全球資產市場相關性高企
Two decades ago, hedge funds seemed omnipotent. Whenever there was a market shock or a cyclical turn in the economy, savvy traders such as George Soros or Julian Robertson jumped in — and often made a killing.
二十年前，對衝基金似乎無所不能。只要出現市場衝擊，或經濟進入週期性轉折，喬治∠坽斯(George Soros)、朱利安圠伯遜(Julian Robertson)等一撥精明的交易者就會迅速殺入，且往往能大賺一筆。
No longer. When turbulence hit global markets this summer, some of the best hedge fund gurus were hammered: the sector collectively lost $78bn in August. What is more striking is that this follows several years of below-par performance, in which many hedge funds have failed even to beat the US stock index.
然而，好景不再。今年夏季全球市場受到動盪衝擊時，對衝基金的一些頂尖大師遭受重創，8月份行業集體損失達780億美元。更引人注目的是，該行業的表現已連續多年不佳，其中許多對衝基金甚至未能擊敗美國股票指數。
Why? One reason is that hedge funds are operating in an increasingly crowded space. Another is that their neat computing models are being upended by the antics of (increasingly) capricious governments as they respond to crises with unconventional methods, such as quantitative easing.
爲什麼會出現這種情況？原因之一是對衝基金的運營空間日益擁擠。另一個原因是各國政府越來越反覆無常，舉止怪誕，採用非常規手段（比如量化寬鬆）應對危機，不斷顛覆對衝基金簡潔的計算模式。
For a third clue to why some hedge funds are suffering, take a look at a chart on page 22 of the latest International Monetary Fund financial stability report . This illustrates the recent level of global asset market “correlation” — or the degree to which the prices of seemingly unrelated major assets (most notably the S&P 500, emerging market equities and bonds, US Treasuries, high yield bonds and commodities) have moved in tandem in recent years.
至於部分對衝基金遭遇重創的第三個原因，且看國際貨幣基金組織(IMF)最新的金融穩定報告第22頁上的圖表。該圖表顯示了全球資產市場近期的“相關性”水平，即看似不相關的重要資產近年來價格波動趨於一致的程度，這些資產最主要爲標普500(S&P 500)、新興市場股票和債券、美國國債、高收益債券以及大宗商品。
Usually, this correlation — or “co-movement” in the jargon — does not grab too much public attention. Investors typically worry more about absolute asset price movements — is the stock market rising, say — not correlations. And national policymakers just fret about the assets sitting directly under their nose.
通常情況下，這種相關性（行話稱“聯動”）吸引不到太多的公衆注意。投資者通常更擔心資產價格的絕對走勢（比如說，股市上漲了嗎？），而不是相關性。而各國政策制定者只擔心眼皮底下的資產。
But, as the IMF chart shows, something rather bizarre is happening now. Between 1997 and 2007, the level of correlation between the major asset classes was around 45 per cent, roughly in line with historic norms. This means that markets occasionally swung in tandem with each other (say, during the crisis of 1998), but generally did not.
但正如IMF圖表所顯示，一些怪異的現象正在發生。1997年到2007年之間，主要資產類別之間的相關性水平在45%左右，與歷史常規水平基本一致。這意味着各市場波動偶爾保持一致，如1998年金融危機期間，但通常各自獨立。
During the crisis of 2008-2009, correlation jumped to 80 per cent. No surprise there: history shows that a crash is usually accompanied by high correlations as investors panic — and sell.
在2008年到2009年的危機中，市場相關性水平躍升至80%。這並不奇怪，歷史表明由於投資者恐慌並拋售，市場崩潰往往伴隨着很高的相關性。
What is fascinating is the experience of the past five years. Since 2010, the sense of market crisis has ebbed and many asset prices have soared. But correlation has not fallen, as in the past; instead, it has averaged about 70 per cent, almost twice the pre-crisis level.
有趣的是過去5年的變化。2010年以來，市場危機感已逐漸消退，許多資產價格大幅飆升。但相關性不但並未像以往一樣下降，平均水平反而保持在70%，幾乎是危機前水平的兩倍。
This is peculiar. Privately, IMF officials and western central bankers admit they are not entirely sure why this has occurred. One explanation is government intervention: the tide of liquidity supplied by central banks has been so overwhelming that it has lifted all asset price boats.
這十分不同尋常。IMF官員和西方央行人士私下承認，他們還不完全確定爲什麼會發生這種情況。解釋之一是政府幹預，各國央行提供的流動性之巨大，託升了所有資產價格。
Another possible culprit is globalisation: not only is the “real” economy becoming more closely integrated, but the global asset management industry is more interlinked and concentrated. This matters. As Roger Lowenstein, the American author, noted two decades ago during the Asian financial crash, prices in seemingly unrelated asset classes can become tightly correlated simply because these assets are held by the same investors.
另一個可能的元兇是全球化，不僅“實體”經濟越來越緊密一體化，全球資產管理產業的相互關聯性和集中性也在增加。這一點非常重要。正如美國作家羅傑洛溫斯坦(Roger Lowenstein)在二十年前亞洲金融危機期間指出的，看似無關的資產類別的價格可以變得緊密相關，而原因僅是這些資產爲相同投資者持有。
A third factor is that market liquidity has declined , partly because tighter regulations have forced banks to cut inventories of Risky assets. This can fuel correlation as thin markets create more volatility, which can be contagious.
第三個原因是市場流動性下降，部分緣於更嚴格的監管規定迫使銀行減少風險資產。這可以推動相關性增加，因爲稀薄的市場會產生更大的波動性，而波動性是可以傳染的。
But some IMF officials think there is a fourth factor at work: derivatives. Previously, investors thought — or hoped — that derivatives should suppress correlation as they supposedly hedged risk. But preliminary (unpublished) IMF research suggests correlation in US equity markets actually rises when more equity futures are being used. DO YHEY SUGGEST WHY THIS IS SO?
但一些IMF官員認爲還有第四個因素在起作用，即衍生產品。此前投資者曾認爲（或希望）衍生產品應抑制相關性，因爲它們理應對衝風險。但IMF初步研究（未發表）表明，當投資者使用更多的股票期貨時，美國股市的相關性實際在上升。
Which of these is the most important factor right now is unclear. I suspect it is a pernicious combination of all four. It is also unclear whether this pattern will last. But if it does, then investors need to take note — not least because it challenges many conventional asset management ideas.
目前尚不清楚這四個因素哪個最重要，我懷疑起作用的是四者的致命組合。而且也不清楚這種模式是否仍會持續。如果是的話，那麼投資者需要加以注意，尤其是該模式挑戰了許多傳統資產管理理念。
After all, one reason why risk-loving hedge funds prided themselves on their ability to beat indices was that they jumped between different — uncorrelated — trades. Risk-averse, mainstreet investors also typically tried to avoid losses by diversifying between different, supposedly uncorrelated asset classes.
畢竟，偏好風險的對衝基金之所以能自豪於它們打敗指數的能力，原因之一是它們能在不同的、且不相關的行業之間跳轉。而規避風險的普通投資者通常也將資產分散在不同的、理應不相關的資產類別上，從而儘量避免損失。
But if this 70 per cent level of correlation is here to stay, such guiding philosophies might need to be revised. The “new normal” for global asset prices might be contagion — good and bad. And that is unnerving; particularly at a time when emerging markets threaten to deliver new, synchronised risks.
但如果相關性水平仍維持在70%，這樣的指導理念可能需要修正。全球資產價格“新常態”可能會蔓延，無論好壞，而這令人感到不安，特別是眼下新興市場很可能同時爆發新的風險。
