????哈羅德?康平——那個討人喜歡的傻老頭——給出的“世界末日”預言落空了。5月21日來了，又走了，信徒得救(Rapture)一幕并未出現(xiàn)?，F(xiàn)在，他已經(jīng)將末日期限調(diào)整到了10月21日，但如果這個家伙有點經(jīng)濟頭腦的話，還不如將時間設定為6月30日。因為四周之后，市場將必須應對美聯(lián)儲二次量化寬松政策到期的現(xiàn)實。

????投資者該怎么做？有人或許會說，應遠離美國國債市場，因為這個市場將失去最大的買家。下述數(shù)據(jù)雖然看似驚人，但千真萬確：自從去年秋季二次量化寬松政策啟動以來，美聯(lián)儲買入了國債發(fā)行量的70% 。也有人可能會說，應遠離股市，因為1.5萬億美元的貨幣刺激政策后，可能給增長帶來負面影響。但如果你做空股票，美聯(lián)儲也可能出其不意地啟動新一輪印鈔計劃，給股票投資者以新的希望。那么，可否考慮做空歐元？當然可以，但如果歐盟在阻止希臘債務危機惡化未果后投入更多資金，導致你的做空策略失敗，也別感到意外。

????全球各國政府對資本市場前所未有的干預力度已經(jīng)極大地改變了資產(chǎn)配置環(huán)境。我們的投資組合新添了一類全新的風險，而且這種風險并非我們過去在決定配置國債、還是股票時考慮的風險。投資機構Evercore Wealth Management正是瞄準了這一領域，推出了一款填補市場空白的產(chǎn)品。

????Evercore Wealth Management成立于2008年，并得到羅杰?奧特曼旗下Evercore Partners的支持。該機構目前僅有39名雇員，資產(chǎn)管理規(guī)模約28億美元。公司規(guī)模雖小，但思路開闊，由其組合經(jīng)理約翰?麥克德莫特管理的Diversified Market Hedges策略就是最好的例子。

????So Harold Camping, that delightful old fool, was wrong. May 21 came and went, and the Rapture did not arrive. He revised his Doomsday deadline to October 21, but if the man had any economic sense, he would have gone for June 30 instead. That's because four weeks from now, the markets will have to deal with their own Rapture, as QE2 -- shorthand for the Federal Reserve's second round of so-called quantitative easing -- comes to an end.

????What's an investor to do? One would think you'd want to steer clear of the Treasury market, which is going to lose its biggest buyer. As remarkable as the following number may seem, it's true: the Fed has been buying 70% of Treasury issuance since the beginning of QE2 last fall. One might also consider steering clear of equities, on the assumption that the withdrawal of $1.5 trillion in monetary stimulus might negatively impact growth. Then again, if you go short equities, the Fed might surprise us once again with some new round of money printing, in the process giving equity investors new hope. Thinking of shorting the euro? By all means, go ahead, but don't be surprised when the European Union throws a wrench in that strategy by throwing even more good money after bad in yet another forestalling of the inevitable default of Greece.

????The unprecedented level of intervention in the capital markets by governments all over the globe has changed the asset allocation game dramatically. There's a whole new category of risk that's been added to our portfolios, and it's one that isn't accounted for in a traditional allocation decision between government bonds and equities. That's where the folks at Evercore Wealth Management come in. They've got a product to fill that gap.

????Founded in 2008 with backing from Roger Altman's Evercore Partners, Evercore Wealth Management has just 39 employees and some $2.8 billion under management. For a relatively small firm, though, it's been doing some pretty big thinking. The best evidence of that: their Diversified Market Hedges strategy, overseen by portfolio manager John McDermott.

預測極端的貨幣措施

????從2009年1月起，麥克德莫特和他的團隊開始為Evercore客戶提供一項新的策略，旨在發(fā)現(xiàn)那些受益于極端政策(例如，過去兩年多美國貨幣基數(shù)擴大了一倍多)的資產(chǎn)。他們期待當市場力量可能超越政策力量時，政府行動可能會修正或逆轉(zhuǎn)?；谶@樣的預測進行投資，他們的投資組合總體風險將低于單純投資股票和債券的組合。

????如果你們對一切有關匯率、大宗商品、利率和赤字的話題感興趣，不妨聽一聽：麥克德莫特很多言論都非常直截了當。

????如果要問這項策略的最大贏家是誰？針對美聯(lián)儲印鈔狂歡進行的逆向交易值得一提。Evercore客戶從2009年初(當時金價不到1，000美元/盎司)到2011年初一直持有黃金，當金價超過1，500美元/盎司后他們清倉了。

????另一種方法是進行簡單的國家比較。麥克德莫特表示，“如果一個國家告訴你，他們將大肆印鈔，債券收益率低企，比如美國；而另一個國家沒有大量印鈔，債券收益率較高，比如幾年前的巴西和澳大利亞，你愿意持有哪國債券？”Evercore客戶曾持有收益率為5-7%的澳大利亞公司債和收益率為8-9%的巴西債券，而不是持有收益率近乎零的美國國債。當巴西和澳大利亞成為率先加息的國家之一，它們的貨幣也出現(xiàn)了升值，進一步推高了這兩類債券投資的收益。

????如果這聽起來就像小喬治?索羅斯的口吻，也沒錯。麥克德莫特和三位同事花費大量時間，試圖預測未來決策者將采取什么行動，無論這些行動是合理還是瘋狂。但麥克德莫特堅持認為，他和他的團隊并不是在做政策判斷，而是分析業(yè)已出臺的政策、可能達到的目標以及市場對該政策的看法，找出三者之間不一致的地方。在此基礎上鎖定投資目標：即如果政府干預無效、甚至起到反作用的話，可能升值的資產(chǎn)或資產(chǎn)組合；但同時，如果政策正確，這些資產(chǎn)或資產(chǎn)組合也不一定貶值(難以捉摸的贏贏主張)。

????當然，如果你以預測為生，難免會犯錯。前幾年該團隊曾預測人民幣會重估，結果事與愿違。麥克德莫特說，“在牛市瘋狂時期，我們的投資組合中有相當一部分資金閑置?！绷硪粋€錯誤：同時做空歐洲股票和歐元?！霸谶@兩項判斷上，我們低估了投資者對持續(xù)救助方案的信心，”他說，“我們的假設是在某個時點，市場必定會拋出。如果破產(chǎn)，就會出現(xiàn)違約或重組。顯然，在這一點上歐洲人和我們的觀點不同?！?/p>

????如今他們的倉位如何？這個Evercore的團隊仍在做空歐洲，但已減倉“流動性工具”(特別是黃金)，轉(zhuǎn)而增倉利率策略——全球增長放緩和美國收益率曲線扁平化均利好利率策略。

????麥克德莫特目前管理資產(chǎn)規(guī)模為2億美元 (略低于建議配置比例——Evercore客戶資產(chǎn)的10%)，但沒有理由證明他和他的團隊不能管理數(shù)倍于當前規(guī)模的資產(chǎn)，特別是考慮到他們正在對全球流動性最強的一些市場進行投資。這并不是那種“把球擊出場外”的策略。它的目的是幫助保存財富，因此并不使用直接杠桿。截止4月底，該基金今年以來漲幅5%，低于標準普爾500指數(shù)的8.4%漲幅；自基金成立以來的年化回報率為17.9%，而波動率僅為股市的一半。該策略的投資品種中很少有標準普爾500指數(shù)或美國國債的蹤影，因此回報率也與這兩個市場幾無關聯(lián)。

????在與麥克德莫特的會面即將結束時，我已對該策略的優(yōu)點深信不疑，并表達了加入意愿。不幸的是我沒有在Evercore開戶所需的500萬美元。我問，為什么不設立一個共同基金？在一段含糊其辭的解釋后，他的公關代表發(fā)來了下述聲明：“在Evercore Wealth Management，我們一直在尋找機會，希望利用包括共同基金在內(nèi)的各類工具來發(fā)展Diversified Market Hedges組合?！遍_始行動吧，麥克德莫特！你的第一個零售客戶已經(jīng)迫不及待了。

Predicting extreme monetary measures

????Starting in January 2009, McDermott and his team began offering Evercore clients a new strategy designed to find assets that benefit from policy extremes and distortions. Like, for example, the fact that the U.S. monetary base has more than doubled in the past two-plus years. They then invest in anticipation of impending adjustments or in opposition to government actions when the market dynamics seem likely to overwhelm policy, thereby reducing overall investment risk relative to a portfolio exclusively invested in stocks and bonds.

????To those of you whose eyes glaze over and ears tune out when the conversation turns to currencies, commodities, interest rates, and deficits, take hope: a lot of what McDermott is talking about is pretty straightforward stuff.

????The biggest winners in the strategy? Trades that sat in opposition to the orgy of money printing by the Fed. Evercore clients were sitting on gold from early 2009 -- when it was less than $1000 an ounce -- through early 2011, when it topped $1500 an ounce and they eliminated the position.

????Another one: simple country-to-country comparisons. "If one country tells you they're going to print money with abandon and has low bond yields -- that would be the U.S. -- and another is not printing money and has high bond yields -- a few years back, that was Brazil and Australia -- which would you want to own?" asks McDermott. Evercore clients owned Australian corporate bonds paying between 5% and 7% and Brazilian bonds paying 8% to 9% instead of U.S. Treasuries yielding almost nothing. When Brazil and Australia were two of the first countries to raise rates, their currencies also appreciated, adding a kicker to the investment.

????If this sounds a little George Soros to you, it should. McDermott and three colleagues spend their time trying to predict what policy makers are going to do, whether those actions are intelligent or insane. But McDermott is adamant that he and his team are not making policy judgments. Instead, they are simply looking for inconsistencies between a stated government policy, its likely objective, and the way that markets perceive that same policy. The goal: to find assets or collections of assets that could appreciate it interventions are ineffective or even counterproductive, but that would not necessarily decline if policy turned out just right. (Otherwise known as the elusive win-win proposition.)

????Of course, when you're in the prediction business, you're sometimes wrong. The team bet that the Chinese would revalue their currency in the past few years, something that didn't happen. "We had quite a bit of money doing absolutely nothing in the portfolio during a wild bull market," McDermott says. Another mistake: going short both European equities and the euro itself. "In both cases, we underestimated investors' willingness to rely on further and further and further bailouts," he says. "We operate on the premise that a market has to clear at some point. If it's broken, it needs to default or be restructured. Apparently, the Europeans don't agree with us about that."

????How are they positioned today? The Evercore team remains short Europe. But it's been trimming down its "liquidity vehicles"—gold, in particular—in favor of interest rate strategies that will benefit with weakening global growth and a flattening U.S. yield curve.

????McDermott has $200 million under his purview right now (a shade under 10% of Evercore client assets, which is their recommended allocation), but doesn't see any reason why he and his team couldn't manage multiples of that amount, especially considering that they're investing in some of the most deeply liquid markets in the world. This is not a hit-the-ball-out-of-the-park kind of strategy. It's meant to help preserve wealth, and as such doesn't use direct leverage. Through the end of April, the fund was up 5% for the year, compared to an 8.4% jump by the S&P 500. Since inception, it's had 17.9% annualized returns with half the volatility of stocks. Very few investments in the strategy look anything like the S&P 500 or a U.S. bond account, so the returns have been largely independent of both of those markets.

????At the end of my meeting with McDermott, I was so convinced of the merits of the strategy that I told him I wanted in. Unfortunately, though, I don't have the $5 million it takes to open an account at Evercore. Why don't they start a mutual fund, I asked? After some hemming and hawing, his public relations representative sent over this statement: "At Evercore Wealth Management, we are exploring opportunities to leverage the Diversified Market Hedges portfolio in various vehicles, including mutual funds." Bring it on, McDermott. You've got your first retail customer already lined up.