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投资理财 - 市场走向

如何从全球金融危机中获利

Duff McDonald 2011年06月08日

从美联储的量化宽松政策,到欧盟的希腊救助方案,再到人民币升值:近期全球央行意外之举频出,有没有从中获利的可能?

    哈罗德•康平——那个讨人喜欢的傻老头——给出的“世界末日”预言落空了。5月21日来了,又走了,信徒得救(Rapture)一幕并未出现。现在,他已经将末日期限调整到了10月21日,但如果这个家伙有点经济头脑的话,还不如将时间设定为6月30日。因为四周之后,市场将必须应对美联储二次量化宽松政策到期的现实。

    投资者该怎么做?有人或许会说,应远离美国国债市场,因为这个市场将失去最大的买家。下述数据虽然看似惊人,但千真万确:自从去年秋季二次量化宽松政策启动以来,美联储买入了国债发行量的70% 。也有人可能会说,应远离股市,因为1.5万亿美元的货币刺激政策后,可能给增长带来负面影响。但如果你做空股票,美联储也可能出其不意地启动新一轮印钞计划,给股票投资者以新的希望。那么,可否考虑做空欧元?当然可以,但如果欧盟在阻止希腊债务危机恶化未果后投入更多资金,导致你的做空策略失败,也别感到意外。

    全球各国政府对资本市场前所未有的干预力度已经极大地改变了资产配置环境。我们的投资组合新添了一类全新的风险,而且这种风险并非我们过去在决定配置国债、还是股票时考虑的风险。投资机构Evercore Wealth Management正是瞄准了这一领域,推出了一款填补市场空白的产品。

    Evercore Wealth Management成立于2008年,并得到罗杰•奥特曼旗下Evercore Partners的支持。该机构目前仅有39名雇员,资产管理规模约28亿美元。公司规模虽小,但思路开阔,由其组合经理约翰•麦克德莫特管理的Diversified Market Hedges策略就是最好的例子。

    So Harold Camping, that delightful old fool, was wrong. May 21 came and went, and the Rapture did not arrive. He revised his Doomsday deadline to October 21, but if the man had any economic sense, he would have gone for June 30 instead. That's because four weeks from now, the markets will have to deal with their own Rapture, as QE2 -- shorthand for the Federal Reserve's second round of so-called quantitative easing -- comes to an end.

    What's an investor to do? One would think you'd want to steer clear of the Treasury market, which is going to lose its biggest buyer. As remarkable as the following number may seem, it's true: the Fed has been buying 70% of Treasury issuance since the beginning of QE2 last fall. One might also consider steering clear of equities, on the assumption that the withdrawal of $1.5 trillion in monetary stimulus might negatively impact growth. Then again, if you go short equities, the Fed might surprise us once again with some new round of money printing, in the process giving equity investors new hope. Thinking of shorting the euro? By all means, go ahead, but don't be surprised when the European Union throws a wrench in that strategy by throwing even more good money after bad in yet another forestalling of the inevitable default of Greece.

    The unprecedented level of intervention in the capital markets by governments all over the globe has changed the asset allocation game dramatically. There's a whole new category of risk that's been added to our portfolios, and it's one that isn't accounted for in a traditional allocation decision between government bonds and equities. That's where the folks at Evercore Wealth Management come in. They've got a product to fill that gap.

    Founded in 2008 with backing from Roger Altman's Evercore Partners, Evercore Wealth Management has just 39 employees and some $2.8 billion under management. For a relatively small firm, though, it's been doing some pretty big thinking. The best evidence of that: their Diversified Market Hedges strategy, overseen by portfolio manager John McDermott.

《独立思考》(Independent Thinking)是Evercore Wealth Management公司发行的季刊。

预测极端的货币措施

    从2009年1月起,麦克德莫特和他的团队开始为Evercore客户提供一项新的策略,旨在发现那些受益于极端政策(例如,过去两年多美国货币基数扩大了一倍多)的资产。他们期待当市场力量可能超越政策力量时,政府行动可能会修正或逆转。基于这样的预测进行投资,他们的投资组合总体风险将低于单纯投资股票和债券的组合。

    如果你们对一切有关汇率、大宗商品、利率和赤字的话题感兴趣,不妨听一听:麦克德莫特很多言论都非常直截了当。

    如果要问这项策略的最大赢家是谁?针对美联储印钞狂欢进行的逆向交易值得一提。Evercore客户从2009年初(当时金价不到1,000美元/盎司)到2011年初一直持有黄金,当金价超过1,500美元/盎司后他们清仓了。

    另一种方法是进行简单的国家比较。麦克德莫特表示,“如果一个国家告诉你,他们将大肆印钞,债券收益率低企,比如美国;而另一个国家没有大量印钞,债券收益率较高,比如几年前的巴西和澳大利亚,你愿意持有哪国债券?”Evercore客户曾持有收益率为5-7%的澳大利亚公司债和收益率为8-9%的巴西债券,而不是持有收益率近乎零的美国国债。当巴西和澳大利亚成为率先加息的国家之一,它们的货币也出现了升值,进一步推高了这两类债券投资的收益。

    如果这听起来就像小乔治•索罗斯的口吻,也没错。麦克德莫特和三位同事花费大量时间,试图预测未来决策者将采取什么行动,无论这些行动是合理还是疯狂。但麦克德莫特坚持认为,他和他的团队并不是在做政策判断,而是分析业已出台的政策、可能达到的目标以及市场对该政策的看法,找出三者之间不一致的地方。在此基础上锁定投资目标:即如果政府干预无效、甚至起到反作用的话,可能升值的资产或资产组合;但同时,如果政策正确,这些资产或资产组合也不一定贬值(难以捉摸的赢赢主张)。

    当然,如果你以预测为生,难免会犯错。前几年该团队曾预测人民币会重估,结果事与愿违。麦克德莫特说,“在牛市疯狂时期,我们的投资组合中有相当一部分资金闲置。”另一个错误:同时做空欧洲股票和欧元。“在这两项判断上,我们低估了投资者对持续救助方案的信心,”他说,“我们的假设是在某个时点,市场必定会抛出。如果破产,就会出现违约或重组。显然,在这一点上欧洲人和我们的观点不同。”

    如今他们的仓位如何?这个Evercore的团队仍在做空欧洲,但已减仓“流动性工具”(特别是黄金),转而增仓利率策略——全球增长放缓和美国收益率曲线扁平化均利好利率策略。

    麦克德莫特目前管理资产规模为2亿美元 (略低于建议配置比例——Evercore客户资产的10%),但没有理由证明他和他的团队不能管理数倍于当前规模的资产,特别是考虑到他们正在对全球流动性最强的一些市场进行投资。这并不是那种“把球击出场外”的策略。它的目的是帮助保存财富,因此并不使用直接杠杆。截止4月底,该基金今年以来涨幅5%,低于标准普尔500指数的8.4%涨幅;自基金成立以来的年化回报率为17.9%,而波动率仅为股市的一半。该策略的投资品种中很少有标准普尔500指数或美国国债的踪影,因此回报率也与这两个市场几无关联。

    在与麦克德莫特的会面即将结束时,我已对该策略的优点深信不疑,并表达了加入意愿。不幸的是我没有在Evercore开户所需的500万美元。我问,为什么不设立一个共同基金?在一段含糊其辞的解释后,他的公关代表发来了下述声明:“在Evercore Wealth Management,我们一直在寻找机会,希望利用包括共同基金在内的各类工具来发展Diversified Market Hedges组合。”开始行动吧,麦克德莫特!你的第一个零售客户已经迫不及待了。

Predicting extreme monetary measures

    Starting in January 2009, McDermott and his team began offering Evercore clients a new strategy designed to find assets that benefit from policy extremes and distortions. Like, for example, the fact that the U.S. monetary base has more than doubled in the past two-plus years. They then invest in anticipation of impending adjustments or in opposition to government actions when the market dynamics seem likely to overwhelm policy, thereby reducing overall investment risk relative to a portfolio exclusively invested in stocks and bonds.

    To those of you whose eyes glaze over and ears tune out when the conversation turns to currencies, commodities, interest rates, and deficits, take hope: a lot of what McDermott is talking about is pretty straightforward stuff.

    The biggest winners in the strategy? Trades that sat in opposition to the orgy of money printing by the Fed. Evercore clients were sitting on gold from early 2009 -- when it was less than $1000 an ounce -- through early 2011, when it topped $1500 an ounce and they eliminated the position.

    Another one: simple country-to-country comparisons. "If one country tells you they're going to print money with abandon and has low bond yields -- that would be the U.S. -- and another is not printing money and has high bond yields -- a few years back, that was Brazil and Australia -- which would you want to own?" asks McDermott. Evercore clients owned Australian corporate bonds paying between 5% and 7% and Brazilian bonds paying 8% to 9% instead of U.S. Treasuries yielding almost nothing. When Brazil and Australia were two of the first countries to raise rates, their currencies also appreciated, adding a kicker to the investment.

    If this sounds a little George Soros to you, it should. McDermott and three colleagues spend their time trying to predict what policy makers are going to do, whether those actions are intelligent or insane. But McDermott is adamant that he and his team are not making policy judgments. Instead, they are simply looking for inconsistencies between a stated government policy, its likely objective, and the way that markets perceive that same policy. The goal: to find assets or collections of assets that could appreciate it interventions are ineffective or even counterproductive, but that would not necessarily decline if policy turned out just right. (Otherwise known as the elusive win-win proposition.)

    Of course, when you're in the prediction business, you're sometimes wrong. The team bet that the Chinese would revalue their currency in the past few years, something that didn't happen. "We had quite a bit of money doing absolutely nothing in the portfolio during a wild bull market," McDermott says. Another mistake: going short both European equities and the euro itself. "In both cases, we underestimated investors' willingness to rely on further and further and further bailouts," he says. "We operate on the premise that a market has to clear at some point. If it's broken, it needs to default or be restructured. Apparently, the Europeans don't agree with us about that."

    How are they positioned today? The Evercore team remains short Europe. But it's been trimming down its "liquidity vehicles"—gold, in particular—in favor of interest rate strategies that will benefit with weakening global growth and a flattening U.S. yield curve.

    McDermott has $200 million under his purview right now (a shade under 10% of Evercore client assets, which is their recommended allocation), but doesn't see any reason why he and his team couldn't manage multiples of that amount, especially considering that they're investing in some of the most deeply liquid markets in the world. This is not a hit-the-ball-out-of-the-park kind of strategy. It's meant to help preserve wealth, and as such doesn't use direct leverage. Through the end of April, the fund was up 5% for the year, compared to an 8.4% jump by the S&P 500. Since inception, it's had 17.9% annualized returns with half the volatility of stocks. Very few investments in the strategy look anything like the S&P 500 or a U.S. bond account, so the returns have been largely independent of both of those markets.

    At the end of my meeting with McDermott, I was so convinced of the merits of the strategy that I told him I wanted in. Unfortunately, though, I don't have the $5 million it takes to open an account at Evercore. Why don't they start a mutual fund, I asked? After some hemming and hawing, his public relations representative sent over this statement: "At Evercore Wealth Management, we are exploring opportunities to leverage the Diversified Market Hedges portfolio in various vehicles, including mutual funds." Bring it on, McDermott. You've got your first retail customer already lined up.

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