28JAN09:
Q1-09 DOW: 8900
Q2-09 DOW: 7250
Q3-09 DOW: 5810
Q4-09 DOW: 3960
CITI NATIONALIZED
OBAMA GETS SICK 27AUG09:
Mini Crash 21SEP09 Predicted correctly:
Bailout=Bonuses
Demise of Bear Stearns
Demise of Lehman Bros.
Demise of AIG
Subprime would cause problems
Date of 2007 crash
CRAs were to blame
G20 riots were a party
Northern Rock run
Northern Rock Nationalization
HBOS and RBS demise
UBS really was Useless
Let's get something straight. Gaussian distribution, sharpe ratio, volatility and correlation are so last year. This year it is skewness, omega (high-low hurdled return distributions benchmarked for peer group comparison), copula, cVar (extended long tail) and good ol' monte carlo packed with equally weighted parametric factors. Post modern we are. If Var are flares; fat tailed ELTs are bondage pants.
Planes. I had to fly one of those first come first served domestic flights last night. I sat in my window seat and 3 sets of people sat next to me before leaving to find seats elsewhere. Was it my body odor? The red rashes across my face? No, the steward had asked them to move to rebalance the plane. Thankfully, a delightful super model sat next to me and we made out in the aisle. If only.
My eventual flight companion was a risk manager for a well known Hong Kong based fund of hedge funds. A CRO in fact. Being a GIPS compliant manager, I had to ISO certify my composites as decreed by the CFA and after my review and rebuke process was over, we bored each other silly with tales of methodological crisis and diversified substitution.
We talked liability themes, alpha as loan premium, risk return bias, structuring zombies, liability matching, draw down and optimal mixtures. Bottom up, allocation matrices, sigmas and overlays got us asking for more whisky. Of course our discourse on volatility liquidity directional behavor and valuation momentum really got us heated and we were repranded by the pilot.
With the implied sector rotation spreads widening and the intra sector behaviour narrowing it was a no brainer to espouse the hypothesis of how momentum correlations outweighed the relative value index during this current quarter of high default rate expectations.
BIM, parametric V@R, r^2, sensitive skin, arbitraged night clubs, tail loss, fat humps, lumps and bumps were our puddings and before long we were making out in the aisle [.Editor: steady]
You see, following on from yesterday's comments that the guff surrounding basic risk management is all fantasy, it is one of the few things I have that gives me street cred and makes me sound like I know what I am doing. Doesn't it?
GOVERNMENT TRIES OUT TASTE FOR DEBT WITH £5BN GILT SALE
The DMO is expected to try to sell about £25 billion of gilts this year on a syndicated basis. Syndication can cost borrowers more because of the fees payable to the banks, but it attracts a wider base of investors. There is also less risk of a sale flopping.
Jonathan Cloke, gilts analyst at Legal & General Investment Management, said that, previously in big issues, market-makers and hedge funds would buy gilts in the auction, hold them on their books and sell into the market later. He said that this would not be possible, given recent events, and added: “Hedge funds and market-makers have seen their capital cut. They are also more risk-averse.”
Fintag says Hoovering up capital from the markets won't be easy. I guess the triple A and the decent yield are nice but with inflation about to explode, should I be buying or selling? Discuss ...
Following Bermuda's signing of its twelfth Tax Information Exchange Agreement (TIEA) with the Netherlands, the OECD has updated its progress report to include Bermuda with other jurisdictions that have substantially implemented the internationally agreed tax standard.
Bermuda's Minister of Finance, Paula Cox, said that the island had worked assiduously to strengthen worldwide tax cooperation. "Bermuda wholeheartedly endorsed the OECD's objective and is especially pleased to note that the April 2 progress report - or 'gray list' - has now been updated and that Bermuda is now included in the revised 'white list," she said.
Fintag says Happy insurance bunnies. Of course reading the small print and its not quite what it seems but at last Bermuda is on the same footing as Iceland.
IMF FORECASTS A SOLID RECOVERY OF US ECONOMY FROM THE MIDDLE OF 2010
A strong monetary and fiscal policy response is supporting the US economy, but the immediate outlook remains weak, with a solid recovery beginning in the middle of 2010, the IMF said after completing its annual review of the world's largest economy.
A final report will be issued once it has been discussed by the IMF's 24-member executive board in late July.
Fintag says The IMF have a very poor record in predicting anything. They were late to the table re the 2008 crash and are being wildly optimistic about a country that is bankrupt with millions of unemployed and depressed people. I hope they are right but only time and a good dollop of Oprah will tell.
CITY superwoman Nicola Horlick has vowed not to give up her quest to take over Bramdean Alternatives, the listed fund she manages, after its board pulled out of talks yesterday. Her refusal to back down could pave the way for the first instance in corporate history that a fund manager launches a hostile bid for his or her own fund.
Bramdean Alternatives said yesterday it had decided to terminate offer discussions with Horlick and the company she set up to launch her bid, Petersfield Asset Management.
Fintag says She is the last person I would to be in a fight with. I can her now doing a belly flop and crushing my ribs ....
President Barack Obama will on Wednesday unveil his plan to restructure the U.S. financial regulatory system, with both direct and indirect effect on the hedge fund industry.
As expected, hedge funds would be forced to register under the president's plan, The Wall Street Journal reports. Legislation to that effect is already making its way through both houses of Congress. But Obama's proposal would give the Federal Reserve greater oversight powers, and give the government the power to unwind systematically-important financial institutions—including, potentially, hedge funds.
Fintag says Should we fight or just go offshore. Looks like the latter is the easy one.
The cost-cutting in hedge fund land is getting out of hand. Managers are reportedly avoiding the extravagant rents of London's Mayfair in favour of such down-at-heel locations as “Lower Regent Street” and “Baker Street,” according to Wealth Bulletin, an offshoot of Financial News.
As Howard Colvin, head of a start up fund of funds called Rudolf Wolff, declared from Dorland House, 14-16 Regent St:
There was no pressure on us to be in Mayfair or St James's. Investors coming from abroad do not expect us to be there.
Fintag says The end of an era. We have been pushed out by the handbag brigade. Is this progress or the start of a bigger migration? Like to Zug for example.
HEDGE-FUND STARTUPS SPROUT AS ROC CAPITAL GATHERS $1 BILLION
Arvind Raghunathan, former head of Deutsche Bank AG's global arbitrage business, will open his new hedge-fund firm next month with more than $1 billion, a sign that investors are trickling back after record losses last year.
Roc Capital Management LP's assets will include $500 million in a separate account from Deutsche Bank, according to people familiar with the New York-based firm, who asked not to be identified because the information is private. It's the largest hedge-fund startup this year, one of at least eight expected to raise more than $250 million each, according to brokers who provide credit and lend securities to managers.
Fintag says Now this is really exciting its almost making me [Editor: Censored]
MOVE TOWARDS INVESTING IN ART, WINE AND OTHER PLEASURABLE ASSETS
Wealthy investors are reacting to market uncertainty by investing more heavily in art, wine and other "tangible" assets.
A lack of confidence in the financial markets is prompting investors to look towards assets which they can see, feel and enjoy, as even cash and bond investments are considered to be risky, thanks to the recent state of the world's banking system. Even if the banks are secure, the rates of interest on offer are derisory, so alternative investments are coming to the fore.
Fintag says I like that. Pleasurable assets. I guess staring at my PB statements isn't quite the same think as stroking an old bottle of wine.
Delinquency rates -- an indicator of future credit losses -- fell across the industry, but analysts said the decline was due to a seasonal trend, as consumers used tax refunds to pay back debts, and they expect delinquencies to go up again in coming months.
"I find it hard to believe that it is really a trend. You need to see stabilization in unemployment before you see anything else," said Chris Brendler, an analyst at Stifel Nicolaus. "It is too early to see some kind of improvement."
Fintag says Yep. I can see the US on the road to recovery ...
Just under half of all wealthy people are set to change their private banking arrangements, as the impact of the credit crisis forces a rethink on the industry.
Investors feel let down by banks after they, as taxpayers, were forced to rescue a string of them last year, while a range of products managed or recommended by banks imploded. Individuals are also seeking new advice on tax, following government campaigns against tax havens.
Fintag says So they are shuffling the chairs about. I don't get it.
16 comments
Munch the Looser said ...
Man you are second again .. is that always the case with u ..
16 Jun 09 - 06:40 gmt
Maru said ...
Great mis-print on the front of Cityam, if the FTSE had really dropped 1157 points Moron actually would have made some money.
16 Jun 09 - 08:59 gmt
Moron said ...
Dont underestimate the Moronster!!!!
16 Jun 09 - 09:11 gmt
Moron said ...
I am a lying cheating scumbag and I know how to overcome the odds...learned it on the street as a child.....ATTACK KILL DESTROY!!!!
16 Jun 09 - 10:51 gmt
anonymous said ...
Hope you enjoyed your "massive" crash yday Moron
16 Jun 09 - 11:00 gmt
Moron said ...
its gonna get a lot worse...and I will laugh again.....no....on second thoughts...I dont laugh bcos I am a FREAK!!!
16 Jun 09 - 11:04 gmt
anonymous said ...
fat tail kurtosis ZZZZZZZZZ
fin i think a gmt master is very arriviste- explorer 1 (vintage) is the way to go
16 Jun 09 - 15:47 gmt
Boston said ...
Was worried about inflation since the US started printing money, but it's not really here (yet?) and will probably be very uneven, ie higher commodity prices as global demand grows, but wages and housing prices in the developed world not so much. Living in a matured economy has its benefits and its drawbacks. Ah to be young again....
16 Jun 09 - 15:55 gmt
Moron said ...
I want Maria:)))
16 Jun 09 - 16:09 gmt
Transsexual version of Maria said ...
Here I am Moron...If you are a big shot HF manager lets get a room tonight in the mayfair hotel?
16 Jun 09 - 16:34 gmt
Jaa said ...
I take it moron took up the offer...
16 Jun 09 - 18:01 gmt
Moron said ...
nope not yet:)))....I want the real Maria!!!
16 Jun 09 - 18:05 gmt
Anonymous Bull said ...
Go on Moron it's best offer your going to get with your recent market performance...ha ha ha!!
16 Jun 09 - 18:32 gmt
Moron said ...
anon bull mate...i know who u r and where u work.....give my regards to the big O.....and sign him up for a gymn mate:)))))
16 Jun 09 - 19:05 gmt
Jaa said ...
AB.. you have been rumbled
16 Jun 09 - 23:03 gmt
Moron said ...
more to the Moronster than meets the eye ladies:))))....keep looking over ur shoulders....the dark sith lord is watching u!!!!
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