Netikėčiausia statistika, kurią perskaičiau iki pietų

Deloitte išleido tyrimo apie hedge fondų rizikos valdymą išvadas, kuriose teigiama, jog apie pusė fondų valdytojų net neskaičiuoja koks jų fonde yra skolintų ir nuosavų pinigų santykis (atsižvelgiant į visus išvestinius sandorius):

Half of all hedge funds don’t measure the amount of leverage they have embedded in assets such as forwards and derivatives, the report said. Further, 54 per cent of all hedge funds either don’t track liquidity or, of those that do, neglect to do stress-testing and correlation-testing.

And while approximately 80 per cent of the funds polled had written a risk management policy, only about 60 per cent of those actually shared that policy with their investors.

Pasirodo, ne tokie jau geri rizikos valdytojai tie hedge fondai, juk rizika nedingsta, jeigu tiesiog užsimerki ir jos neskaičiuoji.

Via FT Alphaville

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3 Comments

  1. Viskas, ok, bus pasaulinis finansu krachas, kam skaiciuot ta rizika:)

    Source: FT

    The value of derivatives in the the financial system now totals an astonishing 802 per cent of the world’s GDP

    Vieno Investment Bankerio komentaras:

    "I don't think there has ever been a time in history when such a large proportion of the riskiest credit assets have been owned by such financially weak institutions. . . with very limited capacity to withstand adverse credit events and market downturns."

    CDO's

    Typical hedge fund is two times levered. That looks modest until you realise it is partly backed by fund of funds' money (which is three times levered) and investing in deeply subordinated tranches of collateralised debt obligations, which are nine times levered. "Thus every €1m of CDO bonds [acquired] is effectively supported by less than €20,000 of end investors' capital – a 2% price decline in the CDO paper wipes out the capital supporting it.

    "The degree of leverage at work . . . is quite frankly frightening," he concludes. "Very few hedge funds I talk to have got a prayer in the next downturn. Even more worryingly, most of them don't even expect one."

    Ateinantis desimtmetis nusimato idomus:)

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