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2010 对冲基金观察:Money Flow,GS & Meredith Whitney
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性别:性别:男
年龄:99
十二宫图:天平宫
加入时间: 2009/11/10
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文章时间: 2010-2-26 周五, 上午9:39    标题: 2010 对冲基金观察:Money Flow,GS & Meredith Whitney 引用回复


BAM Investor
, the first hedge fund financial model based on behavioral analysis,
is the only institutional grade financial model to start sharing stock, currency
and commodity market predictions publicly on Twitter and on national radio since
2009. While BAM Investor's model portfolio and most of its individual stock calls are
normally reserved for institutional and hedge fund clients, the company decided
last year to start sharing certain key predictions publicly on Twitter to help protect
individual investors, who typically don't have access to the same complex financial
models used by hedge funds.

http://www.twitter.com/baminvestor


设立对冲基金,前期工作该怎么做?
http://www.trader1688.com/bb/viewtopic.php?f=69&t=41397&hilit=

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SAC's Cohen Trades Secrecy for Golf With Investors Enticed by 30% Returns

Cohen Trades Secrecy for Golf With Investors Lured by 30% Gains


Feb. 26 (Bloomberg) -- In late January, billionaire Steven A. Cohen hosted a golf outing for two dozen people at the Bear Lakes Country Club in West Palm Beach, Florida.

Most of his guests were investors in his hedge fund firm, SAC Capital Advisors LP, plus a few prospects. The party played the Lakes Course -- so named because 12 holes out of 18 have a water hazard -- as 30-mile-per-hour gusts blew off the Atlantic Ocean, says Jeffrey Vale, director of research at Infinity Capital Partners LLC, who was one of Cohen’s guests.


Cohen, who’s proud of his 10-stroke handicap, hit shot after shot straight down the fairways, Vale says.

The outing was unusual for Cohen, Bloomberg Markets reports in its April issue. Cohen, 53, spends most days trading stocks on his 180-person trading floor in Stamford, Connecticut. He and 100 portfolio managers buy and sell 100 million shares a day, about 1 percent of all shares traded on U.S. exchanges.

Two years ago, Cohen didn’t need to take his investors golfing. He let his record -- a 30 percent average annual return for 18 years -- speak for itself.

“There was a perception that Steve was the wizard behind the curtain,” says Vale, an SAC client since 2001. “Performance was so good, most investors probably didn’t care.”

Cohen has become more sociable because he sees an opportunity to grow as the hedge fund industry shrinks, investors say. SAC, an acronym of its founder’s name, now manages $12 billion, down from $16 billion at its mid-2008 peak.

First Loss Ever

The firm’s flagship SAC Capital International Ltd. fund suffered a 19 percent loss in 2008 -- its first ever -- amid a stampede out of hedge funds by panicked investors. The financial crisis and subsequent recession killed off 2,300 funds in 2008 and 2009, according to Chicago-based Hedge Fund Research Inc.

Cohen, one of the survivors, is raising money so he can hire and mentor new investment professionals to keep the firm going after he retires.

The new openness may put current investors at ease. Two former employees of SAC have been linked to the Galleon Group LLC scandal, the largest insider-trading probe ever to shake the $1.6 trillion hedge fund industry. Neither is accused of engaging in insider trading while working for SAC.

Cohen is lifting the veil because he must, says Peter Rup, chief investment officer at Artemis Wealth Advisors LLC, a New York-based company that manages $352 million for wealthy families. He says investors stopped tolerating SAC-type secrecy after New York investment manager Bernard Madoff was exposed as a fraud.

More Investor-Friendly

“After Bernie Madoff, nobody will invest in an operation that is very clandestine,” Rup says. “Even the most crass and abrasive managers are more investor-friendly now.”

Rup considered investing in SAC in 2005, he says, then balked when neither Cohen nor any of his analysts would meet with him.

Cohen, who lives on a 14-acre (6-hectare) estate in Greenwich, Connecticut, which he bought for $14.8 million in 1998, allowed a reporter to visit his offices in Stamford. He declined to comment for this article.

Though Cohen attends more golf and other outings than he once did, most days the balding, blue-eyed, stocky investment manager does what he knows best: He trades. He has a perch in the middle of the Stamford floor, and his bets account for about 10 percent of profits -- down from more than 50 percent 10 years ago.

He doesn’t like noise, so the phones on the floor don’t ring; they light up. He prefers jeans and sweaters to suits and looks more like a tax accountant on casual Friday than a trading titan running a $12 billion hedge fund firm.

Picasso to Warhol

Near the trading floor hang pieces from Cohen’s extensive art collection, which includes works by Vincent Van Gogh, Pablo Picasso and Andy Warhol.

Cohen maintains the temperature on the trading floor at 69 degrees Fahrenheit (21 degrees Celsius) to make sure no one dozes. If a portfolio manager or analyst can’t answer a question about a stock, Cohen is likely to lash out. “Do you even know how to do this f---ing job?” is a standard barb, current and former employees say.

Portfolio managers make money, or they’re fired. They usually last about four years.

Cohen snapped back from his 2008 loss in 2009. The $6 billion SAC Capital International fund, open to investors outside the U.S. and to tax-exempt institutions within the country, was up 29 percent, after fees, according to investors. The gain was about the same at Cohen’s main onshore fund, the $3 billion SAC Capital Management LP.

Bad Credit Bets

It was a return to form after the 2008 loss, which was mostly due to credit investments that went bad. While a 19 percent downturn was about average for hedge funds, according to HFR, Cohen has since turned his focus back to what he has done for most of his career: buying stocks and selling them short.

Cohen doesn’t so much own stocks as rent them: He typically holds positions for 2 to 30 days, although some might remain on the books for six months or more, according to a document sent to potential investors in early 2009.

The 2008 loss could have been much worse. Months before Lehman Brothers Holdings Inc. went bankrupt in September 2008, Cohen saw trouble coming in the credit markets and sold off as much as $7.5 billion of bonds, primarily debt issued by banks and finance companies, along with related securities, according to four people familiar with the situation.

Amid the wreckage of the market crash, SAC and other survivors are trying to vacuum up money from pension funds and other institutions that must chase higher returns to meet obligations. Many of those investors are choosing big hedge funds with long track records such as SAC.

Pitching Goldman Clients

During his January visit to Florida, Cohen pitched prospective investors at Morgan Stanley’s annual conference on hedge funds, people who attended say. He spoke at a similar conference in May that Goldman Sachs Group Inc. organized for its clients, and recently made a marketing trip to Europe, according to people familiar with his fundraising efforts.

The campaign has worked. During the last six months of 2009, investors poured $1.3 billion into SAC, about 10 percent of the $15 billion raised by all hedge funds during the period. Investors are handing Cohen their money even though he collects some of the highest fees in the industry -- a 3 percent management fee and as much as 50 percent of profits.

Most managers charge 2 percent and 20 percent.

Links to Galleon

The new investments are flooding in despite the fact that SAC’s name cropped up in the Galleon probe. That investigation goes back to at least 2007, when the Justice Department used wiretaps in an insider-trading case for the first time and recorded phone conversations that led in October to the arrest of Galleon founder Raj Rajaratnam and five others.

Another 15 people have been charged since, and nine have pleaded guilty. Rajaratnam managed $7 billion at Galleon’s peak.

Two people linked to the Galleon case have ties to SAC. Richard C.B. Lee pleaded guilty on Oct. 13 to charges that he traded on insider information at Spherix Capital LLC, a San Jose, California-based firm he co-founded in 2008.

Lee worked at SAC from 1999 to 2004. He’s cooperating with authorities. No one has alleged that Lee engaged in insider trading while at SAC.

Portfolio manager Richard Grodin left SAC to start New York-based Stratix Asset Management LLC in 2004, taking Lee with him. Last year, his new firm, New York-based Quadrum Capital Management LLC, received a subpoena regarding its trading, according to a person familiar with the investigation. He hasn’t been charged. Grodin didn’t return calls seeking comment.

Tapping ‘Tippee 1’

A third former employee, analyst Jonathan Hollander, was allegedly involved in another insider-trading ring while he was employed by Cohen at SAC, according to two people familiar with the matter.

In January 2009, the SEC filed a civil complaint against Ramesh Chakrapani, then a Blackstone Group LP managing director. The SEC alleged that in January 2006 Chakrapani told a person identified as “Tippee 1” that supermarket chain Albertsons was about to be purchased. About a week later, a consortium that included the private-equity firm Cerberus Capital Management LP announced the buyout.

Tippee 1 used the information to reap $18,000 in a personal account and to generate $3.5 million for his employer, who wasn’t identified. Hollander is Tippee 1, the two people say.

Neither Hollander, who left SAC in late 2008, nor SAC is accused of wrongdoing in the Chakrapani suit.

SEC Probes

After the suit was filed, SAC examined Hollander’s trades, SAC spokesman Jonathan Gasthalter says, and the firm continues to cooperate with the U.S. inquiry. Hollander didn’t return a call seeking comment. His lawyer, Aitan Goelman, also declined to comment.

The Securities and Exchange Commission and the Justice Department are looking into the trading patterns of even larger players than Rajaratnam, according to a person familiar with the case. The SEC and the Justice Department declined to comment.

At least one agent at the Federal Bureau of Investigation, B.J. Kang, has been inquiring about SAC’s trading for several years, according to a person who’s been interviewed by him. Kang was the lead agent in the Galleon investigation and is pictured in photos taking Rajaratnam into custody on Oct. 16.

No one at SAC has been accused of wrongdoing, and the firm has received no subpoenas. Kang didn’t return a call seeking comment. FBI spokesman James Margolin declined to comment.

Hedge Home Runs

People who have worked for Cohen say they never saw any evidence of insider trading. Cohen doesn’t need pilfered information to succeed, says a person who worked at SAC. Another former portfolio manager for SAC says working there is like working for the New York Yankees -- a team that always wins and that everyone who’s not a fan hates.

Other hedge fund managers say that one reason federal investigators might be asking questions about SAC is that, like Galleon, Cohen’s firm made its name with rapid trades in and out of stocks.

Cohen has also made a practice of investing in the funds of some of his former employees, including Grodin’s Stratix, according to investors. Cohen told clients at the beginning of the year that he will no longer make such investments because of the risk to his reputation if something goes wrong.

SAC takes strong measures to prevent traders from dealing in insider information, investors say. Cohen’s staff of 800 includes 20 legal and compliance workers who, among other things, monitor instant messages and e-mails, including those sent and received by Cohen.

Harvey Pitt, former chairman of the SEC, and Stephen Cutler, former head of the regulator’s enforcement unit, have held workshops with SAC employees about complying with SEC rules.

Divorce Battle

Cohen’s most aggressive accuser may be his former wife, Patricia. She sued him in U.S. District Court in New York in December, alleging that Cohen lied about his net worth during their divorce, thereby reducing payments to her. They were married for a decade and had two children before separating in 1988.

Patricia alleged in court papers that in 1986 Cohen, then a trader at investment firm Gruntal & Co., told her that he had received inside information about the soon-to-be-announced takeover of RCA Corp. by General Electric Co. Patricia says she asked her husband if trading on such information was legal, and he answered that the source was a former classmate of his and that the information had come via a “mutual friend,” not directly from the source, so it didn’t count as insider trading.

Taking the Fifth

Patricia’s lawsuit says that Cohen was questioned by the SEC and that at times he invoked his Fifth Amendment right against self-incrimination. No charges were brought.

“These are ludicrous allegations made by a former spouse that are entirely without merit,” Gasthalter said in a statement e-mailed to Bloomberg News on Dec. 16.

In mid-January, Patricia dropped her suit, switched attorneys and said she planned to file a new complaint. She had not done so as of Feb. 25.

A week after his ex-wife’s court action last year, Cohen was featured in the tabloid New York Post, which put up a video on its Web site showing Cohen and his second wife, Alexandra, then newlyweds, appearing on a talk show in 1992 devoted to men who can’t separate from their ex-wives even after starting new relationships.

Cohen, looking trim with a full head of dark hair and orb- like horn-rimmed glasses, spars with a man in a muscle shirt in the audience after admitting he slept with his ex-wife while courting Alexandra.

Television Appearance

“I don’t think it’s unusual when you’re separated that you go back a few times to just find out that it doesn’t work,” Cohen says on the show. “It clarified things.”

Cohen is a rich target for an angry former wife. About half of the $12 billion managed by SAC belongs to Cohen or his employees, according to a document provided to investors in 2009. His mansion in the woods north of downtown Greenwich has a basketball court, an ice skating rink and a two-hole golf course. Inside hangs his eclectic art collection, which includes works by Marc Quinn, who casts sculptures of his head in his own frozen blood.

In April 2009, Cohen exhibited some of his collection at Sotheby’s in New York, including paintings by Paul Cezanne, Lucian Freud and Edvard Munch. All 20 images were of women. Art dealers estimated that the works on display, just a small part of Cohen’s collection, were worth $450 million.

Cohen gives tens of millions to charity. Alex, as his second wife is known, is president of the Steven A. and Alexandra M. Cohen Foundation.

Robin Hood Contributor

Among its biggest beneficiaries is the Robin Hood Foundation, started by hedge fund billionaire Paul Tudor Jones in 1987 to fight poverty in New York. Cohen sits on the board.

In 2008, the Cohens gave $8.6 million to Robin Hood, according to their charity’s most recent public filing with the Internal Revenue Service.

The same year, the Cohens gave $50 million for emergency pediatric care at Morgan Stanley Children’s Hospital at New York-Presbyterian hospital in Washington Heights, the northern Manhattan neighborhood where Alex, who is of Puerto Rican heritage, grew up. In 2009, the foundation gave $30 million to Brown University for undergraduate financial aid. Cohen’s son Robert graduated from there in 2008.

Cohen has been interested in the stock market since he was 13 years old. He started following stocks listed in the New York Post that his father, a dress manufacturer, brought home to suburban Great Neck, New York, each night.

Wharton Grad

Cohen left Long Island for the Wharton School of the University of Pennsylvania, where he would often skip class to watch stocks at a local brokerage. He taught himself to be a master “tape reader,” according to people who know him, able to predict the direction of a stock by watching each tick of the price and the volume of shares traded.

After graduating in 1977 with a degree in economics, Cohen joined Gruntal, a New York brokerage firm. Cohen came on board as a proprietary trader, buying and selling stocks with Gruntal’s money. He thrived and in 1985 became the firm’s head proprietary trader, a job he held until 1992, when he quit to start SAC.

In 1991, a transaction at Gruntal became the sole black mark on his record. He bought 100 shares of a very thinly traded stock at the end of the month, enough to drive the share price up sharply, increasing the value of the firm’s holdings by more than $100,000.

In January 1995, a New York Stock Exchange panel sanctioned Cohen, saying he “engaged in conduct inconsistent with just and equitable principles of trade.”

NYSE Sanction

The NYSE barred him for four weeks from working for a company that was a member of the exchange. By that time, Cohen, who neither admitted nor denied wrongdoing, had left the broker- dealer to found SAC.

At Gruntal, glass walls separated Cohen’s team from the retail brokers, says Dan Cherniack, who was a clerk on the retail options desk.

“He was a pretty good yeller and screamer back in the day,” says Cherniack, who admired Cohen’s trading prowess.

One day, Cherniack and Cohen struck up a conversation in the elevator. Cohen said his trading clerk had just left and asked whether Cherniack wanted the job. Cherniack took it on the spot.

The move made his career. He was one of nine people who started the firm that became SAC. Everyone stumped up cash. They took some from investors, too, and raised a total of $25 million. About half came from Cohen, Cherniack says.

Money at Risk

They rented an office at 14 Wall Street, across from the NYSE. Everyone sat at one long desk shaped like a capital I, with Cohen in the middle.

The new company traded mostly large-capitalization stocks such as 3M Co., Merck & Co. and GE, as Cohen had done at Gruntal, Cherniack says. The difference was that the money they were risking was theirs, and that made the group overly cautious, he says. Cohen became impatient.

“He ripped into everybody,” Cherniack says. “He said, ‘What, are you scared because it’s your own money now?’”

The group got the message. In August 1992, its first month, SAC returned 3.41 percent, according to SAC marketing documents. For the year, it earned 17.5 percent, after fees. As a sign of things to come, the group made money every month that year and for all of 1993, when SAC returned 51 percent.

The firm didn’t have a losing month until December 1994, when it dropped 0.02 percent, according to SAC documents.

‘A Brotherhood’

“It was a brotherhood,” Cherniack says.

Cohen married Alexandra Garcia the same year he started SAC. She worked as an administrative assistant at brokerage Hoare Govett Ltd. before marrying Cohen.

Cohen’s best years were yet to come. In 1999, at the height of the Internet bubble, the firm’s biggest fund returned 69.7 percent, after fees, betting that technology shares would soar.

Then SAC turned around and bet that the Internet and tech bubble would pop, which it did. The fund earned 71.8 percent in 2000.

Cohen’s natural ability as a tape reader has been a big part of his success, former employees say. In addition to trading his own stocks and overseeing 300 managers, analysts and traders globally, Cohen buys and sells “minis,” says one former employee.

“Mini” is short for a security called the S&P 500 E-mini future, an electronically traded derivative that rises and falls with the Standard & Poor’s 500 Index and is sold in smaller units than other index futures.

‘Mini’ Trading

“He does that all day, every day, completely intuitively,” the former employee says.

Unlike many hedge funds, which tend to have a handful of executives making investment decisions, SAC runs what amounts to 100 small funds. SAC borrows as much as $4 for every $1 of its own from prime brokers, including Goldman Sachs, Morgan Stanley and JPMorgan Chase & Co., then distributes the hoard to various teams.

Managers’ contracts have “down-and-out” clauses: lose 5 percent from your peak assets, and SAC can take away half of what remains. Suffer a 10 percent loss, and you could be out.

In 2008, 12 portfolio managers and their teams were fired or resigned, according to a person familiar with the matter.

Each team manages from $300 million to $500 million, on average, according to an SAC marketing document. The teams are paid based on their own performance, and SAC’s higher-than- normal fees ensure that each portfolio manager’s take is almost as high as if he or she were running an independent shop.

Long Vetting Process

After an interview process that can take 14 months, including multiple rounds with executives, including Cohen, and a background check that employees joke will turn up the name of a candidate’s second-grade teacher, a manager will sign a two- or three-year contract, which will be renewed if he meets his return targets.

There can be heated competition among portfolio managers, who are often vying with colleagues covering the same industries. SAC has 13 teams trading health-care stocks, for example, and 11 doing technology, according to an October 2009 marketing document.

In his own trading, Cohen solicits ideas from everyone at the firm, people familiar with the arrangement say. Send “Stevie” an idea that makes money and you get paid something extra, they say.

When pitching a contrarian bet on a stock to Cohen, his minions must explain what other big investors think of it, and why that’s not correct.

Stock Catalyst

Whether the stock is cheap or expensive is irrelevant. There must be a catalyst that will make it move, a former employee says.

The boss has a sense of humor that’s dry, along the lines of Jerry Seinfeld, former employees say. In September 2008, before Lehman’s bankruptcy, Cohen sent a companywide e-mail: “It’s all up to the government now. I have no idea what will happen. Good luck to you all. This is a recording.”

Working at SAC is tough, even as hedge funds go. One of the worst aspects, at least for people who like weekends, is Sunday “homework.” Every week from 5 p.m. to 9 p.m., Cohen has his portfolio managers and analysts call in to tell him what’s coming up that week for the companies they follow.

One former analyst says she worked every weekend one summer before, fed up, she quit.

Borrowing $7 Billion

Cohen succeeds because he cuts his losses quickly when things go south, former employees say. A case in point was his move out of corporate bonds. In 2006 and 2007, a team of traders at SAC’s New York-based subsidiary, Sigma Capital Management LLC, spent $400 million of the firm’s cash, plus as much as $7 billion in borrowed money, on the debt, according to people familiar with the transactions.

In the fourth quarter of 2007, Cohen and one of his senior bond managers, Peter Abramenko, concluded that with subprime mortgages starting to tumble, banks were about to lose billions of dollars on home loans made during years of easy credit and rising prices. They decided to sell everything and, by mid-2008, had gotten out of most of their positions.

Abramenko declined to comment.

That June, SAC closed down the bond arm of Sigma. Three months later, Lehman failed, and the debt of financial institutions fell in price by more than 40 percent during the next six months. Had SAC held on, it would have faced punishing margin calls and might have had some of its assets stuck at Lehman, one of its prime brokers, after it declared bankruptcy.

On Oct. 8, 2008, after the S&P 500 had fallen for six consecutive days, Cohen told most of the SAC managers trading stocks to liquidate.

Going to Cash

By the end of the year, SAC held $7.9 billion in cash, according to a document sent to potential investors in early 2009.

Even so, his biggest fund had dropped by almost a fifth, mostly from losses in its holdings in convertible bonds and other securities tied to the credit markets.

Cohen is a restless manager of both stocks and his company. In 2005, he branched out from stocks into bonds, currencies and private equity. By the end of 2008, he had fired almost everyone who didn’t trade stocks, saying the lesson of the market crash was that he couldn’t trade every asset class successfully.

Investors don’t mind if Cohen is fickle, so long as he continues to bring in 30 percent annual returns.

“It’s Cohen’s ability to adapt to a changing environment that’s his biggest strength,” Infinity Capital’s Vale says. “My biggest fear is that he retires.”

To contact the reporters on this story: Katherine Burton in New York at kburton@bloomberg.net; Anthony Effinger in Portland, Oregon, at aeffinger@bloomberg.net.

Last Updated: February 26, 2010 00:01 EST

_________________
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上一次由纯属误会于2010-9-01 周三, 上午6:47修改,总共修改了6次
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性别:性别:男
年龄:99
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加入时间: 2009/11/10
文章: 460
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股金: 506
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文章时间: 2010-3-07 周日, 上午9:53    标题: 引用回复

别不服,能干这活的很少很少。 Mr. Green Mr. Green


顶尖交易员的一天:我们从中能体会到什么?

今天的高盛勇士,模范现金交易员,在早上5:14准时被WINS和CNBC-TV的新闻广播叫醒。商业新闻全是关于亚洲的。《财经时报》说今天是有关数字的一天:薪水、失业、GDP,是极具魅力的一天。勇士察看他的呼机,看到隔夜现金利率达到了他满意的程度。他觉得可以获利了。搭地铁到85大街,也就是华尔街的旁边,乘电梯来到位于26楼的高盛的纽约交易所,该部门时450个交易员的共同阵地。早上6:45,电梯带勇士到了一间通风的大屋子,屋顶是金属与木质的天花板吊顶,脚下是厚厚的男士俱乐部海蓝色地毯。很多工作在这间屋里的勇士们的工资达到了7位数,而它们的办公桌都挤在一起,比老式打字室里秘书们的桌子还要挤。屋子里有压抑的但很兴奋的嗡嗡声,好像一个摄影棚。

在每张桌子上有两个25英寸的计算机屏幕,由一台SUN SPARC控制开关。其中一台屏幕显示叫做“市场表格”的综合性报告和分析,它是不断变化的各种彩色表格、图、列表和共动新闻的组合。图中显示的犹如一张英国铁路时刻表,由出身于量子物理博士的MTV制片人重新设计:每条内容和描述都在不停地闪亮、起伏波动。当有实时更新时,屏幕上不同区域的颜色在几秒钟内随形状而变化来表示更新。勇士们的另一台屏幕显示高盛内部的应用、交易分析、电子邮件和互联网浏览。还有一部数字电话,在每张桌子上有100条线,当其他交易员或顾客相连接勇士时灯就会不停地闪。勇士们每时每刻最重大的决定就是接听哪条线,哪条线能带来丰厚的利润。
  
上午6:47,高盛的伦敦交易员将交易传到纽约,接下来由纽约传到东京。全球范围的交易24小时不停进行。勇士们的“市场表格”显示新闻概要——左边是亚洲,右边是欧洲,美国的在下面。英镑的专业分析员宣布当天的预测:“50/60应是高的。”这个是勇士的专长。
  
“50”是英镑对美元的买方报价,“60”是卖方报价。是“1.6350美元买进,1.6360美元卖出”的缩写。交易员不用说报价中的1.63美元这部分。千百万的利润或损失就在这不到一分钱的数目上。

勇士一耳朵听一个电话,从市场表格中察觉微妙之处,集中精力看屏幕上的新闻浏览窗口。当有任何关于英镑的的新闻出现时,编好的程序都会发出嘟嘟声。路透社报道英格兰银行正在买进英镑。而另一个新闻提供者“骑士(KNIGHT-RIDDER)报告德国马克和《财经时报》的兑换率对英格兰银行的行为做出了响应。路透社又报道:“英格兰银行否认今天的行为是受通货膨胀的影响。”

在投入工作之前,勇士们要完成很多琐碎的任务以及写报告。市场表格自动包括了来自高盛子公司的图表、分析和评论,并将它们集合为两张纸的时事通讯,传真给所有客户。这些日常事务每天要占用勇士一个小时的时间。
  
上午7:26,一个客户,跨国的石油巨头,订下了1亿英镑来支付在英国的工资数额。如果勇士能够以较低的价格买进英镑,以高一点但又合理的的价格卖给客户,这其中就有利可图。隔着几张台子的另一个交易员这时喊道:“我有一个卖家,有人要买一百吗?”他的意思是1亿(100个百万)美元的英镑货币。勇士盯着屏幕上市场表格的两部分看——一部分在显示全世界谁在买进谁在卖出英镑,另一部分在闪动着不断更新的实时价格。勇士开始买进:“我在50(1.6350 美元/英镑)的价位买进40(百万英镑,相当于4000万)。”屏幕上的价格保持不变。“我在50的价位买进20。”“我在50的价位买进40。”他现在已经在5秒钟内买进了价值1亿美元的货币。
  
在交易场所后面的的一间办公室,一个警报器(用于管理意外事件的计算机设施)——吸引了高盛风险货币管理者的注意。风险分析报告窗口在它的市场表格监视器上闪动。他看到勇士在8:00之前买进了价值一亿美元的英镑。如果英镑价格下跌怎么办?高盛将英镑卖给石油公司这个用户时就赚不到可接受的利润。风险管理者打出的一行字出现在所有英镑交易员的屏幕上:伙计请注意你的头寸。这只是在运动初期,随着市场表格的出现,风险管理者将勇士和他的英镑头寸纳入了“监视”列表,列表中还有交易室中其他受坚实的头寸。它们按预定的工作程序分别排列,很像等待着陆的飞机,如果英镑的价格跌倒50以下或勇士买进更多,警报就会响,风险管理者将会插手。
  
上午8:01:勇士在交易之间短暂的空闲时间里点击“P&L”,检查他的个人表现,这是和奖金直接挂钩的。到目前他的表现还不错。
  
上午9:30:穿过房间,在证券交易台爆发出一阵喧闹声,一些接管的传闻让套利者疯狂起来。勇士的年纪使他能够会想起几年前套利者们站在屏幕上一堆未连接的数据前,气喘吁吁地计算着——买得过多、卖得过多、波动率、评论。新的市场表格为他们运行了模型分析和分析,自动指出套利机会。
  
上午10:00:屏幕上的绿灯亮了。这是勇士的一个小玩艺儿:他将新闻过滤器设置成一旦滚动新闻中保喊“艾伦.格临死盼”字样时绿灯就闪亮。现在市场表格的新闻窗口出现了联储主席的评论,紧接着是分析家意见和交易建议。

上午10:01:格林斯潘发表讲话。随之市场发生动荡。现在勇士平息市场波动。市场表格闪动着英镑报价——55买进。他卖出了一部分在50点买进的英镑,并看到监视器中他的P&L分数马上上升了。

下午4:00:到了“传递文本”给东京办公室的时间了,然后东京再传给伦敦,再回到纽约85大街。在高盛的交易王国里,太阳永远不落。虽然筋疲力尽,但很有成就感。勇士在市场表格设定如果英镑报价突破60则自动呼叫。然后他放下了这一天手中的武器。

  
kitaroym

 实际上一篇文章可以看出很多东西了:

  1.这些勇士后面代表的是一种什么样的势力或市场怪兽?呵呵!有时我倒希望这些勇士能早日到国内灭掉一些国内机构,中经开与此相比,可能只是一碟小菜了。

  2.高盛的风险对冲系统,纽约的买的英镑,也许会在纽约办公室里就已经对冲了,或者在伦敦或者在东京对冲。也就是永远不要把头寸暴露在市场风险中。

  3.公司的管理机制

  4.公司的那套计算机交易及风险监控系统,一想到它的这套东西,就感到后怕。


大漠剑客

  1、事件驱动的提法很好,表明交易机制的成因以及人与市场的关系;
  2、计算机化交易系统包括交易机会的捕捉、仓位的确定以及风险的防范、锁定或对冲,应是海量市场的最终归宿,在现阶段的大陆,则还是以主动性投资为暴利的盈利模式;
  3、关于神经网络在股市中的运用,本人已在99年做过相当深度的研究,包括特征向量的提取、输入矢量的选择、神经元的甄选、触发器的设置,数据训练、数据学习,直到最后的数据预测,结果证实了本人98年的观点。


kitaroym

  在华尔街,各种风险管理产品层出不穷.有的与利率相关,有的与货币相关,还有的与原材料价格相关.各种对冲工具所包括的标的资产价值"名义价值"达到了数千亿美元.目前全球从事这些衍生品操作业务的大约有200多家企业,业务高度集中于巨头手中.仅截止到1995年,光是美国的商业银行就持有价值18 万亿美元的衍生品,其中有四个机构持有了14万亿:化学银行、花旗银行、摩根、银行家信托、美洲银行和沙斯。

  所有这些衍生品协议运作起来就像期货合同的现金清算一样,双方只需给对方标的价值的变化额,而不是大的多的名义价值。当同一机构或同一公司与一个对手前有多份合约时,通常是对一组合同进行完整的冲抵后再支付,而不是将合同逐一分离再办理。这样的结果是,真正的债务要比名义上的小的多。根据国际清算银行的调查,世界上所有已发行的衍生品的名义价值,出去在有组织交易所中交易的,合计约有41万亿美元,但如果每个合同需要支付的合同违约了,所有的债权人的损失仅有1。7万亿美元,约是名义价值的4。3%。

  这些风险对冲工具本质上就是协议期权和期货合同的组合,但从它的复杂形式而言大大超过了芝加哥的那几位(其中还有诺贝尔奖的默顿。米勒)所能想象的。这些合同可都是不在公开市场交易的,那么合同的对手是谁?谁将处于投机者的位置,来承担这些公司急切要求甩开的波动风险呢?与这些特定合同交易的很少是市场中的投机者。

  完美的匹配很难找到,这时银行和交易商在交易中收取费用和差价,并扮演交易对手的角色。这些银行和交易商就成了保险公司的替身。他们能承担客户要求避免的波动风险,因为他们不是普通顾客,他们能通过服务于大量有不同需求的顾客达到分散风险的目的。如果他们的帐不平了,他们能进入公开市场利用期权期货交易对冲头寸,至少可以部分对冲。通过多样化来降低风险。
  
  
北美寻梦者

三点体会:

1.一份耕耘,一份收获;

2. 交易机会的捕捉、仓位的确定以及风险的防范、锁定或对冲,应是海量市场的最终归宿------交易程序化;

3.同这些大鲨鱼搏斗,攻击弱处,机警多变!

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文章时间: 2010-3-07 周日, 下午8:30    标题: 引用回复



Danny Pang 彭日成: Ponzi schemer's death shrouded in mystery
By BRUCE WATSON 09/15/09


If the economic meltdown were to have an epitaph, it might be Warren Buffett's (and Robert L. Clarke's) oft-cited admonition that "When the tide goes out, you find out who is swimming naked." Over the past year, this popular line has transformed from a pithy quote into a contest, with each entrant vying for the honor of being the most flamboyant skinny-dipper. In the beginning, there was gray-faced, shlumpy Bernie Madoff, who robbed celebrities, universities, funds and friends in a scam that was almost epic in its scope. Later, Allen Stanford's apparent ability to more or less control the government and economy of Antigua seemed poised to transform his personal Hiroshima into a one-man recession for the Caribbean nation.

Recently, however, the mysterious death of private equity guru Danny Pang has moved the line of scrimmage for Ponzi scheme royalty, turning swimming naked into something that borders on the operatic.

On the surface, Pang appeared to be a perfect evocation of the American dream: young, handsome, and ambitious, the 42-year-old Taiwanese immigrant had checked all the boxes necessary for rapid advancement in his adopted country. With an MBA from the University of California, Irvine, he worked his way up to become partner of Sky Capital Partners, a venture capital firm, and later formed Private Equity Management Group (PEMGroup), an investment company specifically targeted toward Asian investors. Along the way, he managed to pick up a beautiful wife, former stripper Janie Louise.

Ultimately, however, it all unraveled. In 1997, Pang's wife hired a private investigator to tail him, and the detective observed him holding hands with an unnamed woman. Shortly afterward, Mrs. Pang was shot by an unknown assailant while her husband was away on business. His refusal to cooperate with the subsequent investigation, combined with his decision to plead the fifth at the trial, led many to question whether he was responsible for the death of his wife. Although he was never definitively connected to her slaying, the unsolved murder of Janie Louise Pang hung heavy over the head of her husband. He was later sued by his stepson for attempting to steal the young man's inheritance; the matter was settled out of court.

Even before Janie Louise Pang's death, the edges of her husband's legend were starting to look a little frayed. The police had been summoned to the Pang residence on four prior occasions and, in 1993, Mrs. Pang had informed the officers that her husband had stolen money from her parents and her, and had spent it on gambling, alcohol, and women. In 1997, the same year as her death, he was fired by Sky Capital Partners, where he was a managing partner, after his boss discovered that Pang had stolen $3 million of the firm's money.

Pang's subsequent business, PEMGroup, based its income-generation model on life insurance. Basically, the firm planned to buy life insurance policies from elderly people, paying them less than the face value of the policies. Later, when the elderly clients died, the company would accept the payout and make a significant profit. Unfortunately, however, the fund soon found that its insured clients weren't dying at the expected rate.

At the same time, PEMGroup was offering notes to various Asian investment firms, promising to pay above-market interest on the financial instruments. In turn, it claimed to have invested the money generated into corporate debt, time shares, and more life insurance policies. However, according to Nazare Aboubakare, former president of PEMGroup, the company's "investments" included a private jet, which Pang used for personal travel to, among other places, Las Vegas. In one infamous 2007 trip, the financier used the plane to ferry several of the company's female employees to Sin City; on the return flight, he allegedly showered them with stacks of bills.

Meanwhile, according to Aboubakare, Pang falsified company documents and confessed that he was running a Ponzi scheme. When confronted with these charges, PEMGroup sources stated that Aboubakare was involved in an inappropriate relationship with an employee and embezzled funds from the company, charges that Aboubakare admits are true. He was fired from the company in 2007, although he claims that Pang offered him $500,000 to recant his allegations.

Over the past five months, as Peng has been facing separate investigations from the SEC and the FBI for, respectively, defrauding investors and laundering money, more and more details about Pang about his sordid past have come to light. For example, while he apparently enrolled for one summer session at UC Irvine and was president of the school's Asian Students Association, there is no evidence that he received his BA from the school, let alone his MBA. Further, according to some investigators, there appears to be a possible connection between the businessman and Taiwanese criminal families.

On Friday afternoon, paramedics arrived at Pang's home in Newport Beach, California, where he was unconscious and not breathing. Although he was revived at Hoag Hospital, he died the following morning. Thus far, the Orange County Coroner's office has found no evidence of foul play, although toxicology tests could take up to three months to complete.

While Pang is, in many ways, worlds apart from Madoff, the two businessmen share an important trait: just as Madoff's guilty plea enabled him to avoid an extended trial that would have revealed many details of his business, Pang's death seems to have conveniently enabled him -- and his partners -- to avoid legal scrutiny. With a forthcoming burial and months before his autopsy is completed, it looks like the world may never learn the full extent of his schemes.

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文章时间: 2010-3-08 周一, 下午4:53    标题: 引用回复

做空次贷第一人Michael Burry (ZT, 很长)


Excerpted from The Big Short: Inside the Doomsday Machine, by Michael Lewis, to be published this month by W. W. Norton; © 2010 by the author.


Betting on the Blind Side
April 2010


Michael Burry always saw the world differently—due, he believed, to the childhood loss of one eye. So when the 32-year-old investor spotted the huge bubble in the subprime-mortgage bond market, in 2004, then created a way to bet against it, he wasn’t surprised that no one understood what he was doing. In an excerpt from his new book, The Big Short, the author charts Burry’s oddball maneuvers, his almost comical dealings with Goldman Sachs and other banks as the market collapsed, and the true reason for his visionary obsession.


Dr. Michael Burry in his home office, in Silicon Valley. “My nature is not to have friends,” Burry concluded years ago. “I’m happy in my own head.”


In early 2004 a 32-year-old stock-market investor and hedge-fund manager, Michael Burry, immersed himself for the first time in the bond market. He learned all he could about how money got borrowed and lent in America. He didn’t talk to anyone about what became his new obsession; he just sat alone in his office, in San Jose, California, and read books and articles and financial filings. He wanted to know, especially, how subprime-mortgage bonds worked. A giant number of individual loans got piled up into a tower. The top floors got their money back first and so got the highest ratings from Moody’s and S&P, and the lowest interest rate. The low floors got their money back last, suffered the first losses, and got the lowest ratings from Moody’s and S&P. Because they were taking on more risk, the investors in the bottom floors received a higher rate of interest than investors in the top floors. Investors who bought mortgage bonds had to decide in which floor of the tower they wanted to invest, but Michael Burry wasn’t thinking about buying mortgage bonds. He was wondering how he might short, or bet against, subprime-mortgage bonds.

Every mortgage bond came with its own mind-numbingly tedious 130-page prospectus. If you read the fine print, you saw that each bond was its own little corporation. Burry spent the end of 2004 and early 2005 scanning hundreds and actually reading dozens of the prospectuses, certain he was the only one apart from the lawyers who drafted them to do so—even though you could get them all for $100 a year from 10kWizard.com.

The subprime-mortgage market had a special talent for obscuring what needed to be clarified. A bond backed entirely by subprime mortgages, for example, wasn’t called a subprime-mortgage bond. It was called an “A.B.S.,” or “asset-backed security.” If you asked Deutsche Bank exactly what assets secured an asset-backed security, you’d be handed lists of more acronyms—R.M.B.S., hels, helocs, Alt-A—along with categories of credit you did not know existed (“midprime”). R.M.B.S. stood for “residential-mortgage-backed security.” hel stood for “home-equity loan.” heloc stood for “home-equity line of credit.” Alt-A was just what they called crappy subprime-mortgage loans for which they hadn’t even bothered to acquire the proper documents—to, say, verify the borrower’s income. All of this could more clearly be called “subprime loans,” but the bond market wasn’t clear. “Midprime” was a kind of triumph of language over truth. Some crafty bond-market person had gazed upon the subprime-mortgage sprawl, as an ambitious real-estate developer might gaze upon Oakland, and found an opportunity to rebrand some of the turf. Inside Oakland there was a neighborhood, masquerading as an entirely separate town, called “Rockridge.” Simply by refusing to be called “Oakland,” “Rockridge” enjoyed higher property values. Inside the subprime-mortgage market there was now a similar neighborhood known as “midprime.”

But as early as 2004, if you looked at the numbers, you could clearly see the decline in lending standards. In Burry’s view, standards had not just fallen but hit bottom. The bottom even had a name: the interest-only negative-amortizing adjustable-rate subprime mortgage. You, the homebuyer, actually were given the option of paying nothing at all, and rolling whatever interest you owed the bank into a higher principal balance. It wasn’t hard to see what sort of person might like to have such a loan: one with no income. What Burry couldn’t understand was why a person who lent money would want to extend such a loan. “What you want to watch are the lenders, not the borrowers,” he said. “The borrowers will always be willing to take a great deal for themselves. It’s up to the lenders to show restraint, and when they lose it, watch out.” By 2003 he knew that the borrowers had already lost it. By early 2005 he saw that lenders had, too.

A lot of hedge-fund managers spent time chitchatting with their investors and treated their quarterly letters to them as a formality. Burry disliked talking to people face-to-face and thought of these letters as the single most important thing he did to let his investors know what he was up to. In his quarterly letters he coined a phrase to describe what he thought was happening: “the extension of credit by instrument.” That is, a lot of people couldn’t actually afford to pay their mortgages the old-fashioned way, and so the lenders were dreaming up new financial instruments to justify handing them new money. “It was a clear sign that lenders had lost it, constantly degrading their own standards to grow loan volumes,” Burry said. He could see why they were doing this: they didn’t keep the loans but sold them to Goldman Sachs and Morgan Stanley and Wells Fargo and the rest, which packaged them into bonds and sold them off. The end buyers of subprime-mortgage bonds, he assumed, were just “dumb money.” He’d study up on them, too, but later.

He now had a tactical investment problem. The various floors, or tranches, of subprime-mortgage bonds all had one thing in common: the bonds were impossible to sell short. To sell a stock or bond short, you needed to borrow it, and these tranches of mortgage bonds were tiny and impossible to find. You could buy them or not buy them, but you couldn’t bet explicitly against them; the market for subprime mortgages simply had no place for people in it who took a dim view of them. You might know with certainty that the entire subprime-mortgage-bond market was doomed, but you could do nothing about it. You couldn’t short houses. You could short the stocks of homebuilding companies—Pulte Homes, say, or Toll Brothers—but that was expensive, indirect, and dangerous. Stock prices could rise for a lot longer than Burry could stay solvent.

A couple of years earlier, he’d discovered credit-default swaps. A credit-default swap was confusing mainly because it wasn’t really a swap at all. It was an insurance policy, typically on a corporate bond, with periodic premium payments and a fixed term. For instance, you might pay $200,000 a year to buy a 10-year credit-default swap on $100 million in General Electric bonds. The most you could lose was $2 million: $200,000 a year for 10 years. The most you could make was $100 million, if General Electric defaulted on its debt anytime in the next 10 years and bondholders recovered nothing. It was a zero-sum bet: if you made $100 million, the guy who had sold you the credit-default swap lost $100 million. It was also an asymmetric bet, like laying down money on a number in roulette. The most you could lose were the chips you put on the table, but if your number came up, you made 30, 40, even 50 times your money. “Credit-default swaps remedied the problem of open-ended risk for me,” said Burry. “If I bought a credit-default swap, my downside was defined and certain, and the upside was many multiples of it.”

He was already in the market for corporate credit-default swaps. In 2004 he began to buy insurance on companies he thought might suffer in a real-estate downturn: mortgage lenders, mortgage insurers, and so on. This wasn’t entirely satisfying. A real-estate-market meltdown might cause these companies to lose money; there was no guarantee that they would actually go bankrupt. He wanted a more direct tool for betting against subprime-mortgage lending. On March 19, 2005, alone in his office with the door closed and the shades pulled down, reading an abstruse textbook on credit derivatives, Michael Burry got an idea: credit-default swaps on subprime-mortgage bonds.

The idea hit him as he read a book about the evolution of the U.S. bond market and the creation, in the mid-1990s, at J. P. Morgan, of the first corporate credit-default swaps. He came to a passage explaining why banks felt they needed credit-default swaps at all. It wasn’t immediately obvious—after all, the best way to avoid the risk of General Electric’s defaulting on its debt was not to lend to General Electric in the first place. In the beginning, credit-default swaps had been a tool for hedging: some bank had loaned more than they wanted to to General Electric because G.E. had asked for it, and they feared alienating a long-standing client; another bank changed its mind about the wisdom of lending to G.E. at all. Very quickly, however, the new derivatives became tools for speculation: a lot of people wanted to make bets on the likelihood of G.E.’s defaulting. It struck Burry: Wall Street is bound to do the same thing with subprime-mortgage bonds, too. Given what was happening in the real-estate market—and given what subprime-mortgage lenders were doing—a lot of smart people eventually were going to want to make side bets on subprime-mortgage bonds. And the only way to do it would be to buy a credit-default swap.

The credit-default swap would solve the single biggest problem with Mike Burry’s big idea: timing. The subprime-mortgage loans being made in early 2005 were, he felt, almost certain to go bad. But, as their interest rates were set artificially low and didn’t reset for two years, it would be two years before that happened. Subprime mortgages almost always bore floating interest rates, but most of them came with a fixed, two-year “teaser” rate. A mortgage created in early 2005 might have a two-year “fixed” rate of 6 percent that, in 2007, would jump to 11 percent and provoke a wave of defaults. The faint ticking sound of these loans would grow louder with time, until eventually a lot of people would suspect, as he suspected, that they were bombs. Once that happened, no one would be willing to sell insurance on subprime-mortgage bonds. He needed to lay his chips on the table now and wait for the casino to wake up and change the odds of the game. A credit-default swap on a 30-year subprime-mortgage bond was a bet designed to last for 30 years, in theory. He figured that it would take only three to pay off.

The only problem was that there was no such thing as a credit-default swap on a subprime-mortgage bond, not that he could see. He’d need to prod the big Wall Street firms to create them. But which firms? If he was right and the housing market crashed, these firms in the middle of the market were sure to lose a lot of money. There was no point buying insurance from a bank that went out of business the minute the insurance became valuable. He didn’t even bother calling Bear Stearns and Lehman Brothers, as they were more exposed to the mortgage-bond market than the other firms. Goldman Sachs, Morgan Stanley, Deutsche Bank, Bank of America, UBS, Merrill Lynch, and Citigroup were, to his mind, the most likely to survive a crash. He called them all. Five of them had no idea what he was talking about; two came back and said that, while the market didn’t exist, it might one day. Inside of three years, credit-default swaps on subprime-mortgage bonds would become a trillion-dollar market and precipitate hundreds of billions of losses inside big Wall Street firms. Yet, when Michael Burry pestered the firms in the beginning of 2005, only Deutsche Bank and Goldman Sachs had any real interest in continuing the conversation. No one on Wall Street, as far as he could tell, saw what he was seeing.

He sensed that he was different from other people before he understood why. Before he was two years old he was diagnosed with a rare form of cancer, and the operation to remove the tumor had cost him his left eye. A boy with one eye sees the world differently from everyone else, but it didn’t take long for Mike Burry to see his literal distinction in more figurative terms. Grown-ups were forever insisting that he should look other people in the eye, especially when he was talking to them. “It took all my energy to look someone in the eye,” he said. “If I am looking at you, that’s the one time I know I won’t be listening to you.” His left eye didn’t line up with whomever he was trying to talk to; when he was in social situations, trying to make chitchat, the person to whom he was speaking would steadily drift left. “I don’t really know how to stop it,” he said, “so people just keep moving left until they’re standing way to my left, and I’m trying not to turn my head anymore. I end up facing right and looking left with my good eye, through my nose.”

His glass eye, he assumed, was the reason that face-to-face interaction with other people almost always ended badly for him. He found it maddeningly difficult to read people’s nonverbal signals, and their verbal signals he often took more literally than they meant them. When trying his best, he was often at his worst. “My compliments tended not to come out right,” he said. “I learned early that if you compliment somebody it’ll come out wrong. For your size, you look good. That’s a really nice dress: it looks homemade.” The glass eye became his private explanation for why he hadn’t really fit in with groups. The eye oozed and wept and required constant attention. It wasn’t the sort of thing other kids ever allowed him to be unself-conscious about. They called him cross-eyed, even though he wasn’t. Every year they begged him to pop his eye out of its socket—but when he complied, it became infected and disgusting and a cause of further ostracism.

In his glass eye he found the explanation for other traits peculiar to himself. His obsession with fairness, for example. When he noticed that pro basketball stars were far less likely to be called for traveling than lesser players, he didn’t just holler at the refs. He stopped watching basketball altogether; the injustice of it killed his interest in the sport. Even though he was ferociously competitive, well built, physically brave, and a good athlete, he didn’t care for team sports. The eye helped to explain this, as most team sports were ball sports, and a boy with poor depth perception and limited peripheral vision couldn’t very well play ball sports. He tried hard at the less ball-centric positions in football, but his eye popped out if he hit someone too hard. He preferred swimming, as it required virtually no social interaction. No teammates. No ambiguity. You just swam your time and you won or you lost.

After a while even he ceased to find it surprising that he spent most of his time alone. By his late 20s he thought of himself as the sort of person who didn’t have friends. He’d gone through Santa Teresa High School, in San Jose, U.C.L.A., and Vanderbilt University School of Medicine, and created not a single lasting bond. What friendships he did have were formed and nurtured in writing, by email; the two people he considered to be true friends he had known for a combined 20 years but had met in person a grand total of eight times. “My nature is not to have friends,” he said. “I’m happy in my own head.” Somehow he’d married twice. His first wife was a woman of Korean descent who wound up living in a different city (“She often complained that I appeared to like the idea of a relationship more than living the actual relationship”) and his second, to whom he was still married, was a Vietnamese-American woman he’d met on Match.com. In his Match.com profile, he described himself frankly as “a medical resident with only one eye, an awkward social manner, and $145,000 in student loans.” His obsession with personal honesty was a cousin to his obsession with fairness.

Obsessiveness—that was another trait he came to think of as peculiar to himself. His mind had no temperate zone: he was either possessed by a subject or not interested in it at all. There was an obvious downside to this quality—he had more trouble than most faking interest in other people’s concerns and hobbies, for instance—but an upside, too. Even as a small child he had a fantastic ability to focus and learn, with or without teachers. When it synched with his interests, school came easy for him—so easy that, as an undergraduate at U.C.L.A., he could flip back and forth between English and economics and pick up enough pre-medical training on the side to get himself admitted to the best medical schools in the country. He attributed his unusual powers of concentration to his lack of interest in human interaction, and his lack of interest in human interaction … well, he was able to argue that basically everything that happened was caused, one way or the other, by his fake left eye.

This ability to work and to focus set him apart even from other medical students. In 1998, as a resident in neurology at Stanford Hospital, he mentioned to his superiors that, between 14-hour hospital shifts, he had stayed up two nights in a row taking apart and putting back together his personal computer in an attempt to make it run faster. His superiors sent him to a psychiatrist, who diagnosed Mike Burry as bipolar. He knew instantly he’d been misdiagnosed: how could you be bipolar if you were never depressed? Or, rather, if you were depressed only while doing your rounds and pretending to be interested in practicing, as opposed to studying, medicine? He’d become a doctor not because he enjoyed medicine but because he didn’t find medical school terribly difficult. The actual practice of medicine, on the other hand, either bored or disgusted him. Of his first brush with gross anatomy: “one scene with people carrying legs over their shoulders to the sink to wash out the feces just turned my stomach, and I was done.” Of his feeling about the patients: “I wanted to help people—but not really.”

He was genuinely interested in computers, not for their own sake but for their service to a lifelong obsession: the inner workings of the stock market. Ever since grade school, when his father had shown him the stock tables at the back of the newspaper and told him that the stock market was a crooked place and never to be trusted, let alone invested in, the subject had fascinated him. Even as a kid he had wanted to impose logic on this world of numbers. He began to read about the market as a hobby. Pretty quickly he saw that there was no logic at all in the charts and graphs and waves and the endless chatter of many self-advertised market pros. Then along came the dot-com bubble and suddenly the entire stock market made no sense at all. “The late 90s almost forced me to identify myself as a value investor, because I thought what everybody else was doing was insane,” he said. Formalized as an approach to financial markets during the Great Depression by Benjamin Graham, “value investing” required a tireless search for companies so unfashionable or misunderstood that they could be bought for less than their liquidation value. In its simplest form, value investing was a formula, but it had morphed into other things—one of them was whatever Warren Buffett, Benjamin Graham’s student and the most famous value investor, happened to be doing with his money.

Burry did not think investing could be reduced to a formula or learned from any one role model. The more he studied Buffett, the less he thought Buffett could be copied. Indeed, the lesson of Buffett was: To succeed in a spectacular fashion you had to be spectacularly unusual. “If you are going to be a great investor, you have to fit the style to who you are,” Burry said. “At one point I recognized that Warren Buffett, though he had every advantage in learning from Ben Graham, did not copy Ben Graham, but rather set out on his own path, and ran money his way, by his own rules.… I also immediately internalized the idea that no school could teach someone how to be a great investor. If it were true, it’d be the most popular school in the world, with an impossibly high tuition. So it must not be true.”

Investing was something you had to learn how to do on your own, in your own peculiar way. Burry had no real money to invest, but he nevertheless dragged his obsession along with him through high school, college, and medical school. He’d reached Stanford Hospital without ever taking a class in finance or accounting, let alone working for any Wall Street firm. He had maybe $40,000 in cash, against $145,000 in student loans. He had spent the previous four years working medical-student hours. Nevertheless, he had found time to make himself a financial expert of sorts. “Time is a variable continuum,” he wrote to one of his e-mail friends one Sunday morning in 1999: “An afternoon can fly by or it can take 5 hours. Like you probably do, I productively fill the gaps that most people leave as dead time. My drive to be productive probably cost me my first marriage and a few days ago almost cost me my fiancée. Before I went to college the military had this ‘we do more before 9am than most people do all day’ and I used to think I do more than the military. As you know there are some select people that just find a drive in certain activities that supersedes everything else.” Thinking himself different, he didn’t find what happened to him when he collided with Wall Street nearly as bizarre as it was.

Late one night in November 1996, while on a cardiology rotation at Saint Thomas Hospital, in Nashville, Tennessee, he logged on to a hospital computer and went to a message board called techstocks.com. There he created a thread called “value investing.” Having read everything there was to read about investing, he decided to learn a bit more about “investing in the real world.” A mania for Internet stocks gripped the market. A site for the Silicon Valley investor, circa 1996, was not a natural home for a sober-minded value investor. Still, many came, all with opinions. A few people grumbled about the very idea of a doctor having anything useful to say about investments, but over time he came to dominate the discussion. Dr. Mike Burry—as he always signed himself—sensed that other people on the thread were taking his advice and making money with it.

Once he figured out he had nothing more to learn from the crowd on his thread, he quit it to create what later would be called a blog but at the time was just a weird form of communication. He was working 16-hour shifts at the hospital, confining his blogging mainly to the hours between midnight and three in the morning. On his blog he posted his stock-market trades and his arguments for making the trades. People found him. As a money manager at a big Philadelphia value fund said, “The first thing I wondered was: When is he doing this? The guy was a medical intern. I only saw the nonmedical part of his day, and it was simply awesome. He’s showing people his trades. And people are following it in real time. He’s doing value investing—in the middle of the dot-com bubble. He’s buying value stocks, which is what we’re doing. But we’re losing money. We’re losing clients. All of a sudden he goes on this tear. He’s up 50 percent. It’s uncanny. He’s uncanny. And we’re not the only ones watching it.”

Mike Burry couldn’t see exactly who was following his financial moves, but he could tell which domains they came from. In the beginning his readers came from EarthLink and AOL. Just random individuals. Pretty soon, however, they weren’t. People were coming to his site from mutual funds like Fidelity and big Wall Street investment banks like Morgan Stanley. One day he lit into Vanguard’s index funds and almost instantly received a cease-and-desist letter from Vanguard’s attorneys. Burry suspected that serious investors might even be acting on his blog posts, but he had no clear idea who they might be. “The market found him,” says the Philadelphia mutual-fund manager. “He was recognizing patterns no one else was seeing.”

By the time Burry moved to Stanford Hospital, in 1998, to take up his residency in neurology, the work he had done between midnight and three in the morning had made him a minor but meaningful hub in the land of value investing. By this time the craze for Internet stocks was completely out of control and had infected the Stanford University medical community. “The residents in particular, and some of the faculty, were captivated by the dot-com bubble,” said Burry. “A decent minority of them were buying and discussing everything—Polycom, Corel, Razorfish, Pets.com, TibCo, Microsoft, Dell, Intel are the ones I specifically remember, but areyoukiddingme.com was how my brain filtered a lot of it I would just keep my mouth shut, because I didn’t want anybody there knowing what I was doing on the side. I felt I could get in big trouble if the doctors there saw I wasn’t 110 percent committed to medicine.”

People who worry about seeming sufficiently committed to medicine probably aren’t sufficiently committed to medicine. The deeper he got into his medical career, the more Burry felt constrained by his problems with other people in the flesh. He had briefly tried to hide in pathology, where the people had the decency to be dead, but that didn’t work. (“Dead people, dead parts. More dead people, more dead parts. I thought, I want something more cerebral.”)

He’d moved back to San Jose, buried his father, remarried, and been misdiagnosed as bipolar when he shut down his Web site and announced he was quitting neurology to become a money manager. The chairman of the Stanford department of neurology thought he’d lost his mind and told him to take a year to think it over, but he’d already thought it over. “I found it fascinating and seemingly true,” he said, “that if I could run a portfolio well, then I could achieve success in life, and that it wouldn’t matter what kind of person I was perceived to be, even though I felt I was a good person deep down.” His $40,000 in assets against $145,000 in student loans posed the question of exactly what portfolio he would run. His father had died after another misdiagnosis: a doctor had failed to spot the cancer on an X-ray, and the family had received a small settlement. The father disapproved of the stock market, but the payout from his death funded his son into it. His mother was able to kick in $20,000 from her settlement, his three brothers kicked in $10,000 each of theirs. With that, Dr. Michael Burry opened Scion Capital. (As a teen he’d loved the book The Scions of Shannara.) He created a grandiose memo to lure people not related to him by blood. “The minimum net worth for investors should be $15 million,” it said, which was interesting, as it excluded not only himself but basically everyone he’d ever known.

As he scrambled to find office space, buy furniture, and open a brokerage account, he received a pair of surprising phone calls. The first came from a big investment fund in New York City, Gotham Capital. Gotham was founded by a value-investment guru named Joel Greenblatt. Burry had read Greenblatt’s book You Can Be a Stock Market Genius. (“I hated the title but liked the book.”) Greenblatt’s people told him that they had been making money off his ideas for some time and wanted to continue to do so—might Mike Burry consider allowing Gotham to invest in his fund? “Joel Greenblatt himself called,” said Burry, “and said, ‘I’ve been waiting for you to leave medicine.’” Gotham flew Burry and his wife to New York—and it was the first time Michael Burry had flown to New York or flown first-class—and put him up in a suite at the Intercontinental Hotel.

On his way to his meeting with Greenblatt, Burry was racked with the anxiety that always plagued him before face-to-face encounters with people. He took some comfort in the fact that the Gotham people seemed to have read so much of what he had written. “If you read what I wrote first, and then meet me, the meeting goes fine,” he said. “People who meet me who haven’t read what I wrote—it almost never goes well. Even in high school it was like that—even with teachers.” He was a walking blind taste test: you had to decide if you approved of him before you laid eyes on him. In this case he was at a serious disadvantage, as he had no clue how big-time money managers dressed. “He calls me the day before the meeting,” says one of his e-mail friends, himself a professional money manager. “And he asks, ‘What should I wear?’ He didn’t own a tie. He had one blue sports coat, for funerals.” This was another quirk of Mike Burry’s. In writing, he presented himself formally, even a bit stuffily, but he dressed for the beach. Walking to Gotham’s office, he panicked and ducked into a Tie Rack and bought a tie. He arrived at the big New York money-management firm as formally attired as he had ever been in his entire life to find its partners in T-shirts and sweatpants. The exchange went something like this: “We’d like to give you a million dollars.” “Excuse me?” “We want to buy a quarter of your new hedge fund. For a million dollars.” “You do?” “Yes. We’re offering a million dollars.” “After tax!”

Somehow Burry had it in his mind that one day he wanted to be worth a million dollars, after tax. At any rate, he’d just blurted that last bit out before he fully understood what they were after. And they gave it to him! At that moment, on the basis of what he’d written on his blog, he went from being an indebted medical resident with a net worth of minus $105,000 to a millionaire with a few outstanding loans. Burry didn’t know it, but it was the first time Joel Greenblatt had done such a thing. “He was just obviously this brilliant guy, and there aren’t that many of them,” says Greenblatt.

Shortly after that odd encounter, he had a call from the insurance holding company White Mountain. White Mountain was run by Jack Byrne, a member of Warren Buffett’s inner circle, and they had spoken to Gotham Capital. “We didn’t know you were selling part of your firm,” they said—and Burry explained that he hadn’t realized it either until a few days earlier, when someone offered a million dollars, after tax, for it. It turned out that White Mountain, too, had been watching Michael Burry closely. “What intrigued us more than anything was that he was a neurology resident,” says Kip Oberting, then at White Mountain. “When the hell was he doing this?” From White Mountain he extracted $600,000 for another piece of his fund, plus a promise to send him $10 million to invest. “And yes,” said Oberting, “he was the only person we found on the Internet and cold-called and gave him money.”

In Dr. Mike Burry’s first year in business, he grappled briefly with the social dimension of running money. “Generally you don’t raise any money unless you have a good meeting with people,” he said, “and generally I don’t want to be around people. And people who are with me generally figure that out.” When he spoke to people in the flesh, he could never tell what had put them off, his message or his person. Buffett had had trouble with people, too, in his youth. He’d used a Dale Carnegie course to learn how to interact more profitably with his fellow human beings. Mike Burry came of age in a different money culture. The Internet had displaced Dale Carnegie. He didn’t need to meet people. He could explain himself online and wait for investors to find him. He could write up his elaborate thoughts and wait for people to read them and wire him their money to handle. “Buffett was too popular for me,” said Burry. “I won’t ever be a kindly grandfather figure.”

This method of attracting funds suited Mike Burry. More to the point, it worked. He’d started Scion Capital with a bit more than a million dollars—the money from his mother and brothers and his own million, after tax. Right from the start, Scion Capital was madly, almost comically successful. In his first full year, 2001, the S&P 500 fell 11.88 percent. Scion was up 55 percent. The next year, the S&P 500 fell again, by 22.1 percent, and yet Scion was up again: 16 percent. The next year, 2003, the stock market finally turned around and rose 28.69 percent, but Mike Burry beat it again—his investments rose by 50 percent. By the end of 2004, Mike Burry was managing $600 million and turning money away. “If he’d run his fund to maximize the amount he had under management, he’d have been running many, many billions of dollars,” says a New York hedge-fund manager who watched Burry’s performance with growing incredulity. “He designed Scion so it was bad for business but good for investing.”

Thus when Mike Burry went into business he disapproved of the typical hedge-fund manager’s deal. Taking 2 percent of assets off the top, as most did, meant the hedge-fund manager got paid simply for amassing vast amounts of other people’s money. Scion Capital charged investors only its actual expenses—which typically ran well below 1 percent of the assets. To make the first nickel for himself, he had to make investors’ money grow. “Think about the genesis of Scion,” says one of his early investors. “The guy has no money and he chooses to forgo a fee that any other hedge fund takes for granted. It was unheard of.”

By the middle of 2005, over a period in which the broad stock-market index had fallen by 6.84 percent, Burry’s fund was up 242 percent, and he was turning away investors. To his swelling audience, it didn’t seem to matter whether the stock market rose or fell; Mike Burry found places to invest money shrewdly. He used no leverage and avoided shorting stocks. He was doing nothing more promising than buying common stocks and nothing more complicated than sitting in a room reading financial statements. Scion Capital’s decision-making apparatus consisted of one guy in a room, with the door closed and the shades down, poring over publicly available information and data on 10-K Wizard. He went looking for court rulings, deal completions, and government regulatory changes—anything that might change the value of a company.

As often as not, he turned up what he called “ick” investments. In October 2001 he explained the concept in his letter to investors: “Ick investing means taking a special analytical interest in stocks that inspire a first reaction of ‘ick.’” A court had accepted a plea from a software company called the Avanti Corporation. Avanti had been accused of stealing from a competitor the software code that was the whole foundation of Avanti’s business. The company had $100 million in cash in the bank, was still generating $100 million a year in free cash flow—and had a market value of only $250 million! Michael Burry started digging; by the time he was done, he knew more about the Avanti Corporation than any man on earth. He was able to see that even if the executives went to jail (as five of them did) and the fines were paid (as they were), Avanti would be worth a lot more than the market then assumed. To make money on Avanti’s stock, however, he’d probably have to stomach short-term losses, as investors puked up shares in horrified response to negative publicity.

“That was a classic Mike Burry trade,” says one of his investors. “It goes up by 10 times, but first it goes down by half.” This isn’t the sort of ride most investors enjoy, but it was, Burry thought, the essence of value investing. His job was to disagree loudly with popular sentiment. He couldn’t do this if he was at the mercy of very short-term market moves, and so he didn’t give his investors the ability to remove their money on short notice, as most hedge funds did. If you gave Scion your money to invest, you were stuck for at least a year.

Investing well was all about being paid the right price for risk. Increasingly, Burry felt that he wasn’t. The problem wasn’t confined to individual stocks. The Internet bubble had burst, and yet house prices in San Jose, the bubble’s epicenter, were still rising. He investigated the stocks of homebuilders and then the stocks of companies that insured home mortgages, like PMI. To one of his friends—a big-time East Coast professional investor—he wrote in May 2003 that the real-estate bubble was being driven ever higher by the irrational behavior of mortgage lenders who were extending easy credit. “You just have to watch for the level at which even nearly unlimited or unprecedented credit can no longer drive the [housing] market higher,” he wrote. “I am extremely bearish, and feel the consequences could very easily be a 50% drop in residential real estate in the U.S.…A large portion of current [housing] demand at current prices would disappear if only people became convinced that prices weren’t rising. The collateral damage is likely to be orders of magnitude worse than anyone now considers.”

On May 19, 2005, Mike Burry did his first subprime-mortgage deals. He bought $60 million of credit-default swaps from Deutsche Bank—$10 million each on six different bonds. “The reference securities,” these were called. You didn’t buy insurance on the entire subprime-mortgage-bond market but on a particular bond, and Burry had devoted himself to finding exactly the right ones to bet against. He likely became the only investor to do the sort of old-fashioned bank credit analysis on the home loans that should have been done before they were made. He was the opposite of an old-fashioned banker, however. He was looking not for the best loans to make but the worst loans—so that he could bet against them. He analyzed the relative importance of the loan-to-value ratios of the home loans, of second liens on the homes, of the location of the homes, of the absence of loan documentation and proof of income of the borrower, and a dozen or so other factors to determine the likelihood that a home loan made in America circa 2005 would go bad. Then he went looking for the bonds backed by the worst of the loans.

It surprised him that Deutsche Bank didn’t seem to care which bonds he picked to bet against. From their point of view, so far as he could tell, all subprime-mortgage bonds were the same. The price of insurance was driven not by any independent analysis but by the ratings placed on the bond by Moody’s and Standard & Poor’s. If he wanted to buy insurance on the supposedly riskless triple-A-rated tranche, he might pay 20 basis points (0.20 percent); on the riskier, A-rated tranches, he might pay 50 basis points (0.50 percent); and on the even less safe, triple-B-rated tranches, 200 basis points—that is, 2 percent. (A basis point is one-hundredth of one percentage point.) The triple-B-rated tranches—the ones that would be worth zero if the underlying mortgage pool experienced a loss of just 7 percent—were what he was after. He felt this to be a very conservative bet, which he was able, through analysis, to turn into even more of a sure thing. Anyone who even glanced at the prospectuses could see that there were many critical differences between one triple-B bond and the next—the percentage of interest-only loans contained in their underlying pool of mortgages, for example. He set out to cherry-pick the absolute worst ones and was a bit worried that the investment banks would catch on to just how much he knew about specific mortgage bonds, and adjust their prices.

Once again they shocked and delighted him: Goldman Sachs e-mailed him a great long list of crappy mortgage bonds to choose from. “This was shocking to me, actually,” he says. “They were all priced according to the lowest rating from one of the big-three ratings agencies.” He could pick from the list without alerting them to the depth of his knowledge. It was as if you could buy flood insurance on the house in the valley for the same price as flood insurance on the house on the mountaintop.

The market made no sense, but that didn’t stop other Wall Street firms from jumping into it, in part because Mike Burry was pestering them. For weeks he hounded Bank of America until they agreed to sell him $5 million in credit-default swaps. Twenty minutes after they sent their e-mail confirming the trade, they received another back from Burry: “So can we do another?” In a few weeks Mike Burry bought several hundred million dollars in credit-default swaps from half a dozen banks, in chunks of $5 million. None of the sellers appeared to care very much which bonds they were insuring. He found one mortgage pool that was 100 percent floating-rate negative-amortizing mortgages—where the borrowers could choose the option of not paying any interest at all and simply accumulate a bigger and bigger debt until, presumably, they defaulted on it. Goldman Sachs not only sold him insurance on the pool but sent him a little note congratulating him on being the first person, on Wall Street or off, ever to buy insurance on that particular item. “I’m educating the experts here,” Burry crowed in an e-mail.

He wasn’t wasting a lot of time worrying about why these supposedly shrewd investment bankers were willing to sell him insurance so cheaply. He was worried that others would catch on and the opportunity would vanish. “I would play dumb quite a bit,” he said, “making it seem to them like I don’t really know what I’m doing. ‘How do you do this again?’ ‘Oh, where can I find that information?’ or ‘Really?’—when they tell me something really obvious.” It was one of the fringe benefits of living for so many years essentially alienated from the world around him: he could easily believe that he was right and the world was wrong.

The more Wall Street firms jumped into the new business, the easier it became for him to place his bets. For the first few months, he was able to short, at most, $10 million at a time. Then, in late June 2005, he had a call from someone at Goldman Sachs asking him if he’d like to increase his trade size to $100 million a pop. “What needs to be remembered here,” he wrote the next day, after he’d done it, “is that this is $100 million. That’s an insane amount of money. And it just gets thrown around like it’s three digits instead of nine.”

By the end of July he owned credit-default swaps on $750 million in subprime-mortgage bonds and was privately bragging about it. “I believe no other hedge fund on the planet has this sort of investment, nowhere near to this degree, relative to the size of the portfolio,” he wrote to one of his investors, who had caught wind that his hedge-fund manager had some newfangled strategy. Now he couldn’t help but wonder who exactly was on the other side of his trades—what madman would be selling him so much insurance on bonds he had handpicked to explode? The credit-default swap was a zero-sum game. If Mike Burry made $100 million when the subprime-mortgage bonds he had handpicked defaulted, someone else must have lost $100 million. Goldman Sachs made it clear that the ultimate seller wasn’t Goldman Sachs. Goldman Sachs was simply standing between insurance buyer and insurance seller and taking a cut.

The willingness of whoever this person was to sell him such vast amounts of cheap insurance gave Mike Burry another idea: to start a fund that did nothing but buy insurance on subprime-mortgage bonds. In a $600 million fund that was meant to be picking stocks, his bet was already gargantuan, but if he could raise the money explicitly for this new purpose, he could do many billions more. In August he wrote a proposal for a fund he called Milton’s Opus and sent it out to his investors. (“The first question was always ‘What’s Milton’s Opus?’” He’d say, “Paradise Lost,” but that usually just raised another question.) Most of them still had no idea that their champion stock picker had become so diverted by these esoteric insurance contracts called credit-default swaps. Many wanted nothing to do with it; a few wondered if this meant that he was already doing this sort of thing with their money.

Instead of raising more money to buy credit-default swaps on subprime-mortgage bonds, he wound up making it more difficult to keep the ones he already owned. His investors were happy to let him pick stocks on their behalf, but they almost universally doubted his ability to foresee big macro-economic trends. And they certainly didn’t see why he should have any special insight into the multi-trillion-dollar subprime-mortgage-bond market. Milton’s Opus died a quick death.

In October 2005, in his letter to investors, Burry finally came completely clean and let them know that they owned at least a billion dollars in credit-default swaps on subprime-mortgage bonds. “Sometimes markets err big time,” he wrote. “Markets erred when they gave America Online the currency to buy Time Warner. They erred when they bet against George Soros and for the British pound. And they are erring right now by continuing to float along as if the most significant credit bubble history has ever seen does not exist. Opportunities are rare, and large opportunities on which one can put nearly unlimited capital to work at tremendous potential returns are even more rare. Selectively shorting the most problematic mortgage-backed securities in history today amounts to just such an opportunity.”

In the second quarter of 2005, credit-card delinquencies hit an all-time high—even though house prices had boomed. That is, even with this asset to borrow against, Americans were struggling more than ever to meet their obligations. The Federal Reserve had raised interest rates, but mortgage rates were still effectively falling—because Wall Street was finding ever more clever ways to enable people to borrow money. Burry now had more than a billion-dollar bet on the table and couldn’t grow it much more unless he attracted a lot more money. So he just laid it out for his investors: the U.S. mortgage-bond market was huge, bigger than the market for U.S. Treasury notes and bonds. The entire economy was premised on its stability, and its stability in turn depended on house prices continuing to rise. “It is ludicrous to believe that asset bubbles can only be recognized in hindsight,” he wrote. “There are specific identifiers that are entirely recognizable during the bubble’s inflation. One hallmark of mania is the rapid rise in the incidence and complexity of fraud.… The FBI reports mortgage-related fraud is up fivefold since 2000.” Bad behavior was no longer on the fringes of an otherwise sound economy; it was its central feature. “The salient point about the modern vintage of housing-related fraud is its integral place within our nation’s institutions,” he added.

When his investors learned that their money manager had actually put their money directly where his mouth had long been, they were not exactly pleased. As one investor put it, “Mike’s the best stock picker anyone knows. And he’s doing … what?” Some were upset that a guy they had hired to pick stocks had gone off to pick rotten mortgage bonds instead; some wondered, if credit-default swaps were such a great deal, why Goldman Sachs would be selling them; some questioned the wisdom of trying to call the top of a 70-year housing cycle; some didn’t really understand exactly what a credit-default swap was, or how it worked. “It has been my experience that apocalyptic forecasts on the U.S. financial markets are rarely realized within limited horizons,” one investor wrote to Burry. “There have been legitimate apocalyptic cases to be made on U.S. financial markets during most of my career. They usually have not been realized.” Burry replied that while it was true that he foresaw Armageddon, he wasn’t betting on it. That was the beauty of credit-default swaps: they enabled him to make a fortune if just a tiny fraction of these dubious pools of mortgages went bad.

Inadvertently, he’d opened up a debate with his own investors, which he counted among his least favorite activities. “I hated discussing ideas with investors,” he said, “because I then become a Defender of the Idea, and that influences your thought process.” Once you became an idea’s defender, you had a harder time changing your mind about it. He had no choice: among the people who gave him money there was pretty obviously a built-in skepticism of so-called macro thinking. “I have heard that White Mountain would rather I stick to my knitting,” he wrote, testily, to his original backer, “though it is not clear to me that White Mountain has historically understood what my knitting really is.” No one seemed able to see what was so plain to him: these credit-default swaps were all part of his global search for value. “I don’t take breaks in my search for value,” he wrote to White Mountain. “There is no golf or other hobby to distract me. Seeing value is what I do.”

When he’d started Scion, he told potential investors that, because he was in the business of making unfashionable bets, they should evaluate him over the long term—say, five years. Now he was being evaluated moment to moment. “Early on, people invested in me because of my letters,” he said. “And then, somehow, after they invested, they stopped reading them.” His fantastic success attracted lots of new investors, but they were less interested in the spirit of his enterprise than in how much money he could make them quickly. Every quarter, he told them how much he’d made or lost from his stock picks. Now he had to explain that they had to subtract from that number these & subprime-mortgage-bond insurance premiums. One of his New York investors called and said ominously, “You know, a lot of people are talking about withdrawing funds from you.” As their funds were contractually stuck inside Scion Capital for some time, the investors’ only recourse was to send him disturbed-sounding e-mails asking him to justify his new strategy. “People get hung up on the difference between +5% and -5% for a couple of years,” Burry replied to one investor who had protested the new strategy. “When the real issue is: over 10 years who does 10% or better annually? And I firmly believe that to achieve that advantage on an annual basis, I have to be able to look out past the next couple of years.… I have to be steadfast in the face of popular discontent if that’s what the fundamentals tell me.” In the five years since he had started, the S&P 500, against which he was measured, was down 6.84 percent. In the same period, he reminded his investors, Scion Capital was up 242 percent. He assumed he’d earned the rope to hang himself. He assumed wrong. “I’m building breathtaking sand castles,” he wrote, “but nothing stops the tide from coming and coming and coming.”

Oddly, as Mike Burry’s investors grew restive, his Wall Street counterparties took a new and envious interest in what he was up to. In late October 2005, a subprime trader at Goldman Sachs called to ask him why he was buying credit-default swaps on such very specific tranches of subprime-mortgage bonds. The trader let it slip that a number of hedge funds had been calling Goldman to ask “how to do the short housing trade that Scion is doing.” Among those asking about it were people Burry had solicited for Milton’s Opus—people who had initially expressed great interest. “These people by and large did not know anything about how to do the trade and expected Goldman to help them replicate it,” Burry wrote in an e-mail to his C.F.O. “My suspicion is Goldman helped them, though they deny it.” If nothing else, he now understood why he couldn’t raise money for Milton’s Opus. “If I describe it enough it sounds compelling, and people think they can do it for themselves,” he wrote to an e-mail confidant. “If I don’t describe it enough, it sounds scary and binary and I can’t raise the capital.” He had no talent for selling.

Now the subprime-mortgage-bond market appeared to be unraveling. Out of the blue, on November 4, Burry had an e-mail from the head subprime guy at Deutsche Bank, a fellow named Greg Lippmann. As it happened, Deutsche Bank had broken off relations with Mike Burry back in June, after Burry had been, in Deutsche Bank’s view, overly aggressive in his demands for collateral. Now this guy calls and says he’d like to buy back the original six credit-default swaps Scion had bought in May. As the $60 million represented a tiny slice of Burry’s portfolio, and as he didn’t want any more to do with Deutsche Bank than Deutsche Bank wanted to do with him, he sold them back, at a profit. Greg Lippmann wrote back hastily and ungrammatically, “Would you like to give us some other bonds that we can tell you what we will pay you.”

Greg Lippmann of Deutsche Bank wanted to buy his billion dollars in credit-default swaps! “Thank you for the look Greg,” Burry replied. “We’re good for now.” He signed off, thinking, How strange. I haven’t dealt with Deutsche Bank in five months. How does Greg Lippmann even know I own this giant pile of credit-default swaps?

Three days later he heard from Goldman Sachs. His saleswoman, Veronica Grinstein, called him on her cell phone instead of from the office phone. (Wall Street firms now recorded all calls made from their trading desks.) “I’d like a special favor,” she asked. She, too, wanted to buy some of his credit-default swaps. “Management is concerned,” she said. They thought the traders had sold all this insurance without having any place they could go to buy it back. Could Mike Burry sell them $25 million of the stuff, at really generous prices, on the subprime-mortgage bonds of his choosing? Just to placate Goldman management, you understand. Hanging up, he pinged Bank of America, on a hunch, to see if they would sell him more. They wouldn’t. They, too, were looking to buy. Next came Morgan Stanley—again out of the blue. He hadn’t done much business with Morgan Stanley, but evidently Morgan Stanley, too, wanted to buy whatever he had. He didn’t know exactly why all these banks were suddenly so keen to buy insurance on subprime-mortgage bonds, but there was one obvious reason: the loans suddenly were going bad at an alarming rate. Back in May, Mike Burry was betting on his theory of human behavior: the loans were structured to go bad. Now, in November, they were actually going bad.

The next morning, Burry opened The Wall Street Journal to find an article explaining how alarming numbers of adjustable-rate mortgage holders were falling behind on their payments, in their first nine months, at rates never before seen. Lower-middle-class America was tapped out. There was even a little chart to show readers who didn’t have time to read the article. He thought, The cat’s out of the bag. The world’s about to change. Lenders will raise their standards; rating agencies will take a closer look; and no dealers in their right mind will sell insurance on subprime-mortgage bonds at anything like the prices they’ve been selling it. “I’m thinking the lightbulb is going to pop on and some smart credit officer is going to say, ‘Get out of these trades,’” he said. Most Wall Street traders were about to lose a lot of money—with perhaps one exception. Mike Burry had just received another e-mail, from one of his own investors, that suggested that Deutsche Bank might have been influenced by his one-eyed view of the financial markets: “Greg Lippmann, the head [subprime-mortgage] trader at Deutsche Bank[,] was in here the other day,” it read. “He told us that he was short 1 billion dollars of this stuff and was going to make ‘oceans’ of money (or something to that effect.) His exuberance was a little scary.”

By February 2007, subprime loans were defaulting in record numbers, financial institutions were less steady every day, and no one but Mike Burry seemed to recall what he’d said and done. He had told his investors that they might need to be patient—that the bet might not pay off until the mortgages issued in 2005 reached the end of their teaser-rate period. They had not been patient. Many of his investors mistrusted him, and he in turn felt betrayed by them. At the beginning he had imagined the end, but none of the parts in between. “I guess I wanted to just go to sleep and wake up in 2007,” he said. To keep his bets against subprime-mortgage bonds, he’d been forced to fire half his small staff, and dump billions of dollars’ worth of bets he had made against the companies most closely associated with the subprime-mortgage market. He was now more isolated than he’d ever been. The only thing that had changed was his explanation for it.

Not long before, his wife had dragged him to the office of a Stanford psychologist. A pre-school teacher had noted certain worrying behaviors in their four-year-old son, Nicholas, and suggested he needed testing. Nicholas didn’t sleep when the other kids slept. He drifted off when the teacher talked at any length. His mind seemed “very active.” Michael Burry had to resist his urge to take offense. He was, after all, a doctor, and he suspected that the teacher was trying to tell them that he had failed to diagnose attention-deficit disorder in his own son. “I had worked in an A.D.H.D. clinic during my residency and had strong feelings that this was overdiagnosed,” he said. “That it was a ‘savior’ diagnosis for too many kids whose parents wanted a medical reason to drug their children, or to explain their kids’ bad behavior.” He suspected his son was a bit different from the other kids, but different in a good way. “He asked a ton of questions,” said Burry. “I had encouraged that, because I always had a ton of questions as a kid, and I was frustrated when I was told to be quiet.” Now he watched his son more carefully and noted that the little boy, while smart, had problems with other people. “When he did try to interact, even though he didn’t do anything mean to the other kids, he’d somehow tick them off.” He came home and told his wife, “Don’t worry about it! He’s fine!”

His wife stared at him and asked, “How would you know?”

To which Dr. Michael Burry replied, “Because he’s just like me! That’s how I was.”

Their son’s application to several kindergartens met with quick rejections, unaccompanied by explanations. Pressed, one of the schools told Burry that his son suffered from inadequate gross and fine motor skills. “He had apparently scored very low on tests involving art and scissor use,” said Burry. “Big deal, I thought. I still draw like a four-year-old, and I hate art.” To silence his wife, however, he agreed to have their son tested. “It would just prove he’s a smart kid, an ‘absentminded genius.’”

Instead, the tests administered by a child psychologist proved that their child had Asperger’s syndrome. A classic case, she said, and recommended that he be pulled from the mainstream and sent to a special school. And Dr. Michael Burry was dumbstruck: he recalled Asperger’s from med school, but vaguely. His wife now handed him the stack of books she had accumulated on autism and related disorders. On top were The Complete Guide to Asperger’s Syndrome, by a clinical psychologist named Tony Attwood, and Attwood’s Asperger’s Syndrome: A Guide for Parents and Professionals.

“Marked impairment in the use of multiple non-verbal behaviors such as eye-to-eye gaze … ” Check. “Failure to develop peer relationships … ” Check. “A lack of spontaneous seeking to share enjoyment, interests, or achievements with other people … ” Check. “Difficulty reading the social/emotional messages in someone’s eyes … ” Check. “A faulty emotion regulation or control mechanism for expressing anger … ” Check. “One of the reasons why computers are so appealing is not only that you do not have to talk or socialize with them, but that they are logical, consistent and not prone to moods. Thus they are an ideal interest for the person with Asperger’s Syndrome … ” Check. “Many people have a hobby.… The difference between the normal range and the eccentricity observed in Asperger’s Syndrome is that these pursuits are often solitary, idiosyncratic and dominate the person’s time and conversation.” Check … Check …Check.

After a few pages, Michael Burry realized that he was no longer reading about his son but about himself. “How many people can pick up a book and find an instruction manual for their life?” he said. “I hated reading a book telling me who I was. I thought I was different, but this was saying I was the same as other people. My wife and I were a typical Asperger’s couple, and we had an Asperger’s son.” His glass eye no longer explained anything; the wonder is that it ever had. How did a glass eye explain, in a competitive swimmer, a pathological fear of deep water—the terror of not knowing what lurked beneath him? How did it explain a childhood passion for washing money? He’d take dollar bills and wash them, dry them off with a towel, press them between the pages of books, and then stack books on top of those books—all so he might have money that looked “new.” “All of a sudden I’ve become this caricature,” said Burry. “I’ve always been able to study up on something and ace something really fast. I thought it was all something special about me. Now it’s like ‘Oh, a lot of Asperger’s people can do that.’ Now I was explained by a disorder.”

He resisted the news. He had a gift for finding and analyzing information on the subjects that interested him intensely. He always had been intensely interested in himself. Now, at the age of 35, he’d been handed this new piece of information about himself—and his first reaction to it was to wish he hadn’t been given it. “My first thought was that a lot of people must have this and don’t know it,” he said. “And I wondered, Is this really a good thing for me to know at this point? Why is it good for me to know this about myself?”

He went and found his own psychologist to help him sort out the effect of his syndrome on his wife and children. His work life, however, remained uninformed by the new information. He didn’t alter the way he made investment decisions, for instance, or the way he communicated with his investors. He didn’t let his investors know of his disorder. “I didn’t feel it was a material fact that had to be disclosed,” he said. “It wasn’t a change. I wasn’t diagnosed with something new. It’s something I’d always had.” On the other hand, it explained an awful lot about what he did for a living, and how he did it: his obsessive acquisition of hard facts, his insistence on logic, his ability to plow quickly through reams of tedious financial statements. People with Asperger’s couldn’t control what they were interested in. It was a stroke of luck that his special interest was financial markets and not, say, collecting lawn-mower catalogues. When he thought of it that way, he realized that complex modern financial markets were as good as designed to reward a person with Asperger’s who took an interest in them. “Only someone who has Asperger’s would read a subprime-mortgage-bond prospectus,” he said.

I the spring of 2007, something changed—though at first it was hard to see what it was. On June 14, the pair of subprime-mortgage-bond hedge funds effectively owned by Bear Stearns were in freefall. In the ensuing two weeks, the publicly traded index of triple-B-rated subprime-mortgage bonds fell by nearly 20 percent. Just then Goldman Sachs appeared to Burry to be experiencing a nervous breakdown. His biggest positions were with Goldman, and Goldman was newly unable, or unwilling, to determine the value of those positions, and so could not say how much collateral should be shifted back and forth. On Friday, June 15, Burry’s Goldman Sachs saleswoman, Veronica Grinstein, vanished. He called and e-mailed her, but she didn’t respond until late the following Monday—to tell him that she was “out for the day.”

“This is a recurrent theme whenever the market moves our way,” wrote Burry. “People get sick, people are off for unspecified reasons.”

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文章时间: 2010-3-08 周一, 下午4:55    标题: 引用回复

(Cont'd)

On June 20, Grinstein finally returned to tell him that Goldman Sachs had experienced “systems failure.”

That was funny, Burry replied, because Morgan Stanley had said more or less the same thing. And his salesman at Bank of America claimed they’d had a “power outage.”

“I viewed these ‘systems problems’ as excuses for buying time to sort out a mess behind the scenes,” he said. The Goldman saleswoman made a weak effort to claim that, even as the index of subprime-mortgage bonds collapsed, the market for insuring them hadn’t budged. But she did it from her cell phone, rather than the office line. (Grinstein didn’t respond to e-mail and phone requests for comment.)

They were caving. All of them. At the end of every month, for nearly two years, Burry had watched Wall Street traders mark his positions against him. That is, at the end of every month his bets against subprime bonds were mysteriously less valuable. The end of every month also happened to be when Wall Street traders sent their profit-and-loss statements to their managers and risk managers. On June 29, Burry received a note from his Morgan Stanley salesman, Art Ringness, saying that Morgan Stanley now wanted to make sure that “the marks are fair.” The next day, Goldman followed suit. It was the first time in two years that Goldman Sachs had not moved the trade against him at the end of the month. “That was the first time they moved our marks accurately,” he notes, “because they were getting in on the trade themselves.” The market was finally accepting the diagnosis of its own disorder.

It was precisely the moment he had told his investors, back in the summer of 2005, that they only needed to wait for. Crappy mortgages worth nearly $400 billion were resetting from their teaser rates to new, higher rates. By the end of July his marks were moving rapidly in his favor—and he was reading about the genius of people like John Paulson, who had come to the trade a year after he had. The Bloomberg News service ran an article about the few people who appeared to have seen the catastrophe coming. Only one worked as a bond trader inside a big Wall Street firm: a formerly obscure asset-backed-bond trader at Deutsche Bank named Greg Lippmann. The investor most conspicuously absent from the Bloomberg News article—one who had made $100 million for himself and $725 million for his investors—sat alone in his office, in Cupertino, California. By June 30, 2008, any investor who had stuck with Scion Capital from its beginning, on November 1, 2000, had a gain, after fees and expenses, of 489.34 percent. (The gross gain of the fund had been 726 percent.) Over the same period the S&P 500 returned just a bit more than 2 percent.

Michael Burry clipped the Bloomberg article and e-mailed it around the office with a note: “Lippmann is the guy that essentially took my idea and ran with it. To his credit.” His own investors, whose money he was doubling and more, said little. There came no apologies, and no gratitude. “Nobody came back and said, ‘Yeah, you were right,’” he said. “It was very quiet. It was extremely quiet.”

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文章时间: 2010-3-15 周一, 上午6:13    标题: 引用回复

Goldman Sachs Squeezes Hedge Funds in $110 Billion `Collateral Arbitrage'

Goldman Sachs Demands Derivatives Collateral It Won’t Dish Out



March 15 (Bloomberg) -- Goldman Sachs Group Inc. and JPMorgan Chase & Co., two of the biggest traders of over-the- counter derivatives, are exploiting their growing clout in that market to secure cheap funding in addition to billions in revenue from the business.

Both New York-based banks are demanding unequal arrangements with hedge-fund firms, forcing them to post more cash collateral to offset risks on trades while putting up less on their own wagers. At the end of December this imbalance furnished Goldman Sachs with $110 billion, according to a filing. That’s money it can reinvest in higher-yielding assets.

“If you’re seen as a major player and you have a product that people can’t get elsewhere, you have the negotiating power,” said Richard Lindsey, a former director of market regulation at the U.S. Securities and Exchange Commission who ran the prime brokerage unit at Bear Stearns Cos. from 1999 to 2006. “Goldman and a handful of other banks are the places where people can get over-the-counter products today.”

The collapse of American International Group Inc. in 2008 was hastened by the insurer’s inability to meet $20 billion in collateral demands after its credit-default swaps lost value and its credit rating was lowered, Treasury Secretary Timothy F. Geithner, president of the Federal Reserve Bank of New York at the time of the bailout, testified on Jan. 27. Goldman Sachs was among AIG’s biggest counterparties.

Goldman Sachs Chief Financial Officer David Viniar has said that his firm’s stringent collateral agreements would have helped protect the firm against a default by AIG. Instead, a $182.3 billion taxpayer bailout of AIG ensured that Goldman Sachs and others were repaid in full.

Extracting Collateral

Over the last three years, Goldman Sachs has extracted more collateral from counterparties in the $605 trillion over-the- counter derivatives markets, according to filings with the SEC.

The firm led by Chief Executive Officer Lloyd C. Blankfein collected cash collateral that represented 57 percent of outstanding over-the-counter derivatives assets as of December 2009, while it posted just 16 percent on liabilities, the firm said in a filing this month. That gap has widened from rates of 45 percent versus 18 percent in 2008 and 32 percent versus 19 percent in 2007, company filings show.

“That’s classic collateral arbitrage,” said Brad Hintz, an analyst at Sanford C. Bernstein & Co. in New York who previously worked as treasurer at Morgan Stanley and chief financial officer at Lehman Brothers Holdings Inc. “You always want to enter into something where you’re getting more collateral in than what you’re putting out.”

Using the Cash

The banks get to use the cash collateral, said Robert Claassen, a Palo Alto, California-based partner in the corporate and capital markets practice at law firm Paul, Hastings, Janofsky & Walker LLP.

“They do have to pay interest on it, usually at the Fed funds rate, but that’s a low rate,” Claassen said.

Goldman Sachs’s $110 billion net collateral balance in December was almost three times the amount it had attracted from depositors at its regulated bank subsidiaries. The collateral could earn the bank an annual return of $439 million, assuming it’s financed at the current Fed funds effective rate of 0.15 percent and that half is reinvested at the same rate and half in two-year Treasury notes yielding 0.948 percent.

“We manage our collateral arrangements as part of our overall risk-management discipline and not as a driver of profits,” said Michael DuVally, a spokesman for Goldman Sachs. He said that Bloomberg’s estimates of the firm’s potential returns on collateral were “flawed” and declined to provide further explanation.

JPMorgan, Citigroup

JPMorgan received cash collateral equal to 57 percent of the fair value of its derivatives receivables after accounting for offsetting positions, according to data contained in the firm’s most recent annual filing. It posted collateral equal to 45 percent of the comparable payables, leaving it with a $37 billion net cash collateral balance, the filing shows.

In 2008 the cash collateral received by JPMorgan made up 47 percent of derivative assets, while the amount posted was 37 percent of liabilities. The percentages were 47 percent and 26 percent in 2007, according to data in company filings.

By contrast, New York-based Citigroup Inc., a bank that’s 27 percent owned by the U.S. government, paid out $11 billion more in collateral on over-the-counter derivatives than it collected at the end of 2009, a company filing shows.

Brian Marchiony, a spokesman for JPMorgan, and Alexander Samuelson, a spokesman for Citigroup, both declined to comment.

Derivatives Market

The five biggest U.S. commercial banks in the derivatives market -- Citigroup, Goldman Sachs, JPMorgan, Morgan Stanley and Wells Fargo & Co. -- account for 97 percent of the notional value of derivatives held in the banking industry, according to the Office of the Comptroller of the Currency.

In credit-default swaps, the world’s five biggest dealers are JPMorgan, Goldman Sachs, Morgan Stanley, Frankfurt-based Deutsche Bank AG and London-based Barclays Plc, according to a report by Deutsche Bank Research that cited the European Central Bank and filings with the SEC.

Goldman Sachs and JPMorgan had combined revenue of $29.1 billion from trading derivatives and cash securities in the first nine months of 2009, according to Federal Reserve reports.

The U.S. Congress is considering bills that would require more derivatives deals be processed through clearinghouses, privately owned third parties that guarantee transactions and keep track of collateral and margin. A clearinghouse that includes both banks and hedge funds would erode the banks’ collateral balances, said Kevin McPartland, a senior analyst at research firm Tabb Group in New York.

‘Level Playing Field’

When contracts are negotiated between two parties, collateral arrangements are determined by the relative credit ratings of the two companies and other factors in the relationship, such as how much trading a fund does with a bank, McPartland said. When trades are cleared, the requirements have “nothing to do with credit so much as the mark-to-market value of your current net position.”

“Once you’re able to use a clearinghouse, presumably everyone’s on a level playing field,” he said.

Still, banks may maintain their advantage in parts of the market that aren’t standardized or liquid enough for clearing, McPartland said. JPMorgan CEO Jamie Dimon and Goldman Sachs’s Blankfein both told the Financial Crisis Inquiry Commission in January that they support central clearing for all standardized over-the-counter derivatives.

“The percentage of products that are suitable for central clearing is relatively small in comparison to the entire OTC derivatives market,” McPartland said.

Bilateral Agreements

A report this month by the New York-based International Swaps & Derivatives Association found that 84 percent of collateral agreements are bilateral, meaning collateral is exchanged in two directions.

Banks have an advantage in dealing with asset managers because they can require collateral when initiating a trade, sometimes amounting to as much as 20 percent of the notional value, said Craig Stein, a partner at law firm Schulte Roth & Zabel LLP in New York who represents hedge-fund clients.

JPMorgan’s filing shows that these initiation amounts provided the firm with about $11 billion of its $37.4 billion net collateral balance at the end of December, down from about $22 billion a year earlier and $17 billion at the end of 2007. Goldman Sachs doesn’t break out that category.

A bank’s net collateral balance doesn’t get included in its capital calculations and has to be held in liquid products because it can change quickly, according to an executive at one of the biggest U.S. banks who declined to be identified because he wasn’t authorized to speak publicly.

Counterparty Demands

Counterparties demanding collateral helped speed the collapse of Bear Stearns and Lehman Brothers, according to a New York Fed report published in January. Those that had posted collateral with Lehman were often in the same position as unsecured creditors when they tried to recover funds from the bankrupt firm, the report said.

“When the collateral is posted to a derivatives dealer like Goldman or any of the others, those funds are not segregated, which means that the dealer bank gets to use them to finance itself,” said Darrell Duffie, a professor of finance at Stanford University in Palo Alto. “That’s all fine until a crisis comes along and counterparties pull back and the money that dealer banks thought they had disappears.”

‘Greater Push Back’

While some hedge-fund firms have pushed for banks to put up more cash after the collapse of Lehman Brothers, Goldman Sachs and other survivors of the credit crisis have benefited from the drop in competition.

“When the crisis started developing, I definitely thought it was going to be an opportunity for our fund clients to make some headway in negotiating, and actually the exact opposite has happened,” said Schulte Roth’s Stein. “Post-financial crisis, I’ve definitely seen a greater push back on their side.”

Hedge-fund firms that don’t have the negotiating power to strike two-way collateral agreements with banks have more to gain from a clearinghouse than those that do, said Stein.

Regulators should encourage banks to post more collateral to their counterparties to lower the impact of a single bank’s failure, according to the January New York Fed report. Pressure from regulators and a move to greater use of clearinghouses may mean the banks’ advantage has peaked.

“Before the financial crisis, collateral was very unevenly demanded and somewhat insufficiently demanded,” Stanford’s Duffie said. A clearinghouse “should reduce the asymmetry and raise the total amount of collateral.”

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文章时间: 2010-3-15 周一, 上午6:37    标题: 引用回复

分析:Lehman Brothers倒闭报告震撼华尔街
英国《金融时报》 2010-03-15


Lehman Brothers倒闭调查报告所产生的冲击波,上周五撼动了华尔街与伦敦。美国官员就表外交易对各大银行进行质询,同时人们也对伦敦金融城在雷曼试图掩盖自身问题方面所扮演的角色提出了问题。

美国法庭任命安东•沃卢克斯(Anton Valukas)彻底调查雷曼在2008年9月倒闭的原因。沃卢克斯完成的2200页调查报告,列举了该行高级管理层——包括前首席执行官迪克•富尔德 (Dick Fuld)、三名首席财务官以及审计机构安永(Ernst & Young)——难以逃脱的各项责任。

这份报告得出的结论是,有可信的证据证明富尔德及其他人违背了自己的受信义务,并证明安永犯有专业过失。这样的结论对整个银行业本已遭受重创的可信度是又一次打击。

“给任何一帮银行家一英寸,他们就要拿走一英里,”伦敦MF Global的分析师西蒙•莫恩(Simon Maughan)表示。“雷曼也许拿走了两三英里。”

富尔德、报告中点名的雷曼首席财务官之一伊恩•洛维特(Ian Lowitt)、以及安永均否认有任何不当行为。记者联系不上另外两名首席财务官艾琳•卡兰(Erin Callan)和克里斯托弗•奥马拉(Christopher O'Meara)请其置评。

美国一些资深金融高管表示,他们在上周五一早接到美国监管机构忧心忡忡的电话,询问他们有关“回购105”(Repo 105)等交易的运用情况。“回购105”是雷曼用来粉饰其财务健康的一种工具。

这些交易从未向投资者、评级机构或监管机构披露。沃卢克斯在上周四发布的报告中,将其形容为“门面粉饰”和“会计花招”。

曾与雷曼竞争投行业务、并有过类似融资需求的高盛(Goldman Sachs)和摩根士丹利(Morgan Stanley)表示,他们从未利用此类交易。

知情人士表示,美国监管机构希望确保“回购105”不是一种普遍的操作。雷曼曾利用此类交易,在2008年第一和第二季度结束时将大约500亿美元转移出了自己的资产负债表。

沃卢克斯称,这些交易帮助雷曼在危机高峰时缩小自己的杠杆率和资产负债表,从而避免了潜在代价高昂的评级下调,但在其真实财务状况方面误导了投资者。

银行家们表示,“回购105”是一种不同寻常的举动,因为它比传统的回购操作代价更高。回购是指一家银行以证券为质押,从另一家银行借得现金,并承诺连本带息返还这些资金。

沃卢克斯发现,雷曼不得不通过其英国子公司安排这些交易,因为它找不到愿意对这些交易发表法律意见的美国律师事务所。

结果,雷曼使用了英国的年利达律师事务所(Linklaters)。年利达上周五表示,沃卢克斯未曾与该所联系,并补充称,该所已重新审议了自己提供的法律意见,“没有得知有任何事实或情况能为任何批评提供依据”。

雷曼在回购操作中的交易对手方包括巴克莱(Barclays)、瑞银(UBS)、瑞穗(Mizuho)、三菱(Mitsubishi)、荷兰银行(ABN Amro)——如今是苏格兰皇家银行(RBS),以及比利时联合银行(KBC)。这些银行或是不愿置评,或是联系不上。

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文章时间: 2010-3-15 周一, 上午6:49    标题: 引用回复

安东尼·波顿的中国冒险
英国《金融时报》 2010-03-02


如果我的经验可以作为参考,那么可以说,基金业最近发生的事情,很少有比安东尼•波顿(Anthony Bolton)决定重返全职投资管理工作、接手富达(Fidelity)旗下新的中国基金更让人感兴趣了。

他这么做似乎违反了杰里米•格兰瑟姆(Jeremy Grantham)经过反复验证的黄金法则:左右基金管理业格局的最大动力来自职业风险(并予以规避)。

这样一位大名鼎鼎的选股者,冒险接手一项新的事业,而这项事业极有可能事与愿违,并损害自己花30年时间打拼出来的盛名,究竟是为什么呢?

毕竟, 2007年年底波顿退休时,他的过往记录无人能比:他管理的“特殊情况基金”28年间的年化回报率较富时全类股指数(FTSE All-Share index)高出惊人的6%。他在2003年以前掌管了13年之久的欧洲基金的回报率也较基准高出很多。

在颇有先见之明地选择了退出基金管理业的时机——他交出“特殊情况基金”的时间刚好避开了2007至2009年间的惨淡熊市——之后选择复出,推出一只新基金,投资于一个许多人认为已经估值过高的新兴市场,而且还位于他不甚了解、没有多少经验的世界另一头,这无疑是一种高风险策略。

波顿不会讲普通话或广东话,他自己也承认,外语一直是他的老大难问题。虽然如今将处身中国寻找投资机会,但他不会去学习那里的母语。

稍加想象就会发现,这就是电视剧《是,大臣》(Yes Minister)中的名角——汉弗莱爵士(Sir Humphrey)所说的那种“勇敢决定”。

这只新封闭式基金的招募说明书于上周公布。富达为此次发行设定的目标是融资10亿美元。

这不仅意味着,它是英国有史以来发行规模最大的投资信托,同时也确保了,如果该基金业绩不佳,肯定会弄得人尽皆知——也就是说,波顿的事业与名誉都面临重大风险。

了解他的人都知道,他并不是随随便便就接受了这项新的挑战。

可以肯定,这只中国基金的推出时机经过了深思熟虑。认为他移居香港仅仅是因为那里税收较低的观点,无论对几近破产的英国的公民多么有吸引力,都是经不起仔细推敲的。

同样,尽管该基金的推广力度很大(富达是第一次在发行投资信托时向中间商支付佣金),但认为他是被逼无奈才同意管理这只新基金,以提振雇主每况愈下的英国销售业绩的观点,也是不足为信的。

由于几年前就对中国股市产生了兴趣,因此我毫不怀疑,波顿对有机会在中国选股所报以的热忱是真挚的。

虽然他只承诺管理新基金两年——这一点令许多顾问感到不安——但我完全无法想象,如果遇到许多怀疑人士似乎认为有可能发生的中国股市崩盘,他会放弃这只基金。

我最近代表《独立投资者》(Independent Investor)采访过波顿。我怀疑,在他看来,有关中国股市存在泡沫的讨论不是小题大做了——显然,它随时有可能发生——而是有点无关紧要。

与所有新兴市场一样,中国股市必然会比发达市场更加动荡,但这是为获得超常回报而支付的一部分代价。

如果市场真的大幅下跌,日后的反弹也就可能更加强劲。富达选择封闭式结构,大概正是为了防范这样的结果。

虽然大家都在谈论泡沫,但中国股市仅处在历史高位的一半。历史上,国内生产总值(GDP)达到某个水平的新兴经济体都会坚决地转向消费主义,而中国经济即将达到这种水平;股市的效率还很低;随着时间的推移,人民币几乎肯定会升值,为外国投资者提供必要的保护。

对于打算把眼光放长远一些的投资者来说,所有这一切都是正面消息。


在招募说明书公布之前,我们无从判断该基金将有怎样的表现。可以肯定的是,波顿将忠实于自己的原则。30年前他得出结论,跑赢市场的唯一办法就是要与市场不同。

毕竟,这才是特立独行的含义所在。无论成败,新基金已经确保,在芸芸众生把他们的一致观点和对风险的厌恶带到坟墓里去之后,他的名字仍将长久地被人铭记。


乔纳森•戴维斯(Jonathan Davis)著有《安东尼•波顿教你选股》(Investing With Anthony Bolton)一书。采访刊登在www.independent- investor.com。

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文章时间: 2010-3-16 周二, 上午8:09    标题: 引用回复

Hedge Funds
Funds May Pull in $22 Billion This Year
March 16, 2010, 7:35 am

Hedge funds across the globe could pull in $222 billion in fresh capital in 2010, Bloomberg News reported, citing a new survey by Deutsche Bank.

According to Deutsche Bank’s report, that would bring industry’s assets up to $1.72 trillion, Bloombeg said.

However, figures differ on the global assets of the hedge fund industry. Bloomberg noted that data provider Hedge Fund Research estimated industry assets at $1.6 trillion as of December, 2009.

Meanwhile, a recent survey by Hedge Fund Intelligence found that global hedge fund assets rose 10 percent in the second half of 2009 to hit $1.89 trillion by the year’s end.

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文章时间: 2010-3-20 周六, 上午9:03    标题: 引用回复

March 19, 2010, 9:51 AM EDT * Market Junkie »
Money-market funds see biggest outflow since Lehman bankruptcy


Investors pulled $60 billion out of money-market funds in the latest week, the biggest shift since Lehman filed for bankruptcy at the height of the credit crisis in September 2008, according to Merrill Lynch. That was also when the Reserve Primary Fund collapsed.

The biggest mutual-fund recipients of those flows were high-grade bond funds and equities, credit strategist Mike Cho said in a note Friday, citing Lipper data. Almost $1.3 billion went into high-grade bond funds, the 54th consecutive week of inflows.

Equity funds received $2.78 billion, “which is relatively minor compared to percent of assets,” Cho said.

High-yield funds saw inflows of $597 million, following two weeks of strong gains.

So far this year, emerging-market debt and bank loans have seen the highest proportion of inflows into mutual funds, with the percentage of assets in each rising more than 13%, according to Cho.

Equities have seen the largest dollar amount of inflows – almost $9 billion this year — but that represents just 0.2% of assets in stock funds.

Money market funds have lost $239 billion, or 7.5% of assets this year.

— Deborah Levine


* bond funds,
* emerging-market debt,
* equity funds,
* money markets,
* mutual funds


http://blogs.marketwatch.com/marketjunkie/2010/03/19/money-market-funds-see-biggest-outflow-since-lehman-bankruptcy/

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文章时间: 2010-5-27 周四, 下午9:47    标题: 引用回复

Goldman Sachs Says Sell-Off Consistent With Past Corrections, Sees S&P 500 at 1,300
May 24, 2010 2:57 PM EDT

http://www.streetinsider.com/Trader+Talk/Goldman+Sachs+Says+Sell-Off+Consistent+With+Past+Corrections,+Sees+S%26P+500+at+1,300/5668140.html


Despite the recent 12% market sell-off, Goldman Sachs' U.S. equity strategists have not altered their fundamental view that U.S. stocks will go higher. They see the S&P 500 rising to 1,300 mid-year, before ending the year at 1,250.

Lost in the headlines is that the S&P 500 is up 60% from its trough in March 2009, Goldman notes.

While the firm recognizes the European risk, they said only 10% of the S&P 500's revenue comes from Europe, Middle East and Africa combined.

Goldman Sachs said this pullback is consistent with sell-offs that occurred in recoveries following bottoms in 1974, 1982, 1987, 1990 and 2002. The firm's data shows that multiple sell-offs of between 7% and 15% occurred during the first two years of these recoveries.

According to the firm's data:

* The October 1974 correction had three corrections of 5% or more, with the median correction 13.6%.
* The August 1982 correction had three corrections of 5% or more, with the median correction 6.9%.
* The December 1987 correction had six corrections of 5% or more, with the median correction 7%.
* The October 1990 correction had six corrections of 5% or more, with the median correction 5.9%.
* The October 2002 correction had three corrections, with the median correction of 8.2%.
* This correction (March 2009) has had five 5% or more corrections so far with the median correction of 7.1%.

They also said the correction has been orderly as "sector returns have been exactly in-line with beta-adjusted expected performance." Telecom Services was the top performing sector down 3.4% while Financials was the worst performing sector down 9.7%.

The firm has a top-down EPS forecasts of $76 for 2010 and $90 for 2011, representing growth of 33% and 20%, respectively.

Cool

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文章时间: 2010-5-28 周五, 上午11:45    标题: 引用回复


李嘉诚看多石油,不信会有二次探底!

2010-05-28

昨天,李嘉诚在香港的记者招待会上答记者问,有记者问现在是否是入市抄底的好时机,李嘉诚
没有正面回答,但是他表示,已经指示旗下的能源企业赫斯基公司开足马力加大石油生产。他说,
当目前的风波过去后,世界经济对石油的需求就会快速上升,现在就要开始准备;他还表示,美
国仍在稳步复苏中,而中国的石油需求年复一年的与日俱增,将来不怕需求不足,只怕供应不够。


***************************************************************

我不敢说李嘉诚是个抄底高手,但他却是个逃顶高手

2008年,上证从5000点向6000点进军时,李嘉诚就把
手里的中资港股如南方航空等卖个精光,先走为快。
事实证明,李超人看大形势还是比一般人有眼光的。

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文章时间: 2010-6-01 周二, 下午12:55    标题: 引用回复


末日帝国内幕 --读"大空头" 有感 (上)

2010-04-14 18:04:49


麦克-路易斯的新作 "The Big Short - Inside the Doomsday Machine"- (中文译为“大空头-- 末日帝国内幕”)过去几周一直高居“纽约时报”最畅销书籍的榜首。断断续续看完这本书有一个多礼拜了,一直想写点感想,但一来家里家外事务繁忙,二来该书涉及到很多金融方面的术语,用中文写起评论来很麻烦,所以就搁置下来。这两天有点儿空,开了个头,结果便欲罢不能,把第一部分写出来了。贴在这里和大家分享一下。

这是我第一次读这位作者的书,尽管他的其他好几部作品都曾经荣登畅销书名单甚至榜首,比如刚刚获得奥斯卡奖(女演员奖) 的“盲点”,就是根据他的同名作品改编的。其他还有同样以华尔街内幕为主题的"Liar's Poker" 和"Moneyball" 。路易斯善于将复杂的,专业的内容用故事的方式讲述出来,文笔流畅,本来很难懂的内容在他笔下变得引人入胜(用前段时间流行万维 的话说,绝对是“全脑型”人才, 呵呵)。"The Tipping Point", "The Outliers" 等畅销书作者Malcolm Gladwell 称他是“我们时代最棒的讲故事者”。这当然得益于他的职业背景,因为他本人就曾经是金融界的 “圈内人士”,早在1985 年就受雇于 Salomon Brothers。 在本书的前言中,他这样描写当时的经历:

“我一直无法明白,华尔街的投资银行为何愿意花费十几二十万美元来请我给予他们的成年顾客所谓的投资咨询。我只有二十四岁,没有任何经验可言,甚至根本没有任何兴趣来猜测哪个股票或者债卷会增值。 华尔街的根本作用就是分配资产 -- 决定谁该得到,谁不该得到投资人的资产。相信我,我根本对此毫无clue. 我从来没有上过一天会计课程,没有管理过任何公司,连我自己的储蓄簿都没有管理过。我在85年时糊里糊涂地进入了所罗门兄弟投资银行,三年后又糊里糊涂地出来了(当然比三年前有钱多了)。尽管我后来将这段经历写进了书里,但当时做出离开的决定是非常容易的,因为我一直感觉,有人很快就会把我这个“冒牌货’ 揭露出来,当然还有成百上千和我异样的冒牌货们,然后把我们都赶走。在这个意义上来说,离开那么容易赚钱的地方实在不是一个很艰难的决定”。

这里提到的那本书,就是他的第一本畅销书“The Liar's Poker", 在这本书中他忠实地再现了80 年代中期金融界的那场危机。有趣的是,当时的路易斯认为,“I thought I was writing a period piece about the 1980s in America, when a great nation lost its financial mind. I expected readers of the future would be appalled that, back in 1986, the CEO of Salomon Brothers, was paid $3.1 million as he ran the business into ground. I expect them to be shocked that, once upon a time on Wall Street, the CEOs had only the vaguest idea of the complicated risks their bond traders were running".

If only he could see the future!

看到这里您可能已经猜到了,“ 大空头” 的背景正是始于2007 年的那场金融大危机。但路易斯与众不同的地方在于,他并没有像其他作者那样去着眼于那些“大人物”,或者说是那些 “usual suspects", 而是独辟蹊径,将目光聚焦到几个少为人知的投资人身上。这些主角都有一个共同点, 那就是他们都在危机来临之前,就预见到了它,而且将自己的预见使用于自己和顾客的投资策略中; 通过“反其道而行”的“大空头"策略,为自己和投资人大赚了N 笔。路易斯正是通过对这些“众人皆醉我独醒”的角色的深入描写,让我们得以窥视所谓的“末日帝国的内幕”。下面就是该书中主要人物的背景和他们在这个“大卖空”游戏中的角色的一个简单介绍:

主角一: Steve Eisman

爱斯曼先生出生于一个富有的纽约犹太人家庭的Eisman,毕业于宾大和哈佛法学院。做了三年公司律师之后,发现法律并不是自己喜欢的职业道路。好在他的父母都在著名的投资银行奥本海默工作,不费任何力气就为他谋到了一份在奥本海默的工作机会(当然条件是头一年的工资由老爸老妈开,然后再决定他是否值得公司花钱雇用)。 在家人和同事们眼中,是一个“怪人”,直率得近乎粗鲁,但又是一个极其聪明的家伙。一次一位很大的日本地产公司的CEO 来访,希望爱斯曼能够把他的公司推荐给顾客作为投资对象。爱斯曼看了他带来的文件后说:“你根本不拥有你自己的公司的股票啊?”翻译解释说,在日本,管理阶层一般不拥有自己公司的股票。爱斯曼又看了看他的财务报表,发现上面没有提供任何关于该公司的真正重要的信息。他对翻译说:“This is toilet paper. Translate that". 接下来的场景我们可以自由想象了。

就是这位被太太描述为“not tactically rude, he's sincerely rude" 的爱斯曼,早在1997 年就写过一篇报告,警告次级贷款的可能危害。尽管直到今天许多人也没听说过他的大名,但相信不少人对在2007 年多次对美国金融行业提出警示报告的Meredith Whitney 有点印象,而后者正是爱斯曼的“私授弟子”。

主角之二: Vinny Daniel

如果说爱斯曼是“衔着银勺子”出生的天生精英,丹尼尔则是一个出身平民的天才。出生在昆斯区,毕业于SUNY的丹尼尔,在Arthur Anderson 找到了第一份工作-- 为华尔街的一些大银行做审计。他很快就发现,要对这些投行进行审计,figure out whether they are making money or not, 是很困难的一件事,因为“它们都是巨大的黑盒子”。因此,他开始考虑换工作。因为机缘凑巧,他被爱斯曼所在的奥本海默雇用,并直接为爱斯曼工作。

丹尼尔在爱斯曼手下的第一个任务,就是分析一大堆由房屋贷款作为担保的投资对象。丹尼尔很快有了一个发现: 这些后来被称作 “次级贷款”的东西正在以惊人的速度增加,而为了保持这种增长速度,它们必须有“诱人的”账面数字,否则不能吸引投资人的资金。从一定程度上来说,这就是实质上的“庞氏骗局”。根据丹尼尔的分析,爱斯曼写出了一份分析报告,并送给有关投资公司。后者当然不以为然,并说他使用的数据是错的。对此,爱斯曼回敬道:“It's your f-ing data!"

主角之三: Dr. Michael Burry

在这几位各有特色的主角中,巴里大概是最独具特色的了。这不仅是因为他曾经是医学院毕业生,而且因为他从小就是一个凡事爱obsessed 的人。因为小时候的一场病,他的左眼是玻璃制作的假眼,他因此在社交上变得内向,不喜欢和人直接交往,即便是最好的朋友,他也更愿意写信和写电邮,而不喜欢面对面的交谈(he was later diagnosed with Aspergers syndrome,自闭症的一种)。这位怪才在斯坦福做神经科住院医的时候,在“业余时间”从事自己的投资爱好,并在一个类似于今天的博克网站的空间记录自己的投资所得,居然吸引了一大堆追随者,还有不少人用他的投资建议(后来他成立自己的对冲基金后得到的第一笔机构投资,就是因为对方曾经跟踪他的网上投资)。他是如何在高强度的住院医工作之余从事这样的“业余爱好”, 谁都不知道。有趣的是,当他无意中对自己的主管提到自己的投资活动时,后者震惊之余建议他去看心理医生。而心理医生给的诊断是什么?“躁郁症”! 对此,巴里当然是斥之以鼻 -- “你见过从来不会抑郁的bipolar 患者吗?”

巴里医生考到执照后,决定从医并非自己愿意选择的人生道路, 而是弃医从商,走上了职业投资人的道路。 因了他的网上投资成绩,他毫不费力地筹得了足够的资金-- 说"筹得",还不如说人家“送货上门” --巴里的最初投资者包括一个名叫White Mountain 的投资公司,这家公司的总裁Jack Byrne ,是巴非特的“inner circle”中的密友- 他一次就给了巴里六十万刀的基金,并承诺很快再追加到一千万 。这种cold call 在该公司历史上是头一次。就这样,凭着自己挣来的声誉,“空手套白狼”的巴里医生开始了他的投资生涯。当然他的成绩很快就证明,这些投资者对他的信任不是凭空而来的-- 2001年, S&P 500 跌了 11.8%, 但他的 Scion 增值 50%; 第二年, S&P下跌 22%, Scion 再次增加 16%! 到了第三年,2003年, 股市终于上扬,增幅达到29%, 但巴里再次“打败”了市场 ━ 他的投资增值达到 50%!!! 到2004 年底,他管理的总投资额达到了 $600 million, 并且开始 turning money away.

当然还有一个重要人物Greg Lippman ,and 次要一些的角色比如"accidental capitalists" Jamie Mai and Charlie Ledley , 这里就不一一列举了。据估计,在2005 年就开始bet against the market 的圈内人士,最多部超过20 人,而这里的主要人物,就占了这个小“圈子”的四分之一强。有次听NPR 采访路易斯,他提到这本书的电影改编权已经被 Brad Pitt 买下,后者很可能在该片中出演主要角色。但他又告诉主持人,他的心目中已经有这几位主角的“最佳人选”了-- 如果他可以选择, 他会选Matt Damon 演 Michael Burry,Brad Pitt 演 Vinny, 和 George Clooney 演Steve Eisman 。 听到这个line-up, 我的第一反映是: 这不是 Ocean's Eleven 吗? 呵呵。

主要人物基本上出场了,好戏怎样开始呢? 请看下集

(待续)

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文章时间: 2010-6-01 周二, 下午12:56    标题: 引用回复


末日帝国内幕 --读“大空头”有感(中)

2010-04-16 14:43:51


(本来想等明天再把这部分写完贴上的,可是今天看到高盛的新闻,觉得这篇还是早点贴比较 “timely”。 写得比较匆忙,请大家多包涵。)


上集把该书的作者背景和主要人物介绍了,现在就该讲讲 main plot 了-- 这些“众人皆醉我独醒”的先知先觉者们,到底是如何利用自己的“远见卓识”, “betting against the market"的呢?

这里就要提到一些金融上的常识。本人不是金融专家,有说得不对的地方,请各位提醒。谢谢。

投资股票的朋友知道,股票投资有“ 多头”("long") 和“空头”("short") 之分。 简单地说就是如果你看涨(或者看好)某个股票,希望长期持有,那么一般会选择“多头”; 如果你看跌某个股票(或者说不看好), 那么就可以做“空头”。在成熟的金融市场如美国,还准许你借钱卖空,属于投机的一种方式。所以,如果你认定房屋市场的泡沫要爆,那么理论上说就可以“卖空”和房屋市场有关的股票,比如builder 啊,Home Depot 啊之类的相关企业和行业。这点巴里早在2005 年就已经和他的投资人沟通过了。 在一封给投资股东的信中他这样说:

“Sometimes markets err big time。 Markets erred when they gave AOL the currency to buy Time Warner. They erred when they bet against George Soros and for the British pound. And they are erring right now by continuing to float along as if the most significant credit bubble history has ever seen does not exist. Opportunities are rare, and large opportunities on which one can put nearly unlimited capital to work at tremendous potential returns are even rarer. Selectively shorting the most problematic mortgage-backed securities in history today amounts to just such an opportunity. ”

但问题是,这些个股要反映市场趋势,可能会很慢,因为个股的走向除了市场的大环境以外,还受很多其他因素的影响, 很可能出现大市在下跌,但某些个股却拼命上涨的情况,所以不是最理想的卖空策略。而且shorting 个股,成本也太高,not the ideal way to bet against the market.

那么怎样才能从这个肯定要破掉的大泡泡赚钱呢?最好的策略,似乎应该是“卖空”用房屋抵押资产作为collateral 的债卷,因为这些债卷往往是许多单独的房屋贷款的集合 - 如果整个市场下跌,它们贬值的机率就比单个的个股要高的多,贬值的幅度也会大很多。但问题是,你不能直接“卖空”债卷 - 这种操作在目前的市场上不存在! 但是,聪明人自有聪明办法,你不让我直接卖空,那我就来个“曲线救国”,达到同样的“卖空房地产抵押资金”的目的。 这里,就有必要提到一个大家应该满熟悉的词语了- 这就是CDS - 信用违约掉期。

通俗地讲,Credit Default Swap (CDS) 就是贷款或信用违约保险。银行或其他金融机构在提供金融产品后,可能出现债务人违约,为了保障债权人权益,衍生出这种针对债务人违约的保险产品,旨在转移债权人风险。当借款人向贷款人(银行或其他金融机构)申请贷款时,贷款人为了保障贷款安全,以支付保费为前提向保险人(多为保险公司)投保。若借款人违约,由保险人代为偿还。具体来讲,CDS 的流程具体来讲是这样的: A向B申请贷款,B为了利息而放贷给A;但因为放贷出去的钱总有风险(如A破产,无法偿还利息和本金),那么这时候C出场,由C对B的这个风险予以保险承诺,条件是B每年向C支付一定的保险费用。如万一A破产的情况发生,那么由C补偿B所遭受的的损失。

但CDS 这个原本是用来转移信贷风险的“金融衍生产品”,很快就被一些保险公司用来作为赚取大笔利润的工具; 而购买CDS 的买方,也不再限于发放贷款的银行本身。而且,它很快就从以前的公司信用违约担保,扩展到针对风险更大的其他信用贷款,比如学生贷款,房屋贷款,直到次级房屋贷款。而这本书里的几个主要人物,就是在2003-2005 年之间就已经发现了购买CDS 作为变相“卖空”美国房屋市场的方法!

为什么说CDS 是投资小,风险低的卖空手段呢? 这里举个例子来说明。比如,你可以一年花费20 万美元的“保险金”,对价值一亿美元的GE 公司债卷 “下注”(你赌的是该笔信贷将在未来十年某个时刻违约并出现无法偿还的情况的可能性)。在这个情景中,你最多的“投注”不会超过两百万(一年20 万,最多付十年),但如果GE 债卷一旦出现违约无法偿付的情况,你就可以获得高达一亿美元的“赔偿”!!即便这个债卷不出现违约情况(这是对CDS 投资人的“最坏情景”), 你也最多陪掉两百万;相对你可能获得的回报来讲,这是很小的投资,尤其是如果你对这笔信贷“违约”的可能性十分信任的时候,这可以说是只赚不赔的如意买卖!!

事实上,到2005 年底,Dr. Michael Burry 已经从六家银行以极低的价格购买了大量的CDS 。 因为CDS 的交易是真正的“零和游戏” -- 如果一方赚了一百万,另一方一定要损失一百万。Burry一边大量收购CDS,一边怀疑:“是什么样的傻子在交易的另外一方呢?” 对这个问题,高盛明确地回答他,他们只是中间人,赚点交易费用而已. 那么, 谁是出售大量的CDS 的公司呢?

看到这里您应该可以猜到了交易的另一方是谁了吧 ? 它就是包括AIG在内的大保险公司!! 大家大概知道,AIG 就是因为大量出售CDS, 最终不堪大量的违约的房屋贷款补偿 金而濒于破产(最后被联邦政府bailed out)。 在2004 年之前,AIG FP 经手的CDS 中,只有2% 的 是为次级贷款投保; 但到了2004年以后,由高盛领头的华尔街投行就开始要求AIG 增加这类CDS 的额度,最后AIG 经手的CDS 产品中,有95% 都是以次级贷款为 抵押的。这也是为何不少人认为高盛在AIG 破产的事件中负有极大责任的原因。当然最后高盛在此事件中几乎没有担当什么法律责任。

说到这里,您对这几位“众人皆醉我独醒”的金融圈内人士将会如何玩这场“大卖空”的游戏,应该有点了解了吧。书中讲述了许多非常精彩的细节,这里就不重复了. 但本书让我最感到惊讶的,不是这些天才洞察市场的能力,而是他们同样感到困惑的问题:“如果我们都看到了这个市场在向悬崖越逼越近,难道别人会看不到吗?”

这场大危机中的其他的参与者,到底是真的clueless, 还是对危险视而不见(不管是出于什么样的原因和动机)? 如果这些拥有大众所无法接触的信息的精英们,对黑云压城的危机都毫无察觉,又怎么能够有信心地说,不会再有下一次了呢? 那些本来应该对金融行业提供监管的机构,比如S&P,Moody's,SEC, 在这场游戏中又扮演了什么角色呢?

该书的作者似乎更倾向于前一个解释,但我却感觉,这更象 一场“众人拾柴火焰高”的 “集体狂欢”,其中有一些毫无知觉的“跟风者”, 但肯定有一部分人是幕后操纵者。我这个一向不太相信“阴谋论”的人,在这个事情上似乎改变了立场。今天的高盛案件,如果指控成立的话,更会为这种理论提供证据 -- 根据起诉,GS大力推销Collateralized Debt Obligation (CDO)的同时,对投资人隐瞒了关键内幕- 包括 对冲基金投资人John Paulson ( 和 Henry Paulson 没有关系) 一方面为其CDO 公司ABACUS 选取CDO推荐给投资人,一方面却在暗中对这些自己推荐的CDO 进行“卖空”的 shocking fact-- 当这些CDO 因为内含的次级贷款纷纷违约而变得一钱不值的时候, John Paulson 从中赚取了十亿美元的暴利(GS earned 15% transaction fee); 而听取GS 的“投资建议”购买这些有毒资产CDO 的投资人们(including a German bank which purchased CDOs worth of $150 million),却损失了十亿美元的资产!! 当然,GS 完全否认所有的起诉 (John Paulson was not charged, though)! 也有一个说法是,这个起诉完全是奥巴马为了通过银行业监管法案而做的“姿态”, 是所谓“阳谋论”的体现, 因为这种“双手互博”(hedging)的做法在投资行业是很常见的。Who knows what really went on inside this giant machine?

不知不觉间,篇幅已经太长; CDO 和CDS 的关系,S&P, Moody's 等评级机构和其他的投行如GS 在这场“大危机”中的角色如何,留待下集再说吧。

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性别:性别:男
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十二宫图:天平宫
加入时间: 2009/11/10
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文章时间: 2010-6-01 周二, 下午12:57    标题: 引用回复


末日帝国内幕-- 读“大空头”有感(下)

2010-04-19 15:47:37


上篇主要介绍了作为“对冲”手段的CDS 的背景和操作。但要理解整个“末日帝国”真正让人震惊的“内幕”, 还有必要讲一讲另外一个投资工具,那就是CDO --Collateralized Debt Obligation.

CDO and CDS

CDO 到底是个什么东东呢? 先看一下定义:Collateralized Debt Obligations, are sophisticated financial tools that repackage individual loans into a product that can be sold on the secondary market. These packages consist of auto loans, credit card debt, corporate debt, or mortgage debt. They are called collateralized because they have some type of collateral behind them. CDO's are called asset-backed-commercial paper if the package consists of corporate debt, and mortgage-backed-securities if the loans are mortgages. But many times these terms are used interchangeably, so people also call the CDOs backed by mortgages asset-backed-securities, or ABS.

所以,说白了,CDO 就是把各种贷款集合在一起重新打包,在“二级市场”上出售的一种金融衍生品(许多CDO 包含几十上百个以贷款做抵押的债卷,而每个这样的债卷中至少包括上百个不同的贷款)。而且,不同的CDO 之间常常‘相互渗透’, 出现“你中有我,我中有你”的混乱状况,使得对组成CDO 的债卷和它名下的贷款进行分析变得十分困难。它实质上是一种“转嫁”信贷风险的方式,也是一种用来增加资金流动性的手段-- 因为这些贷款债卷经过包装之后,本身成为“二级市场”投资者们投资的对象;而“一级市场” 上提供贷款的银行,就可以将贷出去的资金间接周转,并用来投资其他的对象。这样一来,如果这些信贷出现问题,真正“hold the dirty bags" 的,就成了购买CDO 的二级市场投资人了。

所以,从根本上说,CDO 就是一种华尔街投行的精英们设计出来转嫁金融风险的工具。那么这些风险最后转嫁给了谁了呢? 就是世界各国毫不知情,盲目积累美国资产的国家和投资人们,比如那些东欧国家,香港和亚洲其他地方购买雷曼兄弟和AIG 股票和债卷的投资人们,和许多被高盛等投行“忽悠”大量买入以次贷为担保的CDO 的美国投资人(比如这次被SEC 起诉的高盛旗下的“算盘”投资公司所推销的总值十亿美元的CDO 的买家中,最大的一家就是一家德国银行(该行购买了一亿五千万美元价值的CDO)。苏黎世银行拥有的AAA rating,本来价值$340 millions 的CDO ,最后只能卖到$120 millions -- 损失过半! 而那些设计和经手这些工具的“始作俑者”,则因为“双手互博”的“对冲”策略(即左手卖CDO 给投资人,右手则购买CDS 作为风险对冲),在这场风暴中可以说是毫发无损。这种手段本身是允许的,但如果高盛是像SEC 起诉的那样,为了帮John Paulson 从CDS 中赚取暴利而专门量身打造CDO 来推销给投资人,并隐瞒 Paulson 在其中扮演的角色的话,那性质就不一样了。

看到这里,CDS 和CDO 的关系到底如何,应该比较明确了。实际上,CDS 就是“对冲”CDO 这种投资方式的一个工具-- 购买CDS, 就是对“CDO可能会变得一钱不值”这种可能性进行的“下注”。本书中的主角们,正是通过这个投资举动,在大量的CDO 大幅度贬值,甚至变得一钱不值的时候,为自己的资金赚得了五十甚至更多倍的回报!!

S&P, Moody, and Wall Street: Who's to Blame?

我一直在想,书中这些“众人皆醉我独醒”的投资者们所进行的“对冲”, 在这场危机中到底起到了什么作用?如果没有他们 进行对冲,这场危机是会变得更坏,还是好一些呢?在清醒地看到“泰坦尼克”号面前的冰山的时候,他们除了自己跳下船去(当然还顺便带走了船上属于他们的财富),是否也有责任和义务警告其他人危机的来临呢?

对自己和屈指可数的其他“同道者”在这场金融game 中所扮演的角色,书中一位主角, Deutsch Bank 的 Gregg Lippman, 这样总结道:

"The sub-prime mortgage market was like a great financial tug-of-war. On one side pulled the Wall Street machine making the loans, packaging the bonds, and repackaging the worst of the bonds into CDOs and then, when they ran out of loans, creating fake ones out of thin air. On the other side, the short sellers were betting against the loans. The optimists versus the pessimists. The fantasists versus the realists. The wrong versus the right. "

有意思的是,他对于自己作为“将要沉没的泰坦尼克号”上拔河的一方, 对将要沉没的船只和船上的其他人所负有的道德压力,曾经这样说过:

"Being short in 2007 and making money from it was fun, because we were short bad guys. But in 2008 it was the entire financial system that was at risk. We were still short. But you don't want the system to crash. It's sort of like the flood's about to happen and you are Noah. You are the ark. Yeah, you are okay. But you are not happy looking out at the flood. That's not a happy moment for Noah." 书中另外一个主要人物,爱斯曼的助手Vinny, 则对路易斯这样说:“The way we thought about it, which we don't like, is that by shorting this market, we're creating the liquidity to keep the market going."

当然,我的意思并非要这些本来就是为投资收益而工作的hedge fund investors,为别人制造的危机负什么道义上的责任,而是想指出这个 “everything is correlated ”的游戏中错综复杂,背后千丝万缕的关系。事实上,爱斯曼和其他的“先知先觉” 者们在2005-2007 年间曾经多次对有关方面提出警告,但奇怪的是几乎没有人相信甚至理睬他们。如果说高盛和其他的游戏参与者们这样做,是为了防止他们破坏自己精心设计的“盈利工具”,还情有可原的话,那么本来应该持有独立立场,维护投资市场的秩序和投资者利益的专业评级机构如 S&P and Moody's 等,也对这些“忠告”置之不理,就很难理解了。从书中的有关细节来看,这些本应该扮演“力挽狂澜”的监管者角色的评级机构,实际上在某种程度上,成为了 “推波助澜”的幕后操手之一。这, 才是“末日帝国内幕”中真正让我感到震惊的地方。

在2007 年的一个以CDO 为主题的行业集会上,爱斯曼终于意识到,“All the stuff I was worried about, the ratings agencies didn't care. I remember sitting there thinking: Jeez, this is really pathetic." 当然S&P 和 Moody's 本身作为上市公司,也要顾及自身的利益, 而S&P 和穆迪 之间对客户的竞争也让两者轻易不敢“得罪”这些华尔街用户。用爱斯曼的话来说,就是“S&P was worried if they demanded the data from Wall Street, Wall Street would just go to Moody's for their ratings". 因此,前一阵听说穆迪对美国可能因为债务过高而失去AAA 级别提出警告的时候, 我忍不住想笑,觉得这实在有点“贼喊捉贼”的讽刺意味。

2008 年十月,一位名叫Frank Raiter 的前S&P 次贷债卷分析师在国会的证词,再次证明S&P 和穆迪的“商业模式”上存在的结构性问题。 他作证说,S&P 专管次级贷款债卷的主管“根本不认为有对各个债卷包含的贷款进行个别分析的必要”。 他引用的一份 S&P 专管CDO 评级的主管 的一个电邮中这样说道:“Any request for loan-level tapes is TOTALLY UNNECESSARY! Most originators don't have it and can't provide it. Nevertheless we MUST produce a credit estimate... It is your responsibility to provide these credit estimate and your responsibility to devise some method to do so."

Shocking? Definitely so. 难怪爱斯曼在和S&P 和SEC的有关人员接触之后,毫不犹豫地卖空了Moody's 的股票!当然,在听了美国银行总裁 Ken Lewis 相关讲演并下了“Oh my God, he's dumb!” 的结论后,他也毫不犹豫地卖空了BA, UBC, CITI, ML, and Lehman Brothers 的股票。 如果他自己的公司不是名义上属于 Morgan Stanley旗下,他甚至会卖空MS!!

可以预料的是,游戏的最后,爱斯曼和其他的“主角” 们,无一例外地得到了巨大的回报。这不奇怪,因为他们的风险投资被证明是正确的。但奇怪的是,在这场拔河游戏的另一方,包括那些大华尔街投资银行的CEO 们和他们旗下的许多附属机构的基金管理者们, 尽管应该为自己的银行倒闭负责,却无一例外地“got out richer". 这才是整个事件最让人费解的地方。

阳谋? 阴谋?这场零和游戏,谁是买单者? 您自己下结论吧:)。

What's Next?

在本书最后一章,作者描写了2008 年9月18日这个“大崩盘”的日子,爱斯曼和Vinny 来到纽约的圣帕特里克大教堂,在门前台阶上的情景。“我们坐在那里,看着眼前来来往往的人群,感到自己似乎不属于这个世界。这是一种恍若隔世的感觉。这些人当中,有多少人会因为今天发生的一切而失去工作?谁会来租下这些即将空置的办公室?接下来,华尔街会发生什么样的改变?”

想象着金秋纽约的背景下,大教堂门前古老的台阶上这两个人的“孤独一刻”,一直对这本书改编成电影能否成功持有怀疑态度的我,猛然之间将所有的怀疑推翻 -- 这, 不是一个绝好的电影场景吗?



经过了这样一场“大危机“的“洗礼”,美国金融界会改变它的“游戏方式”吗?政府显然是决心改变游戏规则,除了大笔的资金为本来应该破产的银行输血,还酝酿出台了不少旨在增强对华尔街进行适当监管的法律。但与此同时,华尔街的big guys 似乎仍然在游刃有余地play the system 。为什么改变会如此艰难?对此,路易斯在 名为“ Everything is Correlated” 的结束章节中这样回答:

"The reason that American financial culture was so difficult to change -- the reason the political process would prove so slow to force change upon it, even after the subprime mortgage catastrophe - was that it had taken so long to create, and its assumptions had become so deeply embedded. The crisis of 2008 had its roots not just in the subprime loans made in 2005 but in ideas that had hatched in 1985. A friend of mine in Salomon Brothers who created the first mortgage derivative in 1986 used to say - 'Derivatives are like guns. The problem isn't the tools, it's who is using the tools'. "



这是一本很有趣的书。作者不愧是“我们时代最优秀的讲故事高手”(according to Malcome Gladwell),将复杂枯燥的金融操作描述得深入浅出,引人入胜。当然这在很大程度上是因为故事本身和主要人物的精彩。不管您是否是金融行业人士,相信都会 enjoy it!

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大道至简 锦衣夜行
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