證券對(duì)對(duì)沖基金策略過(guò)度集中的深入觀察日本復(fù)蘇但是一個(gè)擔(dān)憂

1、2015 年 8 月 21 日對(duì)多/空的深入觀察策略過(guò)度集中多/空復(fù)蘇，但過(guò)度集中是一個(gè)擔(dān)憂多/空多/空采用偏向多頭的策略往往采用偏向多頭的策略，我們估算約 27%的資產(chǎn)采用這一配置方式。該方法在 2013 年以來(lái)走強(qiáng)的背景下是合適的，但由于貝塔占到風(fēng)險(xiǎn)的 60%以上，我們對(duì)過(guò)度集中問題存在擔(dān)憂。多/空多/空正在轉(zhuǎn)向市場(chǎng)中性策略往往具有下列偏向：價(jià)值型（多）、增長(zhǎng)型（多）、分析以往師信心（多）、質(zhì)量（空）和能力（空）。然而，自安倍這些傾向已經(jīng)變得更為中性化。學(xué)推出以來(lái)，通過(guò)多/空投資組合模擬來(lái)識(shí)別過(guò)度集中的股票基于對(duì)要素的綜合分析，我們估算了可能被納入多/空投資組合多/空倉(cāng)部分的股票。我們模型

2、采用的要素包括 12預(yù)期市盈率（低估傾向）、營(yíng)業(yè)利潤(rùn)率（多倉(cāng)傾向）、1和 12股價(jià)走勢(shì)（多倉(cāng)傾向）、保證金頭寸/量（多倉(cāng)傾向）和/日元敏感性（空倉(cāng)傾向）。我們列出了那些在多/空對(duì)沖基金中似乎過(guò)度集中的股票。2015 年 1 月起表現(xiàn)落后，目前正在復(fù)蘇我們模擬的股票多/空投資組合的表現(xiàn)（過(guò)去 12）資料來(lái)源：高盛全球投資研究高盛與其報(bào)告客觀性的利益所分析的企業(yè)存在業(yè)務(wù)關(guān)系，并且繼續(xù)尋求發(fā)展這些關(guān)系。因此，投資者應(yīng)當(dāng)考慮到本公司可能存在可能影響本，不應(yīng)視為作出投資決策的唯一因素。 有關(guān)分析師的申明和其他重要信息，見信息披露附錄，或參閱。 由非美國(guó)附屬公司聘用的分析師不是美國(guó) FINRA 的/研究分

3、析師。高盛全球投資研究Cumulative return (%)108106104102100986/148/1410/1412/142/154/156/15Simulated L/S FundTsumugi Akiba+81(3)6437-9966 tsumugi.ak ba高盛株式會(huì)社Kathy Matsui+81(3)6437-9950 kathy.matsui高盛株式會(huì)社Hiromi Suzuki+81(3)6437-9955 hiromi.suzuki高盛株式會(huì)社Kazunori Tatebe+81(3)6437-9898 kazunori.tatebe高盛株式會(huì)社2015 年 8

4、月 21 日Table of contentsSummary: How are Japan L/S hedge funds positioned?Disclosure Appendix314Japan Portfolio Strategys publications can be found here:2全球投資研究DateRecent Reports by Japan Strategy TeamAugust 13, 2015Quant: JEAPS Using Short Interest Ratios to Identify CrowdingAugust 5, 2015China Risk

5、s: Insufficient to Derail Japans Profit CycleJuly 31, 2015Quant/Views: Shift from macro- to micro-driven market: Return of stock pickingJuly 29, 2015Views: Summary of our seminar with ISS Executive DirectorJuly 23, 2015Reacceleration: 1Q3/16 Earnings PreviewJuly 10, 2015Quant: 2H 2015 Style Strategy

6、July 1, 2015GS Sector Selector: Overweight domestic reflation/consumption related sectors toward 2HJune 30, 20152H: Buying opportuJune 24, 2015Quant/Views: Searching for higher, but sustainable, yieldsJune 19, 2015Views: 2015 AGMs post-CG Code: ROE, cash, strategic shareholdingsJune 12, 2015Views: U

7、pdating our earnings forecasts following FY3/15 resultsJune 1, 2015Foreign Investors Japanese Equity Positions an updateMay 29, 2015Quant/Views: Updating our JPX-Nikkei Index 400 rebalance candidatesMay 18, 2015US Investors: Underweight, But Aiming to Catch UpMay 18, 2015Quant: Power of the PassiveA

8、pril 23, 2015Shareholder Returns Sector AppendixApril 23, 2015The Return of the ShareholderApril 23, 2015FY3/15 earnings previewApril 20, 2015Views: Governance reforms leading to tangible shifts in corporate behaviorApril 14, 2015Quant: JEAPS Review and Rebalance (4/2015)April 6, 2015Why Japanese M&

9、amp;A is Set to ExpandApril 2, 2015Cash Deployment: Focus on GrowthMarch 27, 2015Foreign Investors Japanese Equity PositionsMarch 6, 2015Views: Scrutiny on cross-shareholdings: Toward better capital efficiencyMarch 2, 2015Decoupling of equity and forex: A shifting dynamicFebruary 26, 2015Quant: Mark

10、et value of cash as a stock-picking yardstickFebruary 25, 2015Keep the Faith: 5 Reasons, 5 ThemesFebruary 17, 2015Views: Positive surprise as profit growth continues in 3Q; earnings solidFebruary 17, 2015GS Sector Selector: Raising reflation exposureDateRecent Japan Weekly Kickstart (outlook and cha

11、rts we are watching)August 14, 2015TOPIX weighed down by CNY devaluation and commodity prices / Revisiting short-sellingAugust 8, 2015TOPIX rides earnings lull, posts eight straight days of gains on weaker yen, closing up 1.2%July 31, 2015Positive surprises predominate with the 1Q results season in

12、full swingJuly 24, 2015TOPIX eases back; we preview 1Q earnings ahead of the reporting season peakJuly 18, 2015TOPIX up six days straight as Greece/China concerns ease, up 5% on the week; S/D updateJuly 13, 2015TOPIX falls for another week on China equity market volatility/revisiting 2H15 styleJuly

13、4, 2015TOPIX down 0.9% wow as Greece remains in the spotlight; updated our TOPIX targetsJune 26, 2015TOPIX eases off from 2015 high due to Greek concerns but closes up 2.2% on the weekJune 20, 2015TOPIX -1.2% wow as Greek jitters hit overseas markets, yen rises post-FOMC/AGMs to peakJune 12, 2015TOP

14、IX ends flat after early losses on US rate hikk/BOJ comments; top-down update2015 年 8 月 21 日Summary: How are Japan L/S hedge funds positioned?Crowding (of strategies, sectors, and stocks) continues to dominate our conversations with investors, for two main reasons. First, there is a lack of visibili

15、ty about the buyers of equities amid an excessive bias toward sectors and stocks that are outperforming the market. Second, investors are keen to identify stocks that are subject to crowding, given the potential for largelosses when positions are unwound. We examined the crowding effect in our July

16、31, 2015 report, Japan Strategy Views: Shift from macro- to micro-driven market: Return of stock picking. In this report, we analyze how long/short (L/S) Japanese equity hedge funds are managing their portfolios based on the performance of L/S Japanese hedge funds. We use the Eurekahedge Japan Long/

17、Short Equities Hedge Fund Index1 (EHFI139 Index, 66 funds; equal weighted) as indicative of the performance trends of Japan L/S hedge funds. As of July 31, 2015, TOPIX was up 19.1% YTD, whereas Japan L/S funds were up 5.4%.The results of our analysis and key points are as follows:·Japan L/S hed

18、ge funds tend to have a long bias and we estimate around 27% of fund assets are positioned as such. This positioning has been appropriate for the strong Japanese equity market rally since 2013, but we believe the beta risk weighting of more than 60% warrants attention.Japan L/S hedge funds have trad

19、itionally opted for the following strategies: value (long bias), growth (long), price momentum (short), analyst sentiment (long), quality (short), profitability (short), volatility (high volatility, long), and long margin positions/trading volume (long). However, funds have neutralized their exposur

20、e to these factors in the Abenomics era.We estimate the performance of L/S stocks that are likely included in the portfolios of Japan L/S hedge funds.We see scope for improving performance by utilizing factor portfolio strategies.···1 Copyright Eurekahedge 2005-2015,s.3全球投資研究2015 年 8

21、月 21 日Long bias boosts recent performance of Japan L/S hedge fundsExhibit 1 indicates a marked improvement in the performance of Japan L/S hedge funds over the past two years, after performing poorly from 2006. As of July 31, 2015, Japan L/S hedge funds were up 5.4% YTD, compared with 19.1% for TOPI

22、X.Many hedge funds are classified as L/S, including 66 of the 77 funds making up Eurekahedges Japan hedge fund index used in our analysis. In most cases, these funds apply a qualitative or quantitative approach to building L/S portfolios of individual stocks. Unlike a market-neutral strategy, howeve

23、r, these hedge funds manage their portfolios on either a net long or net short basis as dictated by the market environment. As such, their performance correlates closely with TOPIX and the Nikkei 225 (correlation coefficient 0.79).Exhibit 1: L/S hedge fund performance has risen in step with Japans e

24、quity market rallyJapan L/S hedge fund performanceSource: Eurekahedge, Bloomberg.While L/S strategies correlate closely with the overall market, many funds have large exposure to various factors, including size (large and small cap bias), value/growth/quality (style), sector, and non-fundamentals. F

25、unds will often manage their portfolios via a flexible combination of these factors.Analyzing Japan L/S hedge funds and their TPX exposureFirst we performed a regression of Japan L/S hedge fund monthly returns on the TOPIX return over the same period to identify the long-term trend of Japan L/S hedg

26、e funds. The result of this regression, covering the period from January 2000 through July 2015, was: 0.0049 0.266 The regression indicates that Japan L/S hedge funds have an approximate 26.6% long bias. Since the coefficient is positive, we assume a positive correlation with TOPIX.4全球投資研究2602402202

27、001801601401201008060401/00 1/01 1/02 1/03 1/04 1/05 1/06 1/07 1/08 1/09 1/10 1/11 1/12 1/13 1/14 1/15Long Short Equities Hedge Fund IndexTOPIX2015 年 8 月 21 日R2 (coefficient of determination) in the regression formula is high at 61.9%, signifying that beta accounts for more than 60% of risk for Japa

28、n L/S hedge funds. However, Japan L/S hedge fund indexes only fell about 8% in 2008 versus -40% for TOPIX. We believe this shows that even in the difficult market environment during the height of the Global Financial Crisis (GFC), these hedge funds limited the deterioration in performance by flexibl

29、y altering L/S bias and adjusting factor exposure.Japan L/S hedge funds and sector biasNext, we performed a regression of Japanese equity L/S hedge fund monthly returns on sector index returns in order to measure sector bias. The results are shown in Exhibit 2. A long bias was evident in Japan L/S h

30、edge funds in sector selection before the advent of Abenomics. Of interest to us is that Japan L/S hedge funds had a long bias in sectors with a relatively low weighting in TOPIX, namely construction, textile products, warehousing, and transportation, and in contrast they had relatively large negati

31、ve exposure to global cyclical sectors such as transportation equipment, electrical machinery, and precision equipment. Since the start of Abenomics, however, the degree of bias among sectors resulting from sector allocation has declined. The t-value in the regression formula has also declined marke

32、dly, indicating that the ability to capture alpha via sector allocation is no longer statistically significant. The number of sectors with negative coefficients (short sectors) has also increased. This likely indicates that funds have moved toneutralize sector exposure under Abenomics.5全球投資研究2015 年

33、8 月 21 日Exhibit 2: L/S hedge funds had a long bias toward sectors, but have neutralized their exposure since AbenomicsJapan L/S hedge funds and regression analysis based on sector returnsSource: Eurekahedge, Bloomberg, Goldman Sachs Global Investment Research.Japan L/S hedge funds and factor biasNex

34、t, we verify what factors Japan L/S hedge funds use to build portfolios in addition to market and sector exposure. First we created a sector-neutral L/S basket using the 34 key factors below (Exhibit 3) and then created a factor return series based on the average L/S return spread. We rebalanced thi

35、s on a monthly basis. We regressed the returns of Japan L/S hedge funds on the return for each factor. A high correlation between the two returns indicates the likelihood that Japan L/S hedge funds picked stocks based on that given factor. Using the regression formula below, we performed regressions

36、 for two periods: from January 2000 through July 2015 (results in Exhibit 3) and from October 2012 through July 2015 (the Abenomics market, results in Exhibit 4). ,We believe Exhibit 3 provides an effective means of identifying the long-term trend for Japan equity L/S hedge funds since 2000.6全球投資研究1

37、/2000 - 10/201211/2012 - 7/2015Correl.R2Coeff.t-StatCorrel.R2Coeff.t-StatTextiles & Apparels0.7464.0%0.104.070.6771.7%0.000.04Construction0.7164.4%0.084.300.7775.0%0.092.36Warehousing & Harbor Transportation Services0.6764.0%0.074.080.6371.8%-0.01-0.38Chemicals0.7460.6%0.061.530.7672.7%-0.11

38、-1.23Machinery0.7461.0%0.061.930.7872.3%0.050.96MProducts0.6761.5%0.052.390.7071.9%-0.02-0.46Nonferrous Ms0.7161.9%0.052.750.7172.0%0.020.61Land Transportation0.5360.6%0.041.550.5572.0%-0.03-0.62Real Estate0.6862.1%0.042.890.7071.7%0.000.03Insurance0.6361.4%0.042.320.6874.1%-0.07-1.97Oil & Coal

39、Products0.5861.9%0.042.720.4971.7%0.00-0.07Wholesale Trade0.6761.0%0.031.910.6971.7%-0.01-0.14Glass & Ceramics Products0.7060.6%0.031.530.7571.9%0.020.46Mining0.5661.9%0.032.700.4171.8%0.010.31Banks0.6460.7%0.031.570.7671.9%-0.02-0.47Securities & Commodity Futures0.7060.7%0.031.650.7872.2%0.

40、020.80Services0.6460.2%0.020.890.7372.1%0.040.72Fishery, Agriculture & Forestry0.5060.2%0.020.900.5272.1%-0.03-0.77Other Financing Business0.6260.4%0.021.160.7472.5%0.031.11Foods0.5560.1%0.020.520.6471.8%0.010.16Marine Transportation0.5560.3%0.011.120.6571.7%0.00-0.03Pulp & Paper0.4060.2%0.0

41、10.830.5072.7%-0.03-1.20Other Products0.5960.1%0.010.480.6771.7%0.00-0.01Iron & Steel0.6260.1%0.010.560.6971.8%-0.01-0.32Air Transportation0.3160.1%0.010.580.4871.8%0.010.41Electric Power & Gas0.1660.0%0.000.140.5871.9%0.010.43Retail Trade0.5460.0%0.00-0.140.7173.8%0.071.82Information &

42、Communication0.4960.1%-0.01-0.670.6972.2%0.040.81Rubber Products0.3460.3%-0.01-1.060.6471.9%-0.02-0.52Precision Instruments0.5661.1%-0.04-2.030.5872.1%-0.03-0.78Electric Appliances0.6361.1%-0.06-2.100.7272.1%-0.04-0.77Pharmaceutical0.3761.4%-0.06-2.330.5071.7%0.00-0.04Transportation Equipment0.4564.

43、1%-0.08-4.140.7172.4%-0.05-1.022015 年 8 月 21 日Exhibit 3: Japan L/S hedge funds captured alpha from factor exposure tooRegression analysis results (January 2000 - July 2015)Note: Each beta is from the above regression formula on page 6 (1). = constant term, = TOPIX, = factor.Source: Eurekahedge, Bloo

44、mberg, FactSet, Goldman Sachs Global Investment Research.Below we summarize the profile of each group.Value (undervalued long bias): Japan L/S hedge funds appear to apply an undervalued bias based on estimated P/E. This indicates that many funds adopt a strategy of using P/E to take long positions o

45、n undervalued shares and short positions on overvalued shares within sectors. It is possible many funds use value effectiveness as a source of alpha. We have previously highlighted value effectiveness for Japanese equities2. On the other hand, as dividend yield has a negative coefficient, Japan L/S

46、hedge funds tend to take long positions on stocks with low or no dividends and short positions on high-dividend stocks.Growth (high growth long bias): Japan L/S hedge funds tend to long stocks with high operating profit growth and short stocks with low or negative growth. This is consistent with tak

47、ing long positions on growth stocks with low or no dividends.2 See Style strategy for 2H 2013, published July 22, 2013.7全球投資研究GroupFactorCorrelationR-squaredCoeff.t-statCoeff.t-statCoeff.t-statValueNTM P/E0.3160.7090.041.100.2616.050.344.09FY0 P/E-0.0310.706-0.01-0.230.2717.190.354.10FY0 P/B0.1160.7

48、08-0.03-0.820.2717.100.364.20FY1 P/CF-0.0110.7060.020.310.2717.200.344.09FY1 Div Yield-0.2530.709-0.05-1.010.2716.500.364.25GrowthSales Growth FY10.1080.7140.091.780.2717.360.384.48OP Growth FY10.2450.7220.142.640.2617.120.394.65EPS Growth FY10.0700.7080.040.770.2717.190.364.18Long-term EPS Growth0.

49、1150.7100.071.310.2717.200.344.12Price MomentumPrice Return 1M-0.0370.7090.031.130.2717.310.354.22Price Return 3M-0.1570.7100.031.230.2817.040.364.25Price Return 6M-0.1760.7080.020.900.2716.890.364.22Price Return 12M-0.1770.7110.041.490.2817.030.354.23Analyst SentimentRecomm. Revisions - 1M-0.0530.7

50、08-0.06-0.970.2717.260.344.08EPS Earnings Revisions - 1M-0.0010.7220.132.630.2817.870.364.44% of Buy0.1490.7190.102.350.2717.460.344.19QualityNetCash/MktCap-0.5580.707-0.02-0.380.2712.870.354.13EQ/Debt-0.6310.714-0.09-1.790.2511.650.364.36Altman Z-score-0.4630.709-0.05-1.080.2614.460.344.03Profitabi

51、lityROIC - FY1-0.2560.7070.020.590.2716.420.354.15OP Margin - FY1-0.3620.706-0.01-0.180.2715.520.344.08ROE - FY10.0420.7110.061.460.2717.390.364.28ROA - FY1-0.2090.7080.030.780.2716.710.354.17Risk/OtherVolatility - 250 Day0.6730.7200.082.470.2310.830.374.46Log mktcap-0.0430.716-0.08-2.060.2717.590.3

52、44.10Overseas Sales0.3310.712-0.07-1.500.2816.020.344.09Foreign Investors0.2530.716-0.12-2.100.2916.820.354.24Individual Investor-0.1400.7330.163.530.2918.140.354.35Margin Buy/Avg Volume0.4830.7160.072.030.2514.450.344.15Margin Sell/Avg Volume-0.3570.708-0.04-0.930.2615.650.344.00Log liquidity0.3630

53、.715-0.08-1.900.2915.850.333.92Hist Beta0.6310.7070.020.610.2611.390.354.15$/¥ Sensitivity (beta)0.4490.730-0.15-3.310.3215.530.313.86Eur/Jpy sensitivity (beta)0.4510.725-0.11-2.890.3115.270.323.882015 年 8 月 21 日Price momentum (return-reversal long bias): The correlation is not that high, but all factors are negative. This suggests that Japan L/