1973年，美国食品和药物管理局(FDA)发布规定，要求某些食品张贴详细的营养标签，因为消费者不知道他们吃的是什么。1994年，得到广泛承认的营养小组提供了关于大多数食物的热量和成分的标准化信息。尽管这并没有阻止美国的肥胖危机，但至少消费者对他们所吃的脂肪、胆固醇、钠、碳水化合物和蛋白质的摄入量有了透明的了解。

同样，投资者也将受益于投资产品的标准化标签所带来的高透明度，因为人们往往不清楚投资产品的内容。投资行业中最大的信息不对称之一可能出现在对冲基金中，对冲基金的策略和投资行为通常显得神秘。

我们将从因子的角度分析五家著名的对冲基金，并通过模仿因子投资组合的方式进行简单的绩效复制。

对冲基金选择HEDGE FUND SELECTION

首先，我们选择的5只对冲基金是基于UCITS格式的，UCITS提供每日价格数据供分析。这些对冲基金的业绩都令人印象深刻，管理着数十亿美元的资产。投资策略相当多样化，大多数重点在股票。

Our selection of five hedge funds is based on these being available in the UCITS format, which provides daily price data for analysis. These hedge funds all feature impressive track records and manage USD billions in assets. The strategies are quite diverse and the focus is mostly on equities.

注：UCITS代表可转让证券的集体投资承诺。本质上，UCITS是受欧盟监管的投资基金。

五家对冲基金及其策略如下:

● York Event-Driven fund: 事件驱动策略 Event-driven strategy
● PSAM Global Event fund：事件驱动策略Event-driven strategy
● Standard Life GARS fund：多资产宏观策略 Multi-asset macro strategy
● Marshall Wace TOPS fund：股票市场中立策略Equity market neutral strategy
● AQR Equity Market Neutral fund：股票市场中立策略Equity market neutral strategy

因素分析FACTOR EXPOSURE ANALYSIS

首先，利用普通股因子进行回归分析，对五家对冲基金进行因子暴露分析。分析强调了混合因素的风险，这是预期中的异质（差异性）投资策略。结果如下：

● 几乎所有对冲基金对规模因子的敞口都为负，这意味着他们小盘股的风险较小。对大盘股的关注，是因为对冲基金管理着大量资产，这对选股过程提出了流动性要求。

● York和PSAM对股票市场表现出积极敞口，这意味着纯粹的风险而没有完全对冲。

● Standard Life GARS显示各种暴露因子的平均水平最低。因该基金投资于多个资产类别，股票不是解释回报率的最好因素。

● AQR通过配置价值、动量和质量因素，奉行以因子为中心的股票市场中立策略，这一点得到了因子分析的证实。

First, we conduct a factor exposure analysis of the five hedge funds via a regression analysis using common equity factors. The analysis highlights mixed factor exposures, which is to be expected given the heterogeneous investment strategies. The comments are as follows:

• Nearly all hedge funds show negative exposure to the Size factor, which implies they have minor small cap exposure. The focus on large cap stocks is due to the large amounts of assets managed by the hedge funds, which imposes liquidity requirements for the stock selection process.

• York and PSAM exhibit positive exposure to the stock market, which means they have net exposure and are not fully hedged.

• Standard Life GARS shows the lowest factor exposures on average. Given that the hedge fund invests across asset classes, equity factors should not be able to explain the returns very well.

• AQR pursues a factor-focused equity market neutral strategy by allocating to Value, Momentum, and Quality factors, which the      factor exposure analysis confirms.

Source: FactorResearch

分析涉及到的因素有：价值（Value）、规模（Size）、动量（Momentum）、低流动性（Low Volatility）、成长性（Growth）、股息收益率（Dividend Yield）、市场（Market）

YORK EVENT-DRIVEN FUND

York Event-Driven fund由总部位于美国的约克资本管理公司管理，核心策略有三：风险套利、特殊情况和不良信贷。该投资组合主要由美国大盘股组成，高度集中于某些仓位，如雅虎被出售后的保留部分——Altaba，几乎达到10%。

我们通过每月测量对冲基金的因子敞口，然后分配下个月的多空因素，构建一个因子模仿投资组合。由此产生的投资组合使投资者能够区分来自因子和无法解释的（代表Alpha的）回报。

从2011年到2015年年中，这种模仿因子的投资组合与York Event-Driven fund的表现相当接近。这表明，在这段时间内，大部分回报可以用动量Momentum等普通股因素的风险来解释。

此后，当该对冲基金在2015年6月至2016年2月期间亏损超过30%时，该投资组合的表现仍强于大盘。这种优异表现可能是由于投资组合更加多样化，因为模仿因子的投资组合持有数百只股票，几乎不受单一股票变化的影响。相比之下，York的策略是推测明显影响单一股票的具体事件，并相应的在这些事件中持有大量头寸。如果押注失误，通常会导致巨额损失。

The York Event-Driven fund is managed by US-based York Capital Management and comprises three core strategies: risk arbitrage, special situations, and distressed credit. The portfolio consists mainly of US large cap equities and is highly concentrated with some positions like Altaba, the remains of Yahoo! Inc, reaching almost 10%.

We construct a factor-mimicking portfolio by measuring the factor exposure of the hedge fund on a monthly basis and then allocate to long-short factors for the next month. The resulting portfolio allows investors to distinguish between returns from factors and unexplained returns, which represents alpha.

The factor-mimicking portfolio matched the performance of the York Event-Driven fund relatively closely from 2011 to mid-2015, which indicates that most returns during that period are explained by exposure to common equity factors like Momentum. Thereafter the portfolio outperformed when the hedge fund lost more than 30% between June 2015 and February 2016. The outperformance is likely due to a more diversified portfolio as the factor-mimicking portfolio holds hundreds of stocks and is hardly impacted by changes in single stocks. In contrast, York’s strategy is to speculate on specific events that significantly affect single stocks and take accordingly large positions in these. If the bets go wrong, then this typically results in large losses.

Source: FactorResearch

PSAM GLOBAL EVENT FUND

PSAM Global Event fund由纽约P. Schoenfeld Asset Management管理，专注于并购套利、特殊情况和不良信贷。投资组合主要由美国(50%以上)、欧洲和英国的大盘股组成。

这个模仿因子的投资组合追踪了对冲基金2016年至2018年的业绩，这意味着大多数回报可以用普通股因素和市场风险来解释。考虑到对冲基金的信用风险，如将固定收益因素考虑在内，可能会改善复制组合的结果。

The PSAM Global Event fund is managed by New York-based P. Schoenfeld Asset Management and focuses on merger arbitrage, special situations, and distressed credit. The portfolio is mainly comprised of large cap equities from the US (50%+), Europe, and the United Kingdom.

The factor-mimicking portfolio tracks the performance of the hedge fund from 2016 to 2018, which implies that most returns can be explained by common equity factors and market exposure. The replication could be improved by including fixed income factors given the hedge fund’s exposure to credit.

Source: FactorResearch

STANDARD LIFE GARS FUND

Standard Life’s Global GARS基金是欧洲机构和散户投资者的热门选择。2016年，该对冲基金管理的资产达到300多亿美元的峰值，表现良好，收费适中。

该基金的目标是通过投资于不同资产类别的多样化策略，产生现金加5%的收益，从而形成高度多元化、但复杂的投资组合。自2015年以来，该公司的业绩一直在下滑，投资者赎回了逾150亿美元。

鉴于对冲基金跨资产类别进行投资，模仿因子的投资组合应该能够低效复制业绩，因为其构成要素完全由股票因素构成。不过，尽管分析确实突显出，该基金与模仿因子投资组合之间存在很大的跟踪误差，但它们也有许多共同的趋势。一些因素，如套利Carry，在不同的资产类别中表现出非常相似的性能概况，这表明了共同因素驱动因素。

Standard Life’s Global Absolute Return Strategies (GARS) fund was a popular choice for European institutional and retail investors. The hedge fund peaked at more than $30 billion in assets under management in 2016, supported by good performance and moderate fees. The fund aims to generate cash plus 5% by investing in multiple strategies across asset classes, which results in a highly diversified, but complex portfolio. The performance has been declining since 2015 and investors redeemed more than $15 billion.

Given that the hedge fund invests across asset classes, the factor-mimicking portfolio should be able to replicate the performance less efficiently as its building blocks consist exclusively of equity factors. However, although the analysis does highlight a large tracking error between the Standard Life GARS fund and the factor-mimicking portfolio, they share many trends. Some factors like Carry show remarkably similar performance profiles across asset classes, which indicates common factor drivers.

Source: FactorResearch

MARSHALL WACE TOPS FUND

Marshall Wace TOPS基金是基于Marshall Wace创始人之间的一场有趣的辩论：研究分析师是否会增加价值？该对冲基金的策略包括分析分析师的业绩记录，并投资于始终产生阿尔法的分析师的意见。

尽管有许多学术论文强调分析师不会增加价值，但Marshall Wace TOPS基金的表现提供了相反的证据。鉴于对冲基金的强劲表现和完全的市场中立性，这使得该基金对寻求多元化投资的投资者极具吸引力。

然而，投资者应该注意到，这种模仿因素的投资组合能够广泛复制对冲基金的业绩，这意味着，回报是由普通股票的因素而非阿尔法来解释的。

因子分析表明，该公司的业绩可以归因于自2009年以来表现强劲的低波动率、动量（Momentum）和质量因素。

The Marshall Wace TOPS fund is based on an interesting debate between the founders of Marshall Wace: do research analysts add value? The hedge fund’s strategy consists of analyzing the track record of analysts and investing in the ideas of the analysts that have consistently generated alpha. Although there are many academic papers that highlight that analysts do not add value, the performance of the Marshall Wace TOPS fund provides contrary evidence. Given the strong performance and complete market neutrality, this makes the hedge fund highly attractive for investors looking for diversification.

However, investors should take notice that the factor-mimicking portfolio is able to broadly replicate the hedge fund’s performance, implying that the returns are explained by exposure to common equity factors rather than by alpha. The factor exposure analysis revealed that the performance can be attributed to the Low Volatility, Momentum, and Quality factors, which performed strongly since 2009.

Source: FactorResearch

AQR EQUITY MARKET NEUTRAL FUND

AQR是因子投资领域的先驱之一。通过与客户和公众分享富有洞察力的研究成果，AQR已经获得了行业内思想领袖的卓越声誉。

AQR股票市场中性基金为投资者提供有关全球股票价值、质量和动量因子。该投资组合在各个市场高度多元化，保持完全股票市场中立。

考虑到AQR的透明度和对因子的关注，投资者可能认为，模仿因子的投资组合能够有效地复制该基金。尽管趋势非常相似，但AQR股票市场中性基金的表现自2016年年中以来出现了分化。我们的因子定义与AQR略有不同，这可以解释跟踪误差。

AQR is one of the pioneers in the factor investing space and has acquired a stellar reputation as a thought leader by sharing insightful research with their clients and the public. The AQR Equity Market Neutral fund provides investors with exposure to the Value, Quality, and Momentum factors in global equities. The portfolio is highly diversified across markets and completely equity market neutral.

Given AQR’s transparency and focus on factors, investors might expect that the factor-mimicking portfolio efficiently replicates the hedge fund. Although the trends are very similar, the performance of the AQR Equity Market Neutral fund diverged from mid-2016 onwards. Our factor definitions differ slightly from AQR’s, which may explain the tracking error.

Source: FactorResearch

FURTHER THOUGHTS

这篇简短的研究报告强调，少数几家知名且多样化的对冲基金的多数回报，可以用普通股权因素来解释。尽管这确实意味着Alpha值很小，但对冲基金经理仍可以通过投资组合构建为投资者创造价值。

无论是像AQR这样的直接投资还是像Marshall Wace那样的间接投资，获取因素回报率都是一项挑战。如果成功地在几乎没有市场风险的情况下完成，那么这将为寻求多元化的投资者创造引人注目的投资产品。

This short research note highlights that most returns from a few well-known and diverse hedge funds can be explained by exposure to common equity factors. Although this do