Tue, Oct 24, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

1:1 liquidity correlation may not be enough

Wednesday, December 05, 2012

Benedicte Gravrand, Opalesque Geneva:

Raimond Schuster, CEO of ISP Securities, an independent global financial services firm with CHF1.5bn in AuM ($1.6bn) and offices in Zurich and in Israel, believes the current discussion on liquidity is changing the environment for hedge funds. He explained why at Terrapinn’s Hedge Funds World conference in Zurich in November 2012.

Liquidity correlation

ISP Group has invested in hedge funds since 1994, and has managed its own fund of hedge funds (FoHF) since 1997. The old school approach of managing liquidity in a FoHF portfolio involved spreadsheet listings, which estimated how much of the portfolio was in liquid assets, Schuster started. But this did not necessarily show the real picture.

According to Schuster, a traditional hedge fund portfolio consists of liquid and transparent strategies that take directional bets in listed instruments, and of illiquid strategies that employ the liquidity facilities of financial intermediaries. But late 2008 showed that the illiquid strategies were too dependent on the interbank liquidity, as when those dried up, the illiquid strategies suffered from heavy drawdown or became illiquid (or both).

"One can even ask whether a 1:1 liquidity correlation is enough," he noted.

After that, investors who needed liquidity redeemed from their funds, and found that......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Regulatory - David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge, Carried interest tax: How much does it matter?, Odey sees 'terrifying' mix in MiFID, tapering, asset values, Hedge funds come together to share cost of MiFID and research, SEC turns up the heat on U.S. investment advisers, India's Sebi asks hedge funds to report investments in commodity derivatives[more]

    David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge From CNBC.com: David Stockman is warning about the Trump administration's tax overhaul plan, Federal Reserve policy, saying they could play into a severe stock market sell-off. Stockman, the R

  2. North America - Puerto Rico rejects loan offers, accusing hedge funds of trying to profit off hurricanes[more]

    From TheIintercept.com: Puerto Rico has rejected a bondholder group's offer to issue the territory additional debt as a response to the devastation of Hurricane Maria. Officials with Puerto Rico's Fiscal Agency and Financial Advisory Authority said the offer was "not viable" and would harm the islan

  3. Investing - WPP targeted by short-selling American hedge fund, Sun co-founder sells secretive hedge fund on big chip trade[more]

    WPP targeted by short-selling American hedge fund From Cityam.com: An American hedge fund has mounted a bet against WPP, the world's largest advertising group, with a trade worth almost £90m. Lone Pine Capital has built a short position worth 0.51 per cent of the FTSE 100 company,

  4. Hedge funds up as industry adjusts to rising rates[more]

    Komfie Manalo, Opalesque Asia: Hedge funds have reshuffled their portfolio after nearly four weeks of rising rates as the Lyxor Hedge Fund Index was up +0.2% from 19 September to 26 (+1.1% YTD), fuelled by strong results of global macro funds, Lyxor Ass

  5. Manager Profile - How the world's hedge fund king used 'idea meritocracy' to become a billionaire[more]

    From Forbes.com: In 1982, Ray Dalio made what he calls the biggest mistake of his life. He made a bet that there would be an economic collapse stemming from a debt crisis. And he was wrong. He lost money. He lost his client's money. He had to let people go from his firm and borrow money from his dad