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buraya hedge fonlarin dunya ekonomisinde artan yerleri ve yaratabilecekleri oynaklikla ilgili bazi ilgimi ceken yazilari yollayacagim. Zamani geldiginde oldukca iyi bir birikim olacagini dusunuyorum. Bunlarin cogu malesef ingilizce olacak ama ilgilenen arkadaslar icin faydali bir derleme olacaktir
Buttonwood
Rejecting the proposed cure
Jun 27th 2006 | NEW YORK
From Economist.com
Efforts to clean up America’s financial markets fall apart
AFTER the stockmarket crash of 1929 and the ensuing depression, Congress created the Securities and Exchange Commission (SEC) to bring some sort of order to the markets. The qualification of the first man placed in charge, Joe Kennedy, was that he had an excellent grasp of the distribution of suspect products, having made his first fortune as a bootlegger, and had then shown an unmatched talent for market manipulation.
It was said at the time that the new rules could not have been put in place had economic disaster had not been unfolding. Certainly, a poacher would not have been appointed gamekeeper; nor would financial firms have accepted the costly and wrenching changes. A reflection of how bad the circumstances were is that William Douglas, the man credited most with laying the foundation of the SEC, was a law professor originally appointed as a commissioner to assist Mr Kennedy because of his expertise in bankruptcy. That the SEC quickly became a sought-after billet for lawyers adept at writing rules and setting principles did the commission, and America, no harm.
After the collapse of the internet boom, great efforts were made to prompt a similar round of reform. Eliot Spitzer, New York’s attorney-general, became a household name for his successful attempts to appear the champion of the betrayed public, and the SEC and Congress were goaded into a flurry of legislation. This time around, however, the changes are proving to be flawed in principle and in practice, and with the subsequent recovery of the financial markets and the economy, they are coming undone. The most recent reversal is the rejection on June 23rd by a federal appeals court of new regulations for hedge funds. The court did the same in January to new rules on the structure of mutual funds.
The hedge-fund decision turned, as these things often do, on a seemingly insubstantial twist in the law. Hedge-fund managers have been obliged to disclose almost nothing if they have fewer than 15 clients or 100 individual investors. Years ago, the SEC accepted the idea that a “client” could be a fund. Since funds can be cloned with a stroke of a pen, these restraints are easy to avoid: funds pick investments they like, find as many clients as they can, and create legal structures that can contain both.
The definition of a client could have satisfied only the lawyer paid to dream it up, but fund managers did not complain. No one else paid much attention until suddenly, it became apparent that hedge funds had become a huge force in the markets—and that there was no authoritative information about them at all. Their size, strategy, operations and positions were all a mystery to financial regulators.
This would probably have been disconcerting to a regulator at any time; it was toxic five years ago, when a chairman of the SEC was ousted for not looking busy enough, and Mr Spitzer was accusing the commission of being asleep. With the public and Congress in a lather, the SEC responded, not unreasonably, by closing a loophole. It redefined a client to mean an investor (as plain English implied) and forced hedge-fund operators to disclose a bit of information about themselves to the government and to accept periodic inspection.
Although the change ended a clear legal falsehood, it created new problems. First, it had its own loopholes. It exempted funds with long-term clients, so that many funds immediately changed their terms to lock up investments for more than two years. Second, although the old rule in effect allowed funds to lie about their scope, it is not obvious that extra information necessarily helps either the funds or the public.
Restraints are put on funds either to stop dumb investors being taken advantage of or for broader reasons of public policy. In theory at least, hedge funds still are sold only to people with enough resources to make investments without regulatory interference. In fact this is not quite true—the amount you need to invest in a hedge fund is coming down every day—but it is mostly true. If the SEC wanted to reinforce consumer protection it could have passed a different kind of rule.
It is not clear that having a vast pool of secret capital is a bad thing. Enforced disclosure would be likely to push many funds into moving abroad. And despite the occasional blow-up, American financial markets have recovered (as they did not in the 1930s). There are strong arguments, accepted by many at the SEC, that hedge funds, with their ability to act quickly and quietly, may be one of the reasons. Many investment firms worry that the added cost of close oversight might make their businesses unfeasible. And it is certainly burdensome. “The SEC can come in your office, sit in your chair for three weeks, ask you for every scrap of paper, you can’t get work done, and you haven’t done anything wrong,” says Phillip Goldstein, the hedge-fund manager who filed the successful litigation.
Arguments exist on both sides, but the idea that hidden pools of capital can be beneficial cannot be dismissed out of hand. The firms themselves are convinced. Unlike in the 1930s, when financial institutions felt they had to go along with changes, they have resisted.
It did not take long for them to find a line of legal attack. The new definition of a client was a 180-degree change from the prior one. No matter that a reasonable definition had replaced a ludicrous one: it was a change. The court carefully reviewed the history of how the rule on clients had been interpreted and concluded that there was little doubt that the SEC’s new interpretation was inconsistent, says Paul Mahoney, a law professor at the University of Virginia. In the past, courts have reversed the SEC’s rule changes when there was a clear shift in position and dissent within the SEC itself. Both were present.
The earlier case concerning mutual funds hinged on another obvious legal fraud that, arguably, should continue to exist. Under the so-called 40 act, passed in the SEC’s heady, formative days, the owners of a fund are clearly its investors, not its managers or distributors. “The SEC’s problem in regulating mutual funds”, observes Mr Mahoney, “is that this theory is totally inconsistent with the facts.”
After the various court cases initiated by Mr Spitzer tied to “market timing” that clearly hurt some fund investors, the SEC sought to give more ownership to investors by requiring that most of a fund’s board of directors be independent of its sponsors. This is rarely so, if ever. Funds are run by companies that hope to make a profit from their operation and that are permitted (after winning a battle in the 1970s) to buy and sell them at will. This is plain evidence of ownership. Mutual-fund investors are not fooled. They buy funds like any consumer appliance, judging fees, performance, reputation, and hype, sometimes choosing wisely, sometimes not.
In blocking the SEC’s rule change, the court said that it had not sufficiently considered the costs and benefits. This has little theoretical justification; but the fact is that there was little clamour for radical change. The SEC would have done better to expunge the fiction that mutual funds’ boards are independent of the companies that run them than to try and reinforce a wonderful theory that had not been applied for decades.
The SEC is reconsidering its approach to both cases. There are excellent arguments for changing investment rules and ways to do so, but without a better approach (or a disaster) not much will happen. An ironic product of the regulatory furore of recent years is that chaos seems to have shifted from the markets to the regulators themselves.
Hedge funds and equity research
Fair comment or foul?
Mar 30th 2006 | NEW YORK
From The Economist print edition
A hedge fund and a research firm stand accused of manipulating share prices
OVER the years hedge funds have been blamed for all sorts of financial mayhem, from sparking the East Asian financial crisis in 1997 to driving up oil prices in 2005. Company bosses often complain that hedge funds are out to ruin them or their business for a quick buck. Biovail, a Canadian drugs firm listed in New York and Toronto, is sure of it. It is suing several funds, an equity-research firm and others for allegedly scheming to drive down its share price.
Biovail's suit, filed in late February, seeks at least $4.6 billion in damages from SAC Capital Management, a $10 billion Connecticut hedge fund, Camelback Research Alliance (now Gradient Analytics), a research firm in Arizona, Bank of America and other defendants. The suit hangs on the claim of five former Gradient employees that in June 2003 Gradient published a negative report on Biovail at the behest of SAC, based on information provided by the hedge fund. They also say that Gradient agreed to delay publication of the report in order to allow SAC to build a big short position in Biovail's shares (ie, a bet that the price would fall). Biovail maintains that this report, research by Bank of America that was allegedly based on it, and an “orchestrated” campaign in the media drove its share price down by more than half by March 2004, making SAC and other short-selling hedge funds “immense ill-gotten profits”.
The defendants vehemently deny the allegations. And there are other explanations of the slump in Biovail's share price: a series of disappointing profit figures, starting in the second quarter of 2003; downgrades by analysts (not only Bank of America's); and inquiries into the company's accounting and financial-disclosure practices by both the Securities and Exchange Commission (SEC) and the Ontario Securities Commission.
Biovail's claim is similar to one already being pursued by Overstock.com, an online retailer which also accuses hedge-fund short-sellers and Gradient of colluding to drive down its share price. (The SEC has sent subpoenas to Gradient as part of an inquiry into possible market manipulation.) Both suits reflect companies' anxiety about the size and power of the hedge-fund industry. While regulators worry about which investors should be allowed to dabble in funds that may prove beyond their means and understanding (see article), company bosses lose sleep over the penchant of many hedge funds for aggressively buying and selling shares. Funds' taste for shorting makes them sweat most of all.
A matter of opinion
But the suits reflect a further worry, about the use (or abuse) of opinion. Hedge funds routinely feed ideas—both “shorts” and “longs”—to each other and tout their views to analysts, journalists and regulators. Some analysts admit that their hedge-fund clients press them to write reports in line with the funds' views. “We have had hedge funds try to twist our arms to write reports a certain way. The pressure definitely exists,” says one. Biovail's suit claims that in just this way SAC persuaded Gradient to publish a “hatchet job” on the drug company and that this amounts to market manipulation.
Proving this will be hard. It does not help that, according to Karen Hinton, Gradient's spokeswoman, the analysts in question were fired for “malfeasance, poor performance or both”. Proving manipulation by short-sellers is “exceedingly difficult”, says John Coffee, of Columbia Law School. Hedge funds are free to air their views, however loudly, as long as they do not say what they know to be false.
Any independent research firm worthy of the name should verify information coming from a hedge fund. But even if it didn't, it is not clear what rules it would break. Unlike Wall Street banks, research firms such as Gradient cater to institutional clients rather than retail customers and are independent of a broker-dealer. Therefore they are not subject to the rules of self-regulatory organisations, such as the New York Stock Exchange and NASDAQ, says Mr Coffee.
Ms Hinton adds that it makes little business sense for independent research houses to publish “biased research”. Few institutional clients would be willing to pay fees of tens of thousands of dollars for shoddy work. And any reports by firms known to produce skewed research would be discounted by the market—and thus have no impact.
Lynn Turner, a former chief accountant at the SEC, believes that hedge funds and research firms should be punished for intentionally publishing false, negative information “to the full extent of the law”—just as Wall Street analysts were punished for writing false, rosy stuff a few years ago. But Mr Turner cautions against any broader attempts to fight short-sellers. “Ethical short-sellers are good for the financial markets,” says Mr Turner. After all, it was hedge-fund short-sellers who first unearthed financial jiggery-pokery at Enron and elsewhere, and who tipped off America's regulators.
Ritholz on hedge fund investors
Felix Salmon | Sep 20, 2006
Barry Ritholz has an interesting take on Amaranth: it wasn't Brian Hunter's fault so much as it was Amaranth's investors. He's been talking to similar investors of late, and they all seem to ask the same thing:
Now comes THE QUESTION. This is the one that gets people into trouble:
"We are looking for a number. What should we expect from you in the first 2 years?"
What they want to hear is "I am going to do 30-40% annually, fully hedged."
I don't say that, because it isn't true. (God bless Jim Simons, who actually can honestly say that). That's what too many investors are looking for; its nothing more than the greed factor at work. They don't say it explicitly, but its true: We want you to outperform the long term S&P500 benchmark by 300-400% annually (and we don't care about mean reversion). We really don't care how you do it. We want outsized profits. WE WANT THE LATE 1990S AGAIN.
Compare the Economist's recent article on hedge funds:
Investors may be willing to gamble, despite the higher fees, because they desperately need high returns. The bear market between 2000 and 2002 brought a sober reassessment of the future returns likely from equities and bonds. With bonds yielding 4-5% and equities returning perhaps 3% on top, composite future returns of 6% or so looked inadequate. Peter Harrison, chief executive of MPC, a fund manager, says that American pension funds have analysed their liabilities. “They need more than 6% to make up the shortfalls in their funds. Whether they earn alpha or not, they have to roll the dice and try to get it.”
As the ultimate sources of funds get greedier, then, hedge funds will find themselves entering increasingly risky markets to keep their clients happy.
The question is what happens next. If higher risk means higher returns, then most people will be happy, and a handful of people (like investors in Amaranth) will be unhappy. Net-net, happiness (returns) will go up. But if a huge wave of liquidity chasing a fixed pool of assets means that risk product becomes fundamentally mispriced, then everybody could be on the way to a very hard landing indeed.
Enormous losses at one of the nation’s largest hedge funds resurrected worries yesterday that major bets by these secretive, unregulated investment partnerships could create widespread financial disruptions. (Devamı) (http://www.nytimes.com/2006/09/19/business/19hedge.html?ref=business)
23.09.2006 / Dış Haberler / Haber -Referans gazetesi
Wall Street'i 8 yıl önce sarsan ve küresel piyasaları durgunluğun eşiğine getiren hedge fon iflaslarına bir yenisi eklendi. Amaranth adlı ABD'li şirket bir haftada 6 milyar dolarlık zarara uğradı. 8 yıl önce benzer bir kayıp yaşayan hedge fon LTCM'nin hisselerini toplayan Citigroup, Amaranth'a da ortak olma peşinde.
ABD'li hedge fon şirketi Amaranth'ın pazartesi günü vadeli doğalgaz işlemlerinden uğradığı milyarlarca dolarlık zararı karşılayamayacağını açıklaması finans piyasalarını hafta boyunca bulandırdı. Amaranth yönetiminin cuma günü yaptığı açıklamada sadece son 1 haftada uğradığı kaybın 6 milyar dolar olduğunu açıklaması ise akıllara bundan 8 yıl önce Wall Street'i vuran Long Term Capital Management (LTCM) adlı hedge fon şirketinin çöküşünü getirdi. O dönemde Rusya, temerrüde düştüğünü açıklamış ve elinde ciddi ölçüde Rus tahvili bulunan LTCM iflas bayrağını çekmişti.
Reuters haber ajansına göre, bir ay öncesine kadar 9 milyar dolarlık bir varlığı yöneten Amaranth, şu anda değerinin yüzde 65'ini kaybetmiş durumda. Amaranth, Reuters'a gönderdiği yazılı açıklamada müşterilerinin şirketin elindeki kağıtları satması için yaptığı baskıya cevap vererek enerji portföyünü Citadel ve JP Morgan'a sattığını açıkladı. Amaranth'ın uğradığı kayıp, LTCM'yi bile gölgede bırakmış durumda. LTCM, iflas ettiğinde toplam kaybı 1.85 milyar dolar olmuştu. O dönemde batık fona arka çıkan finans devi Citigroup bu kez de Amaranth hisselerini almak için de devrede. Amaranth'tan hisse almak için görüştüklerini açıklayan Citigroup, bu satın alma sayesinde fonun acilen ihtiyaç duyduğu nakit girişini sağlamış olacak. 17 milyar dolarlık bir hedge fon birimine sahip olan Citigroup, Amaranth hissedarlarının şirkete yeniden güven duyması için anahtar rol oynayabilir.
Yönettikleri varlıkların toplamı 1 trilyon doları aşan ve yaptıkları toplum alım-satımlarla küresel piyasaları derinden etkileyen hedge fonların son dönemde performansında düşüş olduğu ve bu fonların uğrayacakları kayıpların tüm piyasaları peşinden sürükleyebileceği endişesi birçok çevre tarafından dile getiriliyordu.
ABD Merkez Bankası Başkanı Ben Bernanke de mayıs ayında hedge fon sektörüne daha sıkı uygulamalar getirilmesi gerektiğini söylemiş, "Yetkililer 1998'deki risk yönetiminde oluşan boşlukların yeniden ortaya çıkmayacağını garanti etmeli" demişti. Son aylarda kimi hedge fon şirketlerinin uğradığı değer kaybı yüzde 6'ya kadar yükseldi.
Yatırım uzmanı Hunter'a fazla yetki verildi iddiası
Amaranth'ın çöküşünü hazırlayan ise doğalgaz fiyatlarındaki yükselişin süreceğini öngörerek yapılan yatırımlar oldu.Emtia fiyatlarındaki düşüşe rağmen doğalgaz fiyatlarının artacağını ısrarla iddia eden Amarant'ın yıldızı 32 yaşındaki Brian Hunter olmuştu. Son 18 ay boyunca Hunter'ın enerji piyasasına ilişkin yaptığı doğru tahminler sayesinde ciddi para kazanan Amaranth Hunter'a geniş yetkiler vermişti. Hunter Mart 2007 ile Nisan 2007 vadeli doğalgaz fiyatları arasındaki getiri farkının artacağı yönünde tahmin yürütmüştü. Şirketin kurucusu Nick Maounis, Hunter'a tüm şirketi riske sokacak kadar verme yetkisi verdiği için eleştiri yağmuru altında.
Maounis "yatırımcılarımızı güvenini geri kazanmaya söz veriyorum" diyerek panik satışlarını önlemeye çalışıyor. Yukarıdan uçan yatırı uzmanları, büyük ve saçma riskler alıyor, sonrasında ise bu riskler gerçekleştiğinde yatırım uzmanı ile birlikte şirketini de bir felakete doğru sürüklüyor" diye yazan New York Times gazetesi, hedge fon sektöründe tekrarlanan bu krizlerin şirketlerin emtiaya olan aşkına ve genç yatırım uzmanlarının agresif yatırım stratejilerine bağlıyor.
Hedge fon denetimi sıkılaşacak
ABD'nin mali piyasaları denetleyici kurumu olan SEC ise cuma günü hedge fonlara ilişkin denetimlerini sıkılaştırma kararı aldı. Hedge fonlar ile çoğu zaman zaten bir hedge fona bağlı olarak çalışan broker ve dealer kuruluşlar arasındaki bağların araştırılması konusuna eğilme kararı alan SEC'in bu kararı hedge fonları düzenleme konusundaki ısrarını gösteriyor. Çünkü SEC'in hedge fonların kendine kayıtlı olması yönündeki talebi geçtiğimiz haziran ayında mahkeme kararı ile reddedilmişti. SEC, LTCM'in çöküşü sonrasından da hedge fon sektörünü denetlemeye ilişkin benzer önlemler almıştı.
1998'de küresel resesyonu FED önlemişti
1998 yılında Rusya'nın borçlarını ödeyemeyecek duruma düşmesiyle bu ülkede ciddi yatırımları olan ABD'li hedge fon şirketi Long Term Capital Management (LTCM) çökmüş ve kendi varlığının 100 katı kadar borçlandığı bankaları da krize sürüklemişti. Dahası Brezilya'ya kadar uzanacak bir gelişmekte olan piyasalar krizi için ilk adım atılmıştı. Rusya'nın temerrüde düşmesi, ABD hazine tahvilleri gibi yatırım araçlarını yine güvenli liman haline getirmiş ve gelişmekte olan piyasalardan kaçış başlamıştı. Rusya gibi gelişmekte olan ülkelerden yüklü miktarda tahvil toplayan LTCM ise bu gelişmenin ardından büyük zarara uğramıştı. Krizin küresel bir resesyona yol açması ise yatırım şirketlerinden teker teker toplanan paralar sayesinde engellenmişti. O dönemde Merrill Lynch'in başkanı William J.MacDonough ve FED, 14 yatırım şirketini birlikte hareket etmeye davet etmiş ve her birinden LTCM'ye 100 ila 350 milyon dolar arasında yatırım yapmaları istenmişti. FED, küresel pazarda yüzde 5 gibi önemli bir paya sahip olan LTCM'nin çöküşünün küresel bir krizi tetikleyeceği korkusuyla şirkete finansal olarak destek olmuş ve piyasaları daha da kötü etkilemesi bu sayede önlenmişti. LTCM'nin çöküşü devlet desteği sayesinde Rusya ve gelişmekte olan piyasalarda 430 milyon dolar ve S&P500'deki yatırımlarda 203 milyon dolarlık bir kayıpla sınırlı kalabildi.
by Bill Bonner and Lila Rajiva
Amaranth:
1. Also called pigweed.
2. An imaginary flower that never fades.
Last week investors found to their chagrin that the Greenwich, Connecticut genus of the pigweed, is not only far from imaginary, it can fade out at lightning speed. Hedge fund Amaranth Advisors managed to lose $4.6 billion - about half its entire value - in a matter of just a few days through a sensational miscalculation of the price of natural gas futures in the spring of 2007. Today's news tells us the figure has now grown to $6 billion.
Star trader Brian Hunter bet the farm on the idea that the gap between the March 2007 natural gas price and the April 2007 would increase. Instead, it fell from about $2.60 per 1,000 cubic feet to about 80 cents, wiping out Amaranths' 20 plus percent yearly returns, in one fell swoop, to a 35% loss.
Hunter, a Canadian, had made millions for the firm after natural gas prices exploded in the wake of Hurricane Katrina. He was thought to be so savvy about gas futures that his bosses at Amaranth let him work out of his home in Calgary, where he drove a Ferrari in the summer and a Bentley in the winter. The jazzy wheels matched the snazzy wheeling...and the honeyed dealing at the American energy fund, where 1.4% of net assets went for "bonus compensation to designated traders" and another 2.3% was doled out for "operating expenses." When an account made a net profit, the manager took care to cut himself up to 1.5% of the account balance per year in addition to a 20% cut of its net profits - less the traders' bonuses and operating expenses. But when the account lost money, the managers suffered no penalty, though the investors still remained on the hook for the operating expenses and possibly for trader bonuses as well.
What kind of a gig is that? Where investors have to pay to play and then pay to lose, as well? What can investors be thinking when they see their accounts shrivel like anorexics on a fat farm while their managers grow sleek and prosperous in their Greenwich pads?
The hedge fund world is famously populated by math whizzes, each one claiming to have solved Poincare's Conjecture. But the important math of hedge funds is very simple: it's heads I win, tails you lose.
The typical fund charges 2% of capital, plus 20% of the gains above a benchmark, often the risk-free rate of return - say around 5% today. So, a fund with a 10% return charges its clients 2% of capital...plus, another 2% (20% of 10%) for the performance. Even a fund that is able to do twice as well as the benchmark - a difficult feat - only leaves the investor with a 6% return, net.
A common pattern is that for four years in a row, the fund gets twice the return as the risk-free rate and every fifth year it suffers a 10% loss.
When this happens, the fund managers do not send out a letter offering to share 20% of the loss. No, they are happy to take a percentage of the profits, but not the losses. So, in the four fat years, the fund builds up...with the managers taking their cut. But in the fifth year, investors take all of the loss, effectively magnifying it, making a dollar of loss equal to $1.25 of gain.
The essential math is not only easy...it is perverse. As demonstrated by Amaranth, fund managers have every incentive to take wild gambles. If the gamble pays off, they become rich and famous. If it does not, they are still the same math prodigies they were before. It is like playing strip poker with a beautiful woman. When you lose a hand, you take off your shirt. But when she loses, she puts on a leather coat.
Why do investors think they can get anywhere in such a game? The quick answer is that investors are not thinking.
In the late stages of empire, thinking becomes a vestigial function - about as useful as an appendix...and as liable to be cut out in a crisis.
Instead, investors rationalize...and theorize...to justify the excesses and extravagances of the imperial economy. Why buy a hedge fund? Better returns, they say - though hedge fund returns have been so abysmally low that their money would have slept sounder tucked up in a cozy money market account. Different market, they argue - claiming that the new conditions demand provocative trading rather than stodgy buying-and-holding.
Don't marry your stocks, they warn. Just shack up for a few months and unload them when the next hottie comes along; that's what the celebrity hedgies do. But filling your portfolios with fast moving floozies is no way to make money; they've all been on the street too long already...they're overpriced and overworked. And when the market goes down, they'll go down faster and further than more. The hedge funds have smarter managers, claim investors. And here, finally, they might have a point. Who but a real sharpie could have come up with such a clever scheme? Hedge fund clients might be dripping in red the past few years, but the fund managers themselves are in clover.
If vanity were gravity, Greenwich, Connecticut would be a black hole. The puffed-up twits who manage most hedge funds contribute to more unwarranted bluster per square foot there than in any place outside North Korea.
Greenwich sucks in money from all over the financial world and turns it into...nothing.
In this respect, Amaranth is only following the hedge fund playbook. Deals for hedge bosses are so sweet that Warren Buffet claims the funds aren't really investment vehicles at all but compensation strategies - ways to keep star managers in their multimillion dollar digs while the funds themselves turn in lower and lower returns...sub-10% on average, and in some cases, pushing below 5%, according to the Hedge Fund Index. In fact, in 2005, some 848 hedges closed down their business, says one consultancy firm, Hedge Fund Research Inc.
Is it just a case of too much of a good thing diluting the returns? Could be.
When Alfred Winslow Jones coined the term in 1949, hedge funds operated on the margins of the investment world. "Hedge fund" then simply meant a portfolio of stocks with long and short positions, the shorts acting as a hedge against losses in the longs.
Today, the term better describes the legal structure of the groups - private, and limited to a specific number of investors, with a minimum of $1 million in assets - and the actual strategies employed vary dramatically - from commodity trading to distressed investing.
And today, hedge funds have spread like a tropical parasite so that there are now 8000 or so of them, infesting even institutional investors and pension funds, and sucking in total assets of about $1.2 trillion.
Meanwhile, hedge funds specifically engaged in energy trading - like Amaranth - have proliferated - soaring from about $5 billion to a stratospheric $100 billion.
You'd think this would give at least the pros in the business some pause.
Yet, Morgan Stanley, for example, pumped five percent of its $2.3 billion fund of hedge funds into Amaranth. And, Goldman Sachs' fund of hedge funds also admitted that an anonymous energy-related investment - guess who? - had wiped off a chunky three percent off its monthly return.
Hubris and excessive risk run through the entire sorry episode. Hunter himself was borrowing $8 for every $1 of Amaranth's own funds, while taking positions ten times larger than veteran energy trader, Goldman, and twice the size of the next biggest trader. Hunter also expanded Amaranth's natural gas holdings so that they became half the firm's entire exposure, where they had once been only 7%.
Like LTCM - the energy firm that blew up in 1998 - Amaranth held such large positions in the market that it could not unravel its positions.
Like LTCM, Amaranth seemed certain it would never fail and boasted of its "fearlessness" on its website. Like LTCM, Amaranth was hazy about what it was doing and how...
But unlike LTCM, the financial community is reacting with odd indifference to Amaranth's fiasco. Peter Fusaro, co-founder of the Energy Hedge Fund Center, which tracks 520 energy hedge funds, shrugs that Amaranth is "a hiccup." Amaranth's blow-up doesn't affect as many institutional investors and banks and other financial VIPs, as LTCMs did. Only its rich clients have to endure the pangs of portfolios sliced neatly in half.
Maybe so.
Maybe not.
We think of the typical hedge fund manager. Not yet 30, no experience of a real bear market, let alone a credit contraction...the man thinks only of the new house he will build in Greenwich, Connecticut, if his bets pay off. He imagines that he will take his place alongside George Soros and the Quantum Fund.
More likely, he will **** Nicholas Maounis in the pigweed.
http://news.goldseek.com/DailyReckoning/1158952560.php
Tam da merak ettiğim şey üzerine yazılmış bir makale:
Trading'de ilk öğreneceklerinizin başında gelir: "Asla tek bir pozisyona tüm portfoyünün yüzde 2'sinden fazlasını koyma"! Nerede 3 günde yüzde 65 zarar? Nerede yüzde 2 kuralı? Acemi trader yapsa, acemi der geçeriz de hedge fundun teki böyle bir hata yapınca komik oluyor...
Amaranth and Brian Hunter
Whatever happened to the first rules of trading? Diversification, hedging, managing risks, position sizing. The "hedge fund" Amaranth drops 50% betting on natural gas. Multistrategy alpha turns out to be just a gaseous wager on an ultravolatile spread. Even the greenest individual investor knows not to have more than 2% of NAV risked in any one trade, no matter what level of intelligence, conviction or brashness. What kind of investment philosophy is "Many hurricanes last year so lots this year. Let's bet the entire fund"? That wasn't what the marketing and offering documents said.
Who was monitoring and conducting due diligence on this Amaranth trash? If I was an institutional or private investor the FIRST question I'd be asking my consultant or advisor is "Were you in Amaranth?". Amaranth had far higher numbers this year than any of the other large, multistrategy shops. This outrageous single bet was detectable ahead of time yet who questioned it? Was anyone reading the monthly reports and asking where the money was being made? There was time to redeem from a diversified fund that plainly was not diversified. You can even break gates and lockups if necessary. Maybe they thought natty Mar/Apr was "market neutral"!
If memory serves, the Amaranth plant was first used in Aztec human sacrifices; why did their clients willingly step up to the altar to get their hearts ripped out? This was predictable ex ante with a thorough examination of the performance attribution statistics. If investors are bullish on natural gas they can cheaply and easily buy NG futures themselves; no need to pay a "trader" like Brian Hunter $100 million to do it OTC and lose it for them. Spreads in commodities can famously be as volatile as the outright position.
In a recent interview Steven Cohen, founder of SAC Capital, said he was worried by crowded trades. Of course he is. That's his job, as it is of every hedge fund manager. Nobody wants to be in trades that everyone else has on. No-one should be in positions they won't be able to exit in an orderly fashion. Bubbles can indeed form in individual assets, and that risk must be evaluated, hedged and diversified away as much as possible. You can run $100 billion with a very wide spread of bets but NOT $9 billion wagered on a single horse. Some say Stevie dodged a bullet not hiring Brian Hunter: wrong, he would never have permitted such a ludicrous, concentrated bet.
While justifiably providing strong ammunition for hedge fund critics, the Amaranth and MotherRock debacles have little to do with proper hedge funds and will have no affect on industry growth. Predictions of a hedge fund bubble have been around for years. Asset classes can form speculative bubbles but the hedge fund industry, managing strategies NOT assets, cannot.
Highly diversified hedged funds should be immune to any market shocks. The tools and techniques of modern, sophisticated risk management ensure this. Short selling, use of derivatives and diverse holding periods eliminates the possibility of a wholesale hedge fund bubble. The conditions that might hurt, say, equity long biased funds will likely benefit short sellers, CTAS and global macro, for example. The variety of assets available to invest in reduces exposure to implosions in any one asset class or security. Provided a fund is diversified across low correlated and low cointegrated trades, downside risk is minimal.
One great strategy is to identify and take the other side of popular trades. This is not easy as such positions tend to get more crowded first, making good timing mandatory. Short squeezes and the lesser known long squeeze which killed Amaranth can be very lucrative. The zero-sum game dictates that the most money will be made when most other traders will lose it but such situations take skill and experience to regularly implement.
While there will be hiccups along the way in particular strategies, the hedge fund business is not in a bubble and can only continue to grow, long term. But investors need to be in actual hedge funds, NOT concentrated speculators making what amounts to a single, un-hedged bet.
$30 million is a lot of money. So why is Robert Merton closing down his new fund because it "only" raised $30 million? At usual fees of 2 and 20, that gives him a certain $600,000 each year plus $500,000 to $1 million in performance fees assuming he actually makes money (a big assumption, admittedly). $30 million in AUM is more than sufficient to get a hedge fund going and build a track record. Most proven hedge fund managers started off with much less. Considering that his previous fund generated a total return of -100% it is remarkable he could raise any money at all. But that is the beauty of the system we live in - most people DO get second chances even when they screw up massively the first time. It is an insult to the clients that DID put up the $30million to return it, saying it is not enough.
Some consultant at Rocaton comments that much bigger credit funds have been started. So? Merton's fund would have been nimbler, able to get in and out of positions quicker and act on smaller credit inefficiencies. It is much easier to make 20% on $30 million than it is to make 20% on $3 billion. A smaller credit orientated fund should be able to run rings round billion dollar behemoths in performance terms. That other funds operate in the space is irrelevant; if his fund does better than the bigger ones, investors will redeem from those and allocate to his.
Robert Merton should be delighted he was able to raise such a large amount. Instead of quitting after just 3 months, he should give up his other commitments, Fedex his Nobel statuette back to Stockholm, and focus solely on generating performance for his investors. So his career took a wrong turn in the 1960s by leaving the ABSOLUTE TRUTH of mathematics for the ABSOLUTE LIES of economics. It was unfortunate he was supervised by His Royal Wrongness Paul Samuelson and ended up making a four decade wrong turn into dismal, delusional darkness. There is still plenty of time for redemption; he even avoided the misfortune of having his name affixed to the Black-Scholes option mispricing "formula". He should trade that $30 million - it might educate him on how markets actually operate rather than how they theoretically work.
http://hedgefund.blogspot.com/2006_08_01_hedgefund_archive.html
Merton's Firm Shuts Down Credit Hedge Fund After Three Months
By Katherine Burton
Aug. 17 (Bloomberg) -- Robert Merton, the Nobel Prize- winning economist and co-founder of defunct hedge fund Long-Term Capital Management, shut down his new firm's latest fund after three months because it didn't raise enough money.
Merton's Integrated Finance Ltd. closed the IFL Continuum Fund in June, said Beth Burrus, a managing director of the New York-based firm. The fund, which concentrated on credit securities, had collected $30 million since its start in March.
``There has been a huge volume of credit-oriented hedge funds launched in the last 18 months, some raising more than a billion dollars, and the market seems to be saturated,'' said Tim Jackson, a partner at Rocaton Investment Advisors LLC in Norwalk, Connecticut, which helps clients choose hedge funds. ``By this year, a lot of people had already made allocations.''
IFL Continuum struggled as hedge funds attracted $42.1 billion from April through June, the most in one quarter since at least 2003, according to Hedge Fund Research Inc., a Chicago-based firm that tracks the $1.2 trillion industry. The influx was led by funds that invest in equities and in companies involved in acquisitions and other corporate events.
IFL's credit fund was managed by Peter Hancock, 48, former head of JPMorgan Chase & Co.'s global derivatives group. He founded Integrated Finance in December 2002 with Merton, 62, and Roberto Mendoza, 60, a former vice chairman of New York-based JPMorgan. Burrus declined to comment on the fund's closing.
Integrated Finance primarily advises clients on pension issues and corporate strategies, such as mergers and acquisitions. The company has an $80 million emerging-market hedge fund run by Jose Luis Daza that started in October 2005.
GSO Capital, Camulos
Hedge funds are private investments that cater to rich people and institutions. They returned 6.2 percent in the first half of the year, compared with 2.7 percent for the Standard & Poor's 500 Index, a broad measure of the U.S. stocks, according to Hedge Fund Research. Non-U.S. equities rose 11 percent, as tracked by the MSCI Index for Europe, Australasia and the Far East.
Among the larger new credit funds is GSO Capital Partners LP, opened last year in New York with $2 billion by former Credit Suisse First Boston executive Bennett Goodman. Camulos Capital LP was started in June 2005 by Richard Brennan and his team, who ran the credit portfolio at Soros Fund Management. Camulos, based in Stamford, Connecticut, manages about $800 million.
Merton won the Noble Prize for economics in 1997 along with Myron Scholes and Fischer Black for their Black-Scholes model of pricing options, contracts that give the buyer the right, but not the obligation, to purchase a security or commodity at a later date for a specified price.
While Merton's role at Integrated Finance is on the advisory side of the business, he is not without hedge-fund experience.
The economist was one of the co-founders of Long Term Capital in 1993 with former Salomon Inc. Vice Chairman John Meriwether. Five years later, Russia defaulted on its debt, sending money fleeing from riskier assets to U.S. Treasuries, the opposite of the trades that Long-Term Capital had on its books. The fund lost $4 billion in a matter of weeks, or about 90 percent of its capital.
Dalgalanma ABD'den ithal!
[email protected]
Dün G.Afrika, Ekvador, Polonya, Brezilya, Tayvan, Macaristan'da gündeme gelen ve çoğunluğu siyasi mahiyetteki kargaşanın, dünya çapında bir mali türbülans yaratamayacağı tezinden hareket ederek, gelişen ülke piyasalarına yapılan yatırımları boşaltan (bu arada Türkiye'yi de etkileyen) yatırımcıların başka bir nedenleri olduğunu düşünmüştük. Bu yaklaşım içinde yabancı yatırımcıların neden sinirlendiğini incelemeye başladık. Karşımıza ABD'den 18 Eylül'de oluşan ve 20 Eylül'de ortalığa dökülen bir mali skandal çıktı. Amaranth Advisers adındaki bir hedge fund, 9 milyar dolarlık varlıkla birkaç gün içinde 6 milyar dolar ziyan yazmış ve müşterilerin paralarını batırmıştı. Zarar petrol ve gaz piyasasıda, aylar önce 'tabii gaz future fiyatların artacağı' şeklinde kontratlara giren ve fiyatların hızla düşmesi üzerine 'margin call' denen nakit taleplerini karşılayabilmek için elindeki kontratları büyük ziyanlarla boşaltan yatırım şirketinin, geçmişte aşırı doz spekülatif pozisyon almasından doğmuştu. Olayın perde arkasında da 'stuctured products' ve 'credit derivatives' denen ve türev ürünler ile gerçekleştirilen spekülatif yatırımlar yatmakta.
Amaranth Advisers son dönemin en kazançlı ve prestijli hedge fonlarından biri idi. Geçen yıl dolar bazında yüzde 25 getiri sağlamış, varlıklarına da 2.5 milyar dolara yakın kar katmıştı. Birçok ABD'li genç MBA öğrencisi bu fona iş için başvurmakta idi ve önümüzdeki salı günü (26 Eylül) prestijli Chicago Üniversitesi'nden yeni çalışanlar almak için adaylar ile bir görüşme yapacaklardı.
Şimdi konunun sosyal boyutuna dikkat edelim. Tüketiciler uçakta biinci sınıfta uçmak istiyorlar, çünkü şampanya ile ağırlanmak, yatarak uçmak arzu ediyorlar. Pahalı restoranlara gidiyorlar, çünkü müthiş yemekler, müthiş ambians ve çok kibar garsonlardan hizmeti seviyorlar. Hedge fund yatırımcısı tüketiciler de aynen yukarıdaki birinci sınıf tüketiciler gibi. Onlar da yüksek riski de olsa yüksek getiri istiyorlar. Ancak bu tür fonları yöneten kişilerin üzerine de fonlarına çok kar getirmek zorunluluğu biniyor. Yatırılan fonların yüzde ikisi kadar komisyon almak ve kardan da yüzde yirmi pay alabilmek için yapılmayan cambazlık, alınmayan risk kalmıyor.
Amaranth Advisers fonunun tabii gaz sektöründe spekülasyon yapan elemanı 32 yaşındaki Brian Hunter geçen yıl şirkete tek başına 800 milyon dolar kar getirmiş ve kendisi de 75-100 milyon dolar arasında bir kazanç sağlamış. Brian Hunter Deutsche Bank'tan transfer edilmiş, orada iken de büyük karlar ve sonra da kanuni risk limitlerini aşarak büyük zararlar ürettiği için, zaten hala mahkemelikmiş, yıllık komisyonu ve primini de bu nedenle alamadan Amaranth'a transfer olmuş.
Fonunun binasın bulunduğu New York'un hemen kuzeyindeki 62 kişilik Greenwich kasabası, Kuzey Amerika'nın en zengin bölgesi. Burada sıradan bir evin fiyatı 2 milyon dolar, küçücük bir apartmanın aylık kirası 2500 dolara yakın. Burada kabaca 2000 kadar hedge fund bulunuyor. Bu 200 fon kabaca 120 milyar dolar yönetmekteler. Ofis binası kirası metrekare olarak New York'un en pahalı yerlerinin iki mislinden fazla. Her sabah Manhattan'dan trene binen hedge fund çalışanları işe gelmekte ve gece yarısı treni ile evlerine dönmekteler. Hemen her gün bu New England sahil kasabasında 40 metrelik bir yatta hedge fund yöneticileri müşterilere bir davet vermekteler.
Amaranth 2000 yılında şimdi 43 yaşında olan Nick Maounis tarafından kurulmuş ve 27 çalışan ve 450 milyon dolar ile yola çıkmış. 2005 yılında işleri büyüten Amaranth müşterilerden 5 milyon dolardan az fon almamaya başlamış. 360 çalışana ulaşılmış ve Toronto, Houston, Londra, Singapur gibi yerlerde ofisler açılmış. Müthiş bir matematikçi olduğu söylenen Brian Hunter 2004 yılından bu yana şirkette çalışmakta imiş. Temmuz ayına kadar büyük kazançlar üreten Hunter, 2006 yılının ortasından itibaren batmaya başlamış.
Hedge fund sektörü 2000 yılından bu yana nerede ise üç misline çıkarak 1.2 trilyon dolarlık varlığa ulaşmış bir sektör. Amaranth'ın enerji ve commodity alanındaki bir fonu 2004 yılında yüzde 30, 2005 yılında yüzde 72 ve 2006 yılının ilk altı ayında da yüzde 52 getiri sağlamıştı. Bu fonun kurulduğu 2002 yılından beri getirisi yüzde 407 civarında imiş.
İlginçtir ki Amaranth'ın Genel Müdürü olan Charles Winkler daha 12 Eylül günü Manhattan'ın en lüks otellerinden biri olan Pierre Otel'de organize edilen iş toplantısında, Goldman Sachs'ın müşterilerine, masadan masaya giderek çeşitli fonlarının nasıl yüzde 25 ortalama getiri sağladığını anlatıyor ve davet ettiği bir yatırımcı grubu ile de Four Season's Oteli'nin ünlü lokantasında Avustralya şarabı içip yemek yiyordu. Bugün ise, yani tam bir hafta sonra, fon varlıklarını başka banka ve fonlara satmak, bankalardan yeni kredi almak ve müşterileri kısmi nakit ödemeler yaparak kaybetmemek ve para çekmemelerini sağlamak için çırpınmakta. 1988 yılından bu yana (LTCM skandalından beri) en büyük mali çöküş olan Amaranth olayı, altın, petrol ve gaz ve diğer enerji ve emtia piyasalarından çıkış yaratarak, son günlerdeki dünya çapına varan gerginliği üretmiş bulunuyor kanısındayız. Bu da gelimiş ülke piyasalarında sinirliliğin bir süre daha devam edeceğine işaret ediyor.
Financial markets
The dark side of debt
Sep 21st 2006
From The Economist print edition
Public markets for raising and investing capital are plunging into the shadows
ReutersLENDING is a sober business punctuated by odd moments of lunacy. Genoese lenders' indulgence of Philip II of Spain's expensive taste for warfare caused not only the world's first sovereign bankruptcy in 1557, but the second, third and fourth as well. Lenders recycled petrodollars to third-world countries in the 1970s in the wilfully naive belief that countries, because they cannot go bust, will not default.
The world is once again in the grip of a spree of lending, but this time to companies rather than countries. What is striking is that much of this lending is happening not through public share and bond markets, nor exclusively through banks (see article). The issuance of syndicated loans vaulted to $3.5 trillion last year, from $2.3 trillion in 2000. Thanks to the low cost of debt, private lenders, such as hedge funds, are extending vast amounts of credit to leveraged buy-out firms and other private borrowers. Forsaking the sunlit uplands of global finance, the market for capital is plunging into the shadows.
For the financiers, that is an irresistibly lucrative place to be. In thinly traded, lightly regulated and untransparent markets, the bold can make an awful lot of money—and they can lose it on an even more extravagant scale. A bunch of investors is $6 billion or so poorer this week, after it emerged that Amaranth Advisors, a hedge fund that had some $9 billion under management, suffered catastrophic losses in a few weeks on the back of falling natural-gas prices (see article).
There is every chance that the markets can cope with a wilting Amaranth, or worse. Moreover, business people have perfectly good reasons for wanting to operate out of the public gaze. The trouble is that the vulnerabilities of debt's dark side have not yet been fully tested by the next act of collective lunacy. The shadows are scary because nobody quite knows what secrets they hold. That has got regulators worried—and rightly so.
Dark matter
Back in the days of claret-filled city lunches, life was so simple. Company pension funds and mutual funds put money into the securities of states and listed firms and hoped that they did well. Things are a great deal more complicated now. Even as the private world has eclipsed public markets, finance has been convulsed by a computer-enhanced frenzy of creativity. In today's caffeine-fuelled dealing rooms, a barely regulated private-equity group could very well borrow money from syndicates of private lenders, including hedge funds, to spend on taking public companies private. At each stage, risks can be converted into securities, sliced up, repackaged, sold on and sliced up again. The endless opportunities to write contracts on underlying debt instruments explains why the outstanding value of credit-derivatives contracts has rocketed to $26 trillion—$9 trillion more than six months ago, and seven times as much as in 2003.
In many ways, these complex derivatives are good for economies. Because they allow investors to lay off the risk of borrowers' defaults, they free lenders to lend more. Because risk is dispersed to those who have an appetite for it, the system should be more robust. Because derivatives are traded in liquid markets, they rapidly transmit information about the creditworthiness of borrowers. The benefits of this hyperactive shuffling of money spread well beyond financial markets. If companies are borrowing more cheaply and sensibly to make acquisitions, pay dividends and buy back their own shares, businesses everywhere should run more efficiently.
That is the theory, at least. And so far, it has broadly been borne out. The markets struggled to cope with financial crises in Asia and Russia in the late 1990s and with the implosion of Long-Term Capital Management, a hedge fund, in 1998. By contrast, there were never serious fears that the dotcom bubble burst, September 11th 2001, or, more recently, the collapse of General Motors' bonds and investors' flight from risky investments, would lead the system to collapse.
Regulators understand very well how much the world stands to gain from this revolution in finance, but they are nevertheless nervous. Because of the lack of transparency, they cannot see whether these volatile new debt instruments are in safe hands or how they will behave in a crisis when everyone is heading for the exits. As Donald Rumsfeld might have put it, they have left a world of known unknowns for a twilight landscape of unknown unknowns.
Last week Timothy Geithner, the Federal Reserve's man on Wall Street, gave warning that all this might make financial crises less common, but more severe. Britain's Financial Services Authority complained this week that investment banks and hedge funds were sloppy and prone to conflicts of interest. In a panic, incomplete paperwork could cause the whole system to collapse amid disputes about who owns which liabilities. Worryingly, firms had wildly different estimates for the risks of similar portfolios of investments. Someone somewhere is investing on flawed assumptions.
Sensible things can be done. Mr Geithner and the New York Fed have with some success been demanding that the derivatives markets sort out their bureaucracy. He wants banks to increase the cushion of collateral they require from highly leveraged clients, in case trades go bad. Banks, which routinely play computerised war games simulating the risks in their trading strategies, are being asked to be harder-nosed about assessing which hedge funds they deal with. Because the great fear is ignorance, regulators are commendably seeking unobtrusive ways to keep tabs on the markets.
Regulators also hint that it might eventually be necessary to supervise credit hedge funds, now monitored via their brokers. Here the markets' desire for obscurity contains a lesson as well as a threat. The rush into the shadows is also partly a flight from regulation, to be free of the costs and the burdens of compliance and to preserve the “cover” that helps an outfit keep a profitable trade to itself. When the next recession reveals the next act of lunacy and the urge to re-regulate finance takes hold, remember that today's successes were founded partly on those freedoms.
Brian Hunter may not have caused the energy sell-off but he certainly ignited the blogosphere. There has obviously been much generic coverage and good commentary on the Amaranth case but I'd like to add some important issues to the post mortem. I particularly object to some pundits blaming investors for pushing Amaranth into taking higher risk; that's nonsense. Maybe I move in the wrong circles but the people I talk to want +10/15% reliable NOT + or -30% maybe. Let's also bear in mind that 95% of Amaranth's employees are good at what they do. That being said, a few issues spring to mind.
1. Risk adjusted returns. Even when Amaranth appeared to be doing well on topline "performance", adjusting for the risk and leverage to generate those returns, real performance was lousy. I remember when LTCM knocked out 40%+ in 95/96 and looked like geniuses. Turned out they should have been making 140% for the risks they had on. We could all make massive bets on just our BEST ideas but is this what investors really want, given the possibility of major capital destruction? The most brilliant meteorologists with the fastest supercomputers haven't a clue on long term hurricane or winter weather forecasting so why did Brian Hunter think he alone had an edge? The alpha "strategy" may have been dressed up with spreads, options and sophisticated theories but it just amounted to a long only natural gas beta wager.
2. Inexperience. Last week, Nick Maounis, the founder of Amaranth, cited "unusual market behavior", "we did not expect the market to go against us", and "no viable way to exit our positions in the market" Wow, this is the level of "expertise" clients were paying 5.2% and 20% for. There was nothing unusual about it and a traders job is to expect the unexpected, diversify and manage risks. Any security that goes up exponentially can obviously go down exponentially as any COMPETENT stock, bond, currency or COMMODITY trader knows. If your exposures are too big for the market, the positions are too big. BEFORE you get in any trade you have to know where the exit is. This is not rocket science. A world class trading and technology infrastructure does not help if you then give a box of matches to a 2 year old.
3. Red flags were numerous. The signs were there IF you did your homework. Many independent fund of funds and advisors either took a look and said no or redeemed a while back. Donald Sussman, founder of Paloma and former boss of Nick Maounis, withdrew three years ago. Why did this not concern other investors? Kudos also to Businessweek magazine who pointed out over a year ago that Amaranth was basically charging a management fee of 5.2%! There are very few hedge funds that can justify fees that high and Amaranth was never one of them. The last paragraph of the article includes yet another fatuous comment from hedge fund "experts" Rocaton, who loved Amaranth, incidentally. Perhaps they should have been looking at the hundreds of good, smaller funds they routinely disdain.
4. Style drift and uncontrolled asset growth. While I believe in funds evolving, innovating and creating new investment strategies, Amaranth basically had a CB arb guy trying and failing to manage an energy guy. Good hedge funds managing multiple billions across several strategies took 10-15 years to get there. Amaranth tried to short circuit the learning process required to grow into and manage such size.
5. Echos of Drexel Burnham Lambert. "I am so good I want my own operation in my hometown". Out of sight, out of mind? Being "close" to the Calgary energy gossip didn't seem to help very much. Talent should be nurtured but "stars" usually end up compromising a firm's stability. Intermediaries talk about onsite visits in their powerpoints; how many actually went to Calgary to kick the tires? An investor doing due diligence should interview all traders with significant P/L responsibility. If they encounter anyone who in their opinion seems brash or arrogant, they should under no circumstances invest no matter how otherwise attractive the fund looks. I know many good traders and I have in the past known, hired and fired many brash traders, but I have never heard of a good, brash trader.
6. OTC derivatives. When you can, ALWAYS trade on an exchange where you have many counterparties and some anonymity. If you try to keep things "quiet" by transacting big OTC trades, you are giving up liquidity AND increasing your risk. Investment banks crave hedge fund business but prime broking and commissions are not the biggest profit drivers; the big money comes from the flow of information. Amaranth concentrated its large position with counterparties who were, in affect, direct competitors. The information provided was of great use to their proprietary energy trading desks. Hedge fund traders need to know that any trade they do with a big, conflicted broker/dealer CAN AND WILL BE USED AGAINST THEM. The NYMEX speculative limits are not just to maintain orderly markets but to save traders from themselves. The futures back months are relatively illiquid for good reason.
7. Chief Risk Officer. Every fund should have one. How experienced is the CRO? How much independence does he have? Does he have mandatory override if alleged "star traders" exceed trading limits? Are there any limits? Is he compensated well no matter how the hedge fund performs? Is his compensation of the same magnitude as the senior traders? Brian Hunter was in no way a rogue trader; management knew his positions. Natural gas is famously volatile and the value at risk jeopardised the entire fund. In winter 2001 natural gas doubled, then halved; the historical data was clear and they should have had forward looking scenario testing too. It could have been worse than $6 billion, perhaps even a negative NAV. VaR is pretty useless but even VaR would have flagged this risk.
8. Industry heterogeneity. Fund of funds and advisors, as with hedge funds, range from extremely good to extremely bad. An extra layer of fees IS worth it IF AND ONLY IF that fee is earned. Ongoing due diligence is MUCH more important than initial. Interesting how many of the independent fund of funds operators mostly avoided the Amaranth debacle while the usual investment bank asset management arms were in. Could the difference be when hedge fund selection and monitoring is your CORE business and not being just another PERIPHERAL profit centre?
9. Questions to ask intermediaries and advisors: How many new managers have you recently seeded? Do you just sit back and channel money to big funds instead of earning your fee by sourcing and discovering real investment talent? Is some spreadsheet lacky doing the due diligence or is the fund being assessed by someone with years of experience in ACTUALLY trading that asset class or strategy? Does your management structure ensure the selection of mediocre, can't be fired for hiring IBM, type investments? Are you verifying that a "multistrategy" fund really is multistrategy? Can you differentiate risk-adjusted alpha from beta? Are your portfolio funds lucky or skilled and how do you know?
10. What it said on the packet versus the contents. Amaranth was plainly not what it marketed itself as. Other funds either were not affected or they benefited; there was no contagion. Hedge fund regulation would not have prevented this. The SEC is investigating, as it should. Fraud is against the law, if it was a fraud. Investors will get their money out, what is left of it anyway. And a year from now both Nick Maounis and Brian Hunter will be on the road raising new funds. Remember markets have perfect long term memory but most investors themselves forget very quickly.
A frequent error in the financial world is confusing BIG with BEST. With hedge funds and fund of funds, there is very little overlap between a list of the best firms versus a list of the biggest. Probably less than 10% are on both the big and best lists. The AUM sweet spot for risk adjusted returns for MOST funds is in the hundreds of millions NOT billions. Over 90% of the world's BEST hedge funds and fund of funds/other intermediaries manage or advise on less than USD 1 billion. That's the biggest and best lesson to learn from Amaranth Advisors.
29.09.2006 / İrem Köker / Haber
ABD ve İngiltere'deki denetleme kurumlarının temsilcileri, hedge fonların gözdesi haline gelen türev piyasaların aşırı şişmesinden doğan riskleri dizginleyecek önlemler alınmasını istedi.
ABD ve İngiltere'deki denetleme kurumları, türev piyasaların aşırı şişmesinden doğan riskleri tek tek ülkelerin kaldıramayacağını ve sınır ötesi işbirliğinin şart olduğunu açıkladı. İngiltere'deki Finansal Hizmetler İdaresi (FSA), ABD'nin sermaye piyasası kurulu SEC ve New York Merkez Bankası'nın Financial Times gazetesine yazdıkları ortak açıklamada, küreselleşmenin artık yerel veya ulusal temelde çözümleri etkisiz kıldığı belirtildi.
Mevcut risklerin piyasadaki bir dizi inovasyon nedeniyle "yerel ya da ulusal bir çözüme" kavuşturulmasının zorlaştırıldığının ifade edildiği açıklamada, "Entegrasyonu artan küresel bir piyasada, kendimizi sınırötesi çözümlerin bulunmasını istemeye mecbur görüyoruz" denildi. Gazetede yayımlanan makaleye, FSA Başkanı Sir Callum McCarthy, New York Merkez Bankası Başkanı Timothy Geithner ve SEC Komisyon Üyesi Annette Nazareth imza attılar. Açıklamada, "Türev enstrümanlar konusunda yerel finansal piyasaların piyasadaki hareketlerden kaynaklanan risklerden korunması için yerel ya da ulusal bir çözüm yetersiz kalmıştır. Kredi türevleriyle ilgili sorunların çözümü için geniş ve çeşitli finans kuruluşlarından oluşan bir havuzun oluşturulmasına ihtiyaç duyulmaktadır. Hiçbir şirket ya da ulusal otorite, kendi başına ilerleme kaydetme kapasitesine sahip değildir" denildi.
Ankara Üniversitesi Siyasal Bilgiler Fakültesi Öğretim Üyesi Doç. Dr. Güven Sayılgan ise, "ele avuca sığmaz" olarak tanımladığı bu sistemin denetlenmesi gerektiğini ancak bunun gerçekleşme olasılığının düşük olduğunu söyledi. Referans'a konuyu değerlendiren Sayılgan, "Bu piyasada, güçlü sermaye gruplarının varlığından dolayı onların istemeyeceği bir şeyi gerçekleştirmek çok zor. Bu nedenle de bu istek bir ütopya gibi kalabilir" dedi. Piyasanın çok riskli olduğuna dikkat çeken Sayılgan, risk unsurunun ise kaldıraç sisteminin yoğun biçimde kullanılması olarak açıkladı.
Finansal araştırma şirketi TowerGroup, ABD aracı kurumlarının 2006 yılında türev işlemlerden 33.2 milyar dolar gelir elde etmesini beklediğini bildirdi. Şirket, yayımladığı raporda, türev piyasada özellikle alım yönünde güçlü bir talep olduğunu söyledi.
Türkiye dünyanın çok gerisinde
Finans ve reel sektöre risk yönetimi ve danışmanlık hizmetleri veren RiskActive'in Genel Müdür Yardımcısı Barış Akçay, türev piyasa işlemlerinin 2 şekilde yapıldığını söyledi. Referans'ın konuyla ilgili sorularını yanıtlayan Akçay, bunlardan ilkinin organize borsalar aracılığıyla yapıldığını ve bu işlemlerin tam denetim ve gözetime tabi olduğunu belirterek, "Diğeri ise tezgah üstü işlemlerdir. Kişi ve kurumlar arasında yapılmaktadır. Tezgah üstü işlemler ile ilgili denetime ve gözetim konusunda çok ciddi sıkıntılar yaşanmaktadır. Bu piyasaların denetimi oldukça güçtür" dedi. Türev piyasaların son 2 yılda işlem hacimleri 2.27 kat artışla organize borsalarda 1.3 katrilyon dolara ulaştı. Bu gelişimi tetikleyen ülkeler arasında ise ABD ve İngiltere yer alıyor.
Türev piyasalarda işlemlerin 3 amaçla yapıldığını anlatan Akçay, bunları risk yönetimi (hedge) amaçlı, spekülatif ve arbitraj amaçlı işlemler olarak sıraladı. Akçay, "Asıl tehlikeyi ve sorunu yaratan spekülatif işlemlerdir. Türev ürünler yapısı itibariyle kaldıraçlı işlemlerdir... Bu durum inanýlmaz kâr fýrsatlarý sađlayabileceđi gibi çok önemli zararlara da neden olabilmektedir" dedi.
Hedge fonların gözdesi
Türev piyasa pozisyonlarının bir beklentiyi yansıttığına dikkat çeken Akçay, bu beklentinin aksinin gerçekleşmesi finans kurumlarının ciddi miktarlarda zarar ettiklerini ve bu nedenle de panikle pozisyonlarını kapatıp, ciddi dalgalanmalara neden olduğunu vurguladı. Akçay ayrıca, finans piyasalarında en zayıf denetime sahip kurumlar olan hedge fonların son dönemdeki ilgi alanının türev piyasalar olduğunu ve riskler ile belirsizliklerin etkisiyle piyasaların yönünün çok hızlı değişebilmesinden dolayı büyük kâr ya da zarar elde ettiklerini söyledi. Akçay, "Önümüzdeki dönemde bu nedenle sermaye erozyonuna uğrayacak ya da batacak çok sayıda firma duyacağımıza inanıyorum" diye konuştu.
Akçay, Türkiye'de son 3 yılda enflasyonun düşmesi ve ekonomik istikrar gibi etkenlerle türev ürünlerin gelişmesi için uygun ortamın oluştuğunu söyledi. Ancak Akçay, Türkiye'de risk yönetimi ve türev ürünlerin analizinde yeterli araçların kullanılmadığına dikkat çekerek, "Bankalar ağırlıklı olarak spekülatif amaçlı egzotik ürünleri ve yapılandırılmış türev ürünleri müşterilere pazarlamaktadır. Müşteriler normalde alışık olmadıkları yüksek kârları kağıt üstünde görünce bu ürünleri kullanmak istemektedir. Fakat piyasalarda yaşanabilecek beklentinin tersi yönündeki gelişmeler ciddi zararlara neden olmaktadır. Bu durum son 1 yıl içerisinde birkaç kez yaşanmıştır. Mahkemelere intikal eden durumlarda yasal düzenlemelerin eksikliği hissedilmiştir. Türkiye'de türev ürünler üzerindeki denetim gözetim eksikliği ve yasal düzenlemeler dünyanın çok gerisindedir" dedi.
Türev Piyasa nedir?
Değeri, hisse, bono, emtia ve döviz gibi bir ya da birkaç temel finansal enstrümanın değerine göre belirlenen finansal araçlara türev adı veriliyor. Türev araçlar, bir menkul kıymetin riskinin azaltılması için alım-satım işlemlerine tabii oluyorlar. Uzun bir geçmişe sahip olmasına karşın günlük işlemlerin gerçekleştiği spot piyasadan farklı özellikler taşıyan türev piyasalar, bugünkü konumuna özellikle 1970'li yıllardan sonra ulaştı. Türev piyasalar, vadeli işlemler, opsiyon ve takas piyasalarını kapsıyor.
Bu topici uzun bir süredir "dünya borsaları"nın altında göremiyordum. Niye böyle oluyor acaba? Forum yöneticisi bir açıklama yapabilir mi?
Salih Neftçi'nin hedge fonlar ile ilgili güzel bir yazısını paylaşıyorum:
http://www.stargazete.com/index.asp?haberID=114287
Hedge fonları nedir?.. Neden önemlidir?
Hedge fonlarda 1.8 trilyon $ var. 20 kat borçla pozisyona girebilir. Bu para kimseyi dinlemez
Piyasalar yine çalkantılı ve Hedge fonları burada önemli bir rol oynuyor. Hem dışarıda... Hem de içeride. Bu konuya birkaç yazı ayırmayı düşünüyoruz.
Önce bu önemli oyuncuların bir tanımını verelim, arkasından da önemli parametreleri sıralayalım. Sonradan kaleme alacağımız bir yazıda da bu kurumların performanslarından örnekler vereceğiz.
Yatırım fonları
Piyasalarda bizde de bilinen yatırım fonları var. Gidip tasarrufunuzun bir kısmı bir yatırım fonuna yatırıyorsunuz. Diğer yatırımcıların da aynı şeyi yapması ile para bir çeşit havuzda toplanmış oluyor. Yatırım fonlarında çalışan profesyoneller bu parayı sizin için işletiyor.
Ama bu iş ilk göründüğü kadar basit değil. Bir kere devletler küçük yatırımcının zarar görmemesi için bu fonları çok yakından denetliyor ve bunların üzerine son derecede sıkı bir disiplin uyguluyor.
Örneğin, bir hisse senedi fonunu alın. Fon paranızı ya hisse senedinde tutacak veya nakite geçecek. Başka bir seçeneği yok. Çoğu kez de bu nakitin bir üst sınırı var. Bono fonları da buna benzer bir yapıya sahip, sadece yatırımını hisse senedine değil bonoya yapıyor. Bir de bildiğimiz bono ve hisse senedi karışımı olan fonlar var.
Bunların hepsi klasik yatırım fonları. Piyasadaki hareketler üzerinde de öyle fazla bir etkileri yok. Pasifler.
Hedge fonları bunlardan tümüyle farklı kurumlar.
Hedge fonları
Hedge fonlarına yatırım yapabilmek için devletler bazı koşullar koymuş. Bir kere ‘zengin’ olmanız gerekiyor. Bunun da bir tanımı var. Örneğin... Likit varlıklarınızın en az 1.5 milyon dolar olması şart. Veya buna benzer bir rakam saptanıyor.
İkincisi... Hedge fonların bir denetimi yok. Hedge fonların yarısından fazlası denetçi kurumlara kaydolma ihtiyacını bile duymuyor.
Bu kuralların ne amaca hizmet ettiği belli. Zengin adamın parası vardır. Bu parayı da riskli işlerde istediği gibi kullanır. Para batarsa sorumlusu kendisidir. Ağlamaya da hakkı yoktur. Bunu kabullendiği için de Hedge fonlarını kimse denetlemez.
Kendi düşen ağlamaz ilkesi.
Ama yatırım fonlarının müşterileri sade vatandaş. Sade vatandaşın piyasalar konusundaki bilgisi sınırlı diye düşünülüyor ve istismar edilmemeleri için yatırım fonları sıkı şekilde denetleniyor.
Hedge fonları ise istediğini yapabiliyor. Örneğin, isterse hisse senedi alıyor... İsterse hisse senetlerini açığa satıyor. Borsaların gerilemesi bekleniyorsa normal yatırım fonları en fazla nakite çekilebilir. Orada bekler. Ama Hedge fonları isterse hisse senetlerini açığa satar. Hem çıkışlardan para kazanır... Hem de düşüşlerden.
Zaten Hedge sözcüğü da buradan geliyor.
Parametreler
Peki, bu Hedge fonları neden bu kadar güçlü?
Bazı rakamlara bakalım.
Hedge fonlarında yatırılmış olan paranın miktarı 1.8 trilyon dolar olarak tahmin ediliyor.
Denecek ki... ‘Fazla da değil’. Örneğin dünyanın en büyük borsası olan New York Borsası’nda toplam kapitalizasyon 12 trilyon dolar. Bütün Hedge fon paraları Wall Street’e yatsa... Ki bu öyle değil, çünkü yatırımlar bonolardan kredi piyasasına birçok değişik piyasaya dağılıyor...
Evet, bütün para New York Borsası’na yatsa bile ne kadar etkisi olabilir ki?
Sonuç
İşler pek öyle değil. Çünkü Hedge fonların en büyük özelliği pozisyonlara borç para ile girmeleri.
Genel borçlanma miktarı da yirmiye bir. (Döviz piyasalarında 200’e bir.)
Diğer bir deyimle Hedge fonlarında 1.8 trilyon dolarlık tasarruf var... Ama bunu 20 ile çarpın... 40 trilyon dolar eder.
New York Borsası’nın 3 misli.
Hedge fonların vurucu gücü bu. Ne Çin Merkez Bankası dinler... Ne borsa. Vurdu mu ses getirir. Önemleri bu güçten ve ne yapacaklarını gayet iyi bilmelerinden kaynaklanıyor.
Daha ilginç bilgiler gelecek yazılarda...
Haber eski biliyorum ama bu konudaki gelişmeler hakkında bilgisi olan var mı?
Kısa vadeli ve yüksek riskli yatırım fonları olarak bilinen 'Hedge Fund'ların Türkiye'de de kurulması için çalışmalar başlatıldı.
Sermaye Piyasası Kurulu (SPK), mevzuatta gerekli düzenlemeyi yaparak, ilgili tarafların görüşüne sundu.
Tüm dünyada yaklaşık 1 trilyon dolarlık bir varlığa hükmeden 'Hedge Fund'lar Türkiye piyasalarında da yoğun işlem yapıyor.
Giderek yaygınlaşıyor
SPK'dan konuyla ilgili yapılan açıklamada, diğer fonların tabi olduğu sınırlamalara tabi olmadan portföyünü oluşturup yönetebilen, bu nedenle de diğer fonlara göre daha fazla risk üstlenebilen fonların tüm dünyada giderek yaygınlaştığına dikkat çekildi. Açıklamada şu ifadeler kullanıldı:
"Türkiye'de yatırım yapan yabancı kurumlar arasında çok sayıda Hedge Fund bulunuyor. Ancak Türkiye'de kurulmuş olan ve Türk portföy yönetim şirketleri tarafından yönetilen bu tür fonlar yok. Bu fonların Türkiye'de kurulabilmesine imkan sağlamak üzere Kurumuzca yapılan düzenleme çalışmaları son aşamasına geldi.
Bu amaçla hazırlanan kurulumuzun Yatırım Fonlarına ilişkin Esaslar Tebliği'ne eklemeler yapan taslak, bugünden itibaren bir ay süreyle kamuya açılarak ilgili tarafların görüşüne sunuldu. Gelecek eleştiri ve önerileri dikkate alarak son şekli verilen tebliğ değişikliğinin yayımlanmasıyla sermaye piyasamız yeni ve çok gelişmiş bir kuruma daha sahip olacak.''
Taslak neler içeriyor?
Konuyla ilgili hazırlanan değişiklik taslağına göre, ''Hedge Fund'' karşılığı olarak ''Yüksek Riskli Yatırım Fonu'' adının kullanılması öngörülüyor ve bu fonlar, katılma belgeleri sadece nitelikli yatırımcılara satılmak üzere kurulmuş olan yatırım fonları şeklinde tanımlanıyor.
Yüksek riskli yatırım fonları, diğer yatırım fonları için geçerli olan içtüzük sınırlamalarından muaf tutularak, yatırım stratejisi ve limitlerinin fon içtüzüğünde serbestçe belirlenmesi öngörülüyor.
Yüksek riskli yatırım fonlarının yalnızca nitelikli yatırımcılara satılması tercih edilerek, fon yatırımcıları için asgari yatırım tutarı ya da maksimum yatırımcı sayısı konusunda sınırlama getirilmiyor.
Yüksek riskli yatırım fonlarının katılma belgelerinin satışına aracılık edilebilecek kurumların bu konuda yeterli bilgi ve deneyime sahip satış personeli istihdam etmeleri ve söz konusu fon satışlarının bu satış personeli tarafından gerçekleştirilmesi öngörülüyor.
HEDGE FUND NEDİR?
'Hedge fon' terimi, genellikle kısa vadeli hareket eden ve yüksek kar amacıyla piyasadan piyasaya dolaşan fonları ifade ediyor. Bu fonlar yüksek kar gördüğü yerlere hızla girip, karlar düşünce hızla çıkıyorlar. Pek çok ekonomist, bu fonları küresel ekonomide krize neden olabilen en önemli etmenler arasında gösteriyor. Hedge fonların en ünlü örneğini 'para sihirbazı' denen ünlü yatırımcı George Soros'un şirketleri oluşturuyor.
Şu anda 7 bin ila 9 bin arasındaki hedge fon ABD'deki 1 trilyon dolara civarındaki dev bir varlığı yönetiyor ve bu büyüklük de ABD'de borsalarında işlem gören varlıkların toplam değerinin yüzde 20'si anlamına geliyor. Ancak hedge fonların çoğunlukla borç para da kullanarak daha büyük pozisyonlar aldığı tahmin ediliyor.
Kathy Lien and Boris Schlossberg'in birlikte kurdukları siteden her hafta yayınladıkları haftalık değerlendirme yazılarının bu haftakinde ilginç bir analiz gözüme çarptı.
Trade tercihlerinde kısa ya da uzun vadeyi seçme ile ilgili olarak yazılan metin oldukça hoşuma gitti:
Özetleyerek buraya alıyorum:
"... Event risk trading is a short term approach to the currency market with most trades typically lasting no more than 24-48 hours. Why do we trade in the short term? Because in the long term all trading is essentially random and we have very little edge to succeed.
That conclusion is not a matter of opinion but a statement of fact. A few weeks ago I visited with a founding partner of a very tony hedge fund at their 5th avenue offices. The fund is involved in a very arcane form of reversion to the mean trading between various stock indexes (very successfully I might add) - but after the initial discussion about the mechanics of their strategy, conversation turned to more philosophical matters about markets in general at which point the founder shared some very interesting research with me.
Understand that this hedge fund employs some of the brightest math Ph D's around and runs enough computer hardware to challenge the Department of Defense. What the founding partner showed me is that projecting future direction from past price data is an illusion that cannot be predicted with any degree of certainty. Using some very sophisticated statistical techniques applied to all markets from equities, to commodities and especially to currencies he showed me that within 48 hours all price behavior degrades into randomness. In fact price prediction was strongest in the first 24 hours and the lost more than half its potency by 48 hours from the start of the trade finally dissolving into complete uncertainty beyond that point. Needless to say this fund only trades short term.
...
Yet while long term predictions are impossible, short term forecasts can be much more accurate but are by no means bastions of certainty. For example, our proactive trade setup depends on two assumptions.
The event will surprise in the directions that we predict
The price will react in the direction of the surprise.
Generally this is the case in trading, but not always. Sometimes we can be right on the fundamentals but the price will respond in the exact opposite manner. This is the trading equivalent of a bad bounce. Sometimes in baseball a ball will hit a pebble instead of dirt and will bounce in a manner impossible to anticipate by the fielder resulting in a lucky hit for the batting team. Faced with a bad bounce, baseball players shrug them off understanding that there is nothing to be done. We as traders should maintain the same attitude towards trades that are analyzed right but go wrong or vice versa. "
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