如何组建黑天鹅长尾对冲基金

Managing Tail Risk With Options Products

使用期权管理尾部风险

Tail risk is the unforeseen risk of a three standard deviation move, which has the magnitude to upset and reverse markets. Because of its infrequency it is difficult to predict. Typical tail risk events, like the 9/11 attacks or the Japanese tsunami are classic examples. Others, like the 1987 stock market crash or the spectacular collapse of Lehman Brothers, are slightly more predictable, but can still have catastrophic consequences for an investment portfolio. The recent brinkmanship in Congress over the US budget, the systemic dangers posed by the Eurozone crisis and concerns over growth and politics in Asia have re-focused investors on the need for some kind of tail risk insurance (see Fig.1).

尾部风险是三个标准差变动的不可预见的风险，其幅度极大地动摇和扭转了市场。由于其频率不高，因此难以预测。典型的尾部危险事件，例如9/11袭击或日本海啸，就是典型的例子。其他因素，如1987年的股市崩盘或雷曼兄弟公司的惊人倒闭，则更容易预测，但仍可能对投资组合产生灾难性的后果。国会最近在美国预算上的边缘化政策，欧元区危机带来的系统性危险以及对亚洲增长和政治的担忧，使投资者重新集中了对某种尾风险保险的需求（见图1）。

Tail risk can be hard to insure against, particularly for passive investors who are already one step away from the market. While a hedge fund manager might already hear rumours that a major bank is in trouble, a pension fund with a portfolio of funds to oversee may not have immediate access to the same market-turning news. Nor, in many cases, do institutional investors have the requisite skills to implement a sophisticated hedging strategy. Consequently, there has arisen a need for funds that can sit in the same portfolio and act as de facto insurance policies, minimising the damage that an unforeseen market event might cause.

很难保证尾巴风险，特别是对于已经离市场仅一步之遥的被动投资者。尽管对冲基金经理可能已经听说有一家大型银行陷入困境的传言，但拥有一支由基金管理的基金的养老基金可能无法立即获得同样的市场新闻。在许多情况下，机构投资者也没有具备实施复杂对冲策略的必要技能。因此，已经出现了对于需要能够位于相同投资组合中并充当事实上的保险单，从而将不可预见的市场事件可能造成的损害最小化的资金的需求。

Research conducted by State Street Global Advisors and the Economist Intelligence Unit (EIU) in September 2012 discovered that almost three quarters of institutional investors felt that it was highly likely that a tail risk event would occur in the next 12 months, with most expecting some form of collapse in the Eurozone. However, it is rare that a broad consensus of allocators is able to predict precisely where and when the next big crisis will emerge from.

由道富环球投资咨询公司和经济学人智库（EIU）于2012年9月进行的研究发现，将近四分之三的机构投资者认为，未来12个月内极有可能发生尾部风险事件，大多数人期望某种形式的风险发生。欧元区的崩溃。但是，很少有分配者的广泛共识能够准确预测下一次大危机的发生时间和地点。

Investors told the EIU that they were not confident that they were adequately protected against the next tail risk event: diversification is one of the tools being used, followed by risk budgeting techniques and managed volatility strategies (see Fig.2).

投资者告诉EIU，他们不确定自己是否有足够的能力防范下一次尾部风险事件：多样化是使用的工具之一，其次是风险预算技术和可管理的波动性策略（见图2）。

It could be argued that all hedge funds, by definition, are meant to be able to minimize the impact of a sudden bear event. Historically, it was possible for fund managers like Paul Tudor Jones or John Paulson to capitalize from sudden downturns, but in their cases there was already a degree of evidence that something was not quite ‘right’ in the market, and they took a contrarian view. Also, you had to be invested specifically in their funds to benefit. Diversification of assets even via hedge fund allocation has not proven to always be diversification of risk. However, beyond this, a tail risk fund or strategy is designed to make considerable profit under such circumstances, as it is uncorrelated to a long only equity portfolio. The tail risk fund, by contrast, is a newer hedge fund animal that on an ordinary day will likely be losing money. It is only when things go disastrously wrong that it intends to make a considerable return.

可以说，按照定义，所有对冲基金都应能够最大程度地减少突发性熊市事件的影响。从历史上看，像Paul Tudor Jones或John Paulson这样的基金经理有可能从突如其来的低迷中获利，但是在他们的案例中，已经有一定程度的证据表明市场上有些事情不太“正确”，他们采取了相反的观点。 。同样，您必须专门投资于他们的资金才能受益。即使通过对冲基金分配进行资产分散，也未总是证明风险分散。然而，除此之外，尾部风险基金或策略旨在在这种情况下赚取可观的利润，因为它与只做多股票的投资组合无关。相比之下，尾部风险基金是一种较新的对冲基金动物，通常在一天之内可能会亏损。只有当灾难性的错误出错时，它才能带来可观的回报。

Benefits of tail risk funds

长尾风险基金的优势

A tail risk fund brings a number of benefits to the investment portfolio: firstly, it is designed to profit from a pronounced downturn in the market, say a 20% retracement or more. Secondly, it can – although this is not guaranteed – also provide the investor with a source of liquidity at a time when many other funds are locking assets in. Is this likely to happen again as it did when liquidity dried up for investors in 2008? It is hard to say, but many allocators don’t want to make the same mistake twice. Tail risk funds are therefore often expected to offer superior liquidity terms in bear market scenarios.

尾部风险基金为投资组合带来许多好处：首先，它旨在从明显的市场低迷中获利，例如回撤20％或更多。其次，尽管不能保证，但它还能在许多其他基金锁定资产时为投资者提供流动性来源。这是否有可能像2008年投资者流动性枯竭时那样再次发生？很难说，但是许多分配器不想两次犯同样的错误。因此，通常期望在熊市情况下，尾部风险基金能够提供优越的流动性条件。

The favoured strategy pursued by tail risk funds uses long term put options, usually with some form of macro overlay. This will typically include both active and systematic processes (usually informed by economic criteria fed into a proprietary model) that will help to inform which options to use. The contracts can be dated out as far as five years or more. Long term put options are not as widely available as those with short term maturity, and they can become more expensive if market volatility increases.

尾部风险基金追求的偏爱策略使用长期认沽期权，通常带有某种形式的宏观覆盖。这通常包括主动和系统过程（通常由专有模型中提供的经济标准告知），这将有助于告知要使用的选项。合同的有效期可以长达五年或更长时间。长期认沽期权没有短期到期的期权广泛获得，如果市场波动加剧，它们可能会变得更加昂贵。

Tail risk funds – and strategies – tend to be cheaper for investors (and a better investment) at the top of the market. Long term options tend to be at their cheapest near such a peak. Tail risk funds tend to be most expensive at the bottom of a market cycle, when most of the pain has already occurred. There is a big difference between funds that offer tail risk opportunity or, alternatively, tail risk insurance. With funds offering tail risk opportunity the manager can make enough money from a macro bear event to cover all the losses the investor has sustained with the fund up to that point and some profit as well. In funds offering tail risk insurance, an investor will still be making a loss on the fund over, say, a 10 year time horizon.

尾部风险基金和策略对市场顶端的投资者而言往往更便宜（更好的投资）。在这样的峰值附近，长期期权往往是最便宜的。在大多数痛苦已经发生的情况下，尾部风险基金在市场周期的底部往往最昂贵。提供尾部风险机会的基金或尾部风险保险的基金之间存在很大差异。有了提供尾部风险机会的基金，经理人就可以从一次宏观熊市事件中赚到足够的钱，以弥补投资者在该点之前所承受的所有损失以及一些利润。在提供尾部风险保险的基金中，投资者仍然会在10年的时间跨度内亏损。

Regulatory changes are starting to impact the market for long term options, particularly in the US, because banks and other writers of long term puts are being forced to shed some of their risk. Other market participants have also been taking option risk off the table,forcing prices for long term puts higher, thus it is also becoming more expensive to hedge portfolios. Experiences are mixed: some managers profess to still be able to obtain sufficient liquidity, but usually only if they are buyers of scale. Others welcome the migration of OTC options to exchanges, but are cautious about the possibility of artificial volatility that could occur as the result of regulatory changes.

监管变化正开始对远期期权市场产生影响，尤其是在美国，这是因为银行和其他长期看跌期权的编写者被迫承担一些风险。其他市场参与者也一直在降低期权风险，迫使长期看跌期权价格上涨，因此对冲投资组合也变得越来越昂贵。经验好坏参半：有些经理声称仍然能够获得足够的流动性，但通常只有他们是规模购买者。其他人则欢迎将场外交易（OTC）期权迁移到交易所，但对监管变化可能导致人为波动的可能性持谨慎态度。

Investors will generally be expecting to pay between 50 and 200 basis points for a tail risk strategy, although the price of the fund will vary widely depending on where in the current market cycle the fund is positioned. Most investors expect and understand that a premium needs to be paid for a tail risk strategy. Liquidity will be a primary consideration, hence many investors lean towards managed accounts as the preferred format for tail risk insurance in a portfolio. Allocators will expect daily or at least weekly liquidity, even during periods of crisis.

投资者通常会期望为尾部风险策略支付50至200个基点，尽管该基金的价格将根据该基金在当前市场周期中的位置而大相径庭。大多数投资者期望并了解，尾部风险策略需要支付溢价。流动性将是主要考虑因素，因此许多投资者倾向于管理账户，将其作为投资组合中尾部风险保险的首选格式。分配者将期望每日或至少每周的流动性，即使在危机时期也是如此。

Constructing tail risk strategies

构建长尾风险对冲策略

Some specialist providers of tail risk investment strategies already exist, and many larger hedge funds already use a degree of tail risk hedging within their existing funds. However, investor demand is causing many more established fund managers to consider specific tail risk products. For example, SYZ & CO launched a sub-fund product around tail risk in 2011, OYSTER Multi-Manager Tail & Trading, employing a managed accounts platform.

已经有一些尾风险投资策略的专业提供者，许多大型对冲基金已经在其现有基金中使用了一定程度的尾风险对冲。但是，投资者的需求导致更多的老牌基金经理考虑特定的尾部风险产品。例如，SYZ＆CO在2011年推出了围绕尾部风险的子基金产品，即OYSTER Multi-Manager Tail＆Trading，采用了一个管理账户平台。

Tail & Trading combines decorrelated CTA funds with two funds that protect against tail risk events. SYZ & CO uses two managers – Capstone Convexity, which is an explicit long, systematic protection fund designed to generate high returns in severe market corrections, and LAMP Conquest, a more opportunistic strategy structurally (but not explicitly) built to outperform in difficult market conditions. In both cases, the emphasis is on liquidity and providing a level of insurance to investors concerned about tail risks.

Tail＆Trading将与去相关的CTA基金与两个可防止发生尾部风险事件的基金结合在一起。SYZ＆CO使用两名经理人：Capstone Convexity，这是一个明确的长期系统性保护基金，旨在在严峻的市场修正中产生高回报；LAMP Conquest，其结构性（但不是明确的）更具机会主义的战略，旨在在困难的市场条件下表现出色。在这两种情况下，重点都是流动性，并为关注尾部风险的投资者提供一定水平的保险。

“We launched the fund at a very difficult time in Europe,” explains Stephane Varin, a portfolio manager with SYZ Asset Management. “We felt the odds for a tail risk event in Europe had substantially increased but we underestimated the strength of the policy response.” However, he has seen more inflows in recent months, even as US markets have rallied.

SYZ Asset Management投资组合经理Stephane Varin解释说：“我们在欧洲非常困难的时期成立了该基金。” “我们认为欧洲发生尾部风险事件的可能性大大增加，但我们低估了政策反应的力度。”然而，即使美国市场上涨，他近几个月也看到了更多的资金流入。

The tail risk funds in Tail & Trading mostly use listed options based on equity indices, ETFs or the VIX®. The managers may also use some OTC products, but SYZ & CO exercises close control over the risk management of the funds, including risk budget and approval of specific products. This is partly because OYSTER Tail & Trading offers weekly liquidity. The use of options in the portfolio also means the strategies offer a high capacity.

Tail＆Trading的尾部风险基金大多使用基于股指，ETF或VIX®的上市期权。管理人员可能还会使用某些OTC产品，但是SYZ＆CO对资金的风险管理（包括风险预算和特定产品的批准）实行严密控制。部分原因是OYSTER Tail＆Trading提供每周流动性。在投资组合中使用期权也意味着这些策略提供了高容量。

Geographical constraints are imposed on the SYZ managers, with a minimum of 40% exposure to the US, for example. This reflects awareness that tail risk effects can be felt only on a very regional basis. Varin cites the example of the reactor accident at Fukushima. Here there was a strong potential for a tail risk scenario. However, a specific Asian tail risk strategy is hard to replicate, partly due to the volatility in the liquidity of options in Asia and the reliance on bank dealers selling capital protected products to the retail market.

SYZ经理受到地域限制，例如，在美国的风险至少达到40％。这反映出人们意识到只有在非常区域性的基础上才能感觉到尾巴风险的影响。Varin举了福岛核反应堆事故的例子。在这里，尾部风险的可能性很大。但是，由于亚洲期权流动性的波动以及对银行交易商向零售市场出售受资本保护产品的依赖，亚洲的特定尾部风险策略很难复制。

By way of contrast, the more opportunistic LAMP Conquest strategy monitors credit and swap spreads in order to gauge market sentiment. It targets a 5% return in risk seeking markets and a 15% return in risk averse markets and invests in equity, government bonds, commodities and currency futures.

相比之下，更具机会主义的LAMP征服策略会监控信贷和掉期利差，以评估市场情绪。它的目标是在寻求风险的市场中获得5％的回报，在避险市场中获得15％的回报，并投资于股票，政府债券，商品和货币期货。

As with other tail risk proponents, Varin sees the tail risk strategy as an insurance policy for investors: the key is minimising losses in the majority of years where there are no tail risk events. He says it can be nigh on impossible to time a tail risk event – these are not funds you can get into cheaply once things have started to go wrong in the market.

与其他尾部风险支持者一样，Varin将尾部风险策略视为投资者的保险政策：关键是在没有尾部风险事件的大多数年份中将损失最小化。他说，要进行一次尾部风险事件几乎是不可能的-一旦市场开始出现问题，这些资金就无法廉价地投入。

In many respects, tail risk should be considered more as a form of risk management than a stand-alone strategy. While a hedge fund might be sold as a tail risk fund, it is really only there as a hedge against the next time the market faces a major crisis on the scale of Lehman Brothers. Exposure to a tail risk fund, and the losses and costs that this entails, should be regarded in the same light as paying a premium on portfolio insurance.

在许多方面，应将尾部风险更多地视为风险管理的一种形式，而不是独立的策略。尽管对冲基金可能会作为尾部风险基金出售，但实际上只有对冲基金可以在下次市场遇到雷曼兄弟规模的重大危机时用作对冲基金。应当将尾部风险基金的敞口以及由此产生的损失和费用与为投资组合保险缴纳保费的考虑相同。

“We view a tail risk hedge, particularly in the current environment of monetary distortion and overvaluation, as more than protection but as a means for enhancing an investor’s long term equity returns,” says Mark Spitznagel, CIO of Universa, established in 2007 as a specialist  in convex and tail hedging. Universa portfolios are positively-skewed, robust to extreme risk assumptions and non-linear to common risk factors (e.g. beta). Universa’s edge is derived from its ability to provide tail hedging and investing in a manner that they contend is more efficient than that offered through ‘naïve’ options strategies and other risk management strategies. Significant edge is also derived from acting as a liquidity provider, as well as from systematic options supply and demand imbalances, structural and behavioural biases and access to order flows.

Universa的CIO Mark Spitznagel表示：“我们认为尾部风险对冲，特别是在当前货币失真和高估的环境下，不仅可以提供保护，还可以提高投资者的长期股权收益。”凹凸套头保值专家。Universa投资组合呈正偏，对极端风险假设具有稳健性，对常见风险因素（例如beta）呈非线性关系。Universa的优势源于其提供的尾巴套期保值和投资的能力，使其比“天真的”选择策略和其他风险管理策略所提供的效率更高。显着优势还源于充当流动性提供者，以及系统性期权供需不平衡，结构和行为偏见以及获得订单流。

Tail risk managers will make use of a wide variety of put options: some have a bias towards OTC contracts because they want to isolate very specific investment opportunities. Others, due to liquidity issues, will lean towards exchange-traded instruments. There is a general consensus amongst the tail risk managers we spoke to for this article that the balance will be shifting towards exchange-traded options over the next few years, mainly due to regulatory requirements (see Fig.3).

尾部风险管理者将利用多种认沽期权：有些人倾向于场外交易合约，因为他们想隔离非常具体的投资机会。由于流动性问题，其他债券将倾向于交易所交易工具。在本文中，我们与尾部风险管理者达成了一个普遍共识，即主要由于监管要求，在未来几年中，余额将转向交易所买卖的期权（见图3）。

Some larger hedge funds are building a tail risk component within their existing fund ranges, as they become more aware of the potential benefits and opportunities of this approach. However, for larger investors like major pension funds and insurance companies, there is more of a requirement for a tailored strategy that will suit their own investment requirements than a generic hedge fund shared with other investors. For example, some investors will seek to hedge exposures in emerging markets or in specific commodities markets against tail risks. Such highly tailored solutions can still be achieved via exchange-traded instruments, for example via puts on ETFs.

随着一些大型对冲基金越来越意识到这种方法的潜在收益和机会，它们正在其现有基金范围内构建尾部风险成分。但是，对于像大型养老基金和保险公司这样的大型投资者而言，与其他投资者共享的普通对冲基金相比，对适合其自身投资需求的量身定制策略的要求更高。例如，一些投资者将寻求对冲新兴市场或特定商品市场中的风险，以防范尾部风险。仍然可以通过交易所交易工具（例如通过ETF卖出）实现这种高度定制的解决方案。

“We go out to 10 years in our long-dated options, with a weighted average expiry of between three and six years” says Anthony Limbrick, a principal and portfolio manager with 36 South. “We will run a rolling short-dated strategy in place of a long-dated strategy, but we prefer to be long-dated.”36 South prefers to be well out-of-the-money in terms of strike prices. It is an active user of proxies, particularly during risk aversion periods where correlation is more obvious. “Every trade we put into the book has an element of tail-driven pay off, but because it is longer dated and typically out of the money, it starts off as a volatility trade…but becomes more of a directional trade as it becomes more profitable.”

36 South的负责人兼投资组合经理Anthony Limbrick说：“我们选择了10年的长期期权，加权平均到期日为3至6年。” “我们将采用滚动式短期策略来代替长期策略，但我们更愿意采用长期策略。” 36 South更喜欢在执行价格方面走出高价。它是代理的活跃用户，尤其是在风险厌恶时期（相关性更加明显）。“我们投入到本书中的每笔交易都有一个以尾巴为驱动的回报的元素，但是由于它的日期较长且通常用不着钱，所以它开始时是波动性交易……但随着交易的增加，它更多地是定向交易。有利可图。”

36 South includes left and right tail events as part of its strategy, for example inflation or very strong bull market moves.

36 South将左尾事件和右尾事件作为其策略的一部分，例如通货膨胀或非常强劲的牛市走势。

Conclusion

结论

Tail risk funds have been increasing in popularity with investors, as fear in the market has continued. Those investors who have been forced to maintain active allocations have been seeking a means of insuring their exposure, particularly as the prospect of major systemic problemsin banking and government continue to dominate the headlines. Whether this appetite will continue once economic circumstances improve is an open question.

随着市场的担忧持续，尾巴风险基金在投资者中越来越受欢迎。那些被迫维持积极分配的投资者一直在寻求一种确保风险敞口的方法，尤其是在银行和政府出现重大系统性问题的可能性继续占据头条的情况下。一旦经济状况改善，这种胃口是否会持续下去是一个悬而未决的问题。

The expectation seems to be that tail risk funds will be making more use of exchange-traded options in the future, partly as the OTC options industry migrates over to more of an exchange-traded model. In addition, there are obvious concerns about counterparties in the OTC market, and how they might be affected in  a tail event. As one manager points out – holding an option with Lehman Brothers as your counterparty would not have helped much in 2008.

期望似乎是，尾风险基金将在未来更多地使用交易所交易的期权，部分原因是场外期权行业转向了更多的交易所交易模式。此外，对于场外交易市场中的交易对手以及它们在尾部事件中可能受到的影响也存在明显的担忧。正如一位经理指出的那样-在雷曼兄弟（Lehman Brothers）持有期权作为您的交易对手在2008年不会有太大帮助。