高盛的旗舰基金Alpha出麻烦

henry

Blind to Trend,
'Quant' Funds
Pay Heavy Price
Computer Models Failed
To See Risk Increasing;
Global Alpha Off 16%
By HENNY SENDER and KATE KELLY
August 9, 2007; Page C1

Computers don't always work.

That was the lesson so far this month for many so-called quant hedge funds, whose trading is dictated by complex computer programs.

The markets' volatility of the past few weeks has taken a toll on many widely known funds for sophisticated investors, notably a once-highflying hedge fund at Wall Street's Goldman Sachs Group Inc.

Global Alpha, Goldman's widely known internal hedge fund, is now down about 16% for the year after a choppy July, when its performance fell about 8%, according to people briefed on the matter. The fund, based in New York, manages about $9 billion.

The fund's traders in recent days have been selling certain risky positions, according to these people. Early this week, those moves sparked widespread rumors on Wall Street that the entire fund might be shut down. A Goldman spokesman has said the rumors are "categorically untrue."

Campbell & Co., an $11 billion hedge fund that trades in the futures market as well as in stocks and bonds and is completely driven by such computer programs, was down 10% to 12% by the end of July.

Quant funds -- "quant" stands for quantitative -- generally operate by building computer models of market behavior and then allowing the computer programs to dictate trading. A recurring characteristic of the recent trouble in financial markets is that many lenders, funds and brokerages were following statistical models that grossly underestimated how risky the market environment had become.

"Our risk models failed to pick up the fact that we were due for a correction," says Keith Campbell, founder of Campbell & Co. "We were highly diversified. It was the perfect negative storm."

Campbell's losses occurred because of wrong bets on interest rates, currencies and stocks. While Mr. Campbell declined to disclose just how much leverage was behind his trades, he says Campbell isn't "a highly levered house."

He told investors that the losses stemmed from "a unique combination" of factors. These included the unwinding of the world-wide carry trade -- where investors borrow money in low-interest-rate currencies to invest in higher-yielding assets -- an investor flight toward less-risky investments and the stock market's reversal.

Mr. Campbell called the recent market turmoil "very unusual." Critics say that is one of the drawbacks of the investing style. Much of the time, the market can be accurately modeled by computer programs. The times when they don't work are treacherous.

"All [computer-driven] managers say the models make sense and look like they are working," says Bill Johnston, founder of Bayon Capital, an investment fund based in San Francisco that isn't computer-driven. "But then something happens which statistical probability suggests would never happen."

Rumors of forced selling in the wake of losses contributed to the volatile ride in the stock market yesterday.

Renaissance Technologies Corp., the most successful quantitative-hedge-fund manager, is holding up despite the market's downturn. Renaissance's flagship Medallion hedge fund is up about 25% so far this year, while the firm's Renaissance Institutional Equities Fund is down slightly, according to a person close to the firm, though the gains have been cut in recent days. Medallion made money in July, though it hasn't fared as well so far in August, the person said. The Institutional fund lost about 3% in July, in line with the overall market.

Other hedge funds declined to disclose to brokers or portfolio managers in charge of so-called funds of hedge funds just how badly wounded they have been by the recent extreme swings.

In most cases, their losses had nothing to do with the meltdown in the subprime-mortgage market and occurred across all strategies. Moreover, in many cases, those losses were magnified by the use of borrowed money.

Yesterday, many fund managers were watching for additional knock-on effects of recent losses, which have forced funds like Global Alpha to liquidate certain risky positions. Some think the pain will next be felt overseas, in places such as the United Kingdom and Japan, where asset managers are also likely to begin offloading riskier bets.

The reliance on models can be especially problematic because many quant hedge funds have very similar models. That means they are often doing the same trades and buying the same shares. Moreover, because the strategies are supposed to be market-neutral, with no net positive or negative bent, the funds often borrow large sums so they can bet more and achieve better returns when things go their way.

That massive borrowing adds to the pressure when markets reverse course several times in the course of a single day, as the stock market has done repeatedly in recent weeks, or when tried-and-true relationships between different markets suddenly break down.

henry

让人想起1998年的LTCM.

henry

Second Goldman Hedge Fund
Moves to Sell Some Positions
By KATE KELLY, HENNY SENDER and GREGORY ZUCKERMAN
August 9, 2007 1:11 p.m.

A second Goldman Sachs Group Inc. hedge fund has hit a rocky patch and has sold down some of its positions, according to a person familiar with the matter.

Goldman's North American Equity Opportunities hedge fund had $767 million under management earlier this year. The Fund was down over 15% this year, through July 27, according to investors and was down more than 11% in July alone. It is not known how much the fund has sold in recent days.

Word of the turmoil at this fund comes as Goldman's most widely known internal fund, Global Alpha, has been forced to liquidate certain positions to curb its risk profile. That fund, which has roughly $9 billion under management, was rumored to be facing liquidation -- a notion a Goldman spokesman has called "categorically untrue." Goldman today has privately thrown cold water on a published report that North American Equity Opportunities hedge fund is liquidating.

The North American Equity Opportunities hedge fund is known as a "equity market neutral fund" and relies heavily on computer programs to make market bets. Equity market neutral means the fund buys certain stocks and bet against others, by shorting their shares. The idea is to generate impressive returns in any kind of market. This strategy is seen as relatively conservative, and can generate steady gains, the funds often feel comfortable using leverage, or borrowed money, to boost their returns. Most funds perusing such strategies hope to uncover small price discrepancies and rely on large slugs of borrowed money which magnifies losses when the bets go wrong. It is not known how much borrowed money the North American Equity Opportunities Fund uses.

Some funds that have run into trouble in recent weeks are ones like Global Alpha and the North American Equity Opportunities that rely largely on computer programs to dictate trading. In some cases these models that grossly underestimated how risky the market environment had become.

News that some Goldman funds are liquidating positions is a blow to Goldman, one of Wall Street's most admired investment banks. The firm has made a winning bet in recent years on savvy internal trading and using a relatively high risk profile to generate outsize returns. But along with many other brokerages -- including UBS AG and Bear Stearns Cos., both of which shut down internal hedge funds earlier this year after weathering major losses -- Goldman is now contending with an unpredictable global market that has been shaken by problems in the U.S. housing sector.

Hedge Fund Tykhe Capital Hit With Losses

Tykhe Capital, a New York hedge-fund firm that manages about $1.8 billion, has suffered losses of about 20% so far in August, and is moving quickly to trim its investment positions, according to an investor in the firm briefed by Tykhe executives. The selling by Tykhe and a range of similar hedge funds is putting pressure on the holdings of a number of funds.

Tykhe isn't closing down, according to the investor. Repeated calls to Tykhe were not returned.

Tykhe, launched by several executives who left hedge-fund powerhouse D.E. Shaw & Co. in 2002, uses quantitative models to try to generate impressive gains that are "market neutral," or returns that don't depend on a rising market. The strategy has been embraced by some of the biggest names in the hedge-fund world, in part because it is popular with pension plans and other institutional investors, who have flocked to hedge funds. One inspiration for the ambitions of a number of funds: the huge gains posted by Jim Simons's Renaissance Technologies Corp., a quantitative hedge fund.

But the strategy has foundered lately. The Tykhe Portfolios Ltd. Fund, a $600 million fund, lost almost 8% in July, according to investors. A $300 million fund run by the firm dropped about 4% in the month, through July 27. The losses have snowballed lately, however. It's been a quick turnaround -- during the first six months of the year, Tykhe's funds were up, and experienced very little volatility, according to an investor.

Tykhe has been selling some of its holdings, and reducing its leverage, which has been pressure on holdings shared by other hedge funds that pursue similar strategies. Tykhe was borrowing $4 for each $1 of capital it holds until recently, but is now reducing that leverage ratio to $1 for each $1 of capital, according to the hedge fund's investor.

xlb783783

没耐心看下去了。。全是E文，too long.