Goldman’s high profile and formerly highly successful quantitative hedge fund, Global Alpha, was one of the biggest casualties of turbulent markets in August, shedding 22.5% of its value. The firm orchestrated a shorting up of another one of its quant hedge funds (Global Equity Opportunities), putting in $2 billion of new Goldman money and raising […]
Read more...We had noted earlier that one of the motivations for launching the SIV rescue plan sponsored by Citigroup, JP Morgan, and Bank of America wasn’t only to help save the banks who sponsored SIVs from having to tie up their balance sheets by extending funding to them, but also to save money market funds from […]
Read more...A story highlighted on the first page of the Wall Street Journal and slotted to appear on page A3, “Fidelity Succession Plan Weighs Splitting Chairman, CEO Posts,” has the earmarks of being a PR plant by the Boston-based company. And the Journal appears to have featured it as served up in return for getting the […]
Read more...Hedge funds charge vastly higher fees than other money managers because they allegedly deliver better investment returns. Yet when you look at most hedge fund indices, they don’t look much better, and are sometimes worse than simple long-only strategies. And remember these indices almost certainly overstate performance, since they exhibit what is called “survivorship bias.” […]
Read more...I am beginning to feel like announcer at a prizefight where it’s obvious that one boxer is hopelessly outmatched, but the contest will still go a full twelve rounds due to the stubbornness of the underdog and the failure to land a knock-out punch. The SIV plan continues to take body blows, the supporters appear […]
Read more...Nassim Nicholas Taleb, seasoned trader and risk manager, and author of the provocative and well regarded book Black Swans, today in the Financial Times takes on the high priesthood of modern finance. He argues that modern portfolio theory and many of its offspring, such as the Black-Scholes option pricing model and the capital asset pricing […]
Read more...The Wall Street Journal and the New York Times report that Citigroup obtained funding through the end of the year for $80 billion of SIVs (for background, please see here and here). This development is newsworthy, since Citigroup had indicated it faced a crunch in November as commercial paper funding SIVs mature, yet the widely […]
Read more...A very good post by Menzie Chin at Ecnobrowser explores the meaning of an expression often used by regulators, traders, and the media, the strength (or weakness) of a currency. Chin tells us (and I hope I am not oversimplifying a lucid explanation) that it really signifies two things. The first meaning is the value […]
Read more...It’s revealing that Robert Kuttner’s hard hitting, cogent testimony before the House Committee on Financial Services (hat tip Culture of Life News) has gotten very little attention in the media and the blogsphere. Perhaps it’s because Kuttner, an economist and former investigator for the Senate Banking Committee, argues persuasively that the strong ideological bias against […]
Read more...Ah, time for a reality check on the Wall Street Journal/Administration party line. Here we’ve been told how horrible Sarbanes-Oxley is, and how those tough corporate governance measures are bad for the competitiveness of US markets. Like many of the things the officialdom in Washington has been telling the public, this line of reasoning doesn’t […]
Read more...Bloomberg Magazine, in “Unsafe Havens,” reports that money market funds run by Bank of America Corp., Credit Suisse Group, Fidelity Investments and Morgan Stanley owned over $6 billion of CDOs with subprime debt in June. The reason this is a serious issue is that money market funds have a $1 NAV, meaning “net asset value” […]
Read more...Goldman, on the back foot about the truly abysmal performance of its Global Alpha fund, is trying to shore up investor confidence, or more accurately, forestall a revolt. However, a Wall Street Journal article reports that they aren’t taking the sort of measures they did in August with the troubled Global Equity Opportunities Fund, when […]
Read more...Bloomberg reports that Goldman’s big hedge fund, Global Alpha, which took a beating along with other quantitatively oriented traders, was down 22.5% in August. Even among quant funds, this was lackluster performance. James Simons’ Renaissance Technologies recouped the 8.7% loss it suffered at the beginning of the month. But here comes the juicy bit: of […]
Read more...The Financial Times’ John Gapper had an interesting piece today, “Patience on debt can ease distress.” I’ll give you the section that caught my eye to see if you react to it the same way I did: Last week, I went to a dinner in Manhattan that ostensibly had nothing to do with the credit […]
Read more...The news from rating agency land goes from bad to worse. This Bloomberg article does much to explain why investors are avoiding subprime like the plague. AAA paper revealed to be CCC. Repeated incidents of financial institutions saying they have no/little subprime exposure, then shortly thereafter fessing up that they have a lot. And rating […]
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