CTA的非相关性在哪里?_RCM Alternatives_HIT39


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本专栏获得RCM Alternatives授权发表原文及其翻译。本文不构成投资建议,不代表个人观点,仅用于交流学习使用,不得用于商业用途。更多免责声明参见原文。

原文链接:

Where’s the Non Correlation? - RCM Alternatives​www.rcmalternatives.com图标


Those in the alternative investment space have long trumpeted the power of alternative investments (and particularly managed futures) to perform in a stock market crisis (see our evidence of that here and here). There’s no doubting that managed futures have performed during past crisis periods, but as the disclaimer says – past performance is not necessarily indicative of future results – and we are looking at a lot of red for managed futures this month. You have bellwethers such as AQR down about -4% from their highs in early October, and the ScoGen CTA index having put in a new five year low point (yikes), down nearly -7% on the year.

另类投资领域的投资者长期以来一直在鼓吹另类投资(尤其是管理期货)在股市危机中发挥的作用(点击此处查看我们的证据)。毫无疑问,在过去的危机时期,管理期货表现不俗,但正如免责声明所说,过去的表现并不一定预示着未来的结果,且本月我们见证了管理期货的大幅亏损。投资风向标诸如AQR指数较10月初的高位下跌了约4%,ScoGen CTA指数创下了新的五年低点(作惊讶状),较去年同期下跌了近7%。

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So where is the crisis period performance? What gives?

那么何以见得危机期的不俗表现呢?由此可以得出什么结论?

Well, as always – the devil is in the details. You see, when we talk about crisis period performance for managed futures, we’re talking about periods longer than a single day, week, or even month. We’re talking about periods in which traditional investments see major shifts (2007 to 2008 is the classic example, when stocks and commodities fell over several months). You see, crisis periods have two parts. One is the crisis itself, which usually causes a reversal of the current market trend (in this case current trend was stocks, foreign currencies, and energies up; bonds and US Dollar down). The second part is the aftermath of the crisis in which new market conditions and trends emerge.

老生常谈,细节决定成败。要知道,当我们谈论管理期货的危机期表现时,我们谈论的是比一天、一周甚至一个月更长的周期,是传统投资发生重大变化的时期(2007年至2008年就是一个经典的例子,股票和大宗商品在几个月内持续下跌)。 可以发现,危机时期由两部分组成。一是危机本身,通常导致当前市场趋势逆转(当前趋势是股票、外汇和能源上涨;债券和美元下跌)。第二部分是新的市场条件和趋势出现的危机的后果。

Managed futures generally outperform during the second part of the crisis, and under perform during the first part. We need look no further than 2008 for evidence of how managed futures and macro react to shifts in market, where commodities saw a sharp reversal off of all-time highs, causing pain for managed futures from July through September, before the aftermath portion of the crisis kicked in through October, November, and December. [Past performance is not necessarily indicative of future results]

管理型期货通常在危机的第二阶段表现出色,而在第一阶段表现欠佳。我们不需要在2008年之前进一步寻找有管理的期货和宏观经济对市场变化的反应的证据,在这一市场中,大宗商品价格出现了历史最高点的大幅逆转,在当年10-12月危机余波到来前,于7月到9月期间重挫管理期货。 [过去的表现不一定代表未来的结果]

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管理期货指数 2008年7月至12月

The problem for alternatives back in February was that there was no second part of the crisis. There was a vol spike and -10% correction in stocks, but it dissipated just as quickly as it appeared, eventually giving way to the regular scheduled programming of the slow crawl upwards. And the problem for alternatives now, is that we’re only in the first part of the crisis, yet to know whether there will be a second part. The problem for alternative investments like managed futures in both cases is that the existing trend most were involved in was UP, with recent multi-year highs in stocks as well as lows in bonds. Here’s what the side by side performance for managed futures has looked like in the initial stages of each sell off:

回观2月份,另类投资所面临的问题是:危机的第二阶段并未如约而至。股市迎来了一个波动率峰值和-10%的修正,但其消散的速度和它出现的速度一样快,最终为常规的缓慢爬升计划让位。现在的问题是,我们只处于危机的第一部分,还不知道是否会有第二部分。像管理期货这样的另类投资的问题在于,近期的股票和债券都分别位于多年来的高点和低点,目前最为人们所信服的趋势是上涨。以下是在每次抛售的初始阶段,股票与管理期货的并排表现:

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过去的表现不一定代表未来的结果

Why did they essentially mirror stock market performance when they are a non-correlated investment? Isn’t this what we have them sitting around for – to perform during a down move in US stocks?

为何管理期货分明是股票的非相关投资,却从本质上反映了股市的表现?这难道不是我们持有管理期货的原因吗——在美国股市下跌期间逆势走强?

A few ideas there. One, there was a clear up trend in stocks (and down trend in bonds) coming into both February and this October correction. Trend following models are designed to capture such trends across asset classes (including, for sure, stock indices and bonds). And there was a clear reversal of that trend. But, as we can see with a look at a simple 50 day/200 day moving average cross over trend following setup on the S&P 500, the signal of a down trend in the S&P was well after the bulk of the move had happened. And this is a rather quick trend following signal, using just 20 days and 50 days, whereas some managers may be out much further at 100 and 200 days. The result – these programs were slow to reverse to the down side, given the quickness of the move in relation to how slowly prices had risen before hand.

以下是几个不得不提的观点。第一,在2月和10月的调整中,股市出现了明显的上涨趋势(以及债券的下跌趋势)。趋势跟踪模型旨在捕捉资产类别(当然包括股票指数和债券)的此类趋势。这一趋势明显逆转。但是,我们可以看到,在标准普尔500指数建立后,简单的50天/200天移动平均线交叉趋势,标准普尔指数下跌的信号在大部分移动发生后很好。这个趋势跟踪信号相当迅速,只需要20天和50天,而一些经理可能会在100天和200天的时候退出。结果——考虑到价格上涨的速度与之前价格上涨的速度之间的关系,这些计划缓慢地向下行趋势逆转。

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s&p up/down trend标普上/下行趋势; SPY 标普500ETF 20d MA 20日移动平均线 50d MA 50日移动平均线 T trend reversal signal T型逆转趋势信号

What’s more, some of this slowness to react may be intentional. We mentioned in our 2018 Managed Futures Outlook to beware the managed futures programs who may have ‘cheated’ a bit over the past few years by adding more short vol and long equity exposure, in a sort of ‘if you can’t beat ‘em, join ‘em’ mentality; and some of that could be going on here. The last thing you wanted to do in the stock market sell offs the past few years was get out of your long position. The sell offs were short lived and quickly reversed, teaching any manager (or machine using AI) that it is better to space out exits and not do a knee jerk reaction to down moves. It’s more than possible that the resulting performance profile has become capturing more stock downside than managed futures and macro programs may have in the past, as well as delaying signaling a down trend.

更重要的是,有些反应延迟可能是有意的。我们曾在2018年管理期货展望中提到,要提防在过去几年里通过增加更多的短线交易量和长期股权敞口具有有欺骗性的管理期货项目,这有点像“无力胜之,则从之”的套路。在过去的几年里,你最不想做的就是抛盘。抛售是短暂的,而且很快就被逆转了,这告诉任何管理者(或使用人工智能的机器)最好是留几手,而不是对下跌做出被动的应激反应。由此产生的业绩状况极有可能比过去的管理期货和宏观项目捕捉到了更多的股票下跌趋势,且导致下跌信号的推迟。

Finally, the fact that alternatives are losing money at the same time as stocks is a prime example of the confusion between non-correlation and negative correlation. We won’t blame you if correlation statistics are a little hard to wrap your head around. It’s easy to understand positive correlation (performance moves together) and negative correlation (performance moves in opposite directions), but non-correlation is a bit harder to grasp. Just what does a -0.06 correlation look like, anyway. How do we conceptualize a lack of correlation one way or the other? Most of us incorrectly conflate negative correlation with non-correlation, but the reality is that non-correlations really just means sometimes positively correlated, sometimes negatively correlated. As we showed in an in depth post on correlations, here’s what that sometimes positive, sometimes negative correlation looks like over time.

最后,另类投资与股票同时亏损的这点是非相关性和负相关性混淆的一个主要例子。如果你对相关性统计数据持怀疑态度,这并非你的错。正相关(业绩表现同向移动)和负相关(业绩表现反向移动)的概念通俗易懂,但不相关却时常令人难以理解。相关性为-0.06的表现到底如何?我们该如何从不同角度定义缺乏相关性(使非相关性概念化)?我们中许多人错误地将负相关与非相关混为一谈,但事实上,非相关实际上意味着有时正相关,有时负相关。正如我们在一篇关于相关性的深入研究中所谈到的,这就是随着时间的推移,非相关性呈现出时正时负的相关性的状态。

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图表5: 管理期货与股市的滚动相关性

So we were up at one of those positive correlation peaks before this market sell off. That’s bad news. The good news, if markets keep going lower, we won’t remain there for long, with models reversing and taking on short positions as correlations move into negative territory. For now, this sure seems like a bit more of a real down move than previous times during the now 10yr old bull market run.

因此,坏消息是——我们正处于市场抛售前的正相关峰值之一。好消息是,如果市场继续走低,我们将不会在该处停留太久,随着模型反转,随着相关性进入负区域,我们将采取空头头寸。就目前而言,这似乎更像是一个真正的下跌比以前的时间在现在10年的牛市运行。

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past 30 days performance=过去30天的表现