130/30基金是近年国际金融市场兴起的基金投资新品种,是主动性投资以指数为基准的多头与空头相结合的

投资方法,完全有别于通常的以波段投资为策略的投资风格。利用杠杆进行投资是对冲基金常用的手法,而

且杠杆率十分高,而将此种方法引入共同基金是近两年的事,这种基金投资策略在国际金融市场受到了投资

者的相当青睐,据《养老金与投资》杂志统计,截止去年年底,采用130/30投资策略的基金已经超过了500亿

美元,预计到2012年,采用130/30投资策略的基金规模会达到美国主动型大市值基金的25%以上。



1.什么是130/30基金



此类基金投资的投资方式介于传统做多(long-only)与多空策略型(long-short strategy)对冲基金之

间,实际投资状况其实并不复杂。具体地讲,就是将基金份额全部以指数为基准投资于多仓,同时,利用杠杆,

从证券经纪商融入相当于基金原有净值30%的证券(融券),并抛空这部分融入的证券,然后再将抛空所得的现

金建多仓,这样,基金的实际投资组合变为多头130%(100%+30%),空头30%,基金的净权益风险敞口仍然保持在

大约100%。因此,虽然利用了投资杠杆, 130/30基金仍然保持着市场的风险暴率(即Beta系数接近于1),但使

得基金能够产生较高的超额收益(即alpha)。

之所以是130/30而不是140/40,150/50,一个最主要的原因是美联储T条例对客户现金账户不能将其风险敞口

扩大至本金一倍以上的限制,而且研究表明,随着杠杆和融券比例的扩大,运用这种策略投资的基金边际超额

收益在下降,同时风险大幅度扩大。以实际数字来看,类似130/30方式的主动型基金市场分布,120/20为25%

、125/25为19% 、130/30为52%,至于140/40则只有4%,也可以看出130/30基金的市场主导地位。



2.130/30基金的产生背景



笼统地说,130/30基金的产生背景是由于IT和美元泡沫破裂后投资者要求更高的投资回报,或者说更大的

alpha,但更深的原因在于,国际投资界一直在探讨放松对共同基金从事卖空交易的限制。从法律上允许共同

基金从事卖空业务确是近两年的事。

从投资策略上看,传统的共同基金是先选定其投资标的,再做资产配置,然后依照投资哲学(由上而下或是由

下而上,抑或成长或价值风格)进行投资标的选择,经过分析筛选后,再对筛选后的股票做详细分析及交易买

卖。在这样的积极投资过程中,基金经理人的选股能力是决定绩效的重要关键,但是也因只做单边投资,因此

在空头或市场剧烈波动时,没有资本保存能力,只能通过降低仓位,实现“少跌为赢”来追求相对绩效。此外

,进行传统共同基金管理时,基金经理做了很多的基本面研究,希望能够选择到有上佳表现的股票,但是经过

研究后,相对于预期较差表现的股票除了将投资组合中的权重调整为零以外别无他法,其实也是一种研究资

源的浪费,如果可以卖空该类股票,将卖空股票的钱去买较佳的股票,则可以直接增加投资组合整体业绩,而

且被卖空的股票并不一定需要其股价下跌才能对投资组合有所帮助,只要可找出相对表现较差的股票即可增

进投资组合的表现。



其实130/30基金的产生,除了上述分析外,还有以下两个原因:

1)主动性风险的下降。尽管以VaR为核心的现代风险管理工程技术能大大降低主动性风险(所谓主动性

风险就是以指数为基准超过指数风险的部分),但用传统的只能建立多仓的策略,基金却越来越难取得超额收

益;

2)对冲基金的灵活投资策略和高收益性使普通投资者也能接受共同基金进行卖空抛空交易,放松对共同

基金的投资限制成为投资界的共识。

因此,130/30基金被看作是传统权益类投资基金的一个自然延伸,以下实证评估说明,130/30策略能显著

地改变基金的业绩



3.130/30基金投资策略



130/30投资策略的运用对基金管理人的要求无疑是极高的,至少需要以下能力:



1)以指数为基准的股票估值评级排序

目前,国内共同基金除指数型基金外,大部分主动性基金采用的是波段操作策略,这种对股票池的选定方

法有一定的随机性,因为这种方法只关注公司的短期基本面,不太关注个股和大盘的相对风险。国外130/30

基金要求基金经理必须具备对股票以指数为基准的风险估值排序能力,这种方法通过构造股票池模拟投资组

合,计算每个股票对组合的风险贡献值以及beta(即每只股票相对于基准指数的敏感性),将候选股票根据风

险值和估值情况排序。这种方法必须是准确的、全面的和系统性的。这实际上对基金公司的风险管理和金

融工程模型提出了较高的要求。



2) 在对股票按估值和风险排序的基础上构造最优投资组合的能力

以130/30基金投资股票数目以200来计算,在满足监管机构对基金投资股票比例以及其它诸多限制条件下,构

造出一个最优化的投资组合不是传统的系统和定量方法能够达到的,必须借助于专门化的数学和金融工程模

型,同时以IT技术为辅助,才能实时计算出最优化的组合,因为,参数为200的最优化解计算量相当大,在传统

方法下根本计算不出来,必须借助于现代IT技术。

3)对已经构造出的最优化投资组合进行风险动态监控能力

无疑,130/30基金在获取超额回报方面比传统只允许建立多仓的基金提高了一大步,但同时,因为有了卖空和

杠杆的作用,风险也随之加大。因此,对130/30基金进行动态风险监控,清楚的了解每只股票对组合的绝对和

相对风险贡献值以及和基准指数的相关性是非常必要的。

由此可见,对股票风险和估值的评级排序系统,投资组合的优化系统以及动态风险监控系统是130/30投资策

略必具的工具。我们下面将通过运用上述三种方法和工具进行的中国市场130/30基金的实证检验。

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A 130-30 fund or a ratio up to 150/50 is a type of collective investment vehicle, often a type of specialty mutual fund, but which allows the fund manager simultaneously to hold both long and short positions on different equities in the fund. Traditionally, mutual funds were long-only investments. 130-30 funds are a fast growing segment of the financial industry, with many new releases planned in 2008[citation needed]; they should be available both as traditional mutual funds, and as exchange-traded funds (ETFs). While this type of investment has existed for a while in the hedge fund industry, its availability for retail investors is relatively new.



A 130/30 fund is considered a Long-Short Equity Fund, meaning it goes both long and short at the same time. The "130" portion stands for 130% exposure to its long portfolio and the "30" portion stands for 30% exposure to its short portfolio. The structure usually ranges from 120/20 up to 150/50 with 130/30 being the most popular and is limited to 150/50 because of Reg T limiting the short side to 50%.



The Mathematics of 130-30
The 130-30 funds also known as 1X0/X0 funds give ordinary investors a taste of an investing strategy that has been popular among hedge funds, lightly regulated investment pools for institutions and rich individuals. Like other "long-short" mutual funds, the 130-30 funds have traditional "long" holdings of stocks but also sell other stocks "short" in a bet that prices will fall. In a short sale, investors sell borrowed shares with the hope of repurchasing them later at a lower price.

The 130-30 funds work by investing, say, $100 in a basket of stocks. They then short $30 in stocks that they believe to be overvalued. Proceeds from that short sale are then used to purchase an additional $30 in stocks thought to be undervalued. The name reflects the fact that the manager ends up with $130 invested in traditional long positions and $30 invested short. A common strategy is to use a traditional index, such as the Standard & Poor or NASDAQ 100, and then rate the stocks comprising that index by a proprietary method; the top stocks would be held long, the bottom stocks short.



What are 130-30 Active-extension funds

130-30 strategies share three investment techniques with hedge funds; they are allowed to use short selling, they are leveraged vehicles and they typically have a performance-linked compensation. There are also vast differences, firstly they do not seek absolute returns regardless of the performance of the market. Instead 130-30 strategies aim at outperforming an index or another benchmark just like a traditional investment fund. Johnson et al. (2007) argue that despite the similarities to hedge funds, a 130-30 strategy is more like a long-only strategy because it is managed to a benchmark and has a 100 percent exposure to the market. Therefore, a 130-30 strategy’s performance should be evaluated similar to a long-only strategy and compared to its benchmark. Market exposure is also called beta, and 100 percent exposure equals a beta of one. For this reason both long-only and 130-30 are often referred to as beta-one strategies. In contrast, hedge funds with a marketneutral long-short strategy, by definition, have a beta of zero. Secondly, 130-30 funds are typically regulated under the jurisdiction of traditional investment funds, and for this reason they are allowed to market themselves to the general public. This, in combination with the fact that the risk and return profile of 130-30 structures is similar to the long-only framework, makes them suitable to attract long-only money.

The primary purpose of the 130-30 funds is to tap into the large pool of assets allocated to long-only managers, while the primary rationale of the strategy is to attempt to construct more efficient portfolios by allowing limited short selling. The world’s 500 largest long-only fund managers have a total of assets under management of $63.7 trillion. In comparison global hedge fund assets are estimated to $2.48 trillion, or 3.9 percent of that. It is obvious that the long-only funds manage a large chunk of money that everyone is interested in. The global assets of 130-30 funds are in perspective very small, approximately $53.3 billion. Nevertheless, the fund segment is growing rapidly; assets increased with 78.5 percent over the first nine months of 2007. The fee structure of 130-30 funds is, as mentioned above, closer related to that of hedge funds than that of long-only funds. In general, the performance fee is on average very similar to the hedge fund average, while the management fee is typically lower, and in-between long-only and hedge funds.


Comparison with other investment vehicles

The trade-off between long-only, 130-30 and market neutral long-short funds depends on two factors:

1) If one has a neutral or negative market view and does not want any beta exposure, then one should invest into a market neutral long-short hedge fund. However, if one has a positive market view and wants beta exposure, then one should invest into either a long-only or 130-30 strategy.

2) If one believes that the fund manager can generate alpha from the short leg than it is better to invest into a 130-30 strategy rather than a long-only strategy. However, if one believes, that the manager cannot generate alpha from short selling or that the higher gross exposure of a 130-30 fund is unbearable, then one should invest into a long-only strategy.



The greater part of hedge funds describe themselves as market neutral long-short equity strategies. The purpose of all market neutral long-short funds is to run an absolute-return strategy. Consequently, the aim of the investment strategy is to produce profits regardless of market direction. Many hedge funds and market neutral long-short funds were started following the last bear market from 2000-2002, endorsed by a prolonged bear market that sparked interest in absolute returns and the separation of alpha and beta management. The worldwide growth in hedge funds was driven by three factors: the equity bear market; investor interest in absolute returns due to heavy losses and the flow of top talent into those hedge funds notching up absolute returns. Typically, market neutral long-short funds will have a beta exposure between 30 percent net long to 10 percent net short. Since market neutral long-short returns often move in a different direction from the overall market, it can help investors to diversify their portfolios. In neutral or bear market scenarios, the advantages of market neutral long-short are prevailing. In bull markets, market neutral long-short strategies tend not to be able to generate better returns than other investment strategies. In comparison, it would be advantageous to invest into a 130-30 fund in a strong bull market. The main obvious similarity between these strategies and 130-30 is that both strategies have both long and short positions. Market neutral hedge funds typically charge a performance fee, inline with most 130-30 funds. On the other hand they are not managed to an index, but instead use the risk-free interest rate as their benchmark.



The holy grail of alpha hunting and absolute returns is a zero sum game, producing winners and losers. A fact that often seems to be overlooked is that performance fees, besides aligning the interest of fund managers with investors, also attain top talent. Since alpha is difficult to extract, the single most important factor of active management is the talent of the fund manager. According to a hedge fund survey in 2005, the three key risks for the fund segment is overcrowding, poor returns and mis-pricing. In effect, the argument is that due to overcrowding the alpha available for capture by hedge funds has to spread over more funds, resulting in lower returns. Furthermore, the study concluded that two in three pension funds believe that worldwide overcapacity will drive down the returns. One should underline that these risks are also noteworthy for 130-30 strategies. As an asset class hedge funds have recorded an annual return of 10.7 percent since 1994, according to CSFB/Tremont, which tracks about 400 hedge funds. That is marginally ahead of Standard & Poor’s 500 annual gains over the period of 10.4 percent. In this perspective, beta seems to offer rather attractive risk-adjusted returns over time. Conclusively, one could argue that it might be desirable to invest in a strategy that can offer both beta and the potential upsides of long-short strategies in terms of alpha generation. Nevertheless, 130-30 is first and foremost not competing with market neutral long-short funds as an investment vehicle. Instead, they should be viewed as an alternative to long-only funds, where managers can use short selling as a possible additional source of alpha.


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130/30 funds are revolutionary -- or so say the marketers who explain the funds as a way to take advantage of the fund managers stock picking expertise. What are these 130/30 funds and should you buy one?



Traditional Funds vs. 130/30 Funds
The traditional equity mutual fund owns the stocks the fund manager believes will outperform compared to the fund’s benchmark. In other words, the fund manager might buy shares of Microsoft because he/she believes that Microsoft will outperform a domestic large-cap equity index -- such as the S&P 500. If this same manager decides that Microsoft is a lousy investment, the manager can only sell the stock if they currently own it.

Therein lies the difference between a traditional mutual fund and a 130/30 fund. If the manager of a 130/30 fund believes Microsoft is a lousy investment, they can sell the stock short. In other words, they can sell the stock without owning the stock -- a strategy that investors can use to take advantage of a falling stock price. So, a manager of a 130/30 fund can make a decision to buy a stock in order to make money and sell a stock to make money (versus the traditional fund manager that can only sell a stock to not lose money).



Structure of 130/30 Funds
A 130/30 fund will be long (own) stocks worth 130% of the portfolio while shorting (such as in the above example with Microsoft) 30% of investor assets in the fund.

Let’s look at a simple example to understand the concept of 130/30 funds:

1.The fund has $1 million of assets for which it buys $1 million of securities (100% long).
2.The fund borrows securities worth $300,000 and sells those securities (30% short).
3.The proceeds from the short-sales are used to buy $300,000 additional securities (30% long).
4.The fund has $1.3 million securities long (130% long) while shorting $300,000 (30% short).
5.Now we have a 130/30 fund.
The Attraction of 130/30 Funds
The 130/30 fund structure is particularly interesting to the active fund manager who believes he/she adds value by picking and choosing individual stocks. For instance, the traditional fund manager can choose stocks that they believe will increase in value -- investing 100% of the portfolio in their stock selections. On the other hand, a fund manager of a 130/30 fund also has 100% exposure to the market but makes investment decisions with 160% of portfolio’s assets.

How do they achieve 100% exposure to the market and make investment decisions with 160% of the portfolio’s assets? As in the example above, the fund manager decides to buy stocks worth a total of 130% of the fund’s assets and decides to short stocks worth 30% of the funds’ assets. The fund exposure to the market is 130% positive and 30% negative which nets to 100% and he/she has made active decisions totaling 160% of the portfolio (130% long, 30% short).



The Risks of 130/30 Funds
Who better to define the risks of a 130/30 fund than a fund company that employs the structure? From JP Morgan Asset Management’s website: “There is no guarantee that the use of long and short positions will succeed in limiting the fund's exposure to domestic stock market movements, capitalization, sector-swings or other risk factors. Investment in a portfolio involved in long and short selling may have higher portfolio turnover rates. This will likely result in additional tax consequences. Short selling involves certain risks, including additional costs associated with covering short positions and a possibility of unlimited loss on certain short sale positions.”



Do You Need a 130/30 Funds?
So, who really needs a 130/30 fund? Is this 130/30 fund structure more hype and hoopla for purveyors of mutual funds?

In short, 130/30 funds are in their infancy stage. While several 130/30 funds were established in 2004, the majority of 130/30 funds have less than a five year track record. It’s too early to tell.

However, if you’re a believer in index fund investing (or passively managed investing), you would balk at owning these 130/30 funds. Getting the longs and shorts both right, would be a miracle -- an indexer might lament.