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

一部分學(xué)術(shù)研究者和華爾街追隨者開(kāi)始嘗試合作。一些理論家和交易員正在研究諸如趨勢(shì)和價(jià)值的投資因素對(duì)比特幣價(jià)格的影響。此前，智能型交易開(kāi)放式指數(shù)基金，就徹底變革了股票市場(chǎng)，這些學(xué)者已經(jīng)證明了那些具有廉價(jià)、流動(dòng)性小的性質(zhì)的股票比整個(gè)市場(chǎng)帶來(lái)的回報(bào)更豐厚。

這項(xiàng)發(fā)現(xiàn)已經(jīng)衍生出了7000億美元的智能型交易開(kāi)放式指數(shù)基金市場(chǎng)，效益之高，難怪人們萌生了要把它應(yīng)用在其他領(lǐng)域的想法。量化投資之所以能夠建立起來(lái)，一個(gè)偏感性的心理動(dòng)機(jī)功不可沒(méi)。也就是，無(wú)論是涉及股票、債券還是首次代幣發(fā)售令牌，投資者的心理趨同性都會(huì)導(dǎo)致同樣的交易商機(jī)在全市場(chǎng)冉冉升起。

在這個(gè)理論陣營(yíng)中，普信公司（T. Rowe Price Group Inc.）的資產(chǎn)配置研究主管斯蒂芬?赫布里希，首先發(fā)表了一篇學(xué)術(shù)論文將異常因素與區(qū)塊鏈資產(chǎn)掛鉤。在建立模型和分析數(shù)據(jù)之后，赫布里希稱他可以證明，在數(shù)字代幣市場(chǎng)，量化交易將擊敗簡(jiǎn)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(xiě)道:“我們的研究結(jié)果不應(yīng)被視為對(duì)加密貨幣作為一種資產(chǎn)類別的認(rèn)可。相反，我們認(rèn)為這項(xiàng)發(fā)現(xiàn)巧妙地證實(shí)了市場(chǎng)潛在因素本身的功效?！?

比特幣研究仍缺乏數(shù)據(jù)支持

比特幣和其他加密貨幣之所以成為學(xué)術(shù)定量實(shí)驗(yàn)研究目標(biāo)，是因?yàn)樗鼈兣c傳統(tǒng)資產(chǎn)差異很大。股票具有波動(dòng)性，但是比起加密貨幣市場(chǎng)而言簡(jiǎn)直是“小巫見(jiàn)大巫”。對(duì)于后者，震蕩的價(jià)格波動(dòng)、閃電崩盤和災(zāi)難性的交換系統(tǒng)故障可謂是“家常便飯”。研究人員回應(yīng)說(shuō)，如果價(jià)值和趨勢(shì)的概念在加密貨幣市場(chǎng)中適用，那么這將有助于證實(shí)行為偏差的理論可以“走遍天下”。

AQR資本管理公司（AQR Capital Management）創(chuàng)始人克利夫?阿斯尼斯證明，價(jià)值和趨勢(shì)不僅僅是股市獨(dú)有的因素。2013年，早在比特幣興起熱潮之前，他就發(fā)表了一篇論文，研究發(fā)現(xiàn)，在資產(chǎn)類別、地理位置和時(shí)間周期中，走勢(shì)顯示價(jià)值、趨勢(shì)和套利在所有的資產(chǎn)類別中都發(fā)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(yīng)用于加密貨幣也有一定的合理性。

銳聯(lián)資產(chǎn)管理公司（Research Affiliates）、曼氏集團(tuán)（Man Group）顧問(wèn)，杜克大學(xué)（Duke University）教授坎貝爾?哈維表示，雖然這個(gè)理論可能并非不合理，但由于目前的數(shù)據(jù)不足，還無(wú)法證明比特幣存在能夠創(chuàng)造交易機(jī)會(huì)的風(fēng)險(xiǎn)因素。哈維稱，不過(guò)，要證實(shí)趨勢(shì)的因素對(duì)比特幣的影響輕而易舉。眾所周知，比特幣價(jià)格在2017年一路上漲。

資產(chǎn)轉(zhuǎn)換有難度

“我不會(huì)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(gè)相對(duì)年輕的市場(chǎng)，在定價(jià)方面存在一些低效率的說(shuō)法是有道理的?！?

擁有加州大學(xué)（University of California）的數(shù)學(xué)博士學(xué)位，Man AHL前首席風(fēng)險(xiǎn)官道格·格林尼格有更具體的目標(biāo)。2015年1月，格林尼格在倫敦創(chuàng)立了一支CTA基金——Florin Court Capital，它是一種量化基金，押注于價(jià)格模型。今年4月17日，他將自己的5.22億美元資產(chǎn)全部轉(zhuǎn)換為另類資產(chǎn)。

當(dāng)前的成熟市場(chǎng)走勢(shì)撲朔迷離，一方面引來(lái)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(chǎn)的價(jià)值。

格林尼格稱，盡管大型機(jī)構(gòu)基金的操作阻力大，但他們參與進(jìn)來(lái)對(duì)比特幣市場(chǎng)還是很有意義的。“簡(jiǎn)而言之，我的觀點(diǎn)就是，加密貨幣隸屬于有趣的資產(chǎn)類別，與傳統(tǒng)資產(chǎn)類別的相關(guān)性較低，且歷史趨勢(shì)較強(qiáng)?！备窳帜岣癖硎尽?

比特幣趨勢(shì)策略

趨勢(shì)的變化對(duì)于加密貨幣市場(chǎng)正在發(fā)揮作用。從4月到10月底，F(xiàn)lorin Court Capital的回報(bào)率為15.5%，而法國(guó)興業(yè)銀行CTA指數(shù)的回報(bào)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(shì)，在加密貨幣獲得趨勢(shì)上升動(dòng)力的同時(shí)，增加了看漲的頭寸。他獲得風(fēng)險(xiǎn)敞口的首選方式是通過(guò)成立在場(chǎng)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(duì)手、降低操作風(fēng)險(xiǎn)和保持受托責(zé)任。但是比特幣的美妙之處在于，它有非常強(qiáng)烈的情感驅(qū)動(dòng)，原始的興趣引發(fā)更強(qiáng)烈的興趣，使得趨勢(shì)交易能成為一種強(qiáng)有力的策略。格林尼格表示。

“過(guò)去，比特幣的趨勢(shì)行為一直很強(qiáng)勁，而CTA的趨勢(shì)模型似乎也像預(yù)期那樣的有效，” 格林尼格稱?！笆袌?chǎng)逐漸在變得成熟，我們希望最終能看到更多的機(jī)構(gòu)玩家參與進(jìn)來(lái)?！?

數(shù)字貨幣的三大要素

根據(jù)斯蒂芬?赫布里希的說(shuō)法，數(shù)字貨幣的三個(gè)主要因素分別是：價(jià)值、套利和趨勢(shì)。雖然這個(gè)理論在股票市場(chǎng)被證明是有效的，比如通過(guò)公司的市盈率來(lái)衡量?jī)r(jià)值。不過(guò)仍需要解決能否在加密貨幣市場(chǎng)找到這些特質(zhì)的哲學(xué)問(wèn)題。

為了找出加密貨幣的價(jià)值推論，赫布里希運(yùn)用了創(chuàng)造性的方法。他用區(qū)塊鏈交易中美元的交易量作為衡量比特幣市場(chǎng)價(jià)值的重要參考。在趨勢(shì)方面，因?yàn)闅v史數(shù)據(jù)有限，赫布里希僅僅分析了四周的時(shí)間，而對(duì)于股票而言，趨勢(shì)通常需要考慮12個(gè)月的周期。

“這是一個(gè)非常不穩(wěn)定的年輕資產(chǎn)類別，隨著時(shí)間的推移，我們肯定會(huì)學(xué)到更多?！焙詹祭锵１硎??！摆厔?shì)理論從產(chǎn)生到現(xiàn)在已經(jīng)超過(guò)100年了，但應(yīng)用于加密貨幣來(lái)說(shuō)還為時(shí)尚早?！?

雖然赫布里希所做的是一個(gè)學(xué)術(shù)研究，但是Serrada Capital的邁克爾·派瑞迪也用類似的方法對(duì)加密貨幣進(jìn)行估值。派瑞迪于2006年創(chuàng)建了Serrada Capital，并于同年9月推出了數(shù)字資產(chǎn)基金，該基金允許自由支配風(fēng)險(xiǎn)敞口，通過(guò)系統(tǒng)化的投資策略對(duì)加密貨幣進(jìn)行了投資。“這個(gè)策略需要評(píng)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(lè)見(jiàn)的交易機(jī)會(huì)——波動(dòng)性，在過(guò)去幾年里，傳統(tǒng)市場(chǎng)的賺錢效應(yīng)變得越來(lái)越弱，因此，我們希望能夠參與到加密貨幣市場(chǎng)，而且技術(shù)上的結(jié)論也支持我們這么做。不過(guò)，這個(gè)領(lǐng)域的真正商機(jī)在于我們看到對(duì)沖基金和資產(chǎn)管理公司開(kāi)始對(duì)這一領(lǐng)域表現(xiàn)出強(qiáng)烈的興趣?！保ㄘ?cái)富中文網(wǎng)）

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.”