美国译者 王为

文中黑字部分为原文，蓝字部分为译文，红字部分为译者注释或补充说明

Long/Short Strategies

by Eugene F. Fama（图左）和Kenneth R.French（图右）

背景介绍

Eugene F. Fama是2013年诺贝尔经济学奖获得者，他与Kenneth R.French一起在1992年推出了三因素股价估值模型，在传统的CAPM资本资产定价模型的市场风险因素之外又加上了规模因子和价值因子，后来又发展为五因子估值模型。

Long/Short (LS) strategies buy one equity portfolio and short another. They are often sold as a way to add a premium with special diversification benefits that arise because the premium is not highly correlated with the rest of an investor’s equity portfolio. We provide examples to show how to evaluate these claims.

多空对冲策略就是在买入一只股票的同时卖出另一只股票，通常认为该策略是一种能带来额外收益的比较特殊的多元化投资做法，因为这些额外的收益与股票投资组合中其他资产的收益之间不存在高度的相关关系。下面举两个例子来看看这个说法是否正确。

Example1--Suppose an investor holds the market portfolio. An LS manager offers to providea value premium uncorrelated with the market. To keep things simple, suppose shorting involves no transaction costs and can be done with full use of the proceeds; that is, there is no collateral. The LS manager provides the promised value premium by shorting the market and using the proceeds to buy a valueportfolio that, like the market portfolio, has a market beta equal to 1.0. TheLS strategy thus generates a value premium uncorrelated with the market returnthe investor holds long. To keep things really simple, suppose the long and short positions of the LS manager are equal in size to the investor’s long position in the market portfolio.

案例1

假设某投资者建立了一个投资组合，一个投资经理建议在投资组合的管理中采用多空对冲策略以获取与市场大盘走势无关的超额回报。为简单起见，假设做空股票没有任何交易成本，同时可以将做空股票获得的资金100%地用于买入另一只股票，也就是说，整个过程中不需要缴纳保证金。搞多空对冲策略的投资经理承诺：做空股市大盘，然后用做空获得的资金买入价值股会给投资组合带来额外的收益，价值股的回报率与股市大盘之间的贝塔系数为1.0。如此操作之后，多空对冲策略会给做多股市大盘的投资者带来一些与股市大盘的走势不相干的超额回报。还是为了简单起见，假设多空对冲策略的股票空仓和多仓的规模与做多股市大盘的投资组合金额相等。

In this example, adding the LS strategy to the investor’s market portfolio is a roundabout way to get the investor to hold a simple value portfolio. If V is the return on the value portfolio, and M is the return onthe market portfolio, the LS strategy produces V – M. Since the investor gets M from his long position in the market portfolio, his total return is M + V – M =V, the return on the value portfolio.

在该例子中，在原投资组合之外加上多空对冲策略对于投资者来说相当于是绕了一个弯持仓了一个纯价值股的投资组合。假设价值股投资组合的回报是V，股市大盘的回报是M，那么多空对冲策略的回报就等于V-M。由于投资组合是做多股市大盘的，因此回报等于M，那么该投资者的总投资回报= M+V–M =V，也就是投资价值股所带来的回报。

In a world without fees and expenses, it doesn’t matter whether an investor buys a value portfolio directly or constructs it indirectly with along position in the market and an LS position that is long the value portfolio and short the market. In the real world, there are fees and expenses at every step, and if the ultimate goal is to hold a specific value portfolio, it isalmost surely less costly to buy it directly from a low fee manager than viathe three-step approach of the LS strategy (that is, long the market onpersonal account, then short the market and long the value portfolio via the LS manager). Moreover, the direct purchase approach certainly makes it easier for financial advisors and institutional managers to explain performance to clients and boards.

如果交易过程中不涉及到任何成本和费用，那么该投资者直接买入价值股抑或使用先做多股市大盘然后再加上多空对冲策略（即用做空股市大盘获得的资金建仓价值股）的间接方式所取得的效果没啥区别。但实际情况是，每一步操作都会产生费用和成本，如果最终的目标是持有一个完全由价值股构成的投资组合，那么几乎可以肯定直接买入价值股的成本会比借助于多空对冲策略才能实现的三步骤法更低一些。此外，对于投资顾问和机构投资者来讲，直接买入价值股的做法肯定更容易向客户和投资决策委员会说清楚。

The example above is chosen so the effect of the LS strategy onthe investor’s portfolio is transparent. The general point, valid in this and any other example we can imagine, is that LS strategies, indeed all strategies,should be evaluated on what they imply for the ultimate holdings in an investor’s portfolio and on the costs they impose on the investor. The second example illustrates further.

通过以上这个案例可以很清楚地看明白投资者在原投资组合的基础上使用多空对冲策略的效果。可以想见，通过本例以及其他任何的案例均可得出这么一个结论：对多空对冲策略以及任何一种交易策略的评估都应该以其对投资组合最终持仓的影响以及给投资者带来的成本为依据。第二个案例在这方面进行了更深一步的探讨。

Example2–In Example 1, the investor puts no money into the LS strategy. The LS strategypays off when the return on the value portfolio is greater than the return onthe market (V > M), but when V < M the investor must make up the shortfall by selling part of his long position in the market portfolio. In thereal world the LS manager is likely to require an up front investment to cover potential shortfalls. To keep things simple, assume the required investment isequal to the value of the long position in the Long/Short strategy. To maintain the strategy’s zero correlation with the market, the LS manager puts the required investment into a fixed income portfolio uncorrelated with the market portfolio of stocks.

案例2

在案例1中，投资者在对多空对冲策略中并没有投入额外的资金。当价值股的回报率V>股市大盘的回报率M时，多空对冲策略会给投资者带来收益，但当价值股的回报率V <股市大盘的回报率M时，投资者必须将跟踪大盘走势的股票多头仓位卖掉一部分才会弥补多空对冲策略的不足。在实际操作中，执行多空对冲策略的投资经理可能需要先做一笔投资以弥补多空对冲策略的收益有可能跑输股市大盘的缺陷。为简单起见，假设这个需要预先操作的投资交易的金额等于对多空对冲策略中做多一端的仓位。为保持多空对冲策略的回报与股市大盘回报之间相关度为零，执行多空对冲策略的投资经理采取的办法是建仓了一个与股市大盘的损益毫不相关的固定收益投资组合。

Suppose the investor leaves half his wealth in the market portfolio and invests the other half in the LS strategy. If F is the return per dollar invested in the fixed income portfolio, the investor’s overall portfolioreturn is 0.5F + 0.5V – 0.5M from the LS strategy and 0.5M from his position inthe market portfolio. The overall portfolio return is thus (0.5F + 0.5V–0.5M) + 0.5M = 0.5F + 0.5V. In other words, with the LS strategy, the investor ends up with a 50/50 portfolio of fixed income and the value portfolio. If this 50/50 portfolio is the goal, the fees and expenses incurred to invest in it directly are almost certainly lower than the costs for the indirect four-step LS approach.

假设投资者将一半的资产用于建仓跟踪股市大盘的股票投资仓位，另一半资产用于执行多空对冲策略。假设F是固定收益投资组合的回报，那么对投资者来说，其多空对冲策略组合的回报就等于0.5F+0.5V-0.5M，其跟踪股市大盘的股票投资仓位的回报为0.5M，加在一起总的回报等于(0.5F+0.5V-0.5M)+0.5M = 0.5F+0.5V。换句话说就是，借助了多空对冲策略后，投资者最终的收益形态相当于建仓了一个由50%的固定收益资产和50%的价值股组成的投资组合。如果投资者一开始的目的就是建仓一个由50%的固定收益资产和50%的价值股组成的投资组合，那么按照这个配置比率直接建仓的成本几乎可以肯定会低于需要借助多空对冲策略才能实现的四个步骤。

To make the analysis transparent, in Examples 1 and 2 the short position in the LS strategy is in the same (market) portfolio as the long position outside the LA strategy. In the real world, the two portfolios are unlikely to be an exact match. Even without an exact match, however, the short equity position in the LS strategy offsets equity exposure elsewhere in the investor’s portfolio.

为了使分析过程便于理解，在案例1和案例2中多空对冲策略的空头仓位的规模与多空对冲策略之外的投资者多头仓位的规模规定为是一致的。但在实际操作中，这两个金额不可能完全匹配的上。但即使没有完全匹配上，多空对冲策略中的股票空头仓位也会在一定程度上对冲投资者的股票投资组合中股票损益的部分。

Circling back to the beginning, LS strategies are often sold as away to achieve tilts with a diversification benefit. The purported source ofthe diversification benefit is the low correlation between LS returns and theequity portion of an investor’s portfolio. The low correlation is achieved by simultaneously holding long and short equity portfolios, or derivatives thathave the same effect. But the end result is just an overall portfolio with different style tilts and no special diversification benefit. And the indirect approach of LS strategies is likely to be a costly way to get the tilts.

本文一开头就提到，多空对冲策略经常被认为具有可分散投资风险的好处。分散投资风险的好处据称来源于多空对冲策略的收益与投资者的投资组合中股票投资的损益之间相关度相当低的特点。之所以相关性很低是通过同时做空和做多股票这种方式实现的，或通过衍生品交易的方式也可取到同样的效果。但最终所得到的只不过是一个具有独特损益形态且不会带来分散风险好处的投资组合，而且通过多空对冲策略这种非直接的方式实现这一目标有可能会增加成本。

We end with a final statement of our general point. LS strategies,indeed all strategies, should be judged by their impact on an investor’s overall holdings and overall costs.

用一句话总结我们的观点就是：在评估多空对冲策略以及其他交易策略的效果之时，应以这些策略对投资者的整体持仓和整体费用情况的影响为基础。