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《The Man Who Solved The Market》中文版翻译连载42

1988年,摩根士丹利APT成为世界上最大、最神秘的交易团队

《The Man Who Solved The Market》中文版翻译连载42
解决市场的人

The MAn Who Solved The Market (42)

Gerry Bamberger had few visions of wEAlth or prominence in the early 1980s. A tall, trim computer-science graduate from Colombia UnIVeRSIty, Bamberger provided analytical and technical support for Morgan Stanley’s stock traders, serving as an underappreciated cog in the investment bank’s mAChine. When the traders prepared to buy and sell big chunks of shares for clients, acquiring a few million dollars of Coca-Cola, for example, they protected themselves by selling an equal amount of something similar, like Pepsi, in what is commonly referred to as a pairs trade. Bamberger created software to update the Morgan Stanley trader’s results, though many of them bristled at the idea of getting assistance from the resident computer nerd.

格里·班伯格在二十世纪八十年代早期对财富和名望几乎没有什么幻想。班伯格身材修长苗条,毕业于哥伦比亚大学计算机科学专业,他为摩根士丹利的股票交易员提供分析和技术支持,在这家投行机器中扮演了一个没有得到充分赏识的小人物。当交易员们准备为客户买入卖出大量股票时,例如要买入几百万美元的可口可乐股票,他们就要卖出相当数量的似股票,例如百事的股票,这通常被称为配对交易。班伯格开发了一款软件更新摩根士丹利交易员们的业绩,不过许多人对向这位电脑高手求助的想法觉得愤怒。

Watching the traders buy big blocks of shares, Bamberger observed that prices often moved higher, as might be expected. Prices headed lower when Morgan Stanley’s traders sold blocks of shares. Each time, the trADIng activity altered the gap, or spread, between the stock in question and the other company in the pair, even when there was no news in the market. An order to sell a chunk of Coke shares, for instance, might send that stock down a percentage point or even two, even as Pepsi barely moved. Once the effect of their Coke stock selling wore off, the spread between the shares reverted to the norm, which made sense, since there had been no reason for Coke’s drop other than Morgan Stanley’s activity.

班伯格观察到,当交易员们大量买进股票时,股价会像预期的那样走高。当摩根士丹利的交易员们卖出大量股票时,股价则一路走低。每一次,即便在市场上没有消息的情况下,交易活动都会改变或扩大配对交易中的两家公司的差价。举例说,在百事几乎没有变动的情况下,一个卖出大量可口可乐股票的指令可能会使该股下跌一或两个百分点。一旦抛售可口可乐股票的影响消退,两家公司之间的差价就会恢复正常,这是有道理的,因为除了摩根士丹利的交易活动之外没有其他导致可口可乐股价下跌的原因。

Bamberger sensed opportunity. If the bank created a database tracking the historic prices of various paired stocks, it could profit simply by betting on the return of these price-spreads to their historic levels after block trades or other unusual activity. Bamberger’s bosses were swayed, setting him up with half a million dollars and a small staff. Bamberger began developing computer programs to take advantage of “temporary blips” of paired shares. An Orthdox Jew and a heavy smoker with a wry sense of humor, Bamberger brought a tuna sandwich in a brown bag for lunch every single day. By 1985, he was implementing his strategy with six or seven stocks at a time, while managing $30 million, scoring profits for Morgan Stanley.

班伯格感到机会来了。如果银行创建一个数据库来追踪各种配对股票的历史价格,在大宗交易或其他不寻常的交易之后,通过让配对公司的股价价差恢复到历史水平就可以轻易获利。班伯格的老板们被说服了,给了他50万美元和一个小职员。班伯格开始开发电脑程序,利用配对股票的“暂时波动”。作为一个正统的犹太人,班伯格烟瘾很大,并有着一种略带冷嘲的幽默感,他每天都在一个棕色袋子里放一个金枪鱼三明治作为午餐。到1985年,他利用策略同时投资了六、七只股票,管理着3000万美元的资产,为摩根士丹利赚取利润。

Big bureaucratic companies often act like, well, big bureaucratic companies. That’s why Morgan Stanley soon gave Bamberger a new boss, Nunzio Tartaglia, a perceived insult that sparked Bamberger to quit. (He joined Ed Thorp’s hedge fund, where he did similar trades and eventually retired a millionaire.)

大型官僚公司通常表现的,嗯,就像大型官僚公司一样。这也是摩根士丹利很快就给班伯格加了个新老板——农西奥·塔尔塔利亚的原因,这一明显的侮辱行为导致班伯格辞职。(他加盟了爱德华·索普的对冲基金,在那里继续做似交易,并最终成为一个百万富翁后退休。)

A short, wiry astrophysicist, Tartaglia managed the Morgan Stanley trading group very differently from his predecessor. A native of Brooklyn who had bounced around Wall Street, Tartaglia’s edges were sharper. Once, when a new colleague approached to introduce himself, Tartaglia immediately cut him off.

塔尔塔利亚是一位身材矮小、结实精瘦的天体物理学家,他以和前任非常不同的方式管着里摩根士丹利的交易小组。作为一个土生土长的布鲁克林人,塔尔塔利亚在华尔街辗转工作,他的棱角也更尖锐。一次,当一个新员工想要介绍自己的时候,塔尔塔利亚立刻将他打断。

“Don’t try to get anything by me because I come from out there,” Tartaglia said, pointing a finger at a nearby window and the streets of New York City.

“不要试图从我这得到任何东西,因为我来自那里,”塔尔塔利亚说道,并用手指着附近的窗户和纽约的街道。

Tartaglia renamed his group Automated Proprietary Trading, or APT, and moved it to a forty-foot-long room on the nineteenth floor of Morgan Stanley’s headquarters in a midtown Manhattan skyscraper. He added more automation to the system and, by 1987, it was generating $50 million of annual profits. Team members didn’t know a thing about the stocks they traded and didn’t need to — their strategy was simply to wager on the re-emergence of historic relationships between shares, an extension of the age-old “buy low, sell high” investment adage, this time using computer programs and lightning-fast trades.

塔尔塔利亚将他的小组重新命名为自动化自营交易,简称APT,并将其搬到摩根士丹利总部位于曼哈顿的摩天大楼19层一个40英尺长的房间里。到1987年,他为系统加入更多自动化元素,该系统每年产生5000万美元的利润。团队成员对所交易的股票一无所知,也不需要知道——因为他们的策略就是简单地押注配对股票之间历史关系的再现,这是古老的“低买高卖”箴言的延伸,但这次使用的是计算机程序和闪电般的交易。

New hires, including a former Colombia University computer-science professor named David Shaw and mathematician Robert Frey, improved profits. The Morgan Stanley traders became some of the first to embrace the strategy of statistical arbitrage, or stat arb. This generally means making lots of concurrent trades, most of which aren’t correlated to the overall market but are aimed at taking advantage of statistical anomalies or other market behavior. The team’s software ranked stocks by their gains or losses over the previous weeks, for example. APT would then sell short, or bet against, the top 10 percent of the winners within an industry while buying the bottom 10 percent of the losers on the expectation that these trading patterns would revert. It didn’t always happen, of course, but when implemented enough times, the strategy resulted in annual profits of 20 percent, likely because investors often tend to overreact to both good and bad news before calming down and helping to restore historic relationships between stocks.

包括前哥伦比亚大学计算机科学教授大卫·肖和数学家罗伯特·弗雷在内的新员工们提高了公司的利润。摩根士丹利的交易员们成为第一批采用统计套利(简称为stat arb)策略的人。这种策略通常意味着进行大量并发交易,但其中大多数与整体市场无关,但主要为了利用统计异常或其他市场行为。例如,团队的软件将股票按照上周的盈利或亏损情况进行排名。APT将会卖空或对赌某行业前10%的股票,同时买入底部10%的输家,并预期这些交易模式会恢复。当然这并不总是发生,但执行的次数足够多的话将会带来20%的年收益,可能是因为投资者们经常对好消息和坏消息都过度反应,然后才会平静下来,恢复股票之间的历史关系。

By 1988, APT was among the largest and most-secretive trading teams in the world, buying and selling $900 million worth of shares each day. The unit hit heavy losses that year, though, and Morgan Stanley executives slashed APT’s capital by two-thirds. Senior management never had been comfortable investing by relying on computer models, and jealousies had grown about how much money Tartaglia’s team was making. Soon, Tartaglia was out of a job, and the group shut down.

到1988年,APT成为世界上最大、最神秘的交易团队,每天买卖价值9亿美元的股票。然而,当年该团队却遭遇了严重亏损,摩根士丹利的高层削减了APT三分之二的资金。管理层一直对依靠电脑模型交易感到不舒服,而且对塔尔塔利亚的团队赚了多少钱逐渐感到嫉妒。很快,塔尔塔利亚失业了,整个团队被解散。

It wouldn’t be clear for many years, but Morgan Stanley had squandered some of the most lucrative trading strategies in history of finance.

多年来都不清楚,但摩根士丹利已经浪费了金融史上最赚钱的一些交易策略。

(免责声明:仅供个人阅读学习及翻译参考。如有不准之处,请留言帮助改进)

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