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发帖数: 1877 | 1 Amid Billions of Losses, Macro Hedge Funds Search for ‘Which Way Is Up’
By
Rob Copeland
and
Juliet Chung
June 13, 2014
In today’s Wall Street Journal, we noted how many famous hedge-fund
managers who seek to profit by correctly forecasting broad economic trends
have turned in billions of dollars in paper losses, in a year that has
otherwise been relatively placid for investors the world over.
Investors flocked to these so-called macro funds after 2008, when they on
average gained 4.8% at a time when the S&P 500 fell 37%. From the end of
2008 through the first quarter of this year, assets in the strategy surged
from $278.7 billion to $507.7 billion, according to research firm HFR Inc.
But with disappointing returns on average from macro funds the last three
years, investors are beginning to walk. They have withdrawn more money than
they have put in both last year and this year through the first quarter, HFR
said. Macro is the only hedge-fund strategy to have seen outflows in both
periods.
The average macro fund is up about 0.31% in the first five months of this
year, trailing stock and bond indices, as well as hedge funds across all
strategies Many macro managers were been caught wrong-footed this year when
trades, such as shorting the yen and being long the Nikkei benchmark of
Japanese stocks, went sour earlier this year, investors said.
One of the more consistent hedge-fund boosters of Japanese equities,
Balestra Capital, is changing course after its main fund cratered, dropping
15% this year through May. Balestra founder Jim Melcher, a former U.S.
Olympic fencer, conceded on a recent investor call his performance had been
“unacceptable” and said he was moving part of the portfolio to cash until
he could determine “which way is up.”
“Enormous sums of money have been created by developed markets central
bankers. The money has to go somewhere,” Mr. Melcher said on the call,
according to a person with knowledge of it. “At this point, it could go
either way,” he added, referring to the stock market’s direction.
Balestra is down to about $1 billion under management, half of what it
managed two years ago, the person said. Mr. Melcher did not respond to a
request for comment.
Discovery Capital Management, Robert Citrone’s $15 billion hedge-fund firm,
was down 10.4% in its flagship fund this year through May, but gained 3.2%
the first week of June, according to a person familiar with the firm.
Long wagers on some U.S. tech stocks–including Amazon and eBay–and bets
against emerging markets through shorts on currencies and stock indices,
hurt the fund this year, as has its being positioned for interest rates to
rise globally, including in the U.S.
The loss comes after Discovery’s outsize gain of 28% last year.
Commodity-trading advisers, or CTAs, a subgenre of macro funds that use
software programs to automate trades based on trends, have been hurt, too.
BlueTrend, the CTA run by Brazilian-born Leda Braga for hedge-fund firm
BlueCrest Capital Management, managed about $16 billion a year ago. The fund
is down to about $9.3 billion due to both investment losses and clients
pulling their money, according to people familiar with the fund.
The fund lost about 10% last year and was down this year, until a 6.3% gain
in May brought its performance through the end of the month to 3.3%.
Brevan Howard Asset Management, which runs one of the world’s largest macro
funds and has seen its flagship lose 3.8% through June 6, has adapted to
the Federal Reserve’s recent hands-off approach to changing interest rates
by trading rates less and assets like stock market indices more, said a
person familiar with the firm. If this year’s losses stick for the
remainder of 2014, it would mark the fund’s first down year.
Brevan views the current low-volatility investment environment as one to be
waited out while eking out modest returns, until a more normal environment
returns, the person said. |
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