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My Life as a Quant: Reflections on Physics and Finance

My Life as a Quant: Reflections on Physics and Finance
Emanuel Derman
Hardback
304 pages
October 2004

"...tells wonderful stories of trying to bring higher mathematics to the Goldman Sachs equity-derivatives trading desk… Sadly, there's not much to buy in the stock or bond market this season, but John Wiley & Sons has published the perfect gift. "My Life as a Quant" is, indeed, a perfect memoir, as Derman, a South African-born physicist turned financial engineer, is a perfect memoirist."
Wiley is offering a 20% savings for Opalesque subscribers – price is GBP15.99/EUR20.88/ (US customers US$23.96) plus P&P. Quote promotion code CWD when prompted, or contact cs-books@wiley.co.uk for further details. Access order page here: If you get this newsletter in the text version please paste the following link into your browser to access the links to Wiley: http://www.opalesque.com/main.php?act=recread. Remember to quote CWD for the reduced price.

To the Recommended Reading archive

Archstone and Dorchester win big prizes at the 2004 InvestHedge Awards
Almost 450 of the leading players in the global fund of funds industry came together at Gotham Hall in New York this month for the third annual InvestHedge Awards for the best risk adjusted performance among the global fund of funds universe.

The winner of the InvestHedge Fund of the Year was Dorchester Capital Partners managed by Michael Halpern and Mark Zucker. This fund returned 12.2% with a Sharpe ratio of 2.78 in 2004 and was the winner in the Global Multi-Strategy ($100m- $500m) category for two years running.

The award for Firm of the Year went to Archstone Partners, founded in 1991 by Fred Schuman and Joseph Pignatelli. The firm not only won the Global Multi-Strategy (over $500m) category with performance of 11.4% and a Sharpe ratio of 2.53 in 2004, but also the US Equity category for the second year running.

In US Equity, the Archstone Opportunities Fund returned 11.24% with a Sharpe ratio of 1.99. Additionally, the firm’s newest fund, Archstone Equity Strategies, was nominated in the New Fund of Funds category.

The complete list of winners by category:
US EQUITY: Archstone Opportunities
ASIA: Vision Asia Maximus
EUROPEAN EQUITY: Eurovest
GLOBAL EQUITY: Coronation Global Equity
GLOBAL MULTI-STRATEGY (over $500M): Archstone Partners
GLOBAL MULTI-STRATEGY ($100- $500M): Dorchester Capital Partners
ARBITRAGE: RMF Event Driven Strategies
GLOBAL MACRO: Optima Futures
FIXED INCOME: Treesdale Fixed Income
EMERGING MANAGER: Silver Creek Early Advantage
FIRM OF THE YEAR: Archstone
INSTITUTIONAL FIRM OF THE YEAR: UBS Global Asset Management A&Q
INSTITUTIONAL INVESTOR OF THE YEAR: International Paper
NEW FUND OF FUNDS: Liongate Multi-Strategy
FUND OF THE YEAR: Dorchester Capital Partners

Background & Decision Criteria
The event, which was held at Gotham Hall in Manhattan, recognised outstanding performance in the funds of funds industry based primarily on the Sharpe ratio, a measure of returns above the risk-free rate divided by standard deviation.

The Sharpe ratio was used to select the winners in each of the main categories; thereafter, the fund with the best return won – providing its Sharpe was within 25% of the fund with the best Sharpe ratio in the category. Prizes went to funds that displayed the best mix of risk adjusted returns and outright performance for the year.

The reason for the two-tiered Sharpe ratio and return as the deciding criteria is that it is designed to reflect what investors are looking for – namely strong risk adjusted returns, but ultimately strong performance. This method was designed to avoid the situation where a fund with a slightly lower Sharpe ratio, but higher returns was beaten by a fund with very low returns but with a very high Sharpe ratio.

For a number of categories, the Sharpe ratio alone is not an appropriate screen. For example, Firm of the Year was decided by aggregating the returns of all the funds in the group, and making overall return and Sharpe ratio comparisons. Group growth, the range of strategies, alpha versus the InvestHedge medians were also considered.

Institutional Firm of the Year was selected by ranking the fasted growing groups in the InvestHedge Billion Dollar Club rankings, then looking at the absolute dollar amount gathered and ensuring that more than 50% of it came from the institutional market. We excluded groups that had bought or merged assets in 2004.

Reminder: The deadline for the 2005 MARHedge Annual US Performance Awards (MAPAs) hosted by MARHedge and Allenbridge is March 15, 2005. If you have not already submitted your fund for consideration, please respond here.

The awards ceremony and dinner, which will be held May 18 at the St. Regis Hotel in New York, will honor the best-performing US-based hedge funds and advisors in ten categories. All funds with at least $25 million in assets under management and a two-year track record beginning December 2002, will be eligible for the MAPAs. Funds will be evaluated primarily on the basis of performance (on an absolute and relative basis), but also on due diligence criteria, such as transparency (quality, structure, portfolio).

The subcategories for the MAPAs include: Global Macro & FX; L/S Equity; L/S Credit; Short Seller; RV FI including MBS Arbitrage; CB Arbitrage; Niche Strategy/Innovation; L/S Specialist; Multi-Strategy; and Event (Special Situations, Bankruptcies, Cap Structure). No online Source

Hennessee index up +1.36% in February
Hennessee Group LLC, an adviser to hedge fund investors, today announced that strong equity markets contributed to positive performance of hedge funds in February, as the Hennessee Hedge Fund Index advanced +1.36%. The broad market indices were mixed for the month as the S&P 500 advanced +2.10% (-0.38% YTD), the Dow Jones Industrial Average advanced +2.63% (-0.16%), and the NASDAQ Composite Index declined -0.52% (-5.69% YTD). Hedge funds have now posted positive performance for the year, as the Hennessee Hedge Fund Index is up +1.07%, while all of the broad equity market indices are negative for the year through February.

The Hennessee Long/Short Equity Index advanced +1.18% in February. Managers participated in the market’s gain during February as all major indices, except for the technology-laden NASDAQ index, finished the month positive. Managers reported gains in their long book as economic data cued the market to move higher. Long/short equity managers increased their net long exposure during the month as they gained more confidence in the economy and stock fundamentals.

“Equity hedge fund managers have reported to Hennessee that unlike 2003 and 2004, stock prices are reacting more in line with fundamentals,” says Charles Gradante, Managing Principal of the Hennessee Group LLC. “Equity managers, however, are reluctant to increase their moderate net long exposures [40% – 50%] to the equity market for fear that 2005 performance may struggle within a trading range.” No online Source

Parker FX index down –3.03% in January 2005, Top Performer: Stonebrook up 5.81%
The Parker FX Index is reporting its monthly return down –3.03% for the month of January. 60 programs in the Index reported January results, with 33% of the programs reporting positive performance. On a risk-adjusted basis, the Index is down –1.20%. The median return for the month is -1.56% while the performance range for the month is between a high of 5.81% and a low of –18.73%. For the last 3 month(s) and year-to-date, the Index returned 2.21% and –3.03%, respectively, on a reported basis.

The top three performing funds for the month of January on a reported basis are: Stonebrook, of New York City, up 5.81%; Quantitative Financial Strategies: Currency Program, of Stamford, CT up 4.54%; and Ikos, located in London, up 4.15%. On a risk-adjusted basis, the top three performers in January are: Stonebrook, up 3.79%, Ikos, up 2.20%, and Harmonic, up 1.59%.

Download full press release with performance table: {literal}Source{/literal}

Amplitude Capital publishes research on systematic managed futures strategies
In the past, systematic managed futures strategies have often been described as mystical. As more studies and research have been applied, these strategies have become a lot more transparent and easier to understand. As part of the ongoing educational process, we commissioned our first paper: 'Examining Trend characteristics'. This short, easy reading paper gives some food for thought. Please email feedback to Stanley@ampcap.com Click on Source to download paper: {literal}Source{/literal}

CSFB/Tremont investable hedge fund index exceeds $3bln in assets through index-linked products
CSFB announced products linked to the CSFB/Tremont Investable Hedge Fund Index exceeded US$3 billion in assets under management, as of March 1, 2005.

“Reaching the $3 billion milestone indicates that our high standards of objectivity, transparency and accuracy in index construction continue to make our Investable Index accepted as a liquid and diversified market barometer of the hedge fund universe”, said Oliver Schupp, President of CSFB Tremont Index LLC. “The global investment community's ongoing selection of the CSFB/Tremont Investable Hedge Fund Index confirms CSFB/Tremont as a leading provider of hedge fund indices."

Since CSFB/Tremont introduced its investment program in August of 2002, assets under management have steadily increased as CSFB has grown its distribution network. Investment vehicles tracking the CSFB/Tremont Investable Hedge Fund Indices are now available throughout Asia, Europe, the Middle East, North and South America and are distributed by CSFB. Investors can opt to track the composite CSFB/Tremont Investable Hedge Fund Index or any of the ten CSFB/Tremont Sector Invest Indices.

The CSFB/Tremont Investable Hedge Fund Index was launched with 60 funds across 10 style-based sectors and is designed to give investors broad exposure to hedge funds as an asset class through index-linked products. Performance for the index and the ten style-based sector indices is calculated monthly. No online Source

Massive decline in US 'AAA' ratings since 1980s has many roots
From RiskCenter.com: The decline in the number of 'AAA' rated U.S. non-financial companies to six currently from more than 30 in the 1980s demonstrates that, for reasons ranging from deliberate corporate policies to a changing global marketplace, overall credit quality in Corporate America has steadily deteriorated, according to a report, "The Decline And Fall Of The 'AAA' Rated Company," published yesterday by Standard & Poor's Ratings Services.

"The movement away from 'AAA' ratings among U.S. industrial companies was part of a larger trend in the 1980s, when attitudes toward credit risk shifted from super-conservatism to a more functional approach," said Nicholas Riccio, managing director of Standard & Poor's Ratings Services. "The 'shareholder revolution' of the early 1980s played a major role in reshaping these attitudes. At the time, there was a focus on adding new life to businesses that were maturing, and debt capacity was viewed as a means to address business stagnation while satisfying shareholders at the same time.

Some took this notion a bit further, piling on huge amounts of debt for LBOs and hostile takeovers. In a short period of time, the credit profile of Corporate America was transformed from a largely investment-grade universe to one that was dominated by high-yield issuers."...Full article: {literal}Source{/literal}

Copper rise to 16y-high on concern of supply limits, hedge fund managers say the party to continue
Bloomberg reports copper rose to a 16-year high in New York and touched a record in London on expectations that production of refined metal from the world's smelters will lag behind demand through June. “Everybody wants to be long of commodities,” said Stephen Briggs, an analyst at Societe Generale in London. Hedge fund managers “think that the potential returns in commodities are still very high.” {literal}Source{/literal}

BP makes $1.99bln trading oil and gas, probably more than any hedge fund
Bloomberg reports BP Plc, the world's second-largest publicly traded oil company, made $1.99 billion trading oil, gas and power last year, 55 percent more than in 2003, as the biggest gain in demand in three decades sent crude prices to a record.

“We've always felt BP to have been a big trader, but it's a stunning amount,” said Peter Gignoux, a London-based consultant and former manager of the petroleum trading desk at Citigroup Inc. “It's comparable to Wall Street bankers. I don't think any of the hedge funds made that much money in oil last year.'” Full article: {literal}Source{/literal}

US and EU industry groups team up to improve transatlantic equities dealings
The Securities Industry Association (SIA) and American Bankers Association (ABA) partner with the EU’s Futures and Options Association (FOA) and the British Bankers Association (BBA) on the project to increase the efficiency, and enhance integration, of transatlantic business in equities and equity derivatives dealings.

On 28 June 2004, the FOA, with the support of the Corporation of London, retained the international law firm Clifford Chance to analyse and compare EU and US licensing and business conduct rules relevant to the carrying on of transatlantic business in financial services business, particularly in equities and equity derivatives. At present the regulatory frameworks in the US and the EU are largely geographically based and need to change to take into account the increasingly global nature of providing financial services and products to meet customer demands.

The purpose of this project – which is scheduled for completion by June 2005 – is to identify unnecessary regulatory inefficiencies, conflict, duplication, complexity or cost and put forward a “business case” as to how they should be prioritised and addressed in order to establish a more coherent and cost-efficient framework of regulation for the carrying on of transatlantic business. {literal}Source{/literal}

Looking outside the hedge fund box: Average large-cap growth mutual fund has lost 8.69% annually over past five years
According to fund tracker Morningstar, the average large-cap growth fund has lost 8.69% annually over the past five years. Those sorry results put the category in 18th place out of Morningstar's 20 stock classifications -- with only tech and telecom funds, the highflying leaders during the late great boom, faring worse. {literal}Source{/literal}

Small Issuers Find IPO Alternative In PIPE Reverse Mergers
Companies looking to raise public capital but that don't quite meet qualification criteria are turning to creative alternatives such as a PIPE reverse merger, in which a private company sells itself to an exchange-listed shell company and raises equity privately. {literal}Source{/literal}

Did brokers divulge inside information on block trades to hedge funds and other traders?
According to TheStreet.com, federal and SEC regulators are looking into reports that brokers gave hedge funds, daytraders and small, trading-oriented brokerages unauthorized access to internal communications in order to gather potential market-moving trading information. The inquiry, which has been going on for at least six months, has focused on whether brokerage employees tipped off outsiders about block trades their firms were arranging. In addition, they're trying to find out if brokers were compensated for providing the access. {literal}Source{/literal}

Merrill Lynch fined for $13.5m for Millennium`s market timing trades
AP/Cbsnews.com write Merrill Lynch & Co. was fined $13.5 million by the states of New Jersey and Connecticut and the New York Stock Exchange, after a group of the company's brokers engaged in improper market-timing of mutual funds, regulators announced Tuesday.

The NYSE said it determined that a group of brokers in Fort Lee, N.J., made more than 3,700 short-term mutual fund transactions from January through April 2002. The brokers used multiple accounts, all of which were held for a single hedge fund client, the NYSE said, and the accounts were transferred outside the firm and back in later that year.

According to a statement from the New Jersey attorney general's office, Millennium Partners L.P. was the hedge fund involved in the incidents. The transfers and other violations continued through October 2003, with the traders involved hiding their transactions from Merrill Lynch, the exchange said. While Merrill Lynch told the brokers to stop the trades in November 2002, but the brokers did not, and Merrill Lynch failed to follow up, the NYSE said. Full article: {literal}Source{/literal}

Royal Bank of Canada investigates currency trades
Reuters reports Royal Bank of Canada has conducted an internal investigation into improper currency trades at its London office, according to a well-placed source. Neither the FSA nor the bank would comment on the situation, but the Financial Times reported on Tuesday that the bank had suspended three foreign exchange traders as part of the probe.

Last year, Australia's largest bank National Australia Bank uncovered a rogue currency scandal that claimed nearly $200 million in unauthorized trading losses. Allied Irish Bank admitted last year it overcharged foreign exchange customers by a total of 14 million euros due to an administrative error. Full article: {literal}Source{/literal}

NASD charges former Knight CEO for failure to supervise front running rogue trader
From TheStreet.com: Regulators charged the former chief executive of Knight Trading with failing to supervise a former top institutional trader who made tens of millions of dollars in fraudulent front-running trades. The NASD charged Kenneth Pasternak, who left Knight in 2002, with failing to "establish, maintain or enforce a system or procedures" that would have prevented the infractions. The former trader generated at least $54 million in ill-gotten profits, the NASD said. The NASD also charged the former trader's brother, a senior vice president at Knight, who ran the institutional trading desk until November 2000. He supervised his brother, who allegedly made the rogue trades. {literal}Source{/literal}

Canadian FOF Abria now with five years of positive returns
Abria Alternative Investments Inc., whose flagship fund the Abria Diversified Arbitrage Trust is the recent winner of the first ever Canadian Investment Award for Best Fund of Hedge Funds, has passed another major milestone in completing its fifth year since inception, each with net positive returns. This establishes the Abria Trust as the only broadly available, Canadian-managed fund of funds with an underlying portfolio having an audited five-year track record in Canada. {literal}Source{/literal}

Euronext faces the same pricing challenge
Euronext is poised between its long-term ambition of becoming the biggest stock exchange in Europe, and its shareholders, who do not want to pay too much to get there. The abrupt - and by some accounts, humiliating - departure of its Frankfurt-based rival Deutsche Boerse from the bidding process leaves Euronext with some painful decisions. (FT subscription required) {literal}Source{/literal}

Hedge funds ready to make a killing in Indian unlisted firms
From the India Times: Private equity investors, a major source of capital for India Inc in the recent past, have a new set of competitors in the country — hedge funds. Many Indian entrepreneurs have been wooing private equity funds, since apart from the cash factor, association with a well-known private equity fund improves valuations and credibility.

However, a new set of investors — hedge funds — are emerging as a source of competition. With more than a trillion dollars under their command world-wide, hedge funds have an insatiable appetite for new investment opportunities. Investment banking sources say hedge funds are increasingly trawling the Indian markets, looking to invest in unlisted or privately-held companies. Some of the large investors have a corpus of more than $100m ready to be deployed in the market. Full article: {literal}Source{/literal}

Taiwan mega institution to choose external fund managers for global equities and global fixed income
From Chunghwa Post, Taiwan's postal savings and insurance institution with NT$3.6 trillion ($113.2 billion) of assets under management, plans to choose five external fund management companies to outsource a total of $500 million in global investment mandates, says Yen Yung-an, director of capital operations.

The organization has just appointed Citibank as its first global custodian; the organization is now finalizing its manager selection. Some fund management executives say the decision has already been made but not announced. Chunghwa Post will tap five managers, two for global equities and three for global fixed income. The post office has shortlisted 15 global fund houses and ranked them. {literal}Source{/literal}

China clears foreign currency pairs trade
Market participants in China will be able to begin trading foreign currency pairs for the first time in May, a development that is part of broader foreign exchange reforms in the mainland. {literal}Source{/literal}

Launch of AustraliaHedge Composite Index and Terrapinn AustraliaHedge League Tables – Aussie managers outperform offshore peers by nearly 50% in 2004
AustraliaHedge announced the inaugural results for the AustraliaHedge Composite Index that tracks the performance of local funds compared to their overseas peers. As at December 31, 2004 the annual return of the AustraliaHedge Composite Index was 12.2 percent compared to their overseas peers as measured by the HFRI Fund Weighted Composite Index that returned only 8.9 percent for the same period.

Mr. Crawford said “to a degree this result reflects the underlying strong performance of the local equity markets in 2004, but more importantly the high quality of local managers compared to their competitors overseas.” He believes that Australian managers have not received the attention they deserve from large offshore investors and need a publication like AustraliaHedge to give them the exposure they need to enhance their overseas capital raising efforts. Full press release: {literal}Source{/literal}

News Briefs: Bear Stearns CEO James Cayne gets $24.7m pay, Online seminar announced: Fundamentals of Energy Hedge Funds, Shyam Moorjani joined Key Asset Management as head of marketing, In less than five years, ING surges to No. 1 online bank in US, European cross-border net fund sales drop 15% in 2004, Head of Swedish AP4 gets 5% pay cut for .3% underperformance
Bear Stearns CEO James Cayne gets $24.7m pay
Bear Stearns Cos. (BSC) Chairman and Chief Executive James Cayne received $24.7 million in salary and bonus in 2004, down 8.5 percent from 2003. (Dow Jones)

Online seminar announced: Fundamentals of Energy Hedge Funds
The Energy Hedge Fund Center, the leading online source for news and information on hedge fund activities in the energy industry, has announced that its staff will be conducting an online seminar on “Fundamentals of Energy Hedge Funds” on March 15th, 1pm EST. The online seminar will be conducted by EHFC Director’s and co-authors of the first two comprehensive reports on energy hedge funds, Dr. Gary M. Vasey and Mr. Peter C. Fusaro. They will share some of their latest research on energy hedge funds. (http://www.energyhedgefunds.com)

Shyam Moorjani joined Key Asset Management as head of marketing
Mr. Moorjani had been head of institutional client reporting at J.P. Morgan Fleming Asset Management before joining the $1.1bln FOF. In his new role, he plans to focus on external presentations and client administration and will report to Thomas Raber, managing director and head of global sales and marketing. (HedgeWorld.com)

In less than five years, ING surges to No. 1 online bank in US
ING Direct floods mailboxes with $25 checks for signing up. It operates a chain of trendy cafés. And its favorite color is orange. Is this any way for a savings bank to behave? For an online bank that opened in the U.S. less than five years ago, so far it is. In that time, ING has collected 2.2 million U.S. customers and $29 billion in deposits. No mystery there: the bank aims to pay the highest rates on savings accounts, 2.6% now, vs. 0.56% for the average money-market account at a bank. And lots of money goes into making sure everyone knows it. Last year, ING Direct, a division of Dutch financial-services giant ING Group, became the largest online bank -- passing E*Trade Bank. (BusinessWeek.com)

European cross-border net fund sales drop 15% in 2004
Net sales of European cross-border mutual funds fell in 2004 to 199 billion euros (137 billion pounds) from 231 billion euros (159 billion pounds) a year before, cut by weakening inflows into once-booming money market portfolios, European Fund and Asset Management Association (EFAMA) data has showed. (Reuters)

Head of Swedish AP4 gets 5% pay cut for .3% underperformance
The president of the SEK151.4bn (EUR16.7bn) Swedish buffer fund AP4 – which underperformed its benchmark by three points in 2004 – has had his pay cut by almost five percent. Thomas Halvorsen’s salary fell 4.9% to SEK1.79m in 2004 from SEK1.88m in 2003. AP4 returned 10.6% last year, compared to 10.9% for the benchmark. (IPE.com) No online Source

Over USD 1000 worth of benefits at no extra cost: get 6 free months + free directory with AAC
Alternative Asset Center (AAC) is offering Opalesque subscribers the following three cumulative benefits with an annual subscription to AAC’s Fund of Hedge Fund’s DataFeeder service:
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GAIM Asia 2005 March 14-16 2005, HKCEC, Hong Kong
GAIM - The World's Leading Alternative Investment Event Series Launches gaimAsia:
  • 11 years track record of delivering the best. The GAIM team has an unrivalled reputation for developing winning programmes and forging enduring partnerships that attract in quantity, the most influential and successful high quality speakers and delegates that everyone wants to meet (1500 attendees at June GAIM 2004)
  • Great choice of sessions with 3 concurrent streams daily
  • The freshest talent and the most senior and respected speakers and delegates - more CEOs and top performing managers than at any other event
  • 100+ speakers, including: Clifford Asness, Co-Founder & Managing Principal, AQR CAPITAL MANAGEMENT, Charles Gave, Chairman, GAVEKAL GROUP OF COMPANIES, Michael Sofaer, Managing Director, SOFAER CAPITAL, Masakazu Arikawa, President, SONY GLOBAL PENSION MANAGEMENT CORP. Jerry Wang, Chief Executive Officer, VISION INVESTMENTS , Professor Ross Garnaut, Executive Chairman, SEQUOIA CAPITAL MANAGEMENT, Matthieu Vermersch, Senior Managing Director, EVEREST CAPITAL, Moses Tsang, Chairman, AJIA PARTNERS (HK), Paul Calello, CEO Asia, CREDIT SUISSE FIRST BOSTON, Zhang Haitao, CIO, CITIC CAPITAL, Simon Ogus, CEO, DSG ASIA, Arthur J Samberg, CEO, PEQUOT CAPITAL MANAGEMENT and many more...
  • Top level networking in Hong Kong during the week of the Rugby 7s!
Programme and registration details on http://www.icbi-uk.com/r.asp?uID=221 or please call +44 20 7915 5197.

10% Rebate for subscribers: Hedge Funds World Sydney 15-16 Mar 2005
The Westin, Sydney
15 - 17 March

Hedge Funds World Australia 2005 is Australia's leading and most global hedge fund forum for the industry's most influential allocators and top performing managers.

There are already over 100 confirmed attendees at Hedge Funds World Australia 2005 and the event is set to attract more than 200 high-level both local and international managers and investors!

Showcasing more than 45 senior level speakers from over 10 countries.

  • Nassim Nicholas Taleb, Founder and Chairman, Empirica Capital Management, USA
  • Bob Boldt, Chief Executive Officer, The University of Texas Investment Management Company, USA
  • Amy B Hirsch, Chief Executive Officer, Paradigm Consulting Services, USA
  • Peter Fletcher, Managing Director, Parly Company (Family Office), Switzerland
  • Paul Dyer, Chief Investment Officer, New Zealand Super Fund, New Zealand
  • Virginia Parker, President, Parker Global Strategies, USA
  • Judy Posnikoff, Managing Director, Pacific Alternative Asset Management Company, USA
  • Peter Bennett, Chief Investment Officer, Gottex Fund Management, United Kingdom
  • Charles Kiefel, Chairman, Military Super, Australia
  • Tim Hughes, Chief Investment Officer, Catholic Superannuation Fund, Australia
  • John Morrison, Managing Director, Man Investments, Australia
  • Paul Chadwick, Executive Director, GMO Australia
  • Peter O Neil Donnellon, Chief Investment Officer, Investor Select Advisors, Australia
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  • Shane Oliver, Head of Investment Strategy and Chief Economist, AMP Capital Investors, Australia
View the complete conference programme now! www.hedgefundsworld.com/2005/hfw%5FAU/confprog.stm

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10% Rebate for subscribers: Hedge Funds World - Global Opportunities 4-6 Apr NYC
2nd Annual Hedge Funds World - Global Opportunities 2005
4-6 April 2005 - The Four Seasons Hotel, New York
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Europe:
Ullrich Angersbach, Chief Executive Oficer, Sigla Zürichfinanz AG, Switzerland
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Sy Schlueter, Managing Partner, CAI Analyse - und Beratungsgesellschaft mbH, Germany
Jean-Pierre Aguilar, Chief Executive Officer, Capital Fund Management, France
Mattias Westman, Chief Investment Officer, Prosperity Capital Management, Russia
Marco Menaguale, Directtore Generale, Gottardo Asset Management, Italy

Scandinavia:
Kaj Ronnlund, Chairman, er Capital Management, Finland
Peter C. Warren, Chief Investment Oficer, WarrenWicklund Asset Management, Norway
Peter Elam Håkansson, Chairman, East Capital Asset Management, Sweden
Leif Hasager, Executive Vice President, Bankpension, Denmark

Middle East and Africa:
Arif Naqvi, Chief Executive and Vice Chairman, Abraaj Capital, Dubai
David Gibson-Moore, Managing Director, Robeco Alternative Investments, Bahrain
Albert Hammond, Chief Executive Officer, Antares Fund Management, South Africa

The Americas:
Ricardo de Campos, Chief Investment Oficer, Hedging Griffo Asset Management, Brazil
Pablo Taussig, MBA, Managing Director, Patagonia Argentine Recovery Fund, Argentina
Jim McGovern, Chief Executive Oficer, Arrow Hedge Partners, Canada

View the complete conference programme now! www.hedgefundsworld.com/2005/hfw_us

To register and claim your rebate, email rani.kuppusamy@terrapinn.com or call +65 63222 721

NYC Hedge Fund Capital Introductions and Reception 5 April 2005
Alternative Industry Discussion, Professional Networking and Capital Introductions
Metropolitan Club, New York (1 East 60th Street at 5th Avenue)
Tuesday, April 5th 6PM to 10PM - in coordination with Hedge Funds Hedge Funds World conference
Post-Party: Frederick’s (8 West 58th St)

This special evening will include over 400 hedge fund industry guests who will enjoy topical speeches by well known alternative industry professionals followed by a cocktail reception. The event has been planned in coordination with Hedge Funds World at The Pierre, A Four Seasons Hotel, New York from April 4th to the 6th.

Panel Topic “Hedge Fund Allocation Priorities – Strategy vs. Returns”:

  • George H. Walker – Head of Alternative Investments, Goldman Sachs & Co.
  • Dana Hall, CFA – Lighthouse Partners, LLC
  • Roger Fenningdorf, CFA – Partner, Rocaton Investment Advisors, LLC
  • Louis Gerken – Chairman, Gerken Capital Associates
Register for Evening Reception at www.globalcapitalacquisition.com
Contact Lisa Harvey for Capital Introduction details on +1 646 270 7819 or Lisa.harvey@globalcapitalacquisition.com

25% off: Alternative Investing Summit East April 6-8 Amelia Island, FL
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April 6-8, 2005

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10% Rebate for subscribers: Hedge Funds World Risk Management 12-13 Apr NYC
Hedge Funds World Risk Management 2005
12 - 13 April 2005 The Pierre Four Seasons, New York, USA

Hedge Funds World Risk Management 2005 is the definitive event for those involved in risk management within the hedge fund arena, showcasing an unrivalled panel of speakers from the world's top fund managers, investors and service providers.

Participants will have the chance to learn about the very latest risk management strategies and techniques employed by leading institutions, whilst networking and doing business with key industry decision makers. Key conference themes include:

  • The hedge fund risk universe
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  • Balancing risk versus return
  • Outsourcing the risk management function
  • Risk modelling techniques
  • Investor confidence
DON’T MISS OUT! To receive your 10% rebate as an Opalesque subscriber contact Rebecca Sloan on: +44 (0) 20 7827 4176 or rebecca.sloan@terrapinn.com
www.hedgefundsworld.com/2005/risk

10% Rebate for subscribers: Alternative Investment Summit 2005 18-19 Apr London
Alternative Investment Summit 2005
The Leading Event for European Investors in Hedge Funds & Private Equity
18-19 April 2005, London - Dorchester Hotel

The Alternative Investment Summit is designed to demystify the Private Equity and Hedge Fund industries and to tackle the key issues that investors face when considering investment in these areas. The conference agenda is aimed primarily at institutional investors and attracted around 400 delegates in 2004, making it the leading event for European Investors in Hedge Funds & Private Equity.

On Day One we have added an optional breakout stream, “The Alternative Investment Roundtable” and on Day Two we have responded to demand by adding a second day of Hedge Fund content, including an “Alternative Investment Showcase”, where delegates will come face-to-face with some of the world’s top Hedge Fund managers.

Speakers this year include the highly respected economist Gavyn Davies (Prisma / ex Goldman Sachs/BBC), top investment consultant Roger Urwin (Watson Wyatt), star hedge fund managers Sushil Wadhwani (ex-Tudor, ex BoE MPC) and Michael Sofaer (Sofaer Capital), and renowned private equity specialist Jon Moulton (Alchemy Partners).

Around 400 Delegates in 2004: The Alternative Investment Summit is designed to provide a rare combination of education and networking. Last year’s total of 400 delegates included a record number of pension funds, emphasising the radical change in investor attitudes that is taking place. We expect another record attendance in 2005, so early booking is advised. A selections of topics:

  • GLOBAL INVESTMENT OUTLOOK - GAVYN DAVIES
  • ATTAINING EXCELLENCE IN HEDGE FUND MANAGER SELECTION & MONITORING
  • GLOBAL MACRO - Dr SUSHIL WADHWANI
  • GLOBAL CREDIT MARKETS OUTLOOK - JEAN-LOUIS LELOGEAI
  • FUNDS OF HEDGE FUNDS: WHERE FROM HERE? - ALASTAIR ALTHAM
  • BOOSTING ALPHA THROUGH STYLE SELECTION - MICHAEL HOWELL
  • INVESTING IN EARLY STAGE HEDGE FUNDS - MARCEL HERBST
  • HEDGE FUNDS: MORE THAN ABSOLUTE RETURN - JOHN WILKINSON
  • HEDGE FUND RISK: UNDERSTANDING "FAT TAILS" - Dr TERENCE MOLL
Full programme: www.irc-conferences.com/31

REGISTER NOW and receive a 10% discount off the two day price by calling Ellie Nalon-Santana on +44 (0) 870 777 4144 or e-mail: Ellie@irc-conferences.com. Please state -Opalesque- in your correspondence.

10% Rebate for subscribers: Hedge Funds World Scandinavia 26 - 28 Apr Stockholm
Hedge Funds World Scandinavia 2005
26 - 28 April 2005 Grand Hotel, Stockholm, Sweden

  • Determine NEW opportunities in the Nordic Markets – hear from all the regulators (FSAs) and tax experts who are opening up these hedge fund markets
  • Network and gain critical market intelligence from over 40 key Nordic hedge fund experts
  • Hear from and meet with leading end-user institutional investors and pension funds
The Nordic market as it stands is buoyant and growing. The high demand for alternatives is reflective of a large pool of institutional money that is now flowing via a series of allocations into hedge funds. For the last three years, business opportunities have grown steadily and Nordic investors have taken a more confident approach to hedge funds.

Their specific adherence to risk management principles and due diligence shows that under the right conditions, hedge funds will soon be a recurring feature of many Nordic institutional portfolios.

Hedge Funds World Scandinavia 2005 will feature an unprecedented speaker line-up of regulators (FSAs), tax experts, Nordic investors, pension funds, hedge fund providers, managers and single fund managers. Top-level speakers include:

  • Henrik Adamsson, Economist, Senior Administrative Officer, Ministry of Finance (Stockholm)
  • Richard Gröttheim, Executive Vice President, Sjunde AP-Fonden, The 7th Swedish Pension Fund (Stockholm)
  • Eystein Kleven, Leader of Unit, Norwegian Financial Supervisory Authority (Kredittilsynet) (Oslo)
  • Petri Määttä, Market Supervisor, Finnish Financial Supervisory Authority (Rahoitustarkastus) (Helsinki)
  • Professor Lionel Martellini, PhD, Professor of Finance, Edhec Business School and Scientific Director, Edhec Risk and Asset Management Research Centre (Nice)
  • Joakim Schaaf, Head of Investment Funds & Securities Companies, Legal Department, Swedish Financial Supervisory Authority (Finansinspektionen) (Stockholm)
  • Jarkko Syyrilä, Senior Officer, Committee of European Securities Regulators (CESR) (Paris)
  • Jens Anthon Vestergaard, Financial Inspector, Danish Financial Supervisory Authority (Finanstilsynet) (Copenhagen)

DON’T MISS OUT! To receive your 10% rebate as an Opalesque subscriber contact Rebecca Sloan on: +44 (0) 20 7827 4176 or rebecca.sloan@terrapinn.com
Full programme: www.hedgefundsworld.com/2005/hfw_SE

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ISSN Number: 1450-1953
Alternative Market Briefing has been called the best news service on hedge funds. Our mission is to intelligently select and timely provide the most important daily news for professionals dealing with hedge funds. Alternative Market Briefing offers both a quick overview and indepth coverage of all subjects through the "Source" link that leads you to the publicly available online news sources. The concept that we follow is that of a "clipping service" - the added value for you is that we screen, intelligently select and efficiently present each day the most important hedge fund news. The majority of the news sources used do not require a subscription, however some may ask you to register. Once registered, you can access these news sources freely. Please mail us your feedback and suggestions to feedback@opalesque.com - we love to hear from you!

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Disclaimer: The information contained in this newsletter does not constitute an offer or solicitation to sell any security or fund to or by anyone in any jurisdictions, nor should it be regarded as a contractual document. Under no circumstances should the information provided on this newsletter be considered as investment advice, or as a sufficient basis on which to make investment decisions. The information contained herein has been gathered by Opalesque Ltd. from sources deemed reliable as of the date of publication, but no warranty of accuracy or completeness is given. Opalesque Ltd. is not responsible for and provides no guarantee with respect to any of the information provided herein or through the use of any hypertext link. Past results are no indication of future performance. All information in this newsletter is for educational and informational purposes and does not constitute investment, legal, tax or accounting advice.