Un altro anno mediocre per i fondi hedge

L'Economist analizza il declino dei rendimenti offerti dai fondi   hedge dopo un altro anno deludente:

The past year has been another mediocre one for hedge funds. The HFRX, a widely used measure of industry returns, is up by just 3%, compared with an 18% rise in the S&P 500 share index. Although it might be possible to shrug off one year’s underperformance, the hedgies’ problems run much deeper.

The S&P 500 has now outperformed its hedge-fund rival for ten straight years, with the exception of 2008 when both fell sharply. A simple-minded investment portfolio—60% of it in shares and the rest in sovereign bonds—has delivered returns of more than 90% over the past decade, compared with a meagre 17% after fees for hedge funds (see chart). As a group, the supposed sorcerers of the financial world have returned less than inflation. Gallingly, the profits passed on to their investors are almost certainly lower than the fees creamed off by the managers themselves.

There are, of course, market-beating superstars, as you would expect in an industry with nearly 8,000 participants (and rising). The top decile of managers has served up returns of over 30% in the past year, according to Hedge Fund Research, a data provider. But a third have lost money, including some of the stars of yesteryear: John Paulson, celebrated as an investment wizard in 2007 for having foreseen America’s housing bubble, reportedly saw his flagship fund lose 17% in the first ten months of 2012, after a 51% fall in 2011.

I mercati sembrano essere diventati più efficienti, probabilmente proprio la dimensione ragguardevole dell'industria stessa dei fondi hedge ha ridotto le opportunità di arbitraggio:

Hedge funds now manage $2.2 trillion in assets, up fourfold since 2000. Because individual trades can absorb only so much cash, the effect of all that new money is to push funds to take second-rate bets that would have been considered marginal in the past. “At $1 trillion of assets under management hedge funds delivered acceptable returns,” says Mr Lack. “Less so at $2 trillion.”

Certamente con questo tipo di risultati è molto difficile giustificare i costi molto alti di questo tipo di investimenti,che tipicamente impongono commissioni annue pari al 2% dell'investimento (in aggiunta a un 20% dei profitti ottenuti in eccesso di un qualche livello stabilito in congruità con lo stile del fondo).

Trovate il resto dell'articolo online a questo link:

Hedge funds: Going nowhere fast | The Economist

Il fondo hedge che cinguetta...

L'idea di utilizzare delle misure del sentiment degli investitori e dei traders per il market timing si è evoluta considerevolmente negli ultimi anni, grazie alla disponibilità di dati semplicemente inaccessibili in passato.

Uno degli sviluppi più originali si basa sulle misure di sentiment che si possono dedurre dall'analisi dei social networks (si veda, ad esempio, l'articolo Modeling public mood and emotion: Twitter sentiment and socioeconomic phenomena). 

In Twitter mood predicts the stock market gli autori Johan Bollen, HuinaMao, Xiao-Jun Zeng analizzano la correlazione tra i tweets contenenti le faccine ( :) oppure :( e così via) scambiati quotidianamente e i rendimenti giornalieri dell'indice Dow Jones Industrial Average (DJIA). Più precisamente, oltre a guardare la correlazione i ricercatori hanno fatto un'analisi di causalità di Granger, una tecnica di analisi statistica che permette di stabilire se la considerazione di una certa serie temporale (in questo caso le indicazioni di umore dedotte dalle faccine scambiate su Twitter) migliora l'accuratezza della previsione di un'altra prefissata serie temporale (le variazioni giornaliere dell'indice DJIA).

I risultati sono sorprendenti, con un'accuratezza dell'87.6% nella previsione del segno (positivo o negativo) delle variazioni giornaliere dell'indice!

Non stupisce che l'industria degli hedge funds non si sia fatta sfuggire un'occasione simile, e abbia lanciato un fondo (semi)-quantitativo che si basa su questa idea. Nel video qui sotto, tratto dal sito http://www.opalesque.tv/ potete ascoltare un'intervista con Paul Hawtin, il fondatore di Derwent Capital Markets e il gestore del Derwent Absolute Return Fund. Qui invece potete seguire i rendimenti mensili (dal gennaio 2012) del fondo.

Continuano i confronti: indici di hedge funds

Proseguiamo  il confronto del rendimento delle strategie di Alfa o Beta? con i rendimenti conseguiti dall'industria dell'asset management, iniziato in questo post, occupandoci di fondi hedge.

Qui potete trovare degli indici di hedge funds divisi per categorie (Global, Equity, Event Driven, Macro, Relative Value, FX Hedged, regionali).

Le categorie con le quali il confronto è meno disomogeneo sono gli indici Global e Macro:

mentre riporto qui sotto i rendimenti delle strategie  top2, top3 e tendenza di medio periodo positiva dal 2009 ad oggi:

Trading algoritmico intraday nei mercati valutari...

...è la specialità di Eleuthera Capital, un hedge fund il cui fondatore Philippe Bonnefoy è intervistato nel video (cortesia di http://www.opalesque.tv/hedge-fund-videos/ )  che vi propongo qui sotto. Il fondo Eleuthera Currency Fund investe nei principali cross-ratios con un CAGR-obiettivo del 15-25% con una volatilità annualizzata contenuta (10-15%). La maggior parte delle posizioni vengono mantenute in portafoglio per una durata compresa tra i 5 minuti e le 48 ore, troppo lunga per essere definita una strategia di HFT ma decisamente sufficientemente breve per distinguerla dalla maggior parte delle strategie macro o di carry trade. 

The fund uses a fully automated short-term systematic trading system. The system deploys two main computer models. One model trades in the direction of short-term market trends. The second model looks for mean reversion trading opportunities. Mean reversion trading opportunities often appear when markets become sharply oversold or overbought following the release of economic news, geo-political events or following central bank or governmental activity. This model attempts to profit form the likelihood that there will be an overreaction to “market moving” events and that these effects will have a transitory impact after which prices will return to their previous short-term range. The typical trade duration of all positions in the fund is between 15 minutes and 48 hours.

The computer models use a highly filtered screening methodology which analyses short term price action using technical analysis and pattern recognition techniques.

The trading system receives an electronic aggregated price feed from major banks and market counterparties through which it will execute transactions when all screening criteria are approved. 

L'oro come difesa dagli errori dei politici

Kyle Bass è il fondatore del fondo hedge Hayman Capital di Dallas, Texas. E' diventato celebre per le sue scommesse vincenti durante la crisi finanziaria del 2008, documentate nell'ultimo libro di Michael Lewis’s  Boomerang: The Meltdown Tour. Bass è convinto che la crisi dell'eurozona renderà impossibile per i PIIGS evitare il default e che quanto sta accadendo in Europa sia un avvertimento per il Giappone. 


L'intervista è lunga (quasi 25 minuti) ma molto interessante, anche per la diversità di punti di vista tra l'intervistatrice e l'intervistato. L'opinione di Bass sull'investimento in oro è particolarmente tranchant:

"Buying gold is just buying a put against the idiocy of the political cycle. It's That Simple"

-47% Ouch!

Non un bel 2011 per John Paulson, definito meno di un anno fa il "Re Mida della Finanza" per aver intascato nel 2010 cinque miliardi di dollari di commissioni e plusvalenze. Si legge  infatti su  Dealbook (NYT) di ieri:

Another Traumatic Month for Paulson: Tired of incessant leaks to the media about its poor performance, Paulson & Company, the hedge fund started by the billionaire John A. Paulson, decided a few weeks ago to amend its reporting policies to make it harder to obtain performance data. But the changes failed to obscure this painful fact: one of his largest funds is down 47 percent through September, a loss that would require returns of almost 100 percent to surmount, according to investors in the fund. The nonleveraged version of the same fund is down about 32 percent, according to the investors. Other funds that were doing fine earlier this year are now also taking a nosedive, including Mr. Paulson's gold fund ( up 1 percent for the year after falling 16 percent last month), which placed bets on various assets linked to gold, as well as his Recovery fund (down 31 percent for the year), which placed a bet on the recovery of the United States economy.

Lo stato dei mercati secondo Goldman Sachs

Da scribd.com ecco il rapporto della Hedge Funds Strategies Securities Division uscito il 16 agosto scorso e di cui si è fatto un gran parlare nelle ultime settimane:

GS_StateOf the Markets

Un anno difficile...

...per i piccoli investitori (il Sole 24 Ore è pieno di consigli, dossier, ecc. ecc.) ma anche per molti fondi hedge.
Se ne occupa l'Economist nell'ultimo numero con un articolo giustamente critico dei risultati:
Hedge funds first disappointed investors en masse in 2008, when the average fund fell by 19%. Since then they have struggled to beat the market (see chart). This year performance has continued to be lacklustre. The hedge-fund industry needs to produce outsize returns for the rest of 2011 if it is to restore its reputation.
La volatilità delle ultime settimane sembra abbia inferto ulteriori colpi a molti fondi, compresi alcuni casi celebri:
Some long-short equity funds fell by as much as 15%. Even John Paulson, an acclaimed hedge-fund manager who made billions betting against the housing bubble, has suffered losses. His leveraged flagship fund, Advantage Plus, was down by 31% for the year on August 5th (...)
August is on track to be one of hedge funds’ worst months ever. The effects will be felt most by some of the weakest funds, many of which need a quarter or two of good performance to restore the morale of their investors and traders. Should they continue to underwhelm in the coming months, investors are likely to withdraw their money. That could force some smaller funds to be wound down.
Others will close before investors have the chance to desert them. Some funds have been hanging on since 2008, trying to claw their way back to their peaks, or “high-water marks”, at which point they can once again earn lucrative performance fees. But as many as 89% of hedge funds may have still been under their 2006 and 2007 high-water marks in June, according to PerTrac, a data aggregator. Given their high costs, most have been barely surviving on management fees from investors, which are usually around 2% of assets.

Secondo molti la cura dimagrante che l'industria subirà potrebbe avere degli aspetti positivi: la crisi del 2008 portò a una riduzione del 10% del numero di fondi, ma nell'ultimo biennio si è assistito a una ripresa e gli asset under management superano oggi i 2000 miliardi di dollari.
Nel rapporto qui sotto di HSBC Private Bank trovate le classifiche dei 20 migliori e peggiori fondi degli ultimi 3 anni.

HedgeWeekly2011_No34

Gli investimenti di lungo termine di D.E.Shaw

questo post di Seeking Alpha potete dare un'occhiata a quali titoli sono mantenuti come investimenti di lungo termine.

Published with Blogger-droid v1.6.8

Lo tsunami sui fondi hedge quantitativi

Le catastrofi che si sono abbattute sul Giappone il mese scorso  sono costate care ai fondi hedge quantitativi,
specialmente a quelli di stampo trend-following:

Graham Capital in Connecticut saw its $4bn flagship fund lose around $300m, down just under 8 per cent, over the first two weeks of the month. The firm’s other funds also suffered steep losses of around 5 per cent each, according to an investor.
Other so-called trend following hedge funds – which use complex computer algorithms to identify trends in futures markets – have also seen losses.
The strategy has been one of the worst hit among hedge funds by Japan’s worst natural disaster.(...)
Computer-driven trend followers often lose money during periods of increased market volatility, though movements can affect them in different ways, depending on what their trading models are betting on.(...)
Discretionary managers, particularly those trading in Japanese equities, have nevertheless been hit hard too by the Japan crisis – in many cases worse than their quantitative peers. The Marathon Japan Vertex fund in London was down 13 per cent mid-March, while the Arcus Japan fund was down 9 per cent, according to investors in the funds.

L'S&P500 in euro e il volo degli uccelli e degli hedge funds

La volatilità del cambio euro/dollaro sta mettendo a dura prova la pazienza di molti investitori...non è un caso allora che venga quotato per la prima volta un ETF che replica l’indice S&P 500 con copertura rischio cambio:
db x-trackers S&P 500 (EUR) ETF
Classe di attività: ETF azionario
Codice ISIN: LU0490619193
Commissione di gestione annua totale: 0.30%
Politica distribuzione dividendi: non distribuiti
Indice Benchmark: S&P 500 Total Return Net-Index
Copertura rischio cambio: sì

Ci sono eminenti colleghi che studiano come si creano gli storni di uccelli e come fanno a muoversi tutti insieme: il punto fondamentale sembra essere che le correlazioni tra il comportamento degli uccelli sono scale-free: The change in the behavioral state of one animal affects and is affected by that of all other animals in the group, no matter how large the group is. Scale-free correlations provide each animal with an effective perception range much larger than the direct interindividual interaction range, thus enhancing global response to perturbations. Our results suggest that flocks behave as critical systems, poised to respond maximally to environmental perturbations.

Chi conosce bene l'industria del risparmio, o per chi ha semplicemente letto One Up on Wall Street di Peter Lynch troverà l'idea familiare: per comprendere la dinamica degli storni forse sarebbe più semplice studiare le scelte dei gestori di fondi di investimento. Sembra un destino ineluttabile...ora anche i gestori degli hedge funds fanno fatica a differenziarsi ...  la potenza delle correlazioni scale-free?

An analysis of hedge-fund returns by Andrew W. Lo, a Massachusetts Institute of Technology researcher and fund manager, shows that funds have become more likely to lose and gain money together over the past five years. There is a roughly 79% chance any randomly selected pair of hedge funds will move up and down in tandem in a given month from 2006 to 2010, compared with a roughly 67% likelihood from 2001 to 2005, according to his analysis.
One explanation is that they are focusing increasingly on the same stocks. Last year, for example, stock in Apple Inc. was held by 55 of the nearly 200 large hedge funds tracked by AlphaClone LLC. In 2008, by comparison, the favorite hedge-fund stock, Microsoft Corp., was held by 34 funds.
"The whole hedge-fund industry is a series of crowded trades," says Mr. Lo. (...)

Many hedge-fund managers freely share investment ideas with one another—a practice that might seem at odds with their aspirations to post higher returns than competitors. Fund managers, traders and hedge-fund chiefs exchange ideas through instant messages, emails and private chats.
Sharing ideas can reap financial benefits. When multiple hedge funds jump into the same stock, that tends to push the share price higher—an obvious benefit to the fund manager who got in first.
Such activity isn't legally problematic unless there is an agreement among funds that share ideas to artificially influence a security's price. That kind of behavior can be considered market manipulation, particularly if participants are deliberately passing false information to influence a security's price.
Sometimes, trades stem from "idea dinners," where hedge-fund managers discuss stocks, markets and economic trends.



L'origine del comportamento è anche l'oggetto di questo articolo di Thomas Brennan e  Andrew Lo che giunge a conclusioni che rendono il mio apparente volo pindarico dagli storni di uccelli agli storni di gestori di hedge funds un po' meno implausibile (ho aggiunto io la sottolineatura nell'ultimo paragrafo dell'abstract):

We propose a single evolutionary explanation for the origin of several behaviors that have been observed in organisms ranging from ants to human subjects, including risk-sensitive foraging, risk aversion, loss aversion, probability matching, randomization, and diversification. Given an initial population of individuals, each assigned a purely arbitrary behavior with respect to a binary choice problem, and assuming that offspring behave identically to their parents, only those behaviors linked to reproductive success will survive, and less reproductively successful behaviors will disappear at exponential rates. When the uncertainty of reproductive success is systematic, natural selection yields behaviors that may be individually sub-optimal but are optimal from the population perspective; when reproductive uncertainty is idiosyncratic, the individual and population perspectives coincide. This framework generates a surprisingly rich set of behaviors, and the simplicity and generality of our model suggest that these derived behaviors are primitive and nearly universal within and across species.

Il libro di Lynch è davvero divertente...l'articolo sul Wall Street Journal me lo ha fatto riprendere in mano dopo 4 anni...ecco qui qualche citazione scelta qua e là...



 To the list of famous oxymorons - military intelligence, learned professor, deafening silence and jumbo shrimp - I'd add professional investing (p. 55)

Reverting to "group think", and reminding himself that it's safer to pick companies in a crowd, he ignores the words of wisdom that came either from Aeschylus the playwright, Goethe the author, or Alf, the TV star from outer space: 


Two's a company, three is a crowd
Four is two companies
Five is a company and a crowd
Six is two crowds
Seven is one crowd and two companies
Eight is either four companies or two crowds and a company
Nine is three companies
Ten is either five companies or two companies and two crowds
(p. 62-63)


A stock does not know that you own it (p.286)

Il lamento degli stock pickers in un mercato ossessionato dai temi macroeconomici

Il Wall Street Journal ha dedicato un bell'articolo alle difficoltà che i fondi hedge azionari stanno incontrando in un mercato che sembra prestare attenzione soltanto ai temi macroeconomici (debito sovrano, inflazione o deflazione, ecc.). La principale difficoltà che incontrano è l'eccesso di correlazione dei singoli titoli con l'andamento dell'indice, un'indicazione che gli investitori sembrano preferire il market-timing e un approccio top-down all'analisi fondamentale,  allo stock-picking e, più in generale, a un approccio bottom-up nella costruzione di un portafoglio azionario:

More and more investors aren't bothering to pore through corporate reports searching for gems and duds, but are trading big buckets of stocks, bonds and commodities based mainly on macro concerns. As a result, all kinds of stocks—good as well as bad—are moving more in lock step.
"It's unbelievably frustrating," says Mr. Pedowitz, who helps manage $4.5 billion for wealthy clients and has 25 years of investing experience. "It's enough to make you crazy."
That kind of talk has become widespread on Wall Street as stock pickers discover that long-held investment strategies are no longer working very well.
Some data suggest that stock pickers are having a harder time outperforming the market. Each year between 1995 and 2007, for example, on average, 50% of mutual funds focusing on large, fast-growth companies beat the Russell 1000 Growth Index, a benchmark for that category, according to Morningstar Inc. Over the past year, only about 24% of those funds beat that index. (...)
Stock pickers say macro forces began moving stocks in a big way during the 2008 financial crisis, and that has continued this year following the European debt crisis. Traders also are focusing on the potential for a double-dip recession to hit corporate profits; on government deficits; and especially on what central banks will do about stimulus programs that pumped cash into the economy.
A host of other factors is contributing to the macro trend. The rise of exchange-traded funds, which typically track broad market indexes or benchmarks, has made it easier for investors to make broad bets on commodities, bonds and currencies. Such funds now account for 30% of daily stock-trading volume. Individual investors and pension funds have been pulling money out of stocks, leaving shares more vulnerable to trading by hedge funds with short time horizons.

Whether such forces will alter the stock-investing landscape permanently is anyone's guess.
"Stock picking is a dead art form," contends James Bianco of Bianco Research. "Macro themes dominate the market now more than ever."
Some stock pickers say the current macro focus is only temporary, and will generate great investment opportunities simply because companies with different outlooks shouldn't be moving in lock step long-term. Eventually, they say, stocks will move in line with their fundamental values. (...)

"All stocks are moving in the same direction," says Ms. Sweeting. "I've spent three decades in this market, and it's the most macro-obsessed I've seen in a long time."

Among stock funds focusing on large, undervalued stocks, about 18 percentage points separated the best and worst performers between 1995 and 2007, according to Morningstar. (To eliminate outliers, the data excludes the top and bottom 5%.) Over the past year, the gap between the top and bottom performers has narrowed to 10.5 percentage points.
Stock pickers say the market's macro focus has meant that company earnings no longer drive stock prices as they once did. Over the past year, stocks that topped quarterly earnings expectations outperformed the market by just 0.3 percentage point during the week after the earnings were reported, according to Birinyi Associates, a research and money-management firm. By contrast, from May 2002 through August 2009, stocks beat the market by 1.5 percentage points following earnings reports that beat expectations.

Questo clima di un mercato "ossessionato dai dati macroeconomici" alimenta lo sviluppo di una sindrome bipolare, ben oltre il tradizionale carattere un po' maniaco-depressivo di Mr. Market nella descrizione che ne dava già sessanta anni fa Benjamin Graham , il padre del value investing e il maestro di tutti gli stock-pickers, in The Intelligent Investor (da Wikipedia:  Graham's favorite allegory is that of Mr. Market, a fellow who turns up every day at the stock holder's door offering to buy or sell his shares at a different price. Often, the price quoted by Mr. Market seems plausible, but often it is ridiculous. The investor is free to either agree with his quoted price and trade with him, or to ignore him completely. Mr. Market doesn't mind this, and will be back the following day to quote another price. The point is that the investor should not regard the whims of Mr. Market as determining the value of the shares that the investor owns. He should profit from market folly rather than participate in it. The investor is best off concentrating on the real life performance of his companies and receiving dividends, rather than being too concerned with Mr. Market's often irrational behavior). Scrive infatti il WSJ: 

Another frustration for stock pickers is the tendency of investors to pile in and out of stocks based on macro considerations of overall market risk.
On a "risk on" day, the mood of investors is confident and they flood into stocks and other investments perceived as risky, such as junk bonds, emerging markets and commodities. But when it's "risk off," money comes sloshing out of those investments and into so-called safe-haven investments such as U.S. Treasurys, the U.S. dollar or Japanese yen. Shortly before the May 6 "flash crash," for example, a macro concern—the yen's sudden rise against the euro—triggered a wave of stock selling.
Some stock pickers are trying to adjust by folding more macro analysis into their thinking.
"For years I had believed that I didn't need to take a view on the market or the economy because I considered myself a 'bottom-up investor,'" said hedge-fund manager David Einhorn of Greenlight Capital last year. "The lesson that I have learned is that it isn't reasonable to be agnostic about the big picture."
Mr. Einhorn, known for his high-profile bet against Lehman Brothers right before it collapsed, has placed a big macro bet that gold prices will rise because of concerns about the U.S. budget deficit and its damaging effect on the U.S. dollar.

 

E se arriva il crash? O, peggio ancora, un cigno nero? Ci salverà Taleb o il polpo Paul?

Si moltiplicano sul web i profeti di sventura: eccitati dall'Hindenburg Omen, dalle prospettive di deflazione e dai dati sempre più deprimenti sull'occupazione negli Stati Uniti in molti si chiedono se quest'autunno assisteremo a una replica del collasso dei mercati dell'autunno del 2008. In questo articolo il Wall Street Journal ricapitola 10 buone ragioni per essere cauti e prepararsi al peggio. Ve le elenco qui di seguito rinviandovi all'articolo per il commento:

1. The market is already expensive.
2. The Fed is getting nervous.
3. Too many people are too bullish.
4. Deflation is already here.
5. People still owe way too much money. 
6. The jobs picture is much worse than they're telling you.
7. Housing remains a disaster.
8. Labor Day is approaching. 
9. We're looking at gridlock in Washington.
10. All sorts of other indicators are flashing amber. 
 

Abbiamo già discusso più volte come le azioni siano relativamente a buon prezzo se confrontate alle obbligazioni, specialmente se si ha un po' di fiducia nelle previsioni per gli utili del 2011 (e questa è veramente una scommessa). Lo scenario macro si è certamente indebolito negli ultimi mesi, anche se la curva dei tassi di interesse non sembra ancora segnalare guai in vista (ma anche in questo caso occorre un po' di cautela, visto l'intervento delle banche centrali sui mercati obbligazionari): come giustamente commenta il WSJ What message then is in the yield curve fortune cookie? For now, it seems to be: dimmer recovery, but not quite lights out.

Se tuttavia si allarga lo sguardo al mondo intero è difficile trovare ragioni per essere ottimisti: tra una bolla immobiliare che aspetta di esplodere (Cina), i numerosi problemi geopolitici irrisolti o aggravati dalle politiche più o meno irresponsabili e/o contraddittorie degli ultimi anni, il debito sovrano che avanza in quasi tutto il mondo, le siccità e le inondazioni, insomma con tutto quello che può andare storto, anche senza invocare il saggio Murphy  (if anything can go wrong it will), sembra una buona idea prepararsi per il peggio, per un cigno  nero particolarmente antipatico, e investire una quota del proprio portafoglio di conseguenza, puntando sull'Armageddon. 
Secondo il Wall Street Journal A growing number of money managers and financial firms are rolling out investment products designed to exploit big declines known as "black swan" events. Most of the products are geared toward institutional investors such as pension funds, endowments and high-net-worth families—but black-swan strategies are trickling down to Main Street as well.(...)The basic idea behind Mr. Taleb's black-swan strategy is to keep most of your money ultrasafe, and to bet a small portion—say 10%—on options contracts or other speculative bets whose prices will soar during a market panic. 
Funziona? Pare di sì!  Funds run by Universa Investments LP, a Santa Monica, Calif., hedge fund managed by Mr. Taleb's longtime collaborator Mark Spitznagel, gained more than 100% in 2008.
Lo straordinario successo del fondo Universa ha dato origine a più di 20 
hedge funds che impiegano strategie destinate ad essere premiate in caso di avvenimenti rari, tipicamente sottostimati e spesso ignorati nella progettazione dei prodotti di ingegneria finanziaria.
Some of these specialized funds aim to profit when markets tank. Others are designed to protect against a market plunge but still profit when markets rise. Investors don't typically put all of their money into these funds—but they are putting in more these days.
Retail investors are getting more access to black-swan-oriented strategies, too. Bond-fund giant Pacific Investment Management Co., or Pimco, has recently begun using tail-risk strategies in its Pimco Global Multi-Asset Fund, which launched in October 2008; in its RealRetirement target-date funds; and in its new equity funds launched this year. The firm also has filed a registration statement with regulators to offer exclusive "private placement" investments to well-heeled investors using tail-risk hedging strategies.
Some individual investors even are considering setting up black-swan portfolios of their own. "The 2008 downturn got me thinking that black swans can happen and will happen," says Justin McCurry of Raleigh, N.C. The 30-year-old transportation engineer says he is thinking of putting a small portion of his portfolio into options as a way to "limit downside or to pick up some extra money if things went crazy."

Una delle ragioni principali all'origine del successo di questi fondi è lo spettacolare insuccesso della diversificazione come strumento difensivo nel 2008, quando quasi tutti gli asset sono affondati all'unisono (con l'eccezione delle obbligazioni del Tesoro, ma non ci scommetterei di nuovo se si ripresentasse un panico di proporzioni simili a quello dell'autunno 2008).
Diversification "works most of the time, but when it doesn't work, those times really kill you," says John Liu, who heads up Citi Portfolio Solutions, a newly formed unit at Citigroup Inc. dedicated to developing and managing tail-risk hedging strategies for institutional investors.
But black-swan investing has its risks, too. The biggest: When markets are behaving normally, the strategy can miss out on a rising stock market—even as costs add up.
That is because the strategy typically involves buying lots of out-of-the-money "put" options on everything from stock indexes and interest rates to currencies. Put options confer the right to sell the underlying instrument if the price falls to a certain level. Because they offer protection, their values soar during market panics, producing big profits for the holders. But if the market doesn't plunge, the options expire worthless, and the investor must buy new options to replace the old ones. (...)
Another risk: Because black-swan events are so unpredictable, the markets' reactions to them can be equally unpredictable. Just because an approach worked last time doesn't mean it will work in the future. 


Per chi vuole tentare il fai-da-te la ricetta originale è ancora la migliore, e non troppo difficile da realizzare:   In "The Black Swan," Mr. Taleb recommends a "barbell" strategy in which investors put 85% to 90% of their portfolios in extremely safe instruments, like Treasury bills, and the remaining 10% to 15% in highly speculative bets such as options.
That strategy is designed to lose a little bit during most years and to profit handsomely when markets tank. 

Chi è poù sofisticato può anche usare le opzioni in modo più profittevole e smalizato (con qualche rischio in più): One alternative is to use a hedging technique designed to allow investors to participate in rallies while staying protected during black-swan crashes. "When you eliminate your upside, you really get hammered over time," Mr. Smetters says.
His strategy aims to limit losses to 10% in a market crash but also allow for significant upside potential. To do that, he builds a type of "zero-sum collar" that uses a combination of put options to limit losses and call options to take advantage of the upside. (Whereas puts give investors the right to sell a particular security at a predetermined price, calls give investors the right to buy.) As the market rises, Mr. Smetters says, he cashes in the small gains from the call options and purchases new ones. 
 
In quest'ultimo caso il nemico è un mercato che non va da nessuna parte, facendo scadere sia le put che le call out of the money. 

Qualcuno conosce in che modo investe il polpo Paul?

Il successo degli hedge funds global macro. Il buonsenso e l'asset allocation

Non tutti gli hedge funds hanno avuto un 2008 disastroso. Dando un'occhiata alle performance delle diverse tipologie di fondi hedge nel triennio 2007-2009 le strategie macro sono spesso riuscite a produrre rendimenti decenti con drawdown tollerabili. Nell'approccio macro solitamente si utilizzano numerose strategie con allocazioni di capitale e scelte di investimento che dipendono dal movimento di variabili (macro)economiche e dall'impatto che si prevede queste variabili possano avere sui mercati azionari, obbligazionari, sulle materie prime e sui cambi. Steven Drobny è un esperto di questo tipo di strategie e l'autore di The Invisible Hands
(che ho appena comprato e devo ancora leggere):



La crisi del 2008 ha esposto anche i limiti della diversificazione e dell'approccio classico all'asset allocation, che è riuscito sì a moderare le perdite rispetto al 40-50% o più subito da azioni e materie prime ma che ha lasciato ugualmente gli investitori indietro con drawdowns del 20% o più. Limitandoci alle opzioni più semplici (e rinviando ai post futuri un analisi di alternative per investitori dotati di un minimo di sofisticazione e di disciplina) ho trovato molto ragionevoli le considerazioni che Harold Evensky svolge in questa intervista di Christine Benz di Morningstar. Ecco le sue aspettative per i rendimenti futuri delle principali asset classes:

So can you share what your current expectations are for various asset classes?
Very generally, we're operating with a real equity return of about 6%, and a nominal return of 9%, with the assumption of inflation around 3%. For bonds we're using the same inflation assumption, so the nominal return we're using is about 5.5% and a real return of about 2.5%.

Off the top of my head, we do assume a slightly higher rate for small-cap and value--1 percentage point or so higher. We believe returns from developed international markets, basically EAFE, will be comparable to domestic stock returns. We don't distinguish between domestic and international.
How about for emerging markets?
It would be a couple of percentage points over the domestic and international assumptions, with substantially greater volatility but less correlation. Although now the correlations are, like everything else, a lot higher than in the past.
What is the most effective way to add inflation protection to a portfolio? I know that you've long been a user of Treasury Inflation-Protected Securities.
Right. We think that inflation is likely to be the single biggest risk in the next decade to our clients' portfolios. So TIPS are the single easiest, biggest, most obvious inflation hedge. The problem is, they're not a big hedge, and they're also extraordinarily tax inefficient.
J.P. Morgan now has a municipal inflation-protected bond fund that we've been using, JPMorgan Tax Aware (TXRIX). So we now have a TIPS or a TIPS-type of allocation in all of our portfolios.
And that's a strategic allocation so it's not a function of "Gee, we think TIPS are a little pricey today and a little more attractive tomorrow." It is in effect a permanent allocation in our fixed-income category.
In terms of the equities, we believe that in reasonably high-inflation environments--single-digit--equities are a reasonable inflation hedge. If we get into hyperinflation, that's more problematic. That's not something we're anticipating or planning for, but if we get to that point then we would be looking more to commodities and something of that nature.
So what about commodities and the long-only commodities investments and some of the problems they've run into with contango and so forth? What's your thought on commodities as a slice of the inflation-fighting part of one's portfolio?We've vacillated over the years, but still consider commodities a credible and appropriate investment, a good inflation hedge for high or very high inflation. The contango has been a particular problem for some of the index commodities; they have been more hurt than some of the actively managed commodities. So we've learned to be very careful about understanding the strategy of the underlying investment.
Is it designed for long-term commodity exposure? Or is it designed for commodity-trading exposure? There's a big difference, and it's not a good or a bad. There are just different kinds of products out there.

Qui trovate la seconda parte dell'intervista di Evensky, nella quale sviluppa il suo punto di vista sulla pianificazione del portafogli per chi si avvicina alla pensione:

The one big difference between the day someone's working and the day they retire is that instead of adding to their nest egg, that individual will be taking money out of their nest egg.
When you're taking money out, volatility becomes an extraordinarily significant factor. It's kind of like the opposite of dollar-cost averaging, the worst of all worlds. You may be taking a lot out when you don't want to, or very little when you should be taking more.
So, it's what's called volatility drain. The reason people get in trouble is if they live at the wrong time. If the year they retire happens when the market crashes, they may dip into principal so much they can never recover.
And that's true even if during the next 20 years they get exactly the same return as their neighbor who retired a year later when the market went up. So, there's just a huge element of luck, in effect. So, the question that we face is how can we manage that risk? And the solution that I developed back in the early 1980s was a fairly simple idea. I wish I'd called it buckets at the time, but we called it the cash-flow reserve.
We believe that no one should invest money--stocks or bonds--unless they have a five-year window to decide when to sell. And five years isn't magic, but it's roughly an economic cycle. The point is that if you've got a five-year warning, you're never likely to take a very big loss. Whereas if the market just crashed and someone came to me and had a $1 million and said, "I need $200,000," I'm hoping they're telling me they need it five years from now, not next week. If they need it next week, they're going to take the loss and they'll never recover it. If we can wait five years, the likelihood of taking a big loss is, at least historically, very slim.
So, that was the beginning of the thought process. We called it a five-year plan, which simply means that if someone came to us and they've got a pot of money, we'll ask what are their expenses in the next five years?
"I've got to pay for the kids' college," they'd say, or for a wedding. We'll say fine. We're going to carve that out and put that in cash, in certificates of deposit, or short-term bonds. These are not your "investment dollars." The problem we had was someone who came in with $1 million and said, "I need 5%, I need $50,000 a year." And carving out five years' worth of cash flow was problematic because that's a pretty big opportunity gone if that's sitting in cash.
So, in playing with different possibilities, we looked at one year, two years, three years, four years, five years for the cash-flow reserve. Two years seemed to be the most effective reserve for cash flow for your grocery money.
So for someone with a $1 million portfolio who needs $50,000 a year, we carve out 10% for cash-flow reserves. That means 90% of someone's nest egg is invested in a total-return portfolio that we can manage for tax efficiency and expense efficiency, rebalance, and not have to worry about constantly dipping in and out of it. So that becomes a total-return portfolio. Everything gets reinvested. The cash-flow reserve this $100,000, this 10% gets invested somewhere between money markets, maybe CDs, or short-term bond funds, depending on what the expectations are.
Generally, we'll leave the amount a client may need in the first six months or so in money market funds. We might go into a high-quality short-term bond fund or six-month to one-year CDs on some of the balance. But basically these are very liquid, very high-quality investments.
We'll set that up literally to pay to our clients a check once a month to their local bank account so it meets with what [my wife and partner] Deena refers to as the "paycheck syndrome." People are used to getting a paycheck. So now, they get a paycheck. At least once a quarter we review the allocations, and at some point, we need to rebalance. We'll look over the cash flow and say, "Gee, it's low. While we are doing this, let's fill it back up again."
Along the way, as part of the management of the investment portfolio, we almost always have the opportunity to occasionally fill that cash-flow bucket back up. But imagine if we went through a two-year period that everything was down in the investment portfolio. Interest rates went through the roof, stocks were down, and the client used up the two years' cash reserves. What are we going to do for an encore?
Just in case of such a situation, we have what we call our second-tier emergency reserve in the investment portfolio. We have at least another three years' worth of living expenses that we could liquidate without having to take any or certainly much of a loss.
All of our portfolios have a fixed-income allocation; the maximum equity weighting today would be 80%. Most of the portfolios have 30% or 40% in fixed income. Because we ladder our fixed-income position, we have a reasonably big chunk down at the high-quality short end of the duration exposure. Tapping that fixed-income position might throw the portfolio out of balance, but our thought process is that the second-tier emergency reserve, combined with the cash-flow reserve, can take us through a four- or five-year economic cycle. Again, it's never happened.

In difesa dei fondi hedge. La storia di un blogger di successo.

Appassionata e ben scritta difesa degli hedge funds sul Wall Street Journal  che solleva un punto fondamentale per mantenerli liberi da regolamentazioni troppo pesanti: Light regulation has allowed Mr. Jones's descendants to seize opportunities as they arise—when Farallon was not buying a bank in Indonesia, it was speculating on corporate mergers, distressed debt or a water project in Colorado. Equally, the freedom to go long and short has permitted hedge funds to express investment views with precision. Rather than simply buying a stock or a bond whose performance will reflect currency shifts, interest rates, trends in the broad market, and so on, a hedge fund can hedge out the risks on which it has no view, isolating the particular risk on which it has a real insight.
E ancora, in conclusione dell'articolo: Given the difficulties with financial reform, legislators should embrace a complementary approach: As well as struggling to tame financial behemoths, they should promote boutique risk takers. With only a few exceptions, hedge funds have the powerful virtue of being small enough to fail; indeed, some 5,000 went out of business in the course of the past decade, and none imposed losses on taxpayers. Mythology notwithstanding, the average hedge fund's leverage is more sober than that of banks and investment banks.
The question for policy-makers is what kind of financial institution will absorb risk most efficiently—and do so without a backstop from taxpayers. The answer awaits discovery in the story of A.W. Jones and his descendants. The future of finance lies in the history of hedge funds.

Dal mondo accademico una ricerca sembra portare nuova evidenza alla tesi sopra esposta in difesa dei fondi hedge: secondo un articolo molto originale di Billio, Getmansky, Lo e Pellizzon  il rischio sistemico - il principale target delle riforme finanziarie in discussione negli USA e in Europa - è soprattutto alimentato dagli atteggiamenti troppo speculativi di banche e assicurazioni piuttosto che dai fondi hedge: Our results suggest that while hedge funds can provide early indications of market dislocation, their contributions to systemic risk may not be as significant as those of banks, insurance companies, and brokers who take on risks more appropriate for hedge funds.
Lo studio di Billio e coautori mi sembra davvero molto bello: spero di trovare il tempo per dedicargli un post in un futuro relativamente prossimo. 

Qui potete leggere la storia di un blogger di successo: da anni Edward Hugh annunciava la crisi dell'euro sul suo blog ad un piccolo gruppo di lettori. Ora, grazie alla crisi e all'articolo sul New York Times, è diventato una celebrità del Web 2.0! Guardate qui che effetto può avere un articolo sul NYTimes sul numero di visite giornaliere al blog...

Emanuel Derman su rischio, HFT ed hedge funds.

Ho letto un lungo articolo di Emanuel Derman su Edge: dopo un inizio a mio avviso un po' in sordina e una lunga discussione sulla differenza tra teorie e modelli tra Spinoza e Wall Street (che ho trovato un po' deludente) entra nel merito delle questioni sollevate dalla crisi finanziaria e dagli avvenimenti degli ultimi anni. Qui la lettura si fa più interessante - almeno dal mio punto di vista - e trovo molte delle sue tesi ampiamente condivisibili anche se non sono convinto dell'opportunità di tassare il trading, tranne se la tassazione colpisse in modo esclusivo le strategie genuinamente di alta frequenza, con un tempo di permanenza in portafogli inferiore a qualche minuto. Ecco un ampio stralcio della parte finale del suo saggio (ho evidenziato alcuni passaggi che mi sembravano particolarmente significativi):


It's interesting in this regard that the three biggest banks recently announced their quarterly results and not only day in the last quarter did they lose money. That is totally astonishing. It's really a reflection of what the administration has done. They've made interest rates very low so it's cheap for the banks to borrow money. They have eliminated a lot of the players, so there is much less competition for taking on risky trades and you can do them at a price that is much more preferable to the person who is in control. This is a risk profile that is a result of regulation and administrative policies rather than of genuine market conditions.

In terms of styles of regulation, I'm very disillusioned by what's happened in terms of the bailout. I don't know what is the right thing to do but one of the worst things for society's ethical sense is to see other people having the upside of risky positions and not suffering the downside. It makes me feel very uncomfortable.

What I also dislike is that firms that have made a lot of money out of this won't acknowledge that they made this money by being saved by the taxpayers and the administration.
There's a lot of talk about the role of algorithms and the change in markets. The financial world has changed a lot since I worked in it and the biggest change is more people are playing with more of other people's money. When most of the banks were partnerships, they had to be in it for the long run because people who were partners were playing with their own capital and taking risk with their own assets. Their money was tied up for 10 or 15 years. Even if somebody retired, they still couldn't take their money out of there. They just got paid interest while it was being used and drawn down. So there was a certain culture of not taking extreme risks because you didn't really have limited liability. Ultimately you could be broken completely by your company going bankrupt. With trading houses going public, they're playing with other people's money. They're immediately liquid in terms of stock and cash payment. The culture in all of these places has changed in that it's make money liquid and fast. The way this crisis has been treated exacerbates that attitude in that if you do badly, the government bails you out and if you do well, you keep the profits. 

I used to hear 10 years ago at Goldman from colleagues that there was going to be doom one day at Fannie Mae and Freddie Mac because they were hedge funds in disguise. To some extent the government and regulators have encouraged this and they still haven't tackled the problems at Fannie Mae and Freddie Mac and are doing with them what they accuse Wall Street banks of doing, which is treating them as off-balance sheet and not counting the money they are spending on them as real money.

In terms of algorithmic trading, that's a big change too. I'm not against it — it's inevitable from a technology point of view. (...)
It's unfair, though, to allow high-frequency traders to get what essentially amounts to insider trading, to getting an early look at trades and deciding what to do because they are allowed to put powerful computers closer to the stock exchange. That doesn't make it a flat playing field.

Also, people who benefit from it tend to over-accentuate the need for efficiency. Everybody who makes money out of something to do with trading tends to say, oh, we're got to do this because it makes the market more efficient. But a lot of the people who provide this so-called liquidity and efficiency are not there when you really need it. It's only liquidity when the world is running smoothly. When the world is running roughly, they can withdraw their liquidity. There is no terrible need to be allowed to trade large amounts in fractions of a second. It's kind of a self-serving argument. Maybe a tax on trading to insert some friction isn't a bad idea, just as long term capital gains are taxed lower than short term gains.

Economics is a strange field. One of the things I noticed on Wall Street was that firms use the economists to talk to clients but their trading desks don't necessarily pay attention to what the economists are saying. Unexpected things happen unexpectedly and damage positions and net worths. I don't think there is a good quantitative solution to all of this. I sometimes get letters from mathematicians in Europe saying that they have come up with a better formula for capturing risk or for valuing risk or for trying to control or measure risk. You can do better than VaR but there isn't one formula, one number, that is going to save you in the end.
More important is incentives and disincentives and making sure that people understand they are going to pay the penalties for their own mistakes and somebody isn't going to bail them out. Jim Grant, who writes a newsletter called "Grant's Interest Rate Observer" that I like, had a column recently pointing out that in Brazil they haven't had a big banking crisis and that there, anybody who runs a trading firm is personally responsible for losses. It's not company risk. It comes down to their own assets. So they are much more cautious about this. Those kinds of incentives are going to make a much bigger difference than finding a better mathematical formula for handing risk.

And the scale at which people get paid has become quite astonishing. There is an increasing gap in America in general between what people make at the bottom and what people make at the top.

When I decided to work on Wall Street, I interviewed in '83. The guy who interviewed me said, this is one of the few jobs where you won't have to be an accountant or a lawyer and you can make $150,000 a year eventually. Now a trader might make $20 million. If they can't make it at an investment bank, they go to a hedge fund, if they have a really good track record.
I have less of a pay problem with hedge funds — I'm not sure if I'm right — from an ethical point of view than I do with very big, too-big-to-fail companies because hedge funds are by and large putting their own money or their clients' money at risk, and it's a clearly articulated compact between them. While there is a possibility of systemic contagion, it's a cleaner business in terms of potential conflicts. They are just doing proprietary trading for their own account or their clients' account.
Whereas, what is confusing about the big investment banks, if you watched the Senate hearings, is that there is a very unclear overlap between being a producer and being a market maker. So Goldman, for example, always used to be pretty much a service provider in the old days. Now they and all the other big banks want to be both a producer and the marketplace on which product trades. There are a many conflicts of interest. To make an analogy, I've read articles about how Amazon wants to be not just a place that sells books but one that also publishes books. That becomes dangerous — if you're a dominant player in both the conduit and the content. There is too much concentrated power. It used to be you were either a market maker or a producer.

Se il mondo fosse un'agenzia ... le banche fallirebbero lo stesso...I rischi delle banche che giocano a fare gli hedge funds

Secondo Krugman un ingrediente indispensabile per evitare il ripetersi di una crisi finanziaria è la creazione di un'agenzia per la protezione dei consumatori:

...consumer protection is an essential element of reform. By all means, let’s limit the power of the big banks. But if we don’t also protect consumers from predatory lending, there are plenty of smaller players — both small banks and the nonbank “mortgage originators” responsible for many of the worst subprime abuses — that will step in and fill the gap. 

Quanto è difficile stabilire la fine di una recessione? 


L'incredibile storia del fallimento di Washington Mutual e di come i regolatori non si siano accorti della gravità della situazione serve di monito a chi pensa che sia possibile risolvere tutto creando nuove agenzie:


(...) The report found that Washington Mutual had failed primarily “because of management’s pursuit of a high-risk lending strategy that included liberal underwriting standards and inadequate risk controls.” The strategy accelerated in 2005 and came to a crashing end in 2007 with the drop in the housing market.
But the report also leveled unexpectedly sharp criticism at the F.D.I.C., which by July 2008 concluded that the bank needed $5 billion in capital to withstand future potential losses. The report said the F.D.I.C., which had questioned the Office of Thrift Supervision’s assessments of the bank’s soundness, could have stepped in earlier and acted as the primary regulator, but decided “it was easier to use moral suasion to attempt to convince the O.T.S. to change its rating.”(...)
Although regulators found problems with the quality of the mortgages it had originated and with the wholesale loans it bought through outside brokers and banks, the office consistently deemed WaMu “fundamentally sound,” giving it a rating of 2, the second-highest on a five-point scale used to assess a bank’s condition, from 2001-7. Moreover, the office relied on WaMu’s own tracking system to follow up on regulators’ findings. The office did not lower the rating to 3 (“exhibits some degree of supervisory concern”) until February 2008, and to 4 (“unsafe and unsound”) until September 2008, days before WaMu collapsed. “It is difficult to understand how O.T.S. continued to assign WaMu a composite 2 rating year after year,” the report found.
O.T.S. officials said the agency had accepted the findings; the F.D.I.C. said it could not comment until the report was completed.
The report said it would be “speculative to conclude that earlier and more forceful enforcement action would have prevented WaMu’s failure,” but also said such actions, if taken in 2006 or 2007, might have pushed managers to move aggressively to correct weaknesses and stem losses.
The report said the F.D.I.C. “met resistance” from the thrift supervisor when it assigned additional examiners to look at WaMu from 2005-8 and when it challenged the 2 rating in 2008.
In the summer of 2008, as WaMu teetered on the brink of failure, the two regulators still could not agree. “The O.T.S. as primary regulator wanted to rehabilitate WaMu and keep it in business,” the report states. “The F.D.I.C., on the other hand, as an insurer wanted to resolve the institution’s problems as soon as possible to maintain the value of WaMu in order to reduce the cost of any failure.”
The inspectors general, Eric M. Thorson of the Treasury and Jon T. Rymer of the F.D.I.C., concluded that the F.D.I.C. should make its own risk assessments of institutions large enough to pose significant risk to its insurance fund.
The chairman of the House panel holding this week’s hearings, Senator Carl Levin, Democrat of Michigan, said in a statement that he hoped the hearings would inform the debate over changes in financial rules, which the Senate could take up as early as this week, after its return from a spring recess. Two former WaMu executives, Kerry K. Killinger and Stephen J. Rotella, are expected to testify Tuesday.
“The recent financial crisis was not a natural disaster; it was a manmade economic assault,” Mr. Levin said. “It will happen again unless we change the rules.”
The WaMu report could also influence the work of the Financial Crisis Inquiry Commission, created by Congress to investigate the financial disaster. 

La crisi è così dura che persino gli stipendi dei professori universitari non crescono più (sigh...)


Nella caccia ai colpevoli della crisi finanziaria uno dei target preferiti degli uomini politici
sono gli hedge funds: peccato che pare che le cose non stiano proprio così....I pericoli sistemici maggiori vengono dalle banche e dalle assicurazioni, specialmente quelle banche e quelle assicurazioni che si divertono a giocare agli hedge funds.

E la nave va? Aggiornamento al 2 aprile 2010.

Come costruire un hedge fund combinando un team di analisti con un team di quant? Arvin Raghunathan sembra esserci riuscito benissimo con Roc Capital Management, un fondo nato da un'esperienza cresciuta in seno a Deutsche Bank fino all'estate del 2009. L'idea di separare gli analisti dai quant che costruiscono il portafoglio e di lasciarli all'oscuro delle trades non mi pare malvagia.

E' possibile che il peggio sia alle spalle per la disoccupazione negli USA? Ne discute il New York Times dopo i dati di ieri.

Vale la pena pagare i cospicui fees che caricano i fondi di private equity agli investitori? L'esperienza
di alcuni fondi pensione non è entusiasmante,,,:

Public funds pay a lot of money to managers of so-called alternative investments like private equity, venture capital, real estate and hedge funds.  (...)

These funds generally charge fees totaling 2 percent of the money they manage and then take 20 percent of the profits they generate.(...)

Private equity owes its explosive growth largely to America’s pension funds. Buyout funds raised $200 million in 1980 and $200 billion in 2007. According to Prequin, a financial data provider, public pension funds were the biggest contributors over that period and now have $115.9 billion invested in private equity.

But these investments have not worked out as well as many had hoped. According to data from the Wilshire Trust Universe Comparison Service, the median returns for public pension funds with assets greater than $5 billion were negative 18.8 percent over one year, negative 2.8 percent over three years, and 2.4 percent over five years.

Indeed, research conducted by several university professors challenge the private equity firms’ premise that returns beat the stock market over long periods of time.

Two professors, Steven Kaplan of the University of Chicago and Per Strömberg of the Stockholm School of Economics, contend that, after fees, many private equity investments just about match or even trail the returns of the broad stock market between 1980 and 2001.

Additional research by Ludovic Phalippou of the University of Amsterdam and Mr. Gottschalg of the HEC School of Management shows that private equity funds underperformed the Standard & Poor’s 500-stock index by 3 percent annually from 1980 to 2003, after accounting for fees.

Sul numero dell'Economist in edicola, Buttonwood analizza i mercati obbligazionari governativi, chiedendosi come mai i tassi a lungo termine siano aumentati nelle ultime settimane. Una curva dei tassi ripida come l'attuale può segnalare un recupero dell'economia più robusto di quello preventivato ma anche l'aspettativa di un ritorno dell'inflazione. In queste settimane si sono addirittura viste delle stranezze come i tassi su obbligazioni bancarie USA e inglesi scendere al di sotto di obbligazioni del Tesoro con la medesima scadenza. La spiegazione è probabilmente legata ai volumi ingenti di obbligazioni emesse e dal desiderio di scambiare obbligazioni a tasso fisso con obbligazioni a tasso variabile. Conclude Buttonwood :

Technicalities aside, the most plausible explanation for the steep yield curve is the interaction of monetary and fiscal policy. On the monetary side the Fed is holding short rates at historically low levels in response of the severity of the crisis. On the fiscal side America's budget deficit has soared to over 10% of GDP, leading to heavy debt issuance. Recent Treasury bond auctions have seen fairly weak demand, forcing yields higher. 

This still represents a challenge for markets. One reason why equities have rallied is that their potential returns have seemed attractive relative to government bonds. Now there will be more competition. 

Ecco l'aggiornamento al 2 aprile 2010.

Fondi hedge per tutti?

Hedge funds per le masse? A sentire Marketwatch si direbbe di sì:

The number of mutual funds attempting to replicate hedge fund strategies has risen dramatically, with 80% of today's long-short funds launched in just the past few years. The funds have come from both mutual fund firms branching into a new area and hedge fund managers making their strategies available in mutual fund formats. 

Investors have responded: in 2009 long-short mutual funds and saw more than $10 billion in net inflows, double their previous annual high, in 2006, according to investment researcher Morningstar Inc.

A move of hedge fund-style strategies into mutual funds could be a win for all concerned: investors could see steadier returns while traditional hedge fund firms open their doors to more clients. For mutual fund firms, these funds can be a way to attract new money in choppy markets and also keep investors from fleeing during times of panic.
But is this type of fund right for you? A hedge fund-style strategy should in theory deliver returns independent of the stock market -- a fact that appeals to many investors still smarting from the market's meltdown in 2008 and early 2009.
Indeed, hedge funds seem to have weathered that storm much better than mutual funds. Data from Hedge Fund Research Inc. show that the HFRI Fund Weighted Composite Index fell 19% in 2008, versus a loss of more than 40% for the average stock mutual fund. 

Se vi interessa avvicinarvi al mondo degli hedge funds ma siete impreparati potete iniziare leggendo la voce hedge fund su Wikipedia. Richard Wilson ha un blog interamente dedicato all'industria degli hedge funds.
Gli indici più famosi di hedge funds sono mantenuti da HFRX e li trovate qui. Infine se volete provare a clonare le strategie degli hedge funds più popolari potete provare a seguire quanto suggerito da alphaclone.

Ancora sulla Grecia e gli scricchiolii dell'euro. Due video sugli alchimisti di Wall Street.

John Mauldin dedica gran parte della sua newsletter settimanale ad un'analisi della crisi greca. Ecco la sua difesa degli hedge funds dall'accusa di cospirare contro l'euro: 

The Euro and a Conspiracy of Hedge Funds

The lead story in this morning's Wall Street Journal is that hedge funds are holding "idea meetings" and deciding that shorting the euro is a good bet. Der Spiegel called them "secret meetings," as if somehow a cabal of hedge funds is conspiring to push the euro down. A few points for the writers of Der Spiegel:

• There is no secret about the problems with the euro. Let's see, when the head of Germany's leading debt-management agency warned this week that the euro would collapse if any member defaulted on its debt, was he part of a secret conspiracy? If he is right, do you want to bet that Greece will behave, and go long the euro?
• The currency market is a $2 trillion dollar a DAY market. That's over $50 trillion a month. Even with 20:1 leverage, $50 billion in hedge funds shorting the euro is a drop in the bucket, and I seriously doubt anywhere close to that much is at risk. George Soros won his bet against the pound sterling because the pound was fundamentally flawed and overvalued, and he put his money where his mouth was.
• If a hedge fund is betting against the euro, someone has to be on the other side of that trade. Are those guys (on the other side) conspiring in secret to drive the euro up and the dollar down? Are they in "secret" meetings to take advantage of the poor, dumb, misinformed hedge funds? Who are they? The world needs to know who is conspiring against the dollar and other currencies! Whatever. One side will be wrong. Fundamentals will out.
• I get invited to "idea dinners" from time to time. They are indeed private, but they don't rise to the level of "secret." I do very little trading, but these meetings help to hone my ideas, and I hope that helps make this letter a better source for you.

The Journal wrote that these hedge-fund managers expect the euro to go to parity with the dollar, as if that is some novel idea. I made that prediction in 2002 when the euro was at $.88, suggesting that it would rise to $1.50 and then fall back to parity by the middle of the next decade. Maybe it will get there a little faster than I thought. Stay tuned, and I do NOT suggest making 20:1 bets on currency moves. A lot of those hedge funds will lose a lot of money if the market moves against them.

Da consumato professionista mescola argomenti ottimi con argomenti meno buoni (ad esempio le considerazioni sulla leva sono risibili e trascurano le nonlinearità). Sono però totalmente d'accordo con lui con le considerazioni su Soros e la sterlina e sul fatto che la sopravvalutazione dell'euro (almeno quando viene scambiato a 1.5$) non è un mistero per nessuno.

Sempre Mauldin propone una semplice (forse troppo semplice) ma interessante analisi della struttura dei tassi a 10 anni delle obbligazioni governative dei paesi dell'area euro a cura di GaveKal dalla quale si è portati a concludere che:


Thus, for all of the complaints about market manipulation, it seems that the hierarchy of spreads over German Bunds has followed, since the beginning of this year, a pretty rational walk. Actual debt levels and short-term pressure on government accounts have systematically explained more than 85% of yield spreads. When a liquidity risk premium is applied, the explaining power of our model rises to above 95%. A very interesting predictability which leads us to the following conclusions:

1. The hierarchy of sovereign spreads on Euro financial markets closely follows the logic of the Stability and Growth Pact (SGP). The European bond markets are thus remarkably consistent and sending a clear and powerful message to the governments of the euro zone to stick to the agreed rules or suffer the consequences.
2. As of today, there seems to be no additional risk premium related to the possible dislocation of the Eurozone. Clearly, this possibility would have such devastating effect on world financial markets that investors cannot even think of it (even if many talk about it).
3. Based on the fitted curve we can identify a few markets that potentially deserve either a lower or a higher spread than the one currently prevailing. Of course, one should not build too much on small deviations to the fitted curve, but one sovereign bond market looks particularly expensive, namely Belgium. The OLO market should normally trade with yield significantly above that of Austria, or even Italy (see The Italian Job). The credentials for the management of the Belgian debt crisis of 1993 may play a role in the overvaluation of the OLO market. But with Belgian public debt now rising again (it should pass the 100% mark next year) and with the Belgian banking system in deep crisis, we see little reason to hold any OLO in bond portfolios. Rather, we would advise to sell OLOs against a basket of Austrian and Italian bonds. Aside from Belgium, France and Ireland are the two markets that currently look vulnerable.

4- The Return of Country Risk

As mentioned above, it is hard to foresee how the current situation in Europe will play out, but the one thing we can be sure of is that the crisis is an important turning point for European investors in that it marks the return of country risk. Indeed, regardless of what the European Union may do to help Greece through its current crisis, the new reality is that Greece's funding costs (along with those of other European nations) will, from now on, increasingly be a reflection of Greek fundamentals rather than German fundamentals. This must mean that, like a phoenix rising from the ashes, country risk in Europe is all of a sudden back from the dead. It also means that discerning which countries are set to experience a rise in financing costs, and which countries enjoy a pull-back will once again be a driver of relative stock market performance. In that regards, we hope that our reader will find the equation we offered above both interesting and useful.


L'equazione alla quale viene fatto riferimento nel testo è il risultato di una semplicissima regressione
lineare su tre fattori:


since the beginning of the year, we find that, on average, 10-year bond yields in the Euro area have been organized according to the following pattern:


Yield = 4.31+ 0.0201*(excess debt)+0.4723*(EDP adjustment)-0.564*(liquidity)


Attenzione che la serie impiegata è davvero molto corta, ecco perchè ho enfatizzato in rosso il caveat iniziale.


Vi segnalo infine due video sul ruolo avuto dai Quants nella crisi finanziaria: il primo è di Andrew Lo: ResearchChannel - Are Mathematical Models the Cause for Financial Crisis in the Global Economy e potete scaricarlo dal sito della National Science Foundation a questo link

Il secondo video è un documentario (teoricamente in olandese ma tutte le interviste, cioè oltre il 90% del contenuto, sono in inglese) Quants - the Alchemists of Wall Street  con interviste a Paul Wilmott, Emanuel Derman, Matthew Goldstein e Mike Osinski. Tra gli spunti interessanti di questo documentario mi ha colpito la descrizione che Willmott fa al 19esimo minuto di strategie note come "raccogliere monetine davanti al rullo compressore"...in cui piano piano fai profitti
esponendoti a un rischio estremo (inciampare mentre raccogli la monetina di fronte al rullo compressore che avanza piano piano ma inesorabilmente...).  Sarei davvero contento di scoprire che tra i miei 25 lettori c'è qualcuno attivo nel mondo Hedge e  conoscere la sua opinione sui commenti di  WIllmott e in particolare a proposito della sua affermazione seguente:

"I think it is fantastic that people that people who take risk should be compensated for taking risk. But only if they are
taking risk themselves...taking risk with other people's money you should not be compensated for... I am sorry...I do not know if that fits with economic theory but taking risk with other people's money does not get rewarded"