比特币狂欢继续，程序化交易或为大势所趋

金融工程师涉足加密货币？听着真不可思议，就像一杯过于混杂的鸡尾酒，不宜入口。不过，投资界的一些勇士已经私底下开始畅饮这杯鸡尾酒。

一部分学术研究者和华尔街追随者开始尝试合作。一些理论家和交易员正在研究诸如趋势和价值的投资因素对比特币价格的影响。此前，智能型交易开放式指数基金，就彻底变革了股票市场，这些学者已经证明了那些具有廉价、流动性小的性质的股票比整个市场带来的回报更丰厚。

这项发现已经衍生出了7000亿美元的智能型交易开放式指数基金市场，效益之高，难怪人们萌生了要把它应用在其他领域的想法。量化投资之所以能够建立起来，一个偏感性的心理动机功不可没。也就是，无论是涉及股票、债券还是首次代币发售令牌，投资者的心理趋同性都会导致同样的交易商机在全市场冉冉升起。

在这个理论阵营中，普信公司（T. Rowe Price Group Inc.）的资产配置研究主管斯蒂芬•赫布里希，首先发表了一篇学术论文将异常因素与区块链资产挂钩。在建立模型和分析数据之后，赫布里希称他可以证明，在数字代币市场，量化交易将击败简单的买入并持有的策略。

赫布里希在他10月28日的研究中写道:“我们的研究结果不应被视为对加密货币作为一种资产类别的认可。相反，我们认为这项发现巧妙地证实了市场潜在因素本身的功效。”

比特币研究仍缺乏数据支持

比特币和其他加密货币之所以成为学术定量实验研究目标，是因为它们与传统资产差异很大。股票具有波动性，但是比起加密货币市场而言简直是“小巫见大巫”。对于后者，震荡的价格波动、闪电崩盘和灾难性的交换系统故障可谓是“家常便饭”。研究人员回应说，如果价值和趋势的概念在加密货币市场中适用，那么这将有助于证实行为偏差的理论可以“走遍天下”。

AQR资本管理公司（AQR Capital Management）创始人克利夫•阿斯尼斯证明，价值和趋势不仅仅是股市独有的因素。2013年，早在比特币兴起热潮之前，他就发表了一篇论文，研究发现，在资产类别、地理位置和时间周期中，走势显示价值、趋势和套利在所有的资产类别中都发生作用。阿斯尼斯在11月表示，尽管定论尚早，但将同样的逻辑应用于加密货币也有一定的合理性。

锐联资产管理公司（Research Affiliates）、曼氏集团（Man Group）顾问，杜克大学（Duke University）教授坎贝尔•哈维表示，虽然这个理论可能并非不合理，但由于目前的数据不足，还无法证明比特币存在能够创造交易机会的风险因素。哈维称，不过，要证实趋势的因素对比特币的影响轻而易举。众所周知，比特币价格在2017年一路上涨。

资产转换有难度

“我不会真的称这些因素是比特币交易的“密码”，哈维称，“考虑到加密货币还是一个相对年轻的市场，在定价方面存在一些低效率的说法是有道理的。”

拥有加州大学（University of California）的数学博士学位，Man AHL前首席风险官道格·格林尼格有更具体的目标。2015年1月，格林尼格在伦敦创立了一支CTA基金——Florin Court Capital，它是一种量化基金，押注于价格模型。今年4月17日，他将自己的5.22亿美元资产全部转换为另类资产。

当前的成熟市场走势扑朔迷离，一方面引来众多投资者围观，一方面又保持着波澜不惊。反其道而行之，格林尼格挖掘了欧洲电力和比特币等资产的价值。

格林尼格称，尽管大型机构基金的操作阻力大，但他们参与进来对比特币市场还是很有意义的。“简而言之，我的观点就是，加密货币隶属于有趣的资产类别，与传统资产类别的相关性较低，且历史趋势较强。”格林尼格表示。

比特币趋势策略

趋势的变化对于加密货币市场正在发挥作用。从4月到10月底，Florin Court Capital的回报率为15.5%，而法国兴业银行CTA指数的回报率则为0.2%。

格林尼格称，他是最早加入比特币的CTAs之一。这一策略是一种趋势，在加密货币获得趋势上升动力的同时，增加了看涨的头寸。他获得风险敞口的首选方式是通过成立在场外交易的比特币投资信托（Bitcoin Investment Trust）。

就像格林尼格涉猎的其他交易一样，投资加密货币障碍重重，需要寻找交易对手、降低操作风险和保持受托责任。但是比特币的美妙之处在于，它有非常强烈的情感驱动，原始的兴趣引发更强烈的兴趣，使得趋势交易能成为一种强有力的策略。格林尼格表示。

“过去，比特币的趋势行为一直很强劲，而CTA的趋势模型似乎也像预期那样的有效，” 格林尼格称。“市场逐渐在变得成熟，我们希望最终能看到更多的机构玩家参与进来。”

数字货币的三大要素

根据斯蒂芬•赫布里希的说法，数字货币的三个主要因素分别是：价值、套利和趋势。虽然这个理论在股票市场被证明是有效的，比如通过公司的市盈率来衡量价值。不过仍需要解决能否在加密货币市场找到这些特质的哲学问题。

为了找出加密货币的价值推论，赫布里希运用了创造性的方法。他用区块链交易中美元的交易量作为衡量比特币市场价值的重要参考。在趋势方面，因为历史数据有限，赫布里希仅仅分析了四周的时间，而对于股票而言，趋势通常需要考虑12个月的周期。

“这是一个非常不稳定的年轻资产类别，随着时间的推移，我们肯定会学到更多。”赫布里希表示。“趋势理论从产生到现在已经超过100年了，但应用于加密货币来说还为时尚早。”

虽然赫布里希所做的是一个学术研究，但是Serrada Capital的迈克尔·派瑞迪也用类似的方法对加密货币进行估值。派瑞迪于2006年创建了Serrada Capital，并于同年9月推出了数字资产基金，该基金允许自由支配风险敞口，通过系统化的投资策略对加密货币进行了投资。“这个策略需要评估加密货币的市值与交易量的比率。” 派瑞迪表示。

派瑞迪称:“我们看到了很多我们乐见的交易机会——波动性，在过去几年里，传统市场的赚钱效应变得越来越弱，因此，我们希望能够参与到加密货币市场，而且技术上的结论也支持我们这么做。不过，这个领域的真正商机在于我们看到对冲基金和资产管理公司开始对这一领域表现出强烈的兴趣。”（财富中文网）

译者：陈亚芬/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.”