カテゴリ:Hedge Fund( 3 )

Big Loss of the Day --- Endeavour

FTより:
Endeavour Capital, run by former Salomon Smith Barney fixed-income traders, told investors it fell 27 per cent as a highly leveraged bet on the spread between short- and long-dated JGBs was hit by contagion from the US financial crisis and domestic worries.

ご愁傷様です。
[PR]
by stupid-market | 2008-03-21 08:29 | Hedge Fund

Alpha or Beta

Economistより:
Research suggests that the correlation between hedge-fund returns and the S&P 500 index is already high and getting higher. Worse still, hedge funds are becoming more strongly correlated with each other.

まあ、絶対リターン追及型とか言っても、世の中絶対なものはそんなに無いということでしょう。
[PR]
by stupid-market | 2008-03-07 13:17 | Hedge Fund

Leverage

Reutersより:
It is unclear how the markets changed for Peloton, but in a Feb. 28 letter to investors, it blamed its lenders for "severe" markdowns in the value of its assets, causing them to pull back on credit. The fund's assets were backed by four-to-five times leverage, or debt, in credit markets that have virtually stalled amid worries about further defaults.

レバレッジは恐ろしいですね。

ただ去年のリターンは87%とのことなので、ファンド・マネージャーは大いに儲かったことでしょう。報酬が通常の2-20で、去年末AUMが30億ドルなら追加の投資や解約が無いとして、一昨年末でAUMが16億ドル。従って、管理報酬が3千万ドルぐらいで、成功報酬で3億ドルといったところでしょうか。別に今年負けても過去の成功報酬を返すなんて話は聞いたことないですからね。余裕で引退できます。一方、投資家に返ってくる金額は多分雀の涙。ああおそろしや。
[PR]
by stupid-market | 2008-03-07 09:09 | Hedge Fund