远在通过迫使英镑退出欧洲汇率机制而获利10亿美元以前，乔治•索罗斯(George Soros)就已经是对冲基金行业的标志性人物。然而，他的量子基金(Quantum Fund)总共为客户赚了多少钱，却鲜有人讨论——这很不寻常。
一项最新研究显示，自量子基金于1973年成立以来，80岁高龄的索罗斯已为他的客户赚进了320亿美元，平均每年获利超过9亿美元。换种说法，索罗斯和他300人的团队为投资者赚的钱，超过了拥有3.43万雇员的苹果(Apple)、或身为美国30家最大制造商之一的美国铝业(Alcoa)的总利润。
谈到对冲基金业赚取“绝对回报”的信条，索罗斯可谓个中翘楚。
但十大最成功的对冲基金自成立以来已总计获利近1540亿美元，即使是排名第十的基金——埃迪•兰伯特(Eddie Lampert)的ESL，赚的钱也比英国航空公司(British Airways)同期利润要多。
Leveraged Capital Holdings是爱德蒙得洛希尔集团(Edmond de Rothschild Group)的子公司，自1969年开始投资对冲基金。该公司董事长瑞克•索法(Rick Sopher)表示，他的研究结果证明了顶尖基金经理的交易技巧。全球约有7000家对冲基金，但排名最靠前的100家基金自成立以来所创造的利润，占到所有为投资者创造的利润的四分之三以上。
索法表示：“这些卓越的经理人为投资者赚了数不清的钞票，但其它7000家基金公司却多有令人失望之处。”
衡量对冲基金回报率比较困难，因为投资者往往反复无常——基金做得好，他们就趋之若鹜；做亏了，他们就会抛售。结果，投资者错过了很多成为报纸头条的炫目回报率。
亚特兰大埃默里大学(Emory University)的伊利亚•迪切夫(Ilia Dichev)与哈佛大学(Harvard)的Gwen Yu，在即将发表的论文中指出，投资者获得的实际回报率比媒体报道的回报率要低3至7个百分点。1980年至今，对冲基金年均回报率为12.6%。但他们发现，如果按投资流进行加权，投资者平均回报率仅有6%，远低于股票回报率，比债券回报率也好不了多少。
共同基金的情况与此类似：投资者往往会根据通常不会持久的近期表现挑选基金公司。
但索法表示，与共同基金相比，对冲基金更有责任确保客户获利。
“对冲基金收取的费用很高，理由是它们要为投资者赚钱，而不是像共同基金那样，只是向投资者提供投资某种资产类别的通道。”
十大对冲基金公司多半是历史较悠久的基金，往往可追溯至上世纪90年代初或更早，且除了一家公司外，其余都是美国公司。关于研究数据，有一点需要注意的是，低回报率基金被排除在外，而且可以想象，这个不透明的行业可能隐藏了本该列入名单的一些基金。
历史较悠久的基金不仅有更多的时间创造利润。过去十年，机构投资者在该行业的兴起，已经导致基金经理开始降低风险，进而抑制了回报率。
以Caxton Associates的创始人布鲁斯•科文纳(Bruce Kovner)为例。他旗下的Caxton Global fund全球排名第四，1983年以来总计为投资者赚进128亿美元。但上世纪90年代末，他的回报率与波动性均大幅下降。
不过，顶级基金的背后不一定是最佳年景。索罗斯在危机中仍有亮丽表现，重回上世纪70年代到2000年的表现，年均回报率超过30%。
众所周知，由于非常有预见性地押注于次贷崩盘，约翰•保尔森(John Paulson)的保尔森对冲基金(Paulson & Co)创下了历史上单年获利最高纪录。此外，榜单上的新贵——七年前刚成立的布勒旺霍华德(Brevan Howard)，因危机期间的回报率一举成名，成为了欧洲最大的对冲基金。这些回报率意味着，尽管成立时间短暂，但它却实现了18亿美元的行业年均最高利润。不过，如果根据通胀率进行调整，索罗斯基金的回报率会比它高出许多。
艾伦•霍华德(Alan Howard)创建的布勒旺，是十大基金中唯一一家由英国人管理的基金。不过，他和大多数团队成员最近从伦敦搬到了日内瓦。
布勒旺联席首席执行官纳吉•考卡巴尼(Nagi Kawkabani)表示，在经济前景变得更加明朗前，所有基金的回报率可能都会不景气。
他表示：“如果有谁认为，无需承担非常大的风险或杠杆，就能持续实现相对于现金600到700个基点（6%到7%）的收益率，这种想法可能是不现实的。如果获利机会显而易见，利率就不会是零。”
大卫•泰珀(David Tepper)的Appaloosa Management全球排名第七。他表示，现在很难判定经济的运行方向，因此他对基金进行了大量对冲操作，10%的基金资产以现金形式持有。
他表示：“眼下，注重理性判断的人非常困惑。分析非常精微。”但他表示，最可能的结果是，美国经济会在混乱中缓慢复苏。
保尔森对此持有异议。他预期美国会出现通胀型复苏，所以一直在买入黄金与银行股。他表示：“面对投资机遇，我们和以往任何时刻一样兴奋。市场的下跌已经创造了一个历史时刻，可以低价买入一些非常优质的资产。”
如果保尔森是对的，对冲基金很快就会斩获利润——和费用。假设它们的费率是20%（有些更高），十大基金的绩效费总额就会接近400亿美元。
每种绩效评判方式都存在缺陷，仅关注美元利润也具有误导性。不过，作为一项分析工具，它将绝对回报放回了应有的位置：对冲基金管理的核心。
译者/何黎
http://www.ftchinese.com/story/001034904
George Soros has been the public face of the hedge fund industry since long before he made $1bn forcing sterling out the European exchange rate mechanism. The total money his Quantum fund has earned for clients, though, has rarely been discussed – and is extraordinary.
According to new research, the 80-year-old Mr Soros has produced $32bn for his customers since setting up in 1973, an average of over $900m a year. Put another way, Mr Soros and his team of 300 have made their investors more than the total earnings of Apple, which employs 34,300, or Alcoa, one of America’s 30 largest manufacturers.
When it comes to the hedge fund mantra of “absolute returns”, Mr Soros is leader of the pack.
But the top 10 most successful managers have between them generated almost $154bn since they were founded, with even the number 10 – Eddie Lampert’s ESL – making more than British Airways earned over the same period.
Rick Sopher at Edmond de Rothschild Group, chairman of Leveraged Capital Holdings, which has been investing in hedge funds since 1969, said the findings of his research demonstrated the trading skills of the best managers. The top 100 made more than three-quarters of all returns for investors since they were founded, in an industry of about 7,000 managers.
“There are these great managers who made tons of money but among the other 7,000 there’s a lot of disappointment,” he says.
Measuring hedge fund returns is complicated by the fact that investors tend to be flighty, flocking to funds which have done well and selling out after losses. As a result, investors miss out on much of the dazzling percentage returns that make the headlines.
Ilia Dichev at Atlanta’s Emory University and Gwen Yu of Harvard, in a forthcoming paper, have found that actual returns to investors are three to seven percentage points lower than headline returns. Since 1980, the average hedge fund annual return was 12.6 per cent. But, weighted for investment flows, the average investor received only 6 per cent, they found, well below equity returns and not much better than bonds.
Something similar happens with mutual funds, where investors tend to pick managers based on recent performance, which often does not last.
But Mr Sopher says hedge funds have more responsibility to ensure their clients benefit than mutual funds.
“The hedge fund industry justified its high fees by making money for investors, not by providing access to asset classes in the way mutual funds do.”
The top 10 managers are mostly older funds, typically dating back to the early 1990s or before, and all but one is US-run. One caution on the data is that low-return funds were excluded, and the opaque industry could conceivably have hidden funds which should have made the list.
Older funds have not just had more time to generate profits. Over the past decade the rise of institutional investors in the sector has led managers to reduce risk, damping returns.
Take Bruce Kovner, founder of Caxton Associates, whose Caxton Global fund came in at number four with $12.8bn of profits for investors since 1983. His returns and volatility both dropped dramatically at the end of the 1990s.
The best years are not necessarily behind the top funds, though. Mr Soros has had a sparkling crisis, returning to the form that saw him produce an annual average above 30 per cent from the 1970s to 2000.
John Paulson’s Paulson & Co famously made more money in a single year than any investor ever, thanks to its prescient bet against subprime mortgages. And the upstart on the list, Brevan Howard, founded just seven years ago, shot to fame and became Europe’s biggest hedge fund thanks to its returns during the crisis. These returns mean that over its short life it had the highest profits of any fund per year, at $1.8bn, although Mr Soros’s returns would be far higher if adjusted for inflation.
Alan Howard’s Brevan is the only British-managed fund in the top 10, although he and much of his team recently relocated from London to Geneva.
Nagi Kawkabani, co-chief executive of Brevan, says that until the economic outlook becomes clearer, it is likely that returns for all funds will be depressed.
“Anyone who thinks they can consistently achieve more than 600-700 basis points [6-7 percentage points] over cash without taking a very large amount of risk or leverage is probably unrealistic,” he says. “If money making opportunities were obvious, [interest] rates would not be zero.”
David Tepper, whose Appaloosa Management was ranked seventh, says it is hard to decide which way the economy is heading, and, as a result, he is keeping his fund heavily hedged, with 10 per cent in cash.
“This is a time when reasonable people are so confused,” he says. “The analysis is very fine right now.” But he says the most likely outcome is that the US economy muddles through.
Mr Paulson, who has been buying gold and banks in the expectation of an inflationary recovery, disagrees. “We are as excited now as we have ever been about investment opportunities,” he said. “Markets have fallen to a point that has created a historic moment to buy very high quality assets at distressed levels.”
If Mr Paulson is right, hedge funds will soon be raking in profits – and fees. Assuming they charged 20 per cent (some charge more), the total performance fees of the top 10 funds have been close to $40bn.
Every way of looking at performance is flawed, and an exclusive focus on dollar profits would be misleading. As an analysis tool, though, it puts absolute return back where it should be: at the heart of hedge fund management.
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