世界知名对冲基金AQR（旗下总资产近$100Billion）的基金经理Clifford Asness接受福布斯（Forbes）专访（共12页），谈论有效市场假设（Efficient Market Hypothesis），并揭秘AQR制胜交易策略。 
总的来说，AQR的成功秘诀就是：在各种金融市场上（股市，债市，外汇，大宗商品，信用产品等）通过运用多种因子策略（value, momentum, carry, low volatility）进行多样化投资（diversification），从而分散风险，使自己立于不败之地。在金融市场多年的摸爬滚打，使得Clifford Asness深谙市场生存法则。附件中附带有他和他的同事们Andrea Frazzini,Lasse Pedersen,Tobias Moskowitz等所写的29篇具有代表性的文章（主要涵盖了上述四种策略），从中可以让我们更好地领略AQR对市场的看法及运用策略的思路。个人觉得这些是金融理论和实际投资相结合的典范！
专访中的精辟观点摘录如下,有意思的是，连他也承认想要从金融泡沫中盈利并不容易:
- What advice would you give individuals who are not going to dedicate themselves to this and what not,” I tell them, “The market might not be perfectly efficient, but for most people acting as if it is,” and this is not the only way to get to an index fund, but it’s one route to get to it, it’s certainly one route that implies an index fund. I tell them to do that.
- but there’s a central paradox to efficient markets. Efficientmarkets says you can’t beat an index, the price contains all the information. Fora long time we’ve known, academics have known, that somebody has tobe gathering that information. The old conundrum: What if everyone indexed? Prices would be wildly inefficient.
- Japan is pretty much the only market in the world where momentum has been a failure for30, 40 years and value has been about doubly as good as it’s beenelsewhere. We still do both. Because the chance that you’d find one place that’s looked like this, that looks odd, even if it’s 50/50 everywhere, the rightanswer is 50/50 everywhere, is quite large. So our intuition overrides the data again.
- If there’s any magic to the finding, and I’m still amazed by it, is while we hedge each other a bit, more than a bit, both of us make money if we follow it with discipline over time.
- The tech bubble... I think it was veryhard to make money from. If you identified it too early you lost. We talk about in our paper how Bob Shiller deserves a lot of credit for screaming about it, but if you listen to him from day one in 1996 he’s still not right. We’re still not back to those prices. So there is a big difference between saying bubbles exist and saying it’s a real great way to make your career to identifythem. Timing can be difficult.
- Every one of these four styles (value,momentum, carry, low volatility) everywhere we do it, remember, stocks, currencies, bonds, is long and short veryclose to an equal amount. And so therefore it’s been our experience and our hope going forward that we will make money over time but when we have toughtimes, which will happen, we don’t run from that, it will hopefully not be the same time markets are having tough times. So we spread our bets long and short and do as many different things as you can. ... The way we run the fund is looking for the best combination of all four of these.
- We might measure value 12 different ways to try to be robust. Any one way can be imperfect or break.
- “What are the next 10 years going to look like?” Don’t look at momentum, certainly. Don’t look at carry and don’t even look at low risk. Value has some power to forecast the next decade.
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发表于 2017-2-14 10:26:02
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