2025年‘滚雷’量化危机内幕

s been quite the year for systematic investors’It 年⼀的凡平不当相是这，⾔⽽者资投化系统于对 Robin Wigglesworth2025年"滚雷式"量化危机内幕罗宾·威格尔斯沃思 Published发布6HOURS AGO Unlock the Editor’s Digest for free 免费解锁编辑精选 Roula Khalaf,Editor of the FT,selects her favourite stories in thisweekly newsletter. 英国《⾦融时报》主编鲁拉·卡拉夫每周精选精彩故事，为您奉上独家新闻简报。 Enter your email address Sign up注册 In October, Renaissance Technologies suffered anightmare,with its two public hedge funds abruptly losing about 15 percent, before soaring back in November. Yet for a lot of other bigquantitative investors, the autumn was mostly plain sailing.Why? 10⽉，⽂艺复兴科技公司遭遇噩梦，其两只对冲基⾦在公开市场上突然损失约15%，但到了11⽉⼜⼤幅回升。然⽽，对于许多其他⼤型量化投资者来说，这个秋季⼤体上⻛平浪静。为何会出现这种差异？ We don’t know how RenTech’s fabled employee-only Medallionfund has fared, but for itsRIEF and RIDAvehicles — whichcollectively manage more than $20bn — October was amongtheir worst months ever. Both funds rebounded by double digitslast month, but are still heading for another poor year. 我们⽆从得知⽂艺复兴旗下传奇的员⼯专属基⾦——⼤奖章基⾦的表现，但其⾯向外部投资者的RIEF和RIDA基⾦（管理总资产超200亿美元）经历了有史以来最糟糕的⽉份之⼀。尽管这两只基⾦上⽉实现两位数反弹，但今年仍可能以惨淡收场。 This has been a topsy-turvy year for many investors, butRenTech’s autumnal woes encapsulate how it has been anexceptionally turbulent year for quantitative ones. Hedge fundsthat rely on sophisticated modelling and systematic trading havebeen rattled by a series of mini-crises that insiders say havebeen mildly reminiscent of the violent “quant quake” that rattledthe entire industry in August 2007. 2025年对许多投资者⽽⾔堪称波诡云谲的⼀年，⽽⽂艺复兴的秋⽇困局恰恰折射出量化投资领域遭遇的空前动荡。依赖复杂模型和系统交易的对冲基⾦，接连遭遇⼀系列⼩型危机冲击。业内⼈⼠称，这隐隐让⼈联想到2007年8⽉撼动整个⾏业的"量化地震"⻛暴。 To be clear, this has on the whole not been abadyear for mostquants. It has just been riddled with an unusually large numberof these mysterious, often unsettling, quant tremors. And to thebafflement of even many industry insiders, the impact has oftenbeen extremely varied, with some firms hardly noticing certainquivers but getting severely rattled by other ones. 必须明确指出，对多数量化从业者⽽⾔，2025年整体并⾮糟糕年份。只是这⼀年异常频繁地爆发了诸多神秘且令⼈不安的量化震荡。更令业内⼈⼠困惑的是，这些震荡带来的影响往往天差地别——某些公司对特定波动毫⽆察觉，却会因其他震荡遭受重创。 The result has been an unusually large divergence in theperformance of many quant strategies, according to industryexecutives. As Philippe Jordan, president of CFM, toldAlphaville: 据⾏业⾼管透露，这导致众多量化策略的业绩表现出现罕⻅分化。正如CFM总裁菲利普·乔丹向Alphaville所述： It’s not been of the magnitude of the 2007 quantquake, but it’s been like rolling thunderthroughout the year. It’s rolled through differentpeople at different times and in different ways. 虽然规模不及2007年的量化地震，但全年都像持续滚动的雷暴。它以不同⽅式在不同时段冲击着不同群体。 Intriguingly, Alphaville has heard myriad possible explanationsfor why these tremors seem to have had such a disparate impacteven on similar quant strategies, but no one seems to know forcertain. 有趣的是，阿尔法城听闻了⽆数种解释，试图说明这些震荡为何甚⾄对相似的量化策略造成如此迥异的影响，但似乎⽆⼈能给出确凿答案。 The obvious question is whether these idiosyncratic, brief quanttremors are just random or signify something big building upunder the surface. So Alphaville thought it might be worthtaking a look at the issue. We don’t have any good answers,unfortunately, but here’s what we found out. 显⽽易⻅的问题是，这些独特⽽短暂的数量化市场震荡究竟是随机波动，还是预示着潜藏的更⼤危机。因此Alphaville认为有必要深⼊探讨这⼀问题。遗憾的是我们尚未得出确切结论，但以下是我们的发现。 From DeepSeekmageddon toMinVolpocalyse从深度求索末⽇到最⼩波动率灾难 While the exact nature of the 2025 quant tremors is somewhatopaque, the causes are mostly obvious and in several cases havealso rattled traditional investors. 尽管2025年量化震荡的确切性质尚不透明，但其诱因⼤多显⽽易⻅，且在多个案例中同样冲击了传统投资者。 The first one came in January, when a Chinese company calledDeepSeek unveiled an AI chatbot that was far cheaper to buildand more efficient than many US rivals. This briefly hammeredthe shares of many US technology companies and fizzled certainsystematic trading models in the process. ⾸轮冲击出现在⼀⽉份，当时中国企业深度求索(DeepSeek)推出的⼈⼯智能聊天机器⼈，其开发成本远低于多数美国竞争对⼿且效率更⾼。这⼀事件短暂重创了多家美国科技公司股价，并在此过程中导致某些系统性交易策略失效。 Some quant hedge funds — such as AQR’s long-short Delphifund, RenTech’s RIDA and RIEF, and Capital FundManagement’s Stratus — enjoyed healthy returns in January,but others were hurt by the turbulence. The DeepSeek shockseemed to have started a particularly bad spell for trend-following quant hedge funds, such asSystematica’s BlueTrendand Man AHL’s Alpha. 部分量化对冲基⾦——如AQR的多空德尔斐基⾦、⽂艺复兴科技的RIDA与RIEF、以及资本基⾦管理公司的层云基⾦——在1⽉收获了稳健收益，但其他基⾦则因市场动荡受到冲击。深寻冲击似乎为趋势跟踪型量化对冲基⾦开启了特别糟糕的时期，例如系统化资本的蓝趋势和曼⽒AHL的阿尔法基⾦。 In February, many quant hedge funds were rattled by a suddenburst of a more mysterious, under-the-surface stock marketchaos that was largely unnoticed by traditional investors. ⼆⽉间，许多量化对冲基⾦被⼀场更为隐秘、潜藏于表层之下的股市混乱突然爆发所震动，⽽传统投资者⼤多未能察觉这场动荡。 It later emerged that two investment teams at Millennium thatspecialise in index rebalancing — betting on and against stocksthat are expected to be promoted or relegated from majorbenchmarks — hadlost about $900mn. The subsequentdeleveraging rippled through several corners of the stock marketand dinged a host of quant strategies in the process. 后续调查显示，千禧年资本旗下专攻指数再平衡策略的两个投资团队