[转帖]全球金融市场结构改变欧美避险基金低估危机受挫消息连连

DIYer · 发表于 10-8-2007 22:02:00|来自：英国

近来，数个代表性企业被认为受到近来次级风暴的蔓延所孤立，因此也使投资开始思忖，谁会是下一个受害者？   首先，昨 (9)日巴黎就传出令人大感意外的消息；上週曾表示已控制住美国次级市场曝险资金的法国银行BNP Paribas (BNP-FR)表示，停止旗下 3档投资基金赎回，总金额高达21.7亿美元。该消息所造成的冲击，使得信评等级最高的资產都得面临巨大压力。 随著 BNP的暂停赎回声明之后；美国市场也传出更多的避险基金蒙损，甚至被迫出售资產。两地利空消息不断，造成 9日道琼工业指数收盘暴跌387.18点，或2.8%。 在於受损的避险基金当中，都有一项共通点－皆採取「市场中立」的操作策略，或是选择受股市波动影响较小的操作手法。该项策略受到许多大型避险基金公司拥戴，部分原因来自於其特别受到机构投资人的欢迎，企求能在各种市场都能够获利。 许多市场中立型基金押注在本益比高的股票、或相对便宜的个股，而放空相对高价股票。由於该操作方式被视为较为保守，因此基金擅於向银行融资来推升获益。 但是，随著几周来的局势变化，许多放款银行开始对避险基金客户感到担忧。因此，许多避险基金开始被要求为融资提出更多担保品。所以，避险基金开始出售高品质股票来换现金、或停止「短线」交易，造成许多基金的操作更加保守。 此外，市场中立型基金通常都是倚赖类似的电脑程式来操作，筛选而得的持有部分也会雷同，所以资產价格的变动也会被放大。 根据消息人士指出，管理基金总额 380亿美元的AQR Capital Management LLC，几天以来造成为数不小的损失。儘管该公司大部位的资金管理方式有别於市场中立。 而Highbridge Statistical Market Neutral Fund(高桥统计市场中性基金)旗下一档18亿美元基金， 8月份至8日为止资產就缩水了 5.2%。值得一提的是，该基金并没有运用借贷来放大获益；这也暗示了，採行槓桿操作的统计套利 (statistical-arbitrage)基金的损失，可更为惊人。 其他大型基金公司也难逃其害：Goldman SachsGroup Inc.(GS-US)旗下避险基金GS North AmericanEquity Opportunities，今年至 7月27日为止的持有资金总值下滑15%，光是7月份就损失11%。 过去 1周以来，量化基金蒙损的情事陆续传出。一般来说，这些基金都是由依照市场表现而设定的电脑程式来运作、或进行交易动作。然而，金融市场歷经信贷风云之后，结构逐渐改变，许多电脑统计模式似乎都低估了因环境变化而提高的风险性。 的确，还是有许多避险基金高层认为某些基金还是表现良好。 T.H. Lee Capital Management LLC投资长Jim Burritt表示，「近 11年来，我从没看过这种表现有扩散的机会。」 不管如何， BNP Paribas赎回消息的宣佈不但造成该公司股价走低，也的确为金融市场造成影响。

Arkey · 发表于 11-8-2007 02:28:00|来自：英国

Yeah I saw the news today when most major indices going down with the CFC appearing to go distressed. Was a bit surprised to see such a contagious effect around the world markets because the subprime mortgage market has been given warnings in early July. How do you think it'll affect the market in Singapore?

雨茜 · 发表于 17-8-2007 00:57:00|来自：英国

Markets have been extremely volatile lately.  The primary cause of this correction is the indiscriminate lending, creating this sub-prime loan mess.  Banks have in turn bundled these problematic sub-prime loans into new exotic financial instrument known as CDOs (collateralized debt obligations) and CLOs (collateralized loan obligations). These CDOs and CLOs are then off-loaded, in various risk tranches, to financial institutions and their unsuspecting investors around the world.  Of course, hedge funds often take the junkiest tranches.  The size of these bad debts is estimated to be around US$100 billion, according to the US Federal Reserve Department.  However, more aggressive parties have estimated the size to be around US$200 – US$300 billion.  Regardless of the estimate, this amount is not huge enough to change the fundamentals of the real economy.  The US GDP is estimated below US$15 trillion, the world over US$50 trillion.  However, the damage to sentiment and financial markets is more severe. Sentiment has been greatly affected because many parties have bought into the CDO and CLO structures.  The bottle of poison has been shared by many.  The good news is, because the poison was diluted to many, very few will be badly hit as the toxicity is also “diluted”.  Now comes the next fear – credit crunch.  Financial institutions are a lot more careful on lending because they do not know who is exposed to the CLOs and CDOs and what the quality of their holdings is. The immediate result will be tighter lending practices and higher cost on borrowings in the short term until more clarity emerges on the actual exposure on sub-prime loans. Such uncertainty explains the fear.  Central banks from developed economies have pumped in hundreds of billions of dollars of liquidity into the market recently, which helped to inject some stability into money market system.  Central banks in <place wst="on">Asia</place> ex-Japan are standing by, armed with their US$3 trillion in foreign reserves.   As if the situation is not negative enough, we are now facing the prospects of the unwinding of the Yen carry trade.  Many investors and hedge funds have taken advantage of the cheap borrowings from <country-region wst="on"><place wst="on">Japan</place></country-region> (effectively shorting the Yen) over the years to invest in financial instruments to capture higher returns.  This “no-brainer” is fine as long as the Japanese Yen does not appreciate too much.  However, when hedge funds and leveraged traders that are exposed to CLOs and CDOs face redemption and losses, they need to sell both their good and bad
holdings to pay back investors who want to sell out.  In this sort of fist fight, by-standers get pummeled, too.  When carry position unwinds, they will also pay back the yen borrowings (effectively buying the Yen).  In the process, we are seeing some unwinding of the Yen carry trade.  This will cause the Yen currency to appreciate which would trigger more unwinding.  The end result is lower liquidity in the financial system which is negative for capital markets.  This short term volatility will eventually clean up some excessive liquidity in the system and clear up and wipe off the exposure of the sub prime loan mess.  Then market will resume its uptrend on a cleaner foundation.  Thus far, the impact on the real economy is minimal and we expect the strong fundamentals to sustain this uptrend in the market.On the technical front, the DJI is testing an important support level at the upper channel at 12,200.  If this level breaks, the selldown could become more severe as the major support is at the lower channel support at 11,000. <div style="BORDER-RIGHT: windowtext 1pt solid; PADDING-RIGHT: 4pt; BORDER-TOP: windowtext 1pt solid; PADDING-LEFT: 4pt; PADDING-BOTTOM: 1pt; BORDER-LEFT: windowtext 1pt solid; PADDING-TOP: 1pt; BORDER-BOTTOM: windowtext 1pt solid; mso-element: para-border-div; mso-border-alt: solid windowtext .5pt;"><p class="MsoNormal" style="BORDER-RIGHT: medium none; PADDING-RIGHT: 0cm; BORDER-TOP: medium none; PADDING-LEFT: 0cm; PADDING-BOTTOM: 0cm; MARGIN: 0cm 0cm 0pt; BORDER-LEFT: medium none; PADDING-TOP: 0cm; BORDER-BOTTOM: medium none; mso-border-alt: solid windowtext .5pt; mso-padding-alt: 1.0pt 4.0pt 1.0pt 4.0pt;">The STI has broken through the upper channel support at 3,150.  The next test will be the psychological support level at 3,000.  The worst case scenario will be a test on the lower channel support at the 2,800 levels.</div>