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cover of episode From AQR Quant to Founder & CIO with Brian Hurst

From AQR Quant to Founder & CIO with Brian Hurst

2025/1/10
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Masters in Business
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B
Barry Ritholtz
知名投资策略师和媒体人物，现任里特尔茨财富管理公司董事长和首席投资官。
B
Brian Hurst
Topics
Barry Ritholtz: 本期节目采访了ClearAlpha的创始人兼首席投资官Brian Hurst，他拥有21年的AQR资本管理经验，对阿尔法的来源、风险管理以及寻找可持续且易于管理的非相关阿尔法的方法有独到的见解。 Brian Hurst: 我在大学期间并不了解量化金融，我的职业生涯始于DLJ的实习，之后进入高盛，参与了AQR的创立。在AQR的早期，我们采用多策略量化投资方法，通过自动化处理公共数据进行全球资产交易，策略以市场中性为主，通过比较不同股票群体寻找超额收益。AQR在1995年正式成为一个基金，并在短短几年内取得成功，最终在1998年初独立运营。从高盛独立出来后，AQR最大的变化是专注于基金盈利，并拥有更大的自主权在硬件和技术选择上。 在AQR，我承担了多重角色，这得益于我乐于学习和尝试不同事物，以及我妻子的支持。Cliff Asness是一位优秀的领导者，他善于招聘人才并给予他们充分的自主权。AQR的成功部分源于其强大的学术背景和人才吸引力，但最终目标仍然是盈利。我撰写的白皮书《阿尔法的演变》探讨了对冲基金行业的历史以及阿尔法获取模式的演变。对冲基金阿尔法的获取模式经历了从单一策略到多策略再到多经理多策略的演变，这与投资者需求和市场环境的变化有关。2000年左右，大量华尔街人才涌入对冲基金行业，催生了单一策略对冲基金的繁荣。单一策略对冲基金的业绩不稳定性导致投资者难以坚持，促使了基金中的基金模式的出现。基金中的基金模式虽然解决了单一策略基金的业绩不稳定性问题，但也存在现金效率低下的问题。多策略基金通过在同一工具中持有所有头寸，提高了现金效率和资本效率，并改善了业绩一致性。多经理多策略方法旨在通过分散投资降低风险，并提高长期业绩稳定性。多策略基金的成功之处在于其能够抵御单一策略的业绩波动，许多成功的单一策略基金也逐渐转向多策略模式。选择低相关的投资策略是多策略基金风险管理的关键。多策略基金的风险管理类似于赌场的风险管理，旨在避免不同策略同时亏损。常见的对冲基金策略包括多空股票选择、并购套利等，但其中一部分收益可能源于市场整体波动（Beta）。多策略基金应避免过度依赖Beta，因为投资者可以通过低成本指数基金获得Beta收益。多策略基金的风险管理应关注各种共同风险，例如Beta、行业敞口、因子敞口等，并努力降低这些风险之间的相关性。识别市场中的拥挤交易和潜在风险对于避免重大损失至关重要。识别拥挤交易的关键在于了解市场参与者的行为和策略，并提前预判潜在风险。多策略多经理多模型基金的兴起，例如Citadel和Millennium，证明了这种方法的有效性。大型对冲基金虽然多元化，但由于规模庞大，仍面临拥挤交易的风险。大型对冲基金难以避免拥挤交易的风险，因为它们必须将资金投入到大型、知名策略中。基金中的基金模式正在逐渐被多策略多经理基金所取代。基金中的基金模式并未完全消失，但其高昂的费用使其在一定程度上被多策略多经理基金所取代。机构投资者在对冲基金投资中，最终获得的收益比例可能只有37%，这与高昂的费用和投资者的行为有关。投资者的行为偏差，例如追涨杀跌，导致投资者实际收益低于基金的潜在收益。人性的弱点是导致对冲基金投资者实际收益低于预期的重要因素。多经理多策略基金相比基金中的基金，具有更高的效率，能够更好地进行风险对冲，并提高投资者的实际收益。多经理多策略基金的效率更高，能够更好地利用资本，并提高投资者的收益比例。投资者的行为偏差是导致其投资收益低于预期的一个重要因素。Morningstar的“Mind the Gap”研究表明，投资者的行为偏差导致其实际收益低于基金的潜在收益。投资者的行为偏差导致60/40平衡型基金的实际收益低于潜在收益约60个基点，而另类投资基金的差距更大，达到170个基点。另类投资基金的投资者行为偏差更大，是因为投资者对其缺乏了解，更容易在市场波动时赎回。投资者教育对于成功投资至关重要。“想法精英制度”旨在鼓励员工积极提出想法，并创造一个安全的环境，让员工敢于提出不同的意见。领导者应鼓励员工提出想法，并创造一个安全的环境，让员工敢于挑战权威。寻找不常见的投资机会的关键在于对现有策略进行创新，或者寻找全新的投资策略。“利基阿尔法”指的是那些不常见、不易被复制的投资机会。鉴于市场效率，寻找尚未被发现的利基投资机会仍然存在可能。市场中仍然存在大量未被充分挖掘的投资机会，尤其是在那些规模较小、复杂性较高的策略中。Clear Alpha专注于那些能够产生中等规模收益（例如每年数千万美元）的策略，即使这些策略的复杂性较高。Clear Alpha的商业模式在于为投资者寻找那些难以被发现的低容量策略，因为寻找这些策略需要付出高昂的成本和努力。对冲基金的费用结构正在发生变化，高容量策略的费用下降，而独特阿尔法的成本上升。未来对冲基金的费用可能呈现两极分化，高容量策略的费用下降，而独特阿尔法的费用上升。指数化投资的兴起并没有降低阿尔法的获取难度，反而提高了人才竞争的激烈程度，导致阿尔法的获取成本上升。“可移植阿尔法”指的是将阿尔法收益叠加到市场基准收益之上的一种投资策略。“可移植阿尔法”策略能够克服传统主动管理策略的局限性，并更有效地实现超额收益。

Deep Dive

Key Insights

What is Brian Hurst's background and what is his current role?

Brian Hurst is the Founder, CEO, and CIO of ClearAlpha, a multi-manager, multi-strategy hedge fund. He previously spent 21 years at AQR Capital Management, where he was a portfolio manager, researcher, head of trading, and the first non-founding partner. He managed over $15 billion in hedge fund assets and played a key role in designing AQR's trading platform.

Why did Brian Hurst transition from AQR to founding ClearAlpha?

After spending 21 years at AQR, Brian Hurst sought new challenges and opportunities. He founded ClearAlpha to leverage his extensive experience in quantitative finance and multi-strategy hedge fund management, aiming to create a fund focused on delivering sustainable, non-correlated alpha.

What was Brian Hurst's role at AQR Capital Management?

At AQR, Brian Hurst held multiple roles, including portfolio manager, researcher, head of trading, and the first non-founding partner. He was instrumental in designing and implementing AQR's trading platform and managed over $15 billion in hedge fund assets.

How did Brian Hurst start his career in finance?

Brian Hurst began his career at DLJ (Donaldson, Lufkin & Jenrette) as a summer analyst, where he worked on automating investment analyst tasks. He later joined Goldman Sachs, where he was the first hire in Cliff Asness's quantitative research group, which eventually led to the founding of AQR Capital Management.

What is the significance of multi-strategy hedge funds in the industry?

Multi-strategy hedge funds reduce correlation and risk by combining various strategies in one vehicle, leading to more consistent returns. They address the inefficiencies of single-strategy funds and fund-of-funds by improving capital efficiency and offering better risk management.

What is the concept of 'niche alpha' as discussed by Brian Hurst?

Niche alpha refers to unique, less common strategies that are less crowded and more immune to common risks. These strategies often involve complex or rare techniques and generate smaller but more consistent returns compared to high-capacity, well-known strategies.

How does Brian Hurst describe the evolution of hedge fund strategies?

Brian Hurst outlines the evolution from single-strategy hedge funds to multi-strategy and multi-manager funds. This shift was driven by the need for consistency, capital efficiency, and better risk management, as single-strategy funds often struggled with performance inconsistency and high cash inefficiency.

What is the 'behavior gap' in investing, and how does it impact returns?

The 'behavior gap' refers to the difference between the returns a fund generates and what investors actually earn due to poor timing of investments and redemptions. For alternative funds, this gap can be as high as 170 basis points annually, significantly reducing long-term wealth accumulation.

What is 'portable alpha,' and how does it benefit investors?

Portable alpha involves combining a beta exposure (like the S&P 500) with an alpha stream, allowing investors to gain exposure to alternative return streams without the constraints of traditional active management. This approach often delivers more consistent returns compared to traditional active strategies.

What advice does Brian Hurst give to recent college graduates interested in finance?

Brian Hurst advises recent graduates to 'talk less and listen more.' He emphasizes the importance of learning from others and avoiding the Dunning-Kruger effect, where individuals overestimate their knowledge. He suggests that listening to experienced professionals can accelerate success in the field.

Chapters
Brian Hurst's career path from an economics major at Wharton to a pivotal role at Goldman Sachs' quantitative research group, highlighting his early interest in business and computers, and his unique blend of finance and technology skills that caught Cliff Asness' eye. His early career experiences are detailed including his impactful summer internship and early entrepreneurial ventures.
  • Brian's initial unawareness of quantitative finance as a field
  • His father's advice to pursue corporate finance
  • His summer internship at DLJ and automation of investment analysis
  • Experience with Microsoft Excel and FactSet
  • Landing his first job at Goldman Sachs due to a combination of hard work and luck
  • His technology background from early entrepreneurial ventures in high school and college

Shownotes Transcript

Barry speaks with Brian Hurst, Founder and Chief Investment Officer of ClearAlpha. Prior to founding ClearAlpha, Brian spent 21 years at AQR Capital Management as a portfolio manager, researcher, head of trading and the first non-Founding Partner at the firm. Brian also led numerous operating and investment committees including AQR's Strategic Planning Committee and the Risk Committee. He was instrumental in the design and implementation of AQR's trading platform and his time as senior portfolio manager placed him in charge of over $15 billion in hedge fund assets. Brian also Serves as a Member of the Yale New Haven Children's Hospital Council.

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