Interest-Rate Jolt Might Cause Sparks At Hedge Funds
The most pressing question hanging over financial markets today isn't when interest rates will rise. They already are rising. And nearly every economist on Wall Street sees the Federal Reserve raising short-term rates sometime this summer.
But just how Wall Street deals with a rising-rate environment has become a pressing question. Nervous analysts wonder if the Fed's move to increase short-term rates, no matter how well telegraphed, will catch risk-hungry and yield-seeking investors off-guard.
In recent days, everything from Indian stocks to Indonesian government bonds to Russian rubles to Thai stocks has slumped. During the past year, riskier investments around the globe, including complex debt offerings in the U.S., became investment darlings for hedge funds eagerly hunting higher returns in a low-rate environment. After such a good run across so many asset classes last year, Boston-based hedge fund Baupost Group's president Seth Klarman wrote to clients in his year-end letter: "Could virtually all asset classes be overvalued?"
Hedge funds play a bigger role than ever in terms of global capital flows. More than 7,000 hedge funds of varying size now prowl global markets in search of investments. And these private investment partnerships, which often copy one another's strategies and move in and out of investments and regions with alacrity, are an X factor as analysts try to gauge the impact of rising rates. "In the past, [a rate increase] has been a source of instability," warns the most recent Global Data Watch from J.P. Morgan Securities. "Moves in private capital flows can be sudden and severe."
One sign of difficulties ahead: Emerging-market bond yields are starting to rise far more rapidly than U.S. Treasury bonds, increasing the gap in yields between the two as investors lose their appetite for riskier assets. In addition, the momentum that carried metals prices to multiyear highs is starting to wane. April was not a great month for many of the best hedge funds as the rising-rate world came more into focus. Pequot Capital Management LLC funds were down 3% in April, according to people familiar with its position, while Andor Capital Management LLC funds had a mixed performance. The hardest hit Andor fund, its aggressive technology fund, was down 7.7% for the month, according to people familiar with Andor's position.
Early May has been even more treacherous for riskier investments, which could add to trouble among hedge funds. Emerging-market debt, precious metals and commodity-linked currencies such as the Australian dollar all have taken hits.
The last time the financial markets had one of its periodic seizures in 1998, hedge fund Long-Term Capital Management had borrowed massively to fund a variety of trades world-wide. The farflung trades were supposed to balance, so if one trade lost money, another trade would make money. Unfortunately, though, nervous brokers called back their loans and LTCM was forced to sell almost everything. As the fund sold, the value of investments as varied as Danish mortgage bonds and Japanese government bonds moved down simultaneously.
This time, no one fund is likely to pose such a systemic risk since the amount of borrowing brokers extend to any one hedge-fund client is more carefully monitored -- by both sides. But given the copycat nature of hedge funds, there's concern that a lot of fund strategies are combining to create potential LTCM-type problems.
"Everyone is doing the same thing," says Lee Thomas, a managing director of Allianz Dresdner Asset Management in Newport Beach, California. "There is no diversity in hedge-fund strategies. There is a huge concentration of positions and everyone is trading with Alan Greenspan's money."
"There is more likelihood of an overshoot now," adds Ethan Berman, founder of RiskMetrics Group. "People aren't even aware of elements of the bets they are making."
Hedge funds account for more money sloshing around than six years ago, when LTCM's problems surfaced. Hedge funds now have about $860 billion in capital from investors, according to Chicago-based Hedge Fund Research. But that figure understates the magnitude of their influence, since hedge funds usually use borrowed funds, or leverage, to amplify their investment strategies. When rates are low, the use of leverage expands. That leverage is what makes regulators hold their breath when rates start heading higher.
Along with using similar strategies, many funds are using the same risk models -- as are the proprietary trading desks of banks, securities firms and even some central banks. "The models minimize the risk," says Nassim Taleb, an adjunct mathematics professor at the Courant Institute of New York University who also runs a $300 million hedge fund. But, he adds, the models "are backward-looking." Mr. Taleb says that just before severe declines, most models show that volatility is low. But since nearly everyone uses the same models, the probability that most funds move at the same time and in the same direction is greater. Such a phenomenon can create pile-ups at the exit door, diminishing liquidity and creating difficulties in financial markets.
Also hanging over the financial markets: Many hedge-fund investments are relatively new and not fully tested. That is especially the case for various kinds of so-called credit derivatives, which allow investors to take a view on the creditworthiness of individual companies or of groups of companies, depending on their rating. Not long ago, banks were using these credit derivatives to hedge their loan books, buying such instruments to protect against potential defaults. Today, many banks have decided to sell such insurance to others. "That's like buying insurance on the Titanic from someone on the Titanic," adds Mr. Taleb.
Many hedge funds also sell such insurance. At the same time, many funds -- not necessarily just hedge funds -- invest in the riskiest slices of so-called collateralized bond obligations. These complicated securities are made up of slices of pools of corporate credit. The safest carry triple-A credit ratings and are supposed to be very safe. Hence, they offer little yield. But lower-rated slices can lose money if even a single company whose bonds are included in the slice defaults. The yield in these slices is far more generous. Yet two years ago, when the system was strained, numerous slices performed far more poorly than either the models or the rating agencies predicted. The same could happen again.
加息可能会使对冲基金翻船
当前，金融界面临的最紧迫问题并非美国何时会加息，因为利率已经开始上升了。几乎所有的华尔街经济学家都认为美国联邦储备委员会(Fed)将在今年夏季的某个时候上调短期利率。
而华尔街如何应对升息环境已成为时下最棘手的问题了。紧张不安的分析师们担心，无论措辞多么小心，Fed的加息之举都会让那些渴望冒险和获得高收益的投资者们遭受不利影响。
近期，从印度股市到印度尼西亚政府债券、从俄国卢布到泰国股市，到处跌声一片。在过去一年里，全球范围内的高风险投资产品成了在低息环境下寻求高回报的对冲基金投资的热点。去年，很多种类的资产都有不俗表现，因此波士顿Baupost Group的总裁赛思?卡拉曼(Seth Klarman)在去年年终致客户的信中提醒道：是不是各类资产都被高估了呢？
对冲基金在当前的全球资本流动中发挥著前所未有的作用。大小各异的7千多只对冲基金正在全球市场上四处搜寻投资对象。当分析师们试图评估升息的影响时，这些相互跟风、在各类投资品种和各个地区间敏捷出入的私人投资公司成了未知因素。J.P. Morgan Securities的最新一期Global Data Watch警告说，过去，加息一直是市场动荡的起因之一，私人资本的流动往往是迅速而大量的。
预示前路坎坷的一个迹象是：新兴市场债券收益率的增幅远远超过了美国国债收益率的增幅，两者的收益率差距不断加大，而与此同时投资者对高风险资产又逐步失去了兴趣。此外，导致金属价格创下近年新高的动力也开始消退。由于加息成为人们关注的焦点，很多一流对冲基金在4月份表现平平。熟悉内情的人士称，Pequot Capital Management LLC旗下基金在当月下跌了3%，而Andor Capital Management LLC旗下基金的表现则是喜忧参半：最糟糕的是Andor基金，这只活跃的科技类对冲基金当月下跌了7.7%。
高风险投资在5月上旬的表现进一步滑坡，因此对冲基金的日子更不好过了。新兴市场债券、贵金属以及澳元等与商品挂钩的货币都遭受了打击。
金融市场上次出现周期性动荡是在1998年，当时对冲基金长期资本管理公司(Long-Term Capital Management, Lp)借入大量资金为其遍布全球的各类交易进行融资，并认为这些交易能实现盈亏平衡，即某项交易的亏损能由另一项交易的盈利弥补。遗憾的是，惊慌的经纪人收回了贷款，长期资本管理公司因而被迫抛售手中所有的资产。当该基金抛售资产时，从丹麦发行的抵押债券到日本政府债券，它所持有各类资产的价格全都应声下跌。
这次，没有哪个基金看上去会出现上述系统性风险，原因是经纪人借给对冲基金的款项受到了更加严密的监控──无论是借方，还是贷方。但鉴于对冲基金喜欢跟风的特性，市场担心许多基金采取相同策略的举动会形成类似长期资本管理公司那样的问题。
加利福尼亚州Allianz Dresdner Asset Management的董事总经理李?托马斯(Lee Thomas)说，每个人都在做同样的事，对冲基金的投资策略不存在多样化，头寸高度集中，所有的人都在利用低息环境进行投资。
RiskMetrics Group的创立者伊桑?伯曼(Ethan Berman) 说，投资行动有可能过了头，人们还没有意识到自己下的赌注有多大。
对冲基金目前操控的资金较6年前长期资本管理公司的问题刚刚浮出水面时的数量更大。位于芝加哥的Hedge Fund Research称，对冲基金目前拥有约8,600亿美元的资金。但这一数字掩饰了对冲基金的巨大影响力，因为对冲基金投资时采用的是杠杆策略，即利用借入的资金将投资影响力成倍放大。当利率较低时，这种杠杆策略很常用。而当利率上升时，杠杆作用的威力就让监管机构很担心了。
除了投资策略雷同外，许多对冲基金采用的风险评估模型与银行自营交易部门、证券公司甚至某些中央银行的评估模型完全相同。纽约大学(New York University)Courant学院的数学系副教授那森?塔勒(Nassim Taleb)指出，这些风险模型可将投资风险降至最小，但它们是向后看的，不具前瞻性。他说，在市场暴跌之前，大多数模型都显示市场波动性很低。但是，由于几乎所有的人都采用同一模型，很有可能出现大多数基金在同一时间朝著同一方向运作。这就可能导致出口处堵塞，资金流动性降低，给金融市场带来问题。
金融市场面临的另一个问题是：许多对冲基金的投资相对较新，没有经过全面测试。各种各样的信贷衍生品尤其如此，它们允许投资者考察单个或一群公司的信用状况。不久前，银行还是购买这些信贷衍生品来规避信贷风险。但如今，许多银行都决定出售此类衍生品。塔勒说，这就像从泰坦尼克号上的人手里购买该船的保险一样。
许多对冲基金目前也在出售此类“保险“。与此同时，许多基金──不仅仅是对冲基金──则投资于风险最大的资产抵押债券。这些复杂的债券投资组合是由各类企业债券组成的。风险最低的债券获AAA评级，被认为是非常安全的投资。因此，它们的收益自然很低。但评级较低的债券组合可能会让投资者亏损，即使债券组合中只有一家公司的债券无法兑现。但此类债券的收益率通常很高。不过两年前，当资产抵押债券出现不景气时，许多债券投资组合的表现都远远低于风险模型或评级机构的预测。此类事件今后也许会重演
