The "short-selling tide" of the large hedge fund euro against gambling losses has gradually receded.
Hedge funds are still enthusiastic about shorting the euro. As of March 9th, the short position of foreign exchange speculators in Chicago International Money Market (IMM) was 654.38+007 million euros, and the net position reached a record 745.5 1 (654.38+025.000 euros was 654.38+0).
However, many global macro hedge funds, including Brevin Howard Asset Management, the largest hedge fund company in Europe, actually suffered investment "losses" in this wave of shorting the euro.
Shorting the euro is becoming an increasingly expensive risk for hedge funds.
Explore the reasons for the loss
Whether hedge funds have made a lot of money by shorting the euro in a big way has not been announced. However, a group of global macro hedge funds with large assets will not satisfy their investors.
According to Chicago hedge funds,
According to the latest data from Research company, as of the end of February, although the exchange rates of the euro and the pound against the US dollar had fallen by 4.8% and 5.8% respectively, some global macro hedge fund companies involved in shorting the euro suffered losses, including BrevanHoward, the largest hedge fund company in Europe, which managed about $27 billion in assets.
AssetManagementLLC), MooreCapitalManagement Company of the United States, with assets of about $654.38+0.5 billion.
LLC), even Macrofunds, the flagship hedge fund of TudorInvestmentCorp in the United States, actually fell by 1%.
"Because the investment portfolios of large hedge funds involved in shorting the euro are quite complex, the gains from shorting the euro may also be offset by the losses of other investments." Yan Rui, head of the research department of China Hedge Fund Research Center, revealed that unlike small and medium-sized hedge funds that directly short the euro, large hedge funds have quite rich portfolios, and earn investment returns by using complex investment mathematical models by buying options against the euro against the dollar, bullish gold and other portfolio investment methods.
However, some of these portfolios are "contradictory". Although the fall of the euro means the rise of the dollar, it limits the rise of gold denominated in dollars. Once the price of gold falls, the profits of hedge funds shorting the euro may not make up for their losses in gold positions.
"At the same time, whether large global macro hedge fund companies can realize the expected return on investment by buying derivatives that are bearish on the euro is also limited by time and transaction price." Wang Jin, vice president of investment banking department of Kerry Capital Group Co., Ltd, revealed. If hedge funds buy a large number of option positions that put the euro against the dollar, once the exchange rate of the euro against the dollar fails to reach the "exercise price", even if hedge funds invest in the right direction of "depreciation of the euro", they will suffer losses.
A foreign exchange trader told the reporter that a large number of euro/dollar options with exercise price of 1.4480 expired on June 5438+ 10/2. On the same day, investment banks and hedge funds forcibly shorted the euro, and once suppressed the exchange rate of the euro against the US dollar to 1.4453 to lock in the investment income.
"But there are not many similar success stories." He pointed out that around February 12, many global macro hedge funds actively bought euro put options with a two-month strike price of 1.33 US dollars, but at present, the lowest exchange rate of the euro against the US dollar only reaches 1.3436, which means that they are still in the stage of floating losses.
Despite the high investment risk, global macro hedge funds are still keen to short the euro. According to Zhao Zhong, the founder of the global macro hedge fund in the United States, some radical peers used about 10%-20% of the fund assets to short the euro. According to the calculation of twice leveraged financing, the amount of funds shorting the euro accounts for 60% of the whole hedge fund. Once the euro exchange rate rebounds, its loss risk is quite high.
"But global macro hedge funds short the euro. According to their respective investment models, it may take several months to realize their expected return on investment. Now a month's loss may be as acceptable as they expected. " Zhao Zhong said that there is another popular saying in hedge fund circles: He who laughs last laughs happiest.
Is the "Euro Shorting Tide" Fading?
On March 3rd, Lord Turner, chairman of the Financial Services Authority (FSA), a British market regulator, expressed support for investigating the speculative positions of financial instruments that benefited from the falling prices of sovereign bonds and corporate bonds.
Although the investigation by government departments made hedge funds very depressed, they also had to clean up their ambiguous relationship with "hedge funds seeking to short the euro".
At the beginning of March, Blevin Howard Asset Management Company stated in an open letter to shareholders: "The short-selling of euro zone government bonds has spread, with many participants, and the price fully reflects the fundamentals", clearly indicating that all short positions against European sovereign debt have been settled; In the same period, American Moore Capital Management Company also stated in an open letter to shareholders that it has not held any short positions against Greek government bonds in the near future. It is rumored in the market that the American Paulson Fund Company, which manages $32 billion, has also settled its short position in Greece.
They have no chance to continue to "short" the euro, and they also have a last resort. Large investment banks that used to provide them with highly leveraged financing are becoming more and more stingy. In particular, the large investment banks that have not paid off the debt injected by the government have reduced the leverage financing multiple under the pressure of the strict investigation attitude of the government regulatory authorities.
Yan Rui said that during the peak period when hedge funds are shorting the euro, large investment banks can give global macro hedge funds with excellent performance 8- 10 times leverage financing for foreign exchange transactions, and large hedge funds can also get 5 times leverage financing, but now the general level of the industry has dropped to 3-4 times.
"The reduction in leveraged financing multiples means that some hedge portfolios advocated by large hedge funds are no longer applicable and can only withdraw from shorting the euro." A hedge fund manager said.
This means that they will continue to miss the "feast" of hedge funds shorting the euro. Although many hedge fund managers still believe that the euro still faces a high risk of depreciation, the latest reason comes from Spain, which is deeply troubled by the high fiscal deficit.
As of February this year, the Spanish government's fiscal deficit has reached 0.4% of 165438+GDP, and the unemployment rate is as high as 20%. But Spain's economic aggregate ranks fourth in the euro zone, five times that of Greece and twice that of Greece, Portugal and Ireland. Once the Spanish sovereign debt crisis occurs, the euro will face greater depreciation pressure.
"At present, shorting the euro is relatively active, mainly high-frequency programmed trading hedge funds, event-driven hedge funds or some small-scale global macro hedge funds. They are less likely to be investigated by government departments and their investment strategies are relatively more radical. " The above hedge fund manager pointed out.
EU finance ministers agree to strengthen supervision of hedge funds 201May 19 0 1:4 1 Economic Information Daily
The finance ministers meeting of the 27 EU countries was held on June 5438+08, and the finance ministers of all countries reached a broad consensus on strengthening the supervision of hedge funds and private equity funds.
According to the Associated Press, the new bill will strictly supervise hedge funds for the first time. Measures include that hedge funds must be registered with relevant European departments, fund managers must submit investment plans to relevant departments, and the leverage ratio used by them will also be restricted. In addition, according to the new bill, if non-EU funds want to enter the EU market, they may need to obtain an "EU passport" from relevant departments.
Britain opposes strengthening the supervision of hedge funds, believing that these measures may damage Britain's position as a major financial center in the world. In addition, US Treasury Secretary Timothy Geithner also expressed strong opposition, arguing that this bill will bring "protectionism" and prevent funds and fund managers outside the EU from entering the 27 EU countries for financing. However, countries such as France and Germany insist on strengthening the supervision of hedge funds.