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发帖数: 41 | 1 http://www.reuters.com/article/2011/09/15/us-goldmansachs-hedge
Goldman told investors in the roughly $1.6 billion Global Alpha fund the
news on Thursday, one day after it announced a management shake-up at the
fund that had been the crown jewel of its quantitative trading business. The
fund will be closed in the next few weeks.
Global Alpha had tumbled 13 percent by early September, delivering a far
worse performance than other hedge funds that rely on computer programs to
quickly take advantage of opportunities in the market, people familiar with
the number said. These types of funds are supposed to move quickly in and
out of stocks, bonds, currencies and other assets and exit positions before
losses accrue.
This is the second time in four years the Global Alpha fund -- once one of
Goldman's biggest with $12 billion in assets -- has suffered big losses and
its performance raises questions about the ability of Goldman Sachs to
manage quantitative strategies for its wealthy clients.
In fact, people familiar with Goldman Sachs have said the company's decision
to liquidate Global Alpha signals its decision to exit quantitative hedge
fund strategies altogether. The firm still manages billions in quantitative
mutual funds.
Goldman Sachs declined to comment.
Even though Goldman's Global Alpha fund is in the red, most other
quantitative hedge funds are up or are flat for the year. The average quant
fund is down less than 1 percent over that period, according to performance
tracking service Hedge Fund Research Inc.
Mark Carhart, the man who managed the Global Alpha fund with Raymond
Iwanowski for more than a decade until 2009, has gained 7 percent net of
fees this year at his new hedge fund Kepos Capital, a person familiar with
his numbers said.
The new turmoil at Global Alpha comes almost four years to the day after the
fund lost 22.5 percent in August 2007, during the early days of the
financial crisis. Those losses prompted investors to pull money out.
Even though the fund's performance steadied with a 4 percent gain in 2008
and raced ahead with a 30 percent increase in 2009, assets never recovered.
By the time Carhart and Iwanowski left in 2009, the fund had shrunk to $4
billion from its $12 billion peak. Soon after the pair retired, assets
shriveled further to about $2 billion. The fund neither gained nor lost
money last year, delivering a zero return.
The quantitative group has been beset by departures for some time. More than
two dozen left this year alone, people familiar with the numbers said.
On Wednesday, Goldman Sachs Asset Management sent a letter to Global Alpha
investors notifying them that Katinka Domotorffy, the head of the group's
quantitative investment strategies, would retire at year's end. The letter,
a copy of which was obtained by Reuters, did not discuss the poor
performance of the Global Alpha fund.
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What may have hit the Goldman fund especially hard were the unexpected stock
market sell offs in early August and recent currency market fluctuations in
the wake of the Swiss National Bank's decision to halt the rise of the
Swiss franc, people familiar with the fund's models said.
Andrew Schneider, president and CEO of Global Hedge Fund Advisors, said the
first half of September has been brutal for some large hedge funds, due to
unpredictable moves in market direction.
"The volatility has been so high; if you're wrong, especially if you're
using margin or leverage, your returns are going to be extremely poor," said
Schneider.
Other quantitative hedge funds, however, fared better. James Simons'
Renaissance Technologies' Renaissance Institutional Equities fund has gained
more than 25 percent this year, said a person familiar with the fund run by
the math professor turned hedge fund manager. Another quant fund, QuantZ
Capital Management, for instance, is up 12.8 percent through September 6,
according to a letter sent to investors. | s******e
发帖数: 1751 | 2 once one of the largest HFs of the world. |
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