《The Man Who Solved The Market》中文版翻译连载54

文艺复兴招聘官更偏爱不快乐的聪明人 并有意避开华尔街投资

《The Man Who Solved The Market》中文版翻译连载54
解决市场的人

The MAn Who Solved The Market (58)

Kepler’s twist was to apply this approACh to statistical arbitrage, buying stocks that didn’t rise as much as expected based on the historic returns of these various underlying factors, while simultaneously selling short, or wagering against, shares that under-performed. If shares of Apple Computer and Starbucks EAch rose 10 percent amid a market rally, but Apple historically did much better that Starbucks during bullish periods, Kepler might buy Apple and short Starbucks. Using time-serious analysis and other statistical techniques, Frey and a colleague searched for trADIng errors, behavior not fully explained by historic data tracking the key factors, on the assumption that these deviations likely would disappear over time.

开普勒的独特之处在于将这种方法应用于统计套利,买入那些基于各种潜在因素的历史回报率没有预期涨幅大的股票,同时做空那些表现不佳的股票。如果苹果电脑和星巴克的股票在市场反弹中分别上涨10%,但历史上苹果在牛市期间要比星巴克表现的更好,那么开普勒就会买入苹果而做空星巴克。利用时间序列分析和其他统计技巧,弗雷和一位同事搜寻会交易错误,这些行为不能完全由追踪关键因素的历史数据所解释,并假设这些偏差可能会随着时间消失。

Betting on relationships and relatIVe differences between groups of stocks, rather than an outright rise or fall of shares, meant Frey didn’t need to predict where shares were headed, a difficult task for anyone. He and his colleagues also didn’t really care where the overall market was going. As a result, Kepler’s portfolio was market neutral, or reasonably immune to the stock market’s moves. Frey’s models usually just focused on whether relationships between clusters of stocks returned to their historic norms — a reveRSIon-to-the-mean strategy. Constructing a portfolio of these investments figured to dampen the fund’s volatility, giving it a high Sharpe ratio. Named after economist William F. Sharpe, the Sharpe ratio is a commonly used measure of returns that incorporate a portfolio’s risk. A high Sharp suggests a strong and stable historic performance.

弗雷押注的是两组股票之间的关系和相对差异,而不是股票的直接涨跌,这意味着弗雷不需要预测股票走势,这对任何人来说都是一项艰巨的任务。他和他的同事们也不真正关注整个市场的走向。结果就是开普勒的投资组合是市场中性的,或者说对股市波动免疫。弗雷的模型通常只关注股票群之间的关系是否回到了历史标准上——这是一种回归均值的策略。通过构建这些投资组合来抑制基金的波动性,也使得其拥有更高的夏普比率。夏普比率以经济学家威廉·F·夏普名字命名,是一种衡量投资组合风险的常用回报率指标。高的夏普比率意味着强劲且稳定的历史表现。

Kepler’s hedge fund, eventually renamed Nova, generated middling results that frustrated clients, a few of whom bolted. The fund was subsumed into Medallion while Frey continued his efforts, usually without tremendous success.

开普勒的对冲基金最终重新命名为“新星”,但业绩平平令客户感到失望,其中一些人退出了。该基金并入了大奖章后,弗雷继续他的努力,但都没取得巨大成功。

The problem wasn’t that Frey’s system couldn’t discover profitable strategies. It was unusually good at identifying profitable trades and forecasting the movement of groups of shares. It was that, too, often, the team’s profits paled in comparison to those predicted by their model. Frey was like a chef with a delicious recipe who cooked a serious of memorable meals but dropped most of them on the way to the dinner table.

问题不在于弗雷的系统无法发现可盈利的策略。该系统擅长识别可盈利交易,预测群组股票的动向。也正是因为如此,团队获取的利润常常与模型预测的结果相去甚远。弗雷就像是一个有着美味食谱的厨师,能做一大堆令人难忘的菜肴,但是大部分都在端上桌之前就掉在地上了。

Watching Frey and his colleagues flail, some Renaissance staffers began to lose patience. Laufer, Patterson, and the others had developed a sophisticated system to buy and sell various commodities and other investments, featuring a betting algorithm that adjusted its holdings given the range of probabilities of future market moves. Frey’s team had nothing of the sort for stocks. Staffers carped that his trading model seemed much too sensitive to tiny market fluctuations. It sometimes bought shares and sold them before they had a chance to rise, spooked by a sudden move in price. There was too much noise in the market for Frey’s system to hear any of its signals.

看着弗雷和他的同事们遭到重击,一些文艺复兴的员工开始失去了耐心。劳弗、帕特森以及其他人已经开发了一套复杂的系统,可以买卖各种商品和其他投资品,其特色是一个博彩算法,根据期货市场波动的可能范围调整公司持仓。但弗雷的团队没有针对股票的系统。员工们指出这套交易系统似乎对一些市场微小波动过于敏感了。有时候系统买入股票后,会因为突然出现的价格波动,在还没来得及涨之前就卖出了。对于弗雷的系统来说市场上噪音太多以至于听不到任何信号

It would take two oddballs to help solve the problem for Simons. One rarely talked. The other could barely sit still.

能为西蒙斯解决问题的是两个奇怪的人。一个几乎不说话。另一个几乎坐不住。

As Nick Patterson worked with Henry Laufer in the early 1990s to improve Medallion’s predictive models, he began a side job he seemed to relish as much as discovering overlooked price trends: recruiting talent for Renaissance’s growing staff. To upgrade the firm’s computer systems, for example. Patterson helped hire Jacqueline Rosinsky as the first systems administrator. Rosinsky, whose husband ditched an accounting career to become a captain in the New York City Fire Department, would eventually head information technology and other areas. (Later, women would manage legal and other departments, but it would be a while before they’d play significant roles onthe research, data, or trading sides of the operation.) Patterson required a few things from his hires. They needed to be supersmart, of course, with identifiable accomplishments, such as academic papers or awards, ideally in fields lending themselves to the work Renaissance was doing. Patterson steered clear of Wall Street types. He didn’t have anything against them, per se; he just was convinced he could find more impressive talent elsewhere.

当尼克·帕特森在二十世纪九十年代早期与亨利·劳弗一起改进大奖章的预测模型时,他开始了一份似乎和发现被忽视的价格趋势一样令他感兴趣的副业:为大奖章的扩张招募有才华的人。比如,要升级公司的计算机系统,帕特森帮忙雇佣了杰奎琳·罗辛斯基作为第一任系统管理员。罗辛斯基的丈夫放弃了会计的工作去当了纽约消防局的一名队长,并最终成为信息技术和其他领域的主管。(后来,女性也可以管理法律和其他部门,但是有一段时间她们在研究、数据或者是交易操作等方面没法发挥重要作用。)帕特森对他的雇员有几点要求。当然他们得非常聪明并有明确的成就,比如说学术论文或是奖项,最理想的情况是他们从事的领域与文艺复兴的业务相关。帕特森特别避开了华尔街人。他本身对他们并没有意见;他只是相信在其他地方可以找到更多令人印象深刻的天才。

“We can teach you about money,” Patterson explains. “We can’t teach you about smart.”

“我们可以教你关于钱的事情,”帕特森解释说。“但我们没法教你怎么变聪明。”

Besides, Patterson argued to a colleague, if someone left a bank or hedge fund to join Renaissance, they’d be more inclined to bolt at some point for a rival, if the opportunity ever arose, than someone without a familiarity with the investment community. That was crucial, because Simons insisted that everyone at the firm actively share their work with each other. Simons needed to trust that his staffers weren’t going to take that information and run off to a competitor.

除此之外,帕特森还告诉一位同事,如果有人是从银行或对冲基金离职来到文艺复兴的话,他们会比那些对投资圈子不熟的人更倾向于在有机会的时候跳槽到对手方。这一点至关重要,因为西蒙斯坚持公司里的每个人都要积极分享工作成果。西蒙斯需要相信他的员工们不会带着公司机密投奔竞争对手。

One last thing got Patterson especially excited: if a potential recruit was miserable in their current job.

最后一件让帕特森尤其兴奋的事是:如果一位潜在的应聘者在目前的工作中感到不顺。

“I like smart people who were probably unhappy,” Patterson says.

“我喜欢那些可能不快乐的聪明人,”帕特森说。

One day, after reading in the morning paper that IBM was slashing costs, Patterson became intrigued. He was aware of the accomplishments of the computer giant’s speech-recognition group and thought their work bore similarity to what Renaissance was doing. In early 1993, Patterson sent separate letters to Peter Brown and Robert Mercer, deputies of the group, inviting them to visit Renaissance’s offices to discuss potential positions.

一天,帕特森在晨报上读了关于IBM削减成本的消息后,他变得非常感兴趣。他注意到,这家电脑巨头的语言识别小组成就非凡,而且他们的工作与文艺复兴正在做的很相似。1993年初,帕特森分别给小组副手彼得·布朗和罗伯特·默瑟寄了信,邀请他们参观文艺复兴的办公室,并讨论潜在的职位问题。

Brown and Mercer both reacted the exact same way — depositing Patterson’s letter in the closest trash receptacle. They’d reconsider after experiencing family upheaval, laying the groundwork for dramatic change at Jim Simons’s company, and the world as a whole.

布朗和默瑟作出了同样的反应——把帕特森的信扔进了手边的垃圾桶。他们会在经历家庭巨变后重新考虑这一提议,这为西蒙斯的公司乃至全世界的巨大变革奠定了基础。

(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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