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对冲基金投资降温,量化基金成新宠

据UBS与Campden Research一份研究显示,帮助富人管理资产及投资的家族办公室已经连续两年减少对冲基金投资,并对其获得丰厚利润的能力表示怀疑。但对投资者来说有一种基金可能是例外,即所谓的量化基金,这种基金使用先进的数学及计算机技术进行交易并获得盈利。

这项调查的多年参与者今年对冲基金投资比例约为7.1%,比2016年的8%有所下降。总体来看,约有30%的家庭办公室希望接下来几年继续减少对冲基金投资。

本报告中一位欧洲家族办公室主管称:"与一些同行类似,我们也准备退出对冲基金领域。这一领域利润已经大大降低。我认为仅仅为了可怜的2%或3%利润就得支付费用,这实在让人不快。"

依照惯例,对冲基金要收取2%的管理费及20%的利润分红。但如果收益降低,这一结构就会面临压力。利益联盟协会(AOI)代表捐助基金、养老金基金及家族办公室投资者,它认为对冲基金应该改变利润模式。

家族办公室往往掌握着一个家族的主要资产和投资。据Campden估计,全世界大约有5300个家族办公室,规模从一两个员工到上百个员工不等。随着家族办公室对量化基金投资持续增加,达所持对冲基金的6.4%,这一种基金的利润也在上涨。

据数据追踪公司HFR报道,不仅是家族办公室、所有类型的投资者对量化基金都青睐有加,自2009年开始,量化基金连续八年资金流入,到3月所管理资金已达9320亿美元。

但有迹象表明这些收益也在波动。Eagle's View Asset Management创始人兼首席投资官Neal Berger告诉彭博社,对冲基金收益整年都在下降,建议市场剩余基金寻找制胜策略。母基金(FOF)管理资金达5亿美元,它们已经把约半数的投资都给了量化基金。

高级对冲基金分析师Karim Cherif在一封邮件中说,进入量化交易市场的资本管理者越多,这种交易策略和信号就复制得越快。Cherif说,幸运的是,中间人数据显示量化基金投资组合略有重合,意味着有太多投资人选择了这种策略,将爆发一系列销售连锁反应,可能会重演2007年的"量子地震"。

Family offices that manage estates and investments for the wealthy are backing away from hedge funds for a second year in a row, citing worries about the funds’ ability to generate strong returns, according to a report by UBS and Campden Research. One exception may be for investments in so called “quant” funds that use advanced mathematics and computing to make money through trading.

Multi-year participants in the survey are allocating about 7.1% of their investments in hedge funds this year, down from 8% in 2016. Overall, about 30% of family offices expect to reduce their investments in hedge funds even further in the coming years.

“Similar to some of our peers, we are leaving the hedge fund space,” according to a European family office executive in the report, whose name wasn’t disclosed. “The returns have dropped massively. I think there is a growing resentment to pay fees for the poor 2% or 3% returns.”

Traditionally, hedge funds have charged a 2% management fee as well as a 20% performance fee. That structure is under pressure (paywall) as returns slip. The Alignment of Interests Association (AOI) represents investors like endowments, pension funds, and family offices, and it has argued the hedge fund compensation model needs to change.

Family offices typically handle key family assets and investments. There are about 5,300 of them around the world, according to Campden estimates, with staff sizes ranging from one or two employees to 100 or more.

Quant funds saw increased interest, as family offices boosted their exposure to the strategy to about 6.4% of their hedge fund holdings. Including all types of investors, not just family offices, computer-driven hedge funds have increased their assets under management (paywall) to $932 billion as of March, following eight straight years of inflows since 2009, according to data-tracking firm HFR.

But there are signs that even those returns are stumbling (paywall). Neal Berger, the founder and chief investment officer of Eagle’s View Asset Management, told Bloomberg News that returns have been slipping for a year, suggesting the rest of the market has figured out some of the winning strategies. The $500 million fund-of-funds has about half of its allocation in quant funds.

As more money managers enter the quant-trading sector, strategies and signals are being replicated more quickly, Karim Cherif, senior hedge fund strategist at UBS, said in an e-mail. Fortunately, broker data signals little overlap between quant-fund portfolios, Cherif said, suggesting there’s little risk of a repeat of the so-called “quant quake” in 2007, when the strategy had become crowded with investors and a chain reaction of selling broke out.


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