedge fund index, because the product wouldn't have any practical value as an investment vehicle if investors couldn't get into the funds. As a result, S&P has only included in its index hedge funds that have agreed to make at least $100 million in capacity available to investors in these products.
In addition, hedge fund managers must agree to provide daily information about their positions and pricing to S&P. That level of transparency is unheard of in the traditional hedge fund world, prompting some hedge fund experts to speculate that only new managers or those desperate for additional assets will go along with these conditions in the middle of a hedge fund investment mania.
"I would rather spend six months trying to get the right investor at this point than take this money," says the marketing executive of one large fund. "You're going to get a lot of managers that have been doing badly, you're going to get adverse selection."
标准普尔尚未宣布其指数中资金的姓名，但几个对冲基金高管表示他们知道拒绝本公司的一些突出的对冲基金。
标准普尔的Aaronson承认，吸引表现不佳的经理可能是一个问题。“我们担心自己，”他说。“有一些负面选择偏见吗？”然而，Aaronson认为，标准普尔已设法注册高质量的经理名册。
But deciding what constitutes a good manager for an index product can also be tricky. The first goal for any index is giving investors very specific exposure to a well-defined asset class. S&P, which selected managers with the help of British hedge fund consulting group Albourne Partners, explains that style purity -- a manager's rigorous adherence to a specific trading style -- is more important than even returns. Bad performance probably won't get an investor thrown out of this index, but style drift will. "Funds-of-funds are looking to pick the best-performing managers," says Aaronson. "We're looking to pick the most representative."
Some investment experts believe, however, that dividing managers into traditional hedge fund categories can be misleading. S&P has selected managers from nine traditional categories of hedge fund investment -- including long-short equity, merger arbitrage and convertible arbitrage -- to come up with what it hopes is a good representation of total hedge fund activity. But some analysts say these traditional categories don't accurately reflect the hedge fund world's strategies and risk. "There is a need to redefine these categories," says Capital Market Risk Advisors' Rahl. "The hedge funds, for example, within convertible arbitrage are dramatically different. You should have a long-volatility strategy category, an equity-directional strategy category."
虽然对冲基金指数一直是一个艰难的卖点，但如果他们成为粉碎的问题，S＆P面临同样令人困惑的问题。如果资金不会超过他们承诺从投资者购买指数投资的标准普尔，那么该指数最终可能是一个旋转的门，因为高性能的经理迅速休假。“标准普尔一定是在开玩笑达1亿美元，”基于费城的量化货币经理Thodore Aronson表示。“在这种市场中，可以在几天内吸收。”
The pros at Mount Lucas believe that the downside of using traditional indexing in hedge funds is problematic enough to require a different approach. Last year the quantitative shop, which has for the past decade run a successful passive investment product for managed futures, rolled out an index-style product that attempts to mimic the returns of hedge funds without actually investing in any. "Hedge funds operate in this very diverse basket of marketplaces," says Mount Lucas president Rudderow. "We think we can measure the risk premium in different markets."
Hedge funds say they earn the bulk of their returns utilizing nimble and idiosyncratic trading strategies. Mount Lucas believes that over the long run the performance of most hedge funds simply mirrors the overall returns of the markets they specialize in and that no particular skill is involved. For example, Rudderow argues, managers in the much celebrated convertible bond arbitrage sector really just hold long portfolios of stocks. Last year Mount Lucas launched MLM Global Markets Strategy, which, like hedge funds, gives investors exposure to a broad array of markets by buying futures contracts in stocks, bonds and commodities. And the fees are as low as 50 basis points of assets, compared with 1 percent of assets and 10 percent of profits for funds-of-funds.
Ultimately, the theoretical debate about how to best build a hedge fund index will give way to a simple performance race between the indexes and hedge fund managers. If fund-of-funds managers are unable to surpass low-cost indexes in picking hedge fund talent, investors will flock to the variety of passive products, and the high fees associated with hedge fund investing may finally fall.
The outcome remains uncertain. But the always rational indexing crowd -- which has already seized big chunks of the traditional money management market -- is confident that a growing group of hedge fund investors will someday choose the rational efficiency of indexing over seductive manager pitches. "People want to believe in the magic," says Mount Lucas chairman Vannerson. "But since we started managing money, we've offered people diversification, not a free lunch."
由Hal Lux.
August 2002
亚博赞助欧冠机构投资者杂志
Theoretically, if any asset class should benefit from the spartan values of the index investing revolution, it ought to be hedge funds.
Consider their many vices.
Fees are exorbitant. The risk of catastrophic losses for individual funds is real. And investors can't count on hedge fund managers sticking around for long, be they colossal successes or massive failures. All of these factors make the idea of a low-cost, highly diversified hedge fund index sound like a tantalizing alternative to trying to pick the next hedge fund star.
“概念上”，风险管理公司资本市场风险顾问总裁Leslie Rahl说，“这个想法很有吸引力。”
Hedge fund index products, however, have been very slow to take off. In the past decade the hedge fund industry has grown from 2,000 funds with $67 billion under management to 6,000 funds with $600 billion under management, according to hedge fund consulting firm Van Hedge Fund Advisors International. And funds-of-hedge-funds -- the actively managed equivalents of hedge fund indexes -- have grown at an even faster clip, from $400 million in 1987 to $115 billion in 2002, according to investment management consulting firm Casey, Quirk & Acito.
But despite efforts by such powerhouses as Credit Suisse First Boston, Deutsche Bank and Zurich Capital Markets to promote hedge fund index products, the amount of money invested in hedge fund indexes is thought to be no more than a couple of billion dollars. The lure of index funds is that they can provide better, more consistent returns than an actively selected portfolio of the "best" managers within different strategies. That is well-nigh heretical in the world of hedge funds, which thrives on promoting and selling genius.
“我们正在上游游泳，”普林斯顿州普林斯顿州普林斯顿总裁蒂莫西Rudderow说，该公司在12个月内签署了一个机构投资者，为其MLM全球市场战略，这是一种跟踪对冲基金市场的综合指数亚博赞助欧冠。“我们告诉投资者他们不想听到的东西。”
但是，新推动即将在途中进行，一个可能一次以及所有测试对冲基金世界的指数潜力。标准差，可投资指标的品牌名称为传统资金管理，准备了一个40基金对冲基金指数，旨在作为机构投资者的实用投资车辆。亚博赞助欧冠摩根士丹利首都国际索引业务中的另一个门面名称刚刚发布了自己的对冲基金指数，最初将作为绩效措施，但最终可能会产生可投资的产品。
S&P's main index and specific-strategy sector indexes will be direct competition, not for hedge fund managers, but for fund-of-hedge-funds managers, who charge hefty fees for assembling portfolios of hedge funds. S&P has licensed the indexes to hedge fund investment shop PlusFunds, which will market them as investments to institutions. If fund-of-funds managers, after subtracting their typical cut of 1 percent of assets and 10 percent of profits (on top of hedge funds' take), are not able to beat these low-cost indexes, they -- just like active mutual fund managers who don't beat stock indexes -- will increasingly appear worthless to investors.
What has happened to the mutual fund industry should give fund-of-hedge-funds managers pause. For the past 20 years, only 16 percent of surviving actively managed U.S. mutual funds have beaten the cumulative returns of the Standard & Poor's 500 index, according to mutual fund data company Lipper. That sorry record has made passive investing the ascendent philosophy of mainstream stock market investors.
"That's exactly one of the arguments we're making," says Paul Aaronson, Standard & Poor's executive managing director in charge of the hedge fund product. "Why would a fund-of-funds manager trying to pick hedge funds be any better than an active manager in picking stocks?" Mount Lucas chairman Frank Vannerson, one of the founders of legendary hedge fund shop Commodities Corp., says he is equally certain that the average fund-of-hedge-funds stands no chance against his low-fee index. Says Vannerson, "We will beat them by the amount of their fees."
Fortunately for the alternative investment industry, the type of indexing that has thrived in stock mutual funds is not easily duplicated in hedge funds. For starters, mutual fund indexes invest in securities; hedge fund indexes invest in people who invest in securities. Indexing a group of managers is obviously a lot more difficult than indexing a portfolio of stocks.
此外，股票和债券相互基金指数所拥有的证券是液体，通常在公共市场交易。对冲基金往往是没有效果，任何透明;整体市场的确切规模是未知的，绩效报告是在基金经理的突发事项上完成的，而且许多最成功的对冲基金都会向新投资者关闭。甚至一些人试图构建对冲基金的指标，表达了关于他们将能够提供的东西的谨慎。
“建设对冲基金指数方面有许多特点，”麦克海氏议员的全球研究负责人Khalid Ghayur。“我们不觉得他们呼吁他们的股票和债券指数时呼吁他们的基准指数。但是，他们可以作为进行对等群体比较和分析的有意义的基础，我们认为他们对投资界非常有价值。”
一些人想知道为什么有人去建设一个hedge fund index in the first place. In a paper soon to be published in the Journal of Portfolio Management, Carlyle Asset Management Group alternative investment expert Jimmy Liew argues that investors should stick with actively managed funds-of-hedge-funds because the performance of an average hedge fund manager -- which is exactly what an index should provide -- does not appear to add value to an overall investment portfolio. "At first glance indexing appears to be a cheap, low-risk strategy to get exposure to hedge funds," writes Liew, who has a Ph.D. in economics from Columbia University. "A more careful analysis, however, argues to the contrary. In our sample only 30 percent of the managers demonstrate statistically significant skill. A corollary to this result is that a hedge fund index that includes a large fraction of unskilled managers will be significantly inferior to a portfolio of actively picked 'good' hedge funds."
即使是勋爵的索引之王 - Vanguard Group创始人Jack Bogle - 不能提出一种关于可投资对冲基金指数的善意。“我没有看到如何用对冲基金做指标，”博格尔·博格尔·博格尔，谁继续驳回所有对冲基金作为“下一个伟大的崩溃”。
Index products, however, have surprised the money management world before. Vanguard's first index mutual fund, launched in 1976, was dubbed "Bogle's folly" when it first appeared. Today Vanguard runs $210 billion in stock index funds. History is not likely to repeat itself to that extent in the hedge fund world because of the complexity of running large amounts of money in indexes tracking that market. But these index funds could certainly become a profitable niche market, especially given the high probability that they will end up beating the average high-priced fund-of-hedge-funds manager over time. In any case, these indexing projects should at the very least provide badly needed competition to a fund-of-funds business that has had it much too easy in recent years.
"We do represent a threat to some funds-of-hedge-funds," says S&P's Aaronson. "They charge an additional fee on top of hedge fund fees -- that's an expensive proposition for investors."
ADAPTING INDEX INVESTING TO HEDGE FUNDS is anything but simple. To begin with, what exactly is to be indexed? Little information is available about the distribution of assets among different hedge fund strategies, and that forces index makers to essentially guess what index would mirror the performance of the universe of hedge funds.
Even if the existence of a hedge fund is known, there's no guarantee that its performance numbers can be secured. MSCI's index will be based on returns from 350 funds divided into four broad strategies: directional, relative value, specialist credit and stock selection. But those funds may opt out of the index anytime they want.
苏黎世资本市场制作了一个相等加权指数的58个资金，由选择委员会添加或删除。CSFB / Import对冲基金指数使用数学公式选择其资产加权组385个基金。Deutsche Bank在其DB-100基准基金中有100个基金，而S＆P已决定只需要40个资金来反映整个行业。
Not surprisingly, the indexes can sometimes diverge significantly. For example, in 2001 Zurich Capital Markets' hedged equity index fell 12.2 percent; the CSFB/Tremont hedge equity index fell 3.7 percent, and an index run by Chicago-based alternative investment specialist Hedge Fund Research rose 0.5 percent.
探讨了构建代表索引table certainly requires compromise. Standard & Poor's can put any stock or bond it chooses into its traditional indexes. But the company is much more restricted in creating its hedge fund index, because the product wouldn't have any practical value as an investment vehicle if investors couldn't get into the funds. As a result, S&P has only included in its index hedge funds that have agreed to make at least $100 million in capacity available to investors in these products.
In addition, hedge fund managers must agree to provide daily information about their positions and pricing to S&P. That level of transparency is unheard of in the traditional hedge fund world, prompting some hedge fund experts to speculate that only new managers or those desperate for additional assets will go along with these conditions in the middle of a hedge fund investment mania.
"I would rather spend six months trying to get the right investor at this point than take this money," says the marketing executive of one large fund. "You're going to get a lot of managers that have been doing badly, you're going to get adverse selection."
标准普尔尚未宣布其指数中资金的姓名，但几个对冲基金高管表示他们知道拒绝本公司的一些突出的对冲基金。
标准普尔的Aaronson承认，吸引表现不佳的经理可能是一个问题。“我们担心自己，”他说。“有一些负面选择偏见吗？”然而，Aaronson认为，标准普尔已设法注册高质量的经理名册。
But deciding what constitutes a good manager for an index product can also be tricky. The first goal for any index is giving investors very specific exposure to a well-defined asset class. S&P, which selected managers with the help of British hedge fund consulting group Albourne Partners, explains that style purity -- a manager's rigorous adherence to a specific trading style -- is more important than even returns. Bad performance probably won't get an investor thrown out of this index, but style drift will. "Funds-of-funds are looking to pick the best-performing managers," says Aaronson. "We're looking to pick the most representative."
Some investment experts believe, however, that dividing managers into traditional hedge fund categories can be misleading. S&P has selected managers from nine traditional categories of hedge fund investment -- including long-short equity, merger arbitrage and convertible arbitrage -- to come up with what it hopes is a good representation of total hedge fund activity. But some analysts say these traditional categories don't accurately reflect the hedge fund world's strategies and risk. "There is a need to redefine these categories," says Capital Market Risk Advisors' Rahl. "The hedge funds, for example, within convertible arbitrage are dramatically different. You should have a long-volatility strategy category, an equity-directional strategy category."
虽然对冲基金指数一直是一个艰难的卖点，但如果他们成为粉碎的问题，S＆P面临同样令人困惑的问题。如果资金不会超过他们承诺从投资者购买指数投资的标准普尔，那么该指数最终可能是一个旋转的门，因为高性能的经理迅速休假。“标准普尔一定是在开玩笑达1亿美元，”基于费城的量化货币经理Thodore Aronson表示。“在这种市场中，可以在几天内吸收。”
The pros at Mount Lucas believe that the downside of using traditional indexing in hedge funds is problematic enough to require a different approach. Last year the quantitative shop, which has for the past decade run a successful passive investment product for managed futures, rolled out an index-style product that attempts to mimic the returns of hedge funds without actually investing in any. "Hedge funds operate in this very diverse basket of marketplaces," says Mount Lucas president Rudderow. "We think we can measure the risk premium in different markets."
Hedge funds say they earn the bulk of their returns utilizing nimble and idiosyncratic trading strategies. Mount Lucas believes that over the long run the performance of most hedge funds simply mirrors the overall returns of the markets they specialize in and that no particular skill is involved. For example, Rudderow argues, managers in the much celebrated convertible bond arbitrage sector really just hold long portfolios of stocks. Last year Mount Lucas launched MLM Global Markets Strategy, which, like hedge funds, gives investors exposure to a broad array of markets by buying futures contracts in stocks, bonds and commodities. And the fees are as low as 50 basis points of assets, compared with 1 percent of assets and 10 percent of profits for funds-of-funds.
Ultimately, the theoretical debate about how to best build a hedge fund index will give way to a simple performance race between the indexes and hedge fund managers. If fund-of-funds managers are unable to surpass low-cost indexes in picking hedge fund talent, investors will flock to the variety of passive products, and the high fees associated with hedge fund investing may finally fall.
The outcome remains uncertain. But the always rational indexing crowd -- which has already seized big chunks of the traditional money management market -- is confident that a growing group of hedge fund investors will someday choose the rational efficiency of indexing over seductive manager pitches. "People want to believe in the magic," says Mount Lucas chairman Vannerson. "But since we started managing money, we've offered people diversification, not a free lunch."