有关宏MM HFS(Brevan,Caxton,Bluecrest等)的问题???
大家好!
I have a question about PM book sizes at these macro funds. For the names listed above, that have adopted the multi-manager-esque model, what do you think the average PM book is and the leverage that they take on?
I noticed that Brevan's master fund has ≈$9baum, 和像卡克斯顿这样的资金,摩尔,都铎王朝,他们的旗舰上似乎都有十亿个数字。
也就是说,Brevan的主要基金已超过50 pms,而Bluecrest也有极高的数量。这样做基本的数学,PM管理的普通书本不可能≈$ 200mm,对吗?这似乎很低。同样适用于Bluecrest
我在2009年读了一篇有关Bluecrest的文章,而BCI(Bluecrest Capital International Fund)的AUM售价为5B美元,但下午40点!
Do these macrohfs还像L/S MM一样杠杆4-5x?如果没有,似乎在这些地方没有太多的钱。
任何颜色都将不胜感激,Thx!
评论 (14)
200mm at 10% draw (20mm) sounds about right for the average book size
我以为$ 200毫米更像是MMS的首发书吗?
The size of the book should be compared to the drawdown and the cut of thePnL对于下午。
In certain cases, you prefer to have smaller books.
MMs(尤其是宏观的一面)从缩减限制的限制不超出书本大小。如果您是一本股票书,目标是3%的回报,那么可能的是200m是一本入门书,因为好一年将为600万,因此意味着减少了5-7m。
对平均书籍大小不知道。但是宏HF有杠杆吗?是的,当然还有很多!
Bondsand FX have very low volatility compared to equities, so macroHF如果他们想产生不错的回报,则必须利用。
他们绝对杠杆,普通书绝对大于200mm $ 200mm
杠杆比率是多少?
No idea.
我在提到的一家公司中工作。是的,平均书约为250毫米,尽管大多数公司使用卷而不是概念性。豆荚更瘦(2-3 ppl)vs说堡垒(我也在那里)(〜4-5 ppl)。
你能下午我吗?目前是S&T的分析师,很想了解更多。
Bluecrest were levered 5.7x-ish when they were managing outside money. This is probably in line with other macro funds, unless you're Coffey @Glg(10-20x). Platt said the firm would increase leverage 4x when they returned outside money, so I'm guessing they're in the range of 20-25x-ish, but aggressively cut risk when needed (Mar '20). Don't really know how much the firm manages -Bloomberg财富估计从字面上估计,他将自己的16亿美元保留在基金中,并且不进行定期发行,我怀疑这是风险/杠杆的增加,但是,是的,一本书的100-250m听起来很正确
非常有益。谢谢
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