Two decades ago, hedge funds seemed omnipotent. Whenever there was a market shock or a cyclical turn in the economy, savvy traders such as George Soros or Julian Robertson jumped in — and often made a killing.

二十年前，对冲基金似乎无所不能。只要出现市场冲击，或经济进入周期性转折，乔治∠坽斯(George Soros)、朱利安圠伯逊(Julian Robertson)等一拨精明的交易者就会迅速杀入，且往往能大赚一笔。

No longer. When turbulence hit global markets this summer, some of the best hedge fund gurus were hammered: the sector collectively lost $78bn in August. What is more striking is that this follows several years of below-par performance, in which many hedge funds have failed even to beat the US stock index.

然而，好景不再。今年夏季全球市场受到动荡冲击时，对冲基金的一些顶尖大师遭受重创，8月份行业集体损失达780亿美元。更引人注目的是，该行业的表现已连续多年不佳，其中许多对冲基金甚至未能击败美国股票指数。

Why? One reason is that hedge funds are operating in an increasingly crowded space. Another is that their neat computing models are being upended by the antics of (increasingly) capricious governments as they respond to crises with unconventional methods, such as quantitative easing.

为什么会出现这种情况？原因之一是对冲基金的运营空间日益拥挤。另一个原因是各国政府越来越反复无常，举止怪诞，采用非常规手段（比如量化宽松）应对危机，不断颠覆对冲基金简洁的计算模式。

For a third clue to why some hedge funds are suffering, take a look at a chart on page 22 of the latest International Monetary Fund financial stability report . This illustrates the recent level of global asset market “correlation” — or the degree to which the prices of seemingly unrelated major assets (most notably the S&P 500, emerging market equities and bonds, US Treasuries, high yield bonds and commodities) have moved in tandem in recent years.

至于部分对冲基金遭遇重创的第三个原因，且看国际货币基金组织(IMF)最新的金融稳定报告第22页上的图表。该图表显示了全球资产市场近期的“相关性”水平，即看似不相关的重要资产近年来价格波动趋于一致的程度，这些资产最主要为标普500(S&P 500)、新兴市场股票和债券、美国国债、高收益债券以及大宗商品。

Usually, this correlation — or “co-movement” in the jargon — does not grab too much public attention. Investors typically worry more about absolute asset price movements — is the stock market rising, say — not correlations. And national policymakers just fret about the assets sitting directly under their nose.

通常情况下，这种相关性（行话称“联动”）吸引不到太多的公众注意。投资者通常更担心资产价格的绝对走势（比如说，股市上涨了吗？），而不是相关性。而各国政策制定者只担心眼皮底下的资产。

But, as the IMF chart shows, something rather bizarre is happening now. Between 1997 and 2007, the level of correlation between the major asset classes was around 45 per cent, roughly in line with historic norms. This means that markets occasionally swung in tandem with each other (say, during the crisis of 1998), but generally did not.

但正如IMF图表所显示，一些怪异的现象正在发生。1997年到2007年之间，主要资产类别之间的相关性水平在45%左右，与历史常规水平基本一致。这意味着各市场波动偶尔保持一致，如1998年金融危机期间，但通常各自独立。

During the crisis of 2008-2009, correlation jumped to 80 per cent. No surprise there: history shows that a crash is usually accompanied by high correlations as investors panic — and sell.

在2008年到2009年的危机中，市场相关性水平跃升至80%。这并不奇怪，历史表明由于投资者恐慌并抛售，市场崩溃往往伴随着很高的相关性。

What is fascinating is the experience of the past five years. Since 2010, the sense of market crisis has ebbed and many asset prices have soared. But correlation has not fallen, as in the past; instead, it has averaged about 70 per cent, almost twice the pre-crisis level.

有趣的是过去5年的变化。2010年以来，市场危机感已逐渐消退，许多资产价格大幅飙升。但相关性不但并未像以往一样下降，平均水平反而保持在70%，几乎是危机前水平的两倍。

This is peculiar. Privately, IMF officials and western central bankers admit they are not entirely sure why this has occurred. One explanation is government intervention: the tide of liquidity supplied by central banks has been so overwhelming that it has lifted all asset price boats.

这十分不同寻常。IMF官员和西方央行人士私下承认，他们还不完全确定为什么会发生这种情况。解释之一是政府干预，各国央行提供的流动性之巨大，托升了所有资产价格。

Another possible culprit is globalisation: not only is the “real” economy becoming more closely integrated, but the global asset management industry is more interlinked and concentrated. This matters. As Roger Lowenstein, the American author, noted two decades ago during the Asian financial crash, prices in seemingly unrelated asset classes can become tightly correlated simply because these assets are held by the same investors.

另一个可能的元凶是全球化，不仅“实体”经济越来越紧密一体化，全球资产管理产业的相互关联性和集中性也在增加。这一点非常重要。正如美国作家罗杰洛温斯坦(Roger Lowenstein)在二十年前亚洲金融危机期间指出的，看似无关的资产类别的价格可以变得紧密相关，而原因仅是这些资产为相同投资者持有。

A third factor is that market liquidity has declined , partly because tighter regulations have forced banks to cut inventories of risky assets. This can fuel correlation as thin markets create more volatility, which can be contagious.

第三个原因是市场流动性下降，部分缘于更严格的监管规定迫使银行减少风险资产。这可以推动相关性增加，因为稀薄的市场会产生更大的波动性，而波动性是可以传染的。

But some IMF officials think there is a fourth factor at work: derivatives. Previously, investors thought — or hoped — that derivatives should suppress correlation as they supposedly hedged risk. But preliminary (unpublished) IMF research suggests correlation in US equity markets actually rises when more equity futures are being used. DO YHEY SUGGEST WHY THIS IS SO?

但一些IMF官员认为还有第四个因素在起作用，即衍生产品。此前投资者曾认为（或希望）衍生产品应抑制相关性，因为它们理应对冲风险。但IMF初步研究（未发表）表明，当投资者使用更多的股票期货时，美国股市的相关性实际在上升。

Which of these is the most important factor right now is unclear. I suspect it is a pernicious combination of all four. It is also unclear whether this pattern will last. But if it does, then investors need to take note — not least because it challenges many conventional asset management ideas.

目前尚不清楚这四个因素哪个最重要，我怀疑起作用的是四者的致命组合。而且也不清楚这种模式是否仍会持续。如果是的话，那么投资者需要加以注意，尤其是该模式挑战了许多传统资产管理理念。

After all, one reason why risk-loving hedge funds prided themselves on their ability to beat indices was that they jumped between different — uncorrelated — trades. Risk-averse, mainstreet investors also typically tried to avoid losses by diversifying between different, supposedly uncorrelated asset classes.

毕竟，偏好风险的对冲基金之所以能自豪于它们打败指数的能力，原因之一是它们能在不同的、且不相关的行业之间跳转。而规避风险的普通投资者通常也将资产分散在不同的、理应不相关的资产类别上，从而尽量避免损失。

But if this 70 per cent level of correlation is here to stay, such guiding philosophies might need to be revised. The “new normal” for global asset prices might be contagion — good and bad. And that is unnerving; particularly at a time when emerging markets threaten to deliver new, synchronised risks.

但如果相关性水平仍维持在70%，这样的指导理念可能需要修正。全球资产价格“新常态”可能会蔓延，无论好坏，而这令人感到不安，特别是眼下新兴市场很可能同时爆发新的风险。