壹 富可敌国的对冲基金

      塞巴斯蒂安·马拉比的《富可敌国》一书刻画了近代金融史上著名的对冲基金。这些对冲基金凭借管理人的能力做到了富可敌国。所有的对冲基金都曾经遭遇过重大挫败，而挫败的原因各不相同。

       贰 长期资本管理公司、老虎基金和量子基金

       像长期资本管理公司，它的失败不是由于衡量风险的方法过于简单，而是由于它想要对风险进行准确测量，而这是不可能实现的。有一些对冲基金规模太大，市场崩溃时没有办法跑掉。比如2000年互联网泡沫破灭时的量子基金和老虎基金。这两只基金在20世纪90年代末是美国最大的两只对冲基金，尽管他们当时的规模只有200亿美金。老虎基金奉行价值投资理念，认为科网股的泡沫迟早会破裂，因此重仓了美国航空公司。可随着美国航空公司的利润下降，股价在1999年初的三周内下跌了29%。由于老虎基金重仓该股票，很难抛售出来。老虎基金的风格就是重仓持有最多十只股票，在2000年互联网泡沫危机发生时，人人都知道他们持有的是什么股票。竞争对手选择在他们之前抛售这些股票。互联网泡沫直到2000年3月份才开始破灭，再次印证了凯恩斯所说的“市场保持非理性的时间总是比人们预期的长”。坚持价值投资的老虎基金被迫关闭。与老虎基金相反，量子基金是由于重仓科网股而在泡沫破灭后遭遇重大损失，不得不关闭。

        叁 风险和收益是对等的

        还有一些对冲基金购买了流动性不足的资产，在一个流动性不充分的市场中，会有大量的便宜货，但因为错误所付出的代价也常常是巨大的。纵观历史上成功的对冲基金，无论成功或者失败都是因为重仓某一股票或投资品种造成的。所以，投资里风险和收益总是对等的。想要收获多大收益，就要付出多大风险。总之，没有免费的午餐。

        肆  市场综述

        A股和港股再次下跌。港股本周再次遭遇股灾式下跌，指数全面跌破一倍净资产。房地产、互联网、博彩等板块遭到全面抛售。这应该是恒生指数历史上第四次跌破一倍净资产。历史上看，每次恒指破净后都会有表现较好的时期。A股因新能源板块下跌。大幅美股探底回升。虽然8月份的零售数据环比上涨超市场预期，但部分原因是因为调低了7月份的基数所致。投资人对9月份的市场表现仍然保持谨慎态度。

I. More money than God

In “More money than God” Sebatian Mallaby described how those famous hedge funds rose and fell. The funds that lost a big sum of money and were forced to be closed made the same type of mistakes.

II. Three hedge funds that went bust

Long-term capital management tried to price risks which turned out to be impossible. Some hedge funds were too big to escape from the market. Tiger Fund and Quantum Fund were among them. Tiger Fund was a value investor and held a big chunk of America Airline stock. When the airline’s profit began to turn negative the stock price fell 29% in three weeks. Tiger Fund could not sell it out due to its big exposure. Quantum Fund was a trend follower and exposed to internet stocks heavily before the internet bubble went bust. It could not escape from the bubble. Both funds were closed in 2000. 

III. Risk and return are associated closely

Other funds invest in assets that were not liquid. The pricing of these illiquid assets might imply big mistakes and when things changed the prices could fall sharply. From the ups and downs of these famous hedge funds we can see that risk and return are positively related in investment. The higher return one would like to pursue, the higher risk he or she needs to take. In a word there is no free lunch.

IV. Hang Seng Index fell to 1x PB

A-share and HK stocks fell. HK stock market suffered crash this week. Property, gaming and tech sectors all fell sharply.Hang Seng Index’s valuation fell to 1x price-to-book (PB) for the fourth timein history. Every time Hang Seng Index falls below 1x it would perform well for some time. A-share fell due to the rumors that raw material for new energy sector might be procured in centralized manner. This sounds unlikely given that China does not own much Li-mines. The new energy sector rose quite a lot thisyear and investors might take profit before the Mid-autumn Festival holidays. 

V. Investors in the US market are still cautious

The US stocks bottomed out. Retail sales in August rose 0.7% month-on-month versus down 0.8% expected. Yet the retail sales beat came after the intial estimate forJuly was revised down sharply from a month-over-month gain of 0.5% to a decline of 0.8%. Investors are still cautious about the market in September, which is historically performed poorly.

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