'Portable Alpha' Investment Strategy: A Better Mousetrap or Overly Risky?
The hottest investment strategy on Wall Street sounds more like something someone would take on a trip to the moon than a place to stash retirement funds.
It is called portable alpha, and endowments and pension funds are throwing billions at it. Dean Barr, managing director of Citigroup Alternative Investment, a unit of Citigroup Inc., which plans to launch an extensive portable-alpha offering in August, says it is one of the fastest-growing strategies used by pension funds in the world. "We've developed a better mousetrap here," he said.
The idea behind portable alpha is simple, though how it works can be complicated. Instead of stashing money in a mutual fund to invest in the market, investors use a derivative that tracks an index such as the Standard & Poor's 500-stock index. These financial contracts give them cheap exposure to the broad market, freeing up extra cash to put into hedge funds and other investments, providing the "alpha" part of the strategy.
Alpha is Wall Street lingo for a manager's ability to produce better returns than a benchmark, such as the S&P 500, while "beta" stands for the benchmark. In portable alpha, the alpha is "ported," or added, onto the beta, potentially boosting returns. There are numerous permutations of the strategy. Most use a combination of stocks, derivatives and bonds. For now, average investors can't invest in portable alpha, which, like hedge funds, are largely restricted to wealthy investors and institutions.
Boosters of portable alpha say it is a revolutionary advance in financial engineering that takes advantage of strategies used by hedge funds. Critics contend it offers little real reward in the long run and lets money managers charge high fees to juggle the tricky parts of the investment. Others say it is overly dependent on risky derivatives and borrowed capital, and could burn investors during a sharp market downturn.
The strategy is growing rapidly. State Street Global Advisors, a unit of Boston's State Street Corp., says its assets under management in portable alpha have doubled in the past year. Mellon Capital Management, the San Francisco money manager, has $21 billion under management in portable alpha, and is adding more than a billion dollars more in new permutations this year. Pacific Investment Management Co., the big bond manager based in Santa Monica, Calif., has more than $50 billion under management in portable alpha. Goldman Sachs Group Inc., Morgan Stanley, J.P. Morgan Chase & Co. and Putnam Investments, among others, also offer portable-alpha strategies to institutional clients.
Critics say portable alpha is nothing more than Wall Street hocus-pocus that lets money managers rack up higher fees. "This is the same old pig with lipstick on it as active management," says William Bernstein, co-principal at Efficient Frontier Advisors, an Eastford, Conn., firm with $175 million under management. "It's like they're saying you can buy a slice of alpha like a slice of salami, and my guess is [the alpha] is getting thinner and thinner" as more money flows into the strategy.
Indeed, the credibility of portable alpha rests on the assumption that a large number of managers can consistently beat the market over an extended period of time. But that notion is widely disputed by academics. Eugene Fama, a professor of finance at the University of Chicago, and Kenneth French, a professor at Dartmouth College, recently published a paper arguing that strategies that depend largely on borrowed funds, such as portable alpha, run a high risk of sharp losses in times of market duress. Such skeptics generally argue that investors should stick with low-fee, stock-index mutual funds.
Studies show alpha mightn't be as common as backers of portable alpha claim. David Hsieh, a finance professor at Duke University and an expert on hedge funds, recently estimated there are only about $30 billion in above-benchmark returns available to investors each year. The entire hedge-fund industry has more than $1 trillion under management. "There are indications that some managers have high alpha, but on average the alpha that most hedge funds are offering is not that dramatic," said Ron Papanek, a market strategist at RiskMetrics Group, a New York researcher that studies hedge-fund strategies.
Most asset managers charge flat fees of about 1% for portable-alpha strategies, and some tack on a performance fee of as much as 20% -- not unlike hedge-fund fees. Goldman, for instance, says the incentive fees charged for its portable-alpha offerings are similar to fees charged by hedge funds.
Portable alpha is "a huge generator of fees, and when it works well, those fees are probably justified. But when everybody is doing it, probably not," says Peter Gilbert, chief investing officer of Pennsylvania State Employees' Retirement System, which has more than 20% of its $30 billion in assets in the strategy.
Portable alpha has been around, in one form or another, since the early 1980s. But pension funds have piled into the strategy in the past few years, as market returns have stagnated. According to consultant Greenwich Associates, 18% of all public pension funds with more than $5 billion under management have invested in the strategy, and another 21% are considering making an allocation.
The California Public Employees' Retirement System, or Calpers, had about $1 billion invested in portable-alpha strategies in 2004. The Massachusetts state pension fund plans to allocate $2 billion to portable alpha this year. The Police and Fire Fund of San Antonio has $100 million earmarked toward investment in portable-alpha strategies by August.
Some are concerned about such funds loading up on risky derivatives, a key part of any portable-alpha strategy. Richard McCormack, a senior advisor for the Center for Strategic and International Studies and former undersecretary of state for economic affairs, has testified before Congress about the risk that pension funds could face in a derivatives-induced financial blowup. "Pension funds are reaching for yield," he said in an interview. "And of course, short-term yield is found when there's high risk. My admonition is, be careful of this."
Jeffrey Knight, chief investment officer at Putnam Investment Management, says his firm, which has $182 billion under management, is well aware of the risks associated with derivatives in the event of a financial shock. "We have procedures in place to deal with risks of that nature," he says. Other managers who run portable-alpha portfolios say that, while the investment is complex, it reduces risk through diversification.
警惕“可携阿尔法”策略的高风险
提到华尔街眼下最热门的投资战略，它听起来更像是人们去月球旅行时会携带的某种东西，而不是用来积攒退休资金的“秘密武器”。
这就是所谓的“可携阿尔法”(Portable Alpha)战略，很多捐赠基金和退休基金都对它趋之若鹜。Citigroup Alternative Investment经理迪安?巴尔(Dean Barr)表示，这是眼下退休基金所使用的策略中发展最快的一种。“我们又开发了一个更好的赚钱工具，”他说。Citigroup Alternative Investment是花旗集团(Citigroup Inc.)旗下子公司，它计划于8月份大面积推出可携阿尔法产品。
可携阿尔法战略的操作较为复杂，但它的基本思路很简单。投资者不再将资金存放到共同基金、委托它们去投资金融市场，而是选择一个跟踪指数的衍生产品，例如跟踪标准普尔500指数。这些合约使得投资者投到市场中的资金大大减少，让他们能留出多余现金投向共同基金和其他投资工具中，为投资者带来该策略的“阿尔法”部分。
阿尔法这个术语在华尔街指基金经理创造的回报率高于基准指数（比如标准普尔500指数）的部分，而这个基准就用“贝塔”(beta)来表示。在可携阿尔法策略中，阿尔法是“可携的，”或者说是附加到贝塔之上，因此有可能提高回报。这个策略有多种置换原则，多半使用股票、衍生产品和债券。目前普通投资者尚无法进行可携阿尔法投资，与共同基金一样，此类产品主要面向富有的投资者和机构。
可携阿尔法策略的拥护者声称，这是金融工程领域的一次革命性创新，汇集了对冲基金各种策略之所长。而批评人士则反驳道，长期来看它不会提供任何实质回报，只不过是基金经理为收取高昂手续费而耍弄的小伎俩。还有人说，它对高风险的衍生产品以及借入资金过于依赖，一旦市场大幅下挫，投资者可能血本无归。
这种策略在华尔街迅速风靡。波士顿道富银行(State Street Corp.)旗下道富环球投资管理公司(State Street Global Advisors)表示，公司管理的可携阿尔法投资资金在过去一年增长一倍。旧金山理财公司Mellon Capital Management拥有210亿美元可携阿尔法投资，预计今年还将对新的置换品种追加10亿美元投资。著名的债券投资管理公司Pacific Investment Management Co.管理著超过500亿美元可携阿尔法投资。高盛(Goldman Sachs Group Inc.)、摩根士丹利(Morgan Stanley)、摩根大通(J.P. Morgan Chase & Co.)以及Putnam Investments也先后向机构投资者提供了可携阿尔法投资。
批评人士指出，可携阿尔法策略只不过是华尔街券商故弄玄虚的一个手段，让基金经理抬高了手续费。Efficient Frontier Advisors的联席负责人威廉?伯恩斯塔(William Bernstein)说，“他们好像在说，你拥有一块阿尔法，就能获得一块肥肠，但我想，涌向此类投资的人越多，你的肥肠也就越小。”
事实上，人们对可携阿尔法投资的青睐完全是基于对基金经理长期不断地赶超大盘的假设。而从理论上讲，这种假设根本站不住脚。芝加哥大学(University of Chicago)金融学教授尤金?法马(Eugene Fama)和达特茅斯学院(Dartmouth College)教授肯尼斯?弗兰奇(Kenneth French)最近发表报告指出，可携阿尔法以及其他很多投资策略对借入资金过于依赖，一旦市场止步不前，投资者很可能损失惨重。这些批评人士基本认为，投资者应该更倚重低手续费、投资指数的共同基金。
研究显示，阿尔法回报可能并不像可携阿尔法策略的倡导者所鼓吹的那么普遍。杜克大学(Duke University)金融学教授、对冲基金专家戴维?黑尔(David Hsieh)最近表示，每年投资者所能获得的高于基准指数的回报可能只有300亿美元。而整个对冲基金行业管理的资产超过1万亿美元。“这就是说，部分基金经理可能获得了较高的阿尔法，但总体来看，多数对冲基金的阿尔法回报并不高，”纽约研究机构RiskMetrics Group的市场策略师罗恩?帕帕奈克(Ron Papanek)说。
多数理财经理向投资者收取1%左右的普通手续费，但他们会依据业绩收取高达20%的业绩手续费，这一点与共同基金别无两样。例如，高盛表示，他们对可携阿尔法收取的提成费与共同基金手续费基本类似。
可携阿尔法“创造了大量手续费，如果回报很高，也算合情合理。但是如果所有人都蜂拥而至，恐怕就难有上佳表现了，”Pennsylvania State Employees' Retirement System的首席投资长彼德?吉尔伯特(Peter Gilbert)说。该公司300亿美元资产中有20%投在可携阿尔法策略产品。
自八十年代初以来可携阿尔法投资就有了，并且形式五花八门。但最近几年，随著市场回报日渐萎缩，该策略开始受到退休基金的广泛青睐。据咨询公司Greenwich Associates的数据显示，在资产超过50亿美元的所有上市退休基金中，有18%持有可携阿尔法策略投资，另有21%正在考虑类似投资。
加州公务员退休基金(The California Public Employees' Retirement System) 2004年在可携阿尔法投资中倾注了10亿美元资金。马萨诸塞州州立退休基金今年将会在可携阿尔法策略中分配20亿美元资金。截至8月，圣安东尼奥警卫与消防基金(The Police and Fire Fund of San Antonio)将1亿美元专用于可携阿尔法策略投资。
部分人士对此类基金承载的高风险衍生投资深感担忧，而衍生投资正是可携阿尔法策略的重要部分。Center for Strategic and International Studies高级顾问、负责经济事务的美国前副国务卿理查德?麦克科麦(Richard McCormack)曾在国会作证时称，退休基金的高风险投资可能招致与衍生产品有关的财务亏空。“退休基金正在追求高收益，”他在接受采访时称，“当然，短期收益的确是实现了，但高风险也正在孕育。我认为，应对这种投资多加小心。”
Putnam投资管理公司投资总监杰弗里?奈特(Jeffrey Knight)说，他所在的机构对衍生品在金融动荡时期可能带来的风险非常谨慎。他说，为此他们采取了应对这类风险的措施。Putnam旗下管理著1,820亿美元资产。其他涉足阿尔法策略投资的基金经理表示，虽然这类投资比较复杂，但它通过分散投资对象达到了降低风险的效果。
