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比特幣狂歡繼續,程序化交易或為大勢所趨

比特幣狂歡繼續,程序化交易或為大勢所趨

Bloomberg 2017-12-12
股票具有波動性,但是比起加密貨幣市場而言簡直是“小巫見大巫”。

金融工程師涉足加密貨幣?聽著真不可思議,就像一杯過于混雜的雞尾酒,不宜入口。不過,投資界的一些勇士已經私底下開始暢飲這杯雞尾酒。

一部分學術研究者和華爾街追隨者開始嘗試合作。一些理論家和交易員正在研究諸如趨勢和價值的投資因素對比特幣價格的影響。此前,智能型交易開放式指數基金,就徹底變革了股票市場,這些學者已經證明了那些具有廉價、流動性小的性質的股票比整個市場帶來的回報更豐厚。

這項發現已經衍生出了7000億美元的智能型交易開放式指數基金市場,效益之高,難怪人們萌生了要把它應用在其他領域的想法。量化投資之所以能夠建立起來,一個偏感性的心理動機功不可沒。也就是,無論是涉及股票、債券還是首次代幣發售令牌,投資者的心理趨同性都會導致同樣的交易商機在全市場冉冉升起。

在這個理論陣營中,普信公司(T. Rowe Price Group Inc.)的資產配置研究主管斯蒂芬?赫布里希,首先發表了一篇學術論文將異常因素與區塊鏈資產掛鉤。在建立模型和分析數據之后,赫布里希稱他可以證明,在數字代幣市場,量化交易將擊敗簡單的買入并持有的策略。

赫布里希在他10月28日的研究中寫道:“我們的研究結果不應被視為對加密貨幣作為一種資產類別的認可。相反,我們認為這項發現巧妙地證實了市場潛在因素本身的功效?!?

比特幣研究仍缺乏數據支持

比特幣和其他加密貨幣之所以成為學術定量實驗研究目標,是因為它們與傳統資產差異很大。股票具有波動性,但是比起加密貨幣市場而言簡直是“小巫見大巫”。對于后者,震蕩的價格波動、閃電崩盤和災難性的交換系統故障可謂是“家常便飯”。研究人員回應說,如果價值和趨勢的概念在加密貨幣市場中適用,那么這將有助于證實行為偏差的理論可以“走遍天下”。

AQR資本管理公司(AQR Capital Management)創始人克利夫?阿斯尼斯證明,價值和趨勢不僅僅是股市獨有的因素。2013年,早在比特幣興起熱潮之前,他就發表了一篇論文,研究發現,在資產類別、地理位置和時間周期中,走勢顯示價值、趨勢和套利在所有的資產類別中都發生作用。阿斯尼斯在11月表示,盡管定論尚早,但將同樣的邏輯應用于加密貨幣也有一定的合理性。

銳聯資產管理公司(Research Affiliates)、曼氏集團(Man Group)顧問,杜克大學(Duke University)教授坎貝爾?哈維表示,雖然這個理論可能并非不合理,但由于目前的數據不足,還無法證明比特幣存在能夠創造交易機會的風險因素。哈維稱,不過,要證實趨勢的因素對比特幣的影響輕而易舉。眾所周知,比特幣價格在2017年一路上漲。

資產轉換有難度

“我不會真的稱這些因素是比特幣交易的“密碼”,哈維稱,“考慮到加密貨幣還是一個相對年輕的市場,在定價方面存在一些低效率的說法是有道理的。”

擁有加州大學(University of California)的數學博士學位,Man AHL前首席風險官道格·格林尼格有更具體的目標。2015年1月,格林尼格在倫敦創立了一支CTA基金——Florin Court Capital,它是一種量化基金,押注于價格模型。今年4月17日,他將自己的5.22億美元資產全部轉換為另類資產。

當前的成熟市場走勢撲朔迷離,一方面引來眾多投資者圍觀,一方面又保持著波瀾不驚。反其道而行之,格林尼格挖掘了歐洲電力和比特幣等資產的價值。

格林尼格稱,盡管大型機構基金的操作阻力大,但他們參與進來對比特幣市場還是很有意義的。“簡而言之,我的觀點就是,加密貨幣隸屬于有趣的資產類別,與傳統資產類別的相關性較低,且歷史趨勢較強?!备窳帜岣癖硎尽?

比特幣趨勢策略

趨勢的變化對于加密貨幣市場正在發揮作用。從4月到10月底,Florin Court Capital的回報率為15.5%,而法國興業銀行CTA指數的回報率則為0.2%。

格林尼格稱,他是最早加入比特幣的CTAs之一。這一策略是一種趨勢,在加密貨幣獲得趨勢上升動力的同時,增加了看漲的頭寸。他獲得風險敞口的首選方式是通過成立在場外交易的比特幣投資信托(Bitcoin Investment Trust)。

就像格林尼格涉獵的其他交易一樣,投資加密貨幣障礙重重,需要尋找交易對手、降低操作風險和保持受托責任。但是比特幣的美妙之處在于,它有非常強烈的情感驅動,原始的興趣引發更強烈的興趣,使得趨勢交易能成為一種強有力的策略。格林尼格表示。

“過去,比特幣的趨勢行為一直很強勁,而CTA的趨勢模型似乎也像預期那樣的有效,” 格林尼格稱?!笆袌鲋饾u在變得成熟,我們希望最終能看到更多的機構玩家參與進來?!?

數字貨幣的三大要素

根據斯蒂芬?赫布里希的說法,數字貨幣的三個主要因素分別是:價值、套利和趨勢。雖然這個理論在股票市場被證明是有效的,比如通過公司的市盈率來衡量價值。不過仍需要解決能否在加密貨幣市場找到這些特質的哲學問題。

為了找出加密貨幣的價值推論,赫布里希運用了創造性的方法。他用區塊鏈交易中美元的交易量作為衡量比特幣市場價值的重要參考。在趨勢方面,因為歷史數據有限,赫布里希僅僅分析了四周的時間,而對于股票而言,趨勢通常需要考慮12個月的周期。

“這是一個非常不穩定的年輕資產類別,隨著時間的推移,我們肯定會學到更多。”赫布里希表示。“趨勢理論從產生到現在已經超過100年了,但應用于加密貨幣來說還為時尚早?!?

雖然赫布里希所做的是一個學術研究,但是Serrada Capital的邁克爾·派瑞迪也用類似的方法對加密貨幣進行估值。派瑞迪于2006年創建了Serrada Capital,并于同年9月推出了數字資產基金,該基金允許自由支配風險敞口,通過系統化的投資策略對加密貨幣進行了投資?!斑@個策略需要評估加密貨幣的市值與交易量的比率。” 派瑞迪表示。

派瑞迪稱:“我們看到了很多我們樂見的交易機會——波動性,在過去幾年里,傳統市場的賺錢效應變得越來越弱,因此,我們希望能夠參與到加密貨幣市場,而且技術上的結論也支持我們這么做。不過,這個領域的真正商機在于我們看到對沖基金和資產管理公司開始對這一領域表現出強烈的興趣?!保ㄘ敻恢形木W)

譯者:陳亞芬/汪皓

Quant blended with cryptocurrency sounds like a cocktail poured in hell. But behind closed doors, a few intrepid souls in the investing world are starting to drink it.

Part academic exercise, part arranged marriage of Wall Street fads, a handful of theorists and traders are looking at what investment factors like momentum and value can tell you about — yep — the price of bitcoin. Factors, the wiring behind smart beta exchange-traded funds, already revolutionized equities, proving that groups of stocks with traits like cheapness and low volatility return more than the market as a whole.

That discovery was a gold mine, launching $700 billion in smart beta ETFs, so it’s no surprise people want to turn it loose elsewhere. A more abstract motive hearkens to the foundation of quantitative investing. It’s the idea that no matter where you look — stocks, bonds, ICO tokens — mental mistakes by investors cause the same trading opportunities to arise in every market.

In the theory camp is Stefan Hubrich, the director of asset allocation research at T. Rowe Price Group Inc., who set out to publish the first academic paper linking factor anomalies to blockchain assets. After building models and analyzing data, Hubrich says he can show that factor investing beats a simple buy-and-hold strategy in digital tokens.

“Our results should not be taken as an endorsement of cryptocurrencies as an asset class,” Hubrich wrote in his Oct. 28 research. “Instead, we view our findings as an intriguing confirmation of the efficacy of the underlying factors themselves.”

Too little bitcoin data

One reason bitcoin and its peers are a tempting laboratory for academic quants is how different they are from traditional assets. Stocks may bounce around, but they’ve got nothing on cryptocurrencies, where jarring price swings, flash crashes and cataclysmic exchange malfunctions happen regularly. If concepts like value and momentum stand in that jungle, researchers reasoned, it would help confirm that behavioral biases operate everywhere.

It’s been something of a cause for Cliff Asness, the founder of AQR Capital Management, to prove that factors aren’t just for the stock market. In 2013, long before the bitcoin craze, he published a paper that found tilts like value, momentum and carry work across asset classes, geographies and time periods. Asness said in November that while still early, it’s not unreasonable to apply the same logic to cryptocurrencies.

While it may not be unreasonable, at present too little data exists to prove tradable risk factors exist in bitcoin, says Campbell Harvey, an adviser at Research Affiliates and Man Group and professor at Duke University. It’s a little too convenient, Harvey says, to declare the momentum factor may be at work in bitcoin, something everyone knows has done nothing but rise in 2017.

‘Operational hurdles’ in predicting bitcoin

“I would not really call any of the factors applied to cryptos, factors,” Harvey said. “That said, given these are relatively young markets, it makes sense that there could be some inefficiency in the pricing.”

Doug Greenig has more concrete goals. The University of California-educated math doctorate and former chief risk officer at Man AHL, started his London-based CTA, a type of quantitative fund that bets on price patterns, called Florin Court Capital in January 2015. Then, in April, he converted his $522 million firm solely to exotic assets on April 17.

Why? Because unlike trendless, crowded and calm developed markets, Greenig saw value in chasing assets like European electricity and, yes, bitcoin.

“It just makes sense to be involved even though the operational hurdles for an institutional-grade fund are considerable,” Greenig said. “My perspective, in short, is that cryptocurrencies are an interesting asset class, with low correlations to the traditional asset classes and strong historical trending behavior.”

Bitcoin momentum strategy

The change seems to be working. From April through the end of October, Florin Court has returned 15.5 percent, compared with 0.2 percent for the Societe Generale AG CTA index.

Greenig says he’s one of the first CTAs to incorporate bitcoin. The strategy is momentum, adding bullish bets as the cryptocurrency picks up steam. His preferred method of obtaining exposure is Bitcoin Investment Trust, which trades over-the-counter.

Hurdles for investing in cryptocurrencies are like those in the other weird things Greenig trades, like finding counterparties, minimizing operational risk and keeping up fiduciary responsibility. But the beauty of bitcoin, he said, is that it’s so sentiment driven: Interest begets interest, making momentum a powerful strategy.

“The trending behavior of bitcoin has been strong in the past, and CTA momentum models seem to work as expected,” Greenig said. “The maturity of the market has grown, and we expect eventually to see more participation by systematic players.”

Three factors in predicting digital currency value

According to Hubrich, three factors work in the major digital currencies: value, carry and momentum. The philosophical challenge is finding a way to replicate those traits. They’re reasonably straightforward in stocks, say, measuring value through a company’s price-earnings ratio.

To find a crypto corollary, Hubrich gets creative. He translates value to mean the token’s market value versus the dollar volume of blockchain transactions. For momentum, Hubrich uses a four-week horizon because of limited historical data, rather than the 12 months typically used for equities.

“This is a very volatile and young asset class, and we’re bound to learn much more over time,” Hubrich said. “Momentum is more than 100 years old, but it’s very early days for cryptocurrencies.”

Though Hubrich’s study was an academic exercise, Michael Paritee of Serrada Capital uses a similar value ratio to invest in cryptocurrencies. Paritee founded Serrada in 2006, and launched the Digital Asset fund in September, which blends discretionary and systematic strategies to invest in cryptocurrencies. That includes evaluating a token’s market cap to transaction volume ratio, he said.

“We saw a lot of opportunity to trade something we love doing — volatility, because that’s how we like to make money and traditional markets have gotten harder and harder in the last couple years,” Paritee said. “There’s technical reasons to be involved in crypto, there’s idealogical reasons to be involved in crypto, but we see a real business opportunity for hedge funds and asset managers in this space.”

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