Hedge Fund: Strategy Stumbles

Il semble que les spéculateurs des Hedges Funds ont de la difficulté !

Les modèles mathématiques ne sont pas encore assez brillants pour simuler l’irrationalité des investisseurs et des politiciens.

Extrait de: Ex-Goldman Traders’ Hedge Fund Shuts as Macro Strategy Slips, By Jacob Greber, Business Week, October 13, 2011

Oct. 13 (Bloomberg) -- Global Trading Strategies, a Sydney- based hedge fund founded by three former Goldman Sachs JBWere Pty. traders, has returned investors their money after its strategy of betting on global economic trends faltered.

The fund, which peaked at $1.2 billion in 2008 after starting in 2005, finished trading July 31 after more than a year of negative returns, Chief Operating Officer Murray Chatfield said in a telephone interview yesterday. Global Trading employed 24 people at its peak, he said.

“It’s actually quite tough” for some hedge funds at the moment, said Damien Hatfield, director at Triple A Partners Australia, a Sydney-based hedge-fund adviser.

“If markets trend up and markets trend down, they’re good environments for hedge funds.

But when they go up and down sharply they’re not good because a lot of these guys are trying to find a trend and stay with it.”

Hedge funds, investment pools that can wager on or against any asset, had their worst performance in more than a year in September, slumping 3.2 percent from the previous month, as Greece edged closer to defaulting on its sovereign debt, according to the Bloomberg aggregate hedge-fund index. Macro funds decreased 2.4 percent in September and 3.3 percent in the year’s first nine months.

Founded by Brett Allender, Andrew Peden and Karl Mayer, the Global Trading fund more than doubled original investors’ money by trading currencies and fixed income to bet on global economic trends such as shifts in the shape of interest rate curves.

Strategy Stumbles

The strategy struggled as markets became less determined by economics and more by politics, Chatfield said.

“If you print endless amounts of money, you create inflation and will have to raise interest rates,”

Chatfield said.

“At the moment that’s not working as people aren’t spending money. But at some stage you’ll get inflation. You have a timing issue.”

The MSCI World Index of global stocks tumbled 8.9 percent in September as Greece edged closer to defaulting on its sovereign debt and the cost of insuring western European countries’ loans rose to records. The Federal Reserve said Sept. 21 that there are “significant downside risks” in the U.S. economy, prompting the central bank to announce a $400 billion debt-trading plan to spur growth as the recovery from the worst contraction since the Great Depression falters.

European Commission President Jose Barroso yesterday called for a reinforcement of crisis-hit banks, the payout of a sixth loan to Greece and a faster start to a permanent rescue fund.

Not ‘Conductive’

“The principals decided that the current environment wasn’t conducive to their trading style and they thought it better to hand money back to investors,”

Chatfield said.

Some 99 percent of the $400 million left in the fund on July 31 was returned to investors within six weeks, with the balance being held for regulatory reasons, Chatfield said.

“A lot of our investors didn’t want us to do it, but we thought it was the correct thing to do,”

he said.

“At some point we’d make a decision on how and when to re-enter the market.”

Allender helped spin Global Trading Strategies out of Goldman Sachs JBWere, which he joined in 2000 after holding roles as chief economist and joint head of proprietary trading with Peden at Schroders Australia Ltd., said Chatfield.