《The Man Who Solved The Market》中文版翻译连载43
The MAn Who Solved The Market (43)
Well before the APT group closed for business, Robert Frey had become anxious. It wasn’t just that his boss, Tartaglia, wasn’t getting along with his superiors, suggesting the bank might drop the tEAm if losses arose. Frey, a heavyset man with a limp, the result of a fall in his youth that had shattered his leg and hip, was convinced rIVals were catching on to his group’s strategies. Thorp’s fund was already doing similar kinds oftrades, and Frey figured others were sure to follow. He had to come up with new tACtics.
Frey proposed deconstructing the movements of various stocks by identifying the independent variables responsible for those moves. A surge in Exxon, for example, could be attributable to multiple factors, such as moves in oil prices, the value of the dollar, the momentum of the overall market, and more. A rise in Procter&Gamble might be most attributable to its healthy balance sheet and a growing demand for safe stocks, as investors soured on companies with lots of debt. If so, selling groups of stocks with robust balance sheets and buying those with heavy debt might be called for, if data showed the performance gap between the groups had moved beyond historic bounds. A handful of investors and academics were mulling factor investing around that same time, but Frey wondered if he could do a better job using computational statistics and other mathematical techniques to isolate the true factors moving shares.
弗雷建议通过识别与股票走势相关的自变量来解构各种 的走势。比如，埃克森美孚的股票飙升可以归结于多个因素，诸如油价波动、美元价值、整体 的走势等。而宝洁的上涨则主要是因为其健康的资产负债表，以及投资者日渐增长的，对高负债公司的厌恶和对安全股票的需求。要是这样的话，如果数据显示两 股票的表现差距已经超过历史水平，或许就需要卖出资产负债表稳健的股票，而买入负债严重的股票。同一时期，部分 和学者正在考虑“因子 ”，但是弗雷想知道如果他采用电脑化统计和其他数学技巧能否更好的将真正影响股票走势的因素找出来。
Frey and his colleagues couldn’t muster much interest among the Morgan Stanley brass for their innovative factor approach.
“They told me not to rock the boat,” Frey recalls.
Frey quit, contacting Jim Simons and winning his financial backing to start a new company, Kepler Financial Management. Frey and a few others set up dozens of small computers to bet on his statistical-arbitrage strategy. Almost immediately, he received a threatening letter from Morgan Stanley’s lawyers. Frey hadn’t stolen anything, but his approach had been developed working for Morgan Stanley. Frey was in luck, though. He remembered that Tartaglia hadn’t allowed him or anyone else in his group to sign the bank’s nondisclosure or noncompete agreements. Tartaglia had wanted the option of taking his team to a rival if their bonuses ever disappointed. As a result, Morgan Stanley didn’t have strong legal grounds to stop Frey’s trADIng. With some trepidation, he ignored Morgan Stanley’s continuing threats and began trading.
弗雷辞了职，与吉姆·西蒙斯取得联系，并获得他的资金支持开始一家新公司——开普勒 。弗雷和几个人装备了几十台小型电脑，押注在他的统计套利策略上。但立时三刻，他就收到了摩根士丹利律师的威胁信。弗雷并没有窃取任何东西，但是他采用的方法是被研发出来为摩根士丹利工作的。然而弗雷很走运。他想起来塔尔塔利亚没让他和团队的其他人签署银行的保密或竞业协议。塔尔塔利亚曾想，如果奖金让人失望的话，他还有把团队带到竞争对手那里的机会。结果，摩根士丹利没有强大的法律依据阻止弗雷的 。带着些许不安，弗雷无视了摩根士丹利持续的威胁开始交易。
By 1990, Simons had high hopes Frey and Kepler might find success with their stock trades. He was even enthused about his own Medallion fund and its Quantitative-trading strategies in bond, commodity, and currency markets. Competition was building, however, with some rivals embracing similar trading strategies. Simons’s biggest competition figured to come from David Shaw, another refugee of the Morgan Stanley APT group. After leaving the bank in 1988, the thirty-six-year-old Shaw, who had received his PhD from Stanford UniveRSIty, was courted by Goldman Sachs and was unusual whether to accept the job offer. To discuss his options, Shaw turned to hedge-fund manager Donald Sussman, who took Shaw sailing on Long Island Sound. One day on Sussman’s forty-five-foot sloop turned into three, as the pair debated what Shaw should do.
“I think I can use technology to trade securities,” Shaw told Sussman.
Sussman suggested that Shaw start his own hedge fund, rather than work for Goldman Sachs, offering a $28 million initial seed investment. Shaw was swayed, launching D.E. Shaw in an office space above Revolution Books, a communist bookstore in a then-gritty part of Manhattan’s Union Square area. One of Shaw’s first moves was to purchase two ultrafast and expensive Sun Microsystems computers.
“He needed Ferraris,” Sussman says. “We bought him Ferraris.”
Shaw, a supercomputing expert, hired math and science PhDs who embraced his scientific approach to trading. He also brought on whip-smart employees from different backgrounds. English and philosophy majors were among Shaw’s favorite hires, but he also hired a chess master, stand-up comedians, published writers, an Olympic-level fencer, a trombone player, and a demolitions specialist.
“We didn’t want anyone with preconceived notions,” an early executive says.
Unlike the boisterous trading rooms of most Wall Street firms, Shaw’s offices were quiet and somber, reminding visitors of the research room of the Library of Congress, even as employees wore jeans and T-shirts. These were the early days of the internet, and academics were the only ones using email at the time, but Shaw gushed to one of his programmers about the new era’s possibilities.
“I think people will buy things on the internet,” Shaw told a colleague. “Not only will they shop, but when they buy something… they’re going to say, ‘this pipe is good,’ or ‘this pipe is bad,’ and they’re going to post reviews.”
One programmer, Jeffrey Bezos, worker with Shaw a few more years before piling his belongings into a moving van and driving so Seattle, his then-wife MacKenzie behind the wheel. Along the way, Bezos worked on a laptop, pecking out a business plan for his company, Amazon.com. (He originally chose “Cadabra” but dropped the name because too many people mistook it for “Cadaver”.)
Almost as soon as he started the engines of his Ferraris, Shaw’s hedge fund minted money. Soon, it was managing several hundred million dollars, trading an array of equity-related investments, and boasting over one hundred employees.
Jim Simons didn’t have a clear understanding of the kind of progress Shaw and a few others were marking. He did know, if he was going to build something special to catch up with those who had a jump on him, he’d need some help. Simons called Sussman, the financier who had given David Shaw the support he needed to start his own hedge fund, hoping for a similar boost.