经济学人双语版-丰厚回报 Rich rewards

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Renaissance Technologies’ flagship fund has earned $100bn in trading profits

文艺复兴科技公司的旗舰基金已赚得1000亿美元的交易利润

经济学人双语版-丰厚回报 Rich rewards

THE BEST investors’ strategies often sound simple. “Whether it’s socks or stocks, I like buying quality merchandise when it’s marked down,” says Warren Buffett. Betting big on the fallout from epoch-making events, like the fall of the Berlin Wall, is George Soros’s preferred tactic. Jim Simons, the founder of Renaissance Technologies, a hedge fund, spots patterns.

顶尖投资者的策略听起来往往很简单。沃伦·巴菲特说:“我喜欢在减价的时候买优质商品,不管是袜子还是股票。”乔治·索罗斯喜欢对柏林墙倒塌等划时代事件的影响押下重注。对冲基金文艺复兴科技公司(Renaissance Technologies)的创始人吉姆·西蒙斯(Jim Simons)则是靠发现规律。

Mr Simons is less famous than Mr Soros or Mr Buffett, but no less successful. He founded Renaissance in 1982, aged 44, after a successful career in mathematics and code-breaking. Its flagship Medallion fund has earned $100bn in trading profits since 1988, mostly for its employees. The average annual return of 66% before fees makes Mr Simons one of the most successful investors of all time. He is now worth $21bn.

西蒙斯的名气比不上索罗斯或巴菲特,但取得的成功不亚于他们。他先是在数学和密码破译领域事业有成,后来于1982年成立了文艺复兴科技公司,那一年他44岁。自1988年以来,其旗舰基金大奖章基金(Medallion)已赚得1000亿美元的交易利润,主要获利者是自家员工。66%的平均年化收益(未扣除费用)让他成为有史以来最成功的投资者之一。如今他的身家高达210亿美元。

A new book, “The Man Who Solved the Market” by Gregory Zuckerman of the Wall Street Journal, asks how he did it. It is a compelling read. Mr Simons started investing in 1978 by looking for patterns in currencies. He had early successes with simple “reversion to the mean” strategies, buying when a currency fell far enough below its recent average. A decade later René Carmona, another mathematician, convinced him that rather than searching for such patterns themselves, they should hand over the job to an algorithm, and trade even when the logic was unclear to its human minders. In the 1990s Robert Mercer and Peter Brown, formerly of IBM, developed a “self-correcting” version of this trading approach that would double down on successful strategies and cut losing ones. These techniques, now called machine learning, have become widespread.

《华尔街日报》记者格雷戈里·祖克曼(Gregory Zuckerman)的新著《破解市场的人》(The Man Who Solved the Market)想要探究西蒙斯成功的秘诀。本书读来引人入胜。西蒙斯于1978年开始通过探寻货币规律进行投资。他在早期通过简单的“回归均值”策略(在一种货币的汇率跌到远低于其近期平均水平时买入)获得了一些成功。十年后,另一位数学家雷内·卡莫纳(René Carmona)说服他用算法替代人去寻找规律,即便是在人脑还搞不懂其中逻辑时就做交易。上世纪90年代,曾在IBM就职的罗伯特·默瑟(Robert Mercer)和彼得·布朗(Peter Brown)开发了这种交易方法的“自校正”版本,对已经取得成功的策略加大投资,反之则减少。这些技术现在被称作机器学习,已经广泛普及。

There were missteps along the way. Early in his career Mr Simons unintentionally almost cornered the market for Maine potatoes, only realising when regulators reprimanded him. For months the team struggled to make money from trading shares, until a young programmer spotted that Mr Mercer had typed a fixed value for the S&P 500 index in one of half a million lines of code, rather than getting the program to use the index’s current value.

一路上也曾有失误。在西蒙斯职业生涯的早期,他在无意间差点垄断了缅因州的土豆市场,直到受到监管机构的告诫才意识到。有那么几个月,他的团队一直没法通过买卖股票赚钱,直到一位年轻的程序员发现默瑟在约50万行代码中的一行里给标普500指数输入了固定值,而不是让程序使用该指数的当前值。

As Mr Zuckerman lucidly explains, such strategies have limitations. One is that their scale is limited. Medallion, which trades on short-term price signals, has never held more than $10bn. The narrower the time frame, the larger the market inefficiencies and the greater the chance that an algorithm’s choice of trade will succeed. But short-termism reduces capacity. Renaissance now has funds, open to outsiders, that trade over longer horizons. But returns have been less impressive.

正如祖克曼在书中清晰解释的那样,这种策略有其局限性。局限之一是投资规模有限。凭借短期价格信号进行交易的大奖章基金的资金规模从未超出过100亿美元。时间窗口越短,市场无效性越显著,算法所选择的交易的成功机会就越大。但短期主义会降低基金容量。现在文艺复兴科技也有对外开放的长期交易基金,但收益就没那么可观。

Other firms now try to copy Renaissance’s trades. Insiders say it tries to trade a pattern “to capacity”, moving prices so that other firms cannot spot the same signals—rather as if a bargain-hunter, upon learning that a favourite shop was holding a sale, arrived early and bought up the entire stock so that no one else even realised the sale was on. Others on Wall Street often describe Renaissance as a money-printing machine, but Mr Zuckerman shows how it has had to keep adapting its model to stay ahead of the competition.

其他公司现在试图复制文艺复兴科技的交易策略。业内人士指出,它试图根据一种规律做“最大限度”的交易,促使价格产生变动,让其他公司无法再发现相同的信号。这就像是一个淘便宜货的人,在得知最喜欢的商店打折后,早早就去把打折货一扫而光,别人甚至都没意识到该店在打折。华尔街的其他公司经常把文艺复兴科技公司叫做印钞机,但祖克曼却描述了它如何不断调整自己的模式,才能在竞争中保持领先。

The book’s only disappointment is that the man at the centre of it all features relatively little. That is perhaps unsurprising. Mr Simons studiously avoids publicity. After all, keeping its funds’ strategies secret is a big part of Renaissance’s success. Having solved the market, he is hardly about to give away his edge that easily. ■

这本书唯一令人失望的地方是核心人物出现得不多。这也许并不让人意外。西蒙斯刻意回避公众的关注。毕竟,对自家基金的投资策略严加保密是文艺复兴科技成功的重要因素。破解市场之后,他可不会轻易泄露自己的优势。

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