绝对收益类基金.docVIP

华丽“谎言”背后的美国绝对收益类基金 2009-07-29 作者：钟恒 关键字：海外市场 所谓绝对收益其实是指资产在一段时期内的盈利或者损失。现在这一概念应用到投资方法上，认为通过绝对收益策略可在任何宏观经济或者市场环境下，组合回报率可以实现低波动率和正收益。目前美国市场上的绝对收益产品声称具有可获正收益，与市场关联性低和低波动率等特征。例如，在Putnam旗下绝对收益系列基金100、300、500和700的招募说明中声称给基金冠以绝对收益的名字可把基金的投资目标和策略与市场上其它大部分追逐相对收益的共同基金中区别出来。这些基金在一定的时期内和任何市场环境下具有低波动率和获取正收益的特征。另外，投资者应预期这些基金在市横盘波动或者下跌时表现会好于其它基金，但在市场强势上涨的时期表现也会略微逊色。 The Absolute Return Investment StrategyIf you tried to find a common theme among absolute return mutual fund investment strategies, you wouldnt. The easiest way to see this is to examine categorization. These funds fall in six different categories (long-short, short-term bond, multisector bond, conservative allocation, moderate allocation, and world allocation), reflecting a wide variety of investment strategies, ranging from long only to long-short within one asset class, such as equities or bonds, or tactically allocating between them. Some even delve into less-traditional asset classes, such as currencies and commodities. A true, theoretical absolute return investment strategy, however, is much stricter. So, then, why would I participate in such an investment strategy? Because I think that I can produce alpha, both on the long and short side. I think that Stock A, which I am long, will produce a positive alpha, or a positive risk-adjusted return, and Stock B, which I am short, will produce a negative alpha due to idiosyncratic, company-specific prospects or problems, such as top-selling product lines or poor management. If I am correct, due to luck or skill, I will make money on both my long and short positions, because Stock A will outperform the market after accounting for the stocks sensitivity to the market, and Stock B will underperform. 这听起来的确很吸引。晨星美国的基金分析师就此检验了19只追求绝对收益的基金持仓，发现这些基金的表现事实上并非名副其实。 19只基金中最早冠以绝对收益的基金是成立于2005年4月的瑞银绝对收益债券基金。自此以后有四只基金遭清算，其中三只自成立以来为负收益。而存活下来的大多数表现也不怎样，这些基金自成立以来的回报率大多数分布在负20.81%至正17.58%之间，其中五只收益为负。 虽然十五只存活的绝对收益基金中大部分自成立以来均获正收益，但如果把它们拿到特定的时间里与市场比较，如2008年，我们可以发现当年标普500指数损失37%，BarCap美国综合