凯恩斯投资对当代对冲基金的启示

The macroeconomics of John Maynard Keynes continue to dominate the global economic policy debate to this day. But many have forgotten that the great intellectual was also one of the most active investors of his era.

时至今日，约翰·梅纳德·凯恩斯(John Maynard Keynes)的宏观经济学说仍然主导着全球经济政策辩论。但许多人已经忘记了一个事实：这位伟大的学者还曾是他所处时代最活跃的投资人之一。

He made and lost several fortunes, for himself, his friends, his college (King’s, Cambridge) and for City institutions that he chaired or founded. In some respects, he was an early hedge fund investor, first in macro in the 1920s and then in equities in the 1930s. He ended as one of the most successful investors of the first half of the last century, but along the way he learnt many lessons that resonate to this day.

凯恩斯为他本人、朋友、母校剑桥大学国王学院(King’s College, Cambridge)以及由他担任董事长或创立的伦敦金融城机构赚下了多笔财富，也赔了不少钱。从某些方面来看，在20世纪20年代的宏观领域和30年代的股票领域，他都堪称是一位先行的对冲基金投资人。最终，凯恩斯是20世纪上半叶最成功的投资人之一，但在投资过程中也得到了许多至今仍引起共鸣的教训。

His investment activities really started in the early 1920s, when he became convinced that the currencies of the economies devastated by the first world war (Germany, France and Italy) would soon collapse as inflation took hold. These positions soon made money, and an overconfident Keynes proclaimed that with “a little extra knowledge and experience of a special kind, the money “simply comes rolling in.

事实上，凯恩斯在20世纪20年代初就开始了投资活动，那时的他坚信，随着通胀局面变得不可收拾，在一战中遭受毁灭性打击的经济体（德国、法国和意大利）的货币即将崩盘。他根据这一预测很快就赚到了钱，自信过头的他声称，只要“在某个特定领域比别人多一点知识和经验，金钱“自然就会滚滚而来。

Not quite. In May 1920, the markets became temporarily optimistic about developments in Germany, and over-leveraged positions in the market were rapidly reversed. Keynes and his syndicate were in effect wiped out, although he managed to survive by borrowing more money from his father, and by 1922 he had repaid syndicate members and had amassed a personal fortune of ￡21,000.

可事实并非如此。1920年5月，由于市场暂对德国经济状况感到乐观，市场上通过过高杠杆率持有的头寸迅速发生逆转。凯恩斯及其辛迪加实际上全军覆没了，不过他通过向父亲借钱度过了难关。到了1922年，凯恩斯还了辛迪加成员的钱，还积攒下2.1万英镑的个人财富。

His macroeconomic reasoning had proved sound, as usual. Nevertheless, he had learnt a key lesson: that the market can stay “wrong for longer than most investors can stay liquid.

像往常一样，凯恩斯对宏观经济的判断被证明是正确的。但他得到了一条关键的教训：在市场的“错误尚未被纠正之前，大多数投资者的流动性可能便已耗荆

Keynes was not deterred. By the late 1920s, he believed that the Federal Reserve would be able to maintain economic growth at a high level because inflation was under control. He was therefore exposed both to equities and especially to commodities in 1928-29, when the Fed unexpectedly tightened interest rate policy and the global cartel in rubber collapsed.

凯恩斯没有被吓阻。到20世纪20年代后期，他相信，由于通胀已得到控制，美联储(Federal Reserve)将有能力维持高速的经济增长。因此，他在1928至1929年间同时投资了股票和大宗商品，并尤其倾向于后者。而就在这时，美联储出人意料地收紧了利率政策，导致全球橡胶卡特尔崩溃。

Again, he sustained large losses as the Great Depression started. A double lesson here: don’t fight the Fed, and never, ever misread the Fed (which, of course, is much easier said than done).

随着“大萧条(Great Depression)的到来，凯恩斯再次蒙受了巨大的损失。他由此得到了一条双重教训：不要和美联储对着干，也不要误读美联储（当然，说起来容易，做起来就要难多了）。

D.E.?Moggridge, in his outstanding 1992 biography, says that “Keynes was extremely stubborn during short-term market fluctuations. Over-confidence, mixed with stubbornness, is a very bad combination for a macro investor, and his record in the 1920s was not impressive.

1992年，D·E·莫格里奇(D.E.?Moggridge)出版了著名的《凯恩斯传》(Maynard Keynes: An Economist's Biography)，其中写道，“凯恩斯在短期市场波动期间表现得极度顽固。一个人身上同时体现出自负和顽固的特质，恰是宏观投资的大敌，因此凯恩斯在20世纪20年代并未取得什么了不起的投资业绩。

Keynes, however, learnt humility from his experiences in the markets, as all great investors do. In the mid-1930s, he was convinced that President Franklin D. Roosevelt would succeed in stimulating the US economy, and he again used margin to leverage his personal portfolio. He had a volatile ride, but this time he was right, and he made the bulk of his personal fortune, which exceeded ￡400,000 when he died in 1946.

然而，像所有伟大的投资人一样，凯恩斯在市场打拼过程中学会了谦逊。20世纪30年代中期，他相信，富兰克林·D·罗斯福(Franklin D. Roosevelt)总统将成功地刺激美国经济增长，所以他再次使用保证金对个人投资组合进行杠杆化操作。他的投资组合经历了剧烈震荡，但这一次他投准了，赚到了一大笔财富。1946年他去世时，个人财富超过了40万英镑。

Furthermore, Keynes had adopted a new approach to investing in individual equities. As early as 1924, he had realised that the risk premium on equities should provide a long-term excess return on equities relative to bonds, when the conventional wisdom was the opposite.

更重要的是，凯恩斯采用了一种个股投资的新方法。他早在1924年就意识到，相对于债券，股票风险溢价使得投资股票应会获得长期的超额回报。这与当时的传统理念正好是相反的。

After that, his strategic allocation to equities was groundbreaking. A big lesson here: selecting the right asset class is always the most critical foundation for long-term success.

从那以后，他开创性地对股票进行了战略性配置。由此他又得到一个重大教训：选对资产类别永远是取得长期成功最关键的基矗

But in the 1930s, his stock selections for his King’s College portfolios were also highly successful. A fascinating recent paper by academics David Chambers and Elroy Dimson examines his record, using data from the King’s College archives.

在20世纪30年代，凯恩斯为国王学院投资组合选股时也取得了很大的成功。最近，学者大卫·钱伯斯(David Chambers)和埃罗依·迪姆森(Elroy Dimson)使用国王学院档案馆的数据分析了凯恩斯的选股记录，之后发表了一篇精彩的论文。

Keynes’ method was to make concentrated investments in a relatively small number of stocks, on the principle, adopted by Warren Buffett, that “it is a mistake to think that one spreads one’s risk by spreading too much between enterprises about which one knows little.

凯恩斯的方法是集中投资少数几只股票，他依据的是一条后来被沃伦·巴菲特(Warren Buffett)所采纳的原则：“有人认为广泛地投资于自己所知甚少的企业能够分散风险，这是一种错误的想法。

He also identified other risk premiums that have since proved durable, by investing mainly in small- or mid-cap stocks, high-dividend payers, and other “value stocks. He became a contrarian investor, mainly buying stocks that had recently underperformed the general market. He used leverage, but by now applied concerted discipline to contain his risks. Many of these techniques are used by the most successful equity long/short funds today.

凯恩斯通过主要投资中小盘股、高分红股和其他“价值型股票，还发现了被证明可持续的其他风险溢价。他成了一名反向投资者，主要买入那些近期表现跑输大盘的股票。他使用杠杆，但这时已运用一些协调性原则来控制风险。如今，最成功的长期和短期股票基金也在运用上述大部分技巧。

According to Chambers and Dimson, in the 22 years he managed the King’s portfolios, Keynes’ long-term Sharpe ratio, a measure of risk-adjusted performance, was a very respectable 0.69, compared with 0.45 on a balanced portfolio at the time. Aiming for anything higher than that, as some hedge fund managers do, is to chase the impossible dream.

钱伯斯和迪姆森的论文指出，在管理国王学院投资组合的22年里，凯恩斯的长期“夏普比率（一项衡量经风险调整业绩的指标）达到了非常可观的0.69，当时均衡投资组合的这一比率不过为0.45。想要达到比凯恩斯更高的夏普比率——正如一些对冲基金经理希望的那样——就像是追逐不可能实现的梦想。

Gavyn Davies is co-founder of Fulcrum Asset Management and Prisma Capital Partners

本文作者是Fulcrum资产管理公司和Prisma Capital Partners的联合创始人