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低风险、高回报:基金经理青睐瑞典

Duff McDonald 2011年08月31日

盖伊•斯滕在一只全球性基金中管理150亿美元资产。这只基金致力于以股市一半的低风险套取的同样回报,眼下,该基金最大的持仓头寸在瑞典和俄罗斯。原因何在?

    瑞典

    盖伊•斯滕是Standard Life Investments公司多元化投资业务的负责人,当我问他是如何排除价格波动和其他众多投资对150亿美元的全球稳固回报策略基金(Global Absolute Return Strategies fund)的影响这一问题时,他的答案令人感到有点费解。

    “要记住,投资领域最不稳定的因素便是波动本身,”他说,“以股市为例。在过去的5年当中,其波动率一会是50,一会又是15。所以你得明白这些数值是不稳定的”。

    然而,斯滕(及其团队,共25名人员)的经营能力却相当稳定。全球稳固回报策略基金的目标就是回报率要比现金回报率多5%,而风险只有当前股市投资组合风险的一半。在过去的5年当中,该基金的回报率为7.4%,对比2.2%的现金回报率,几乎刚好高出5%。具体来说,这只基金的投资组合同时使用多达30种不同的策略,目的就是在全球经济动荡时期更好地保护投资者的利益,

    《财富》杂志(Fortune)好不容易采访到了斯滕,请他谈了谈对欧元、美元问题的看法以及他钟情于瑞典的原因。

    以股市一半的风险来套取同样回报的目标对于我来说如同乌托邦那样可望而不可及。你们是如何实施这一策略的?

    风险和回报是成正比的,想获得更高的回报,一般来说就得冒更大的风险。尽管如此,他们之间并不是线性关系。也就是说,要拿到如同投资股市那样的高回报,不一定就得承担相应的高风险。

    如何做到这一点?寻求那些不依赖于股市和全球经济增长就能获取收益的投资载体。多元化的增长型基金投资选择面很广,除了股票,其他的还包括投资级债券、私募股权、房产、甚至是新兴市场主权债务。但这些都是成长型资产。如果经济增长为零或趋于停滞,收益也就成为了泡影,投资也就毫无关联性可言。

    我们有四大种类的投资。第一种是市场常见的收益类型,带有风险溢价性质。第二种是证券选择,这一种与增长无关,完全依赖于出色的调研。第三种,方向性策略,意指那些没有隐性风险溢价的资产种类。第四种是相对价值。例如,几个季度以来,我们认为在投资组合当中,大盘股的表现要好于小盘股,这与市场方向无关。它们往往更便宜,财力更雄厚,资产负债表也更为稳健。但是我们不承担股票风险,我们在抛售小盘股的同时购进同样数量的大盘股。比起德国,我们更偏爱瑞士的股市。

    

    When I asked Guy Stern, head of multi-asset investments at Standard Life Investments, how he managed to stay on top of price fluctuations and correlations of the many investments in the $15 billion Global Absolute Return Strategies fund, he answered with a bit of a mindbender.

    "It's important to remember that one of the least stable things in the investment world is volatility itself," he said "Take the equity market. Over the past five years, its volatility was 50 at one point and 15 at another. So you need to start with an understanding that those values are not stable."

    What has been pretty stable, though, is Stern's ability (along with a team of 25) to deliver on the GARS fund's aim of delivering a return of 5% more than you'd get in cash, with half the risk of an active equity portfolio. Over the past five years, the GARS has delivered 7.4% returns, almost exactly 5% more than the cash return of 2.2%. More specifically, the purpose of the portfolio is to protect investors from global economic turmoil by deploying up to 30 different strategies simultaneously.

    Fortune tracked him down to talk about the euro, the dollar, and why he loves Sweden so much.

    Your stated goal of equity-like returns with half the risk strikes me as a Utopian dream. How do you go about putting that strategy in place?

    The step you have to take is that while risk and return are positively correlated—if you want higher returns, you generally need to take on more risk—they are not linear. You don't have to accept the kind of risk you would get from global equities to get the same return.

    How do we create that? By seeking out ways to generate returns that are not merely based on equities rising or global economic growth. Your typical diversified growth fund has an array of options, from equities to investment grade bonds, private equity, property, even emerging market sovereign debt. But those are all growth assets. If there's no economic growth—if its flat—you don't get returns and correlations go to one.

    We have four categories of investments. The first is market type returns with a risk premium. The second is security selection, which isn't dependent on growth but good research. Third, direction strategies—by which I mean asset classes with no embedded risk premium, like currencies. And fourth, relative value. I'll give you an example of the last one. For several quarters, we have had the view in the portfolio that large cap stocks will outperform small cap, regardless of the direction of the market. They're cheaper, better financed, and they have better balance sheets. But we're not taking equity risk—we're buying the same amount of large cap as we are shorting small cap. We also like the Swiss over the German equity market.

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