OPA à Martifer: Visabeira e Mota-Engil ficam com 37,5% cada e irmãos Martins com 25%

[Midas]

Um caso típico de trades com excesso de confiança... Acontece aos melhores... Pois, o que levou o banco de inglaterra à falência também era bom, o problema é quando ficam cheios de confiança e poem o ego acima do mercado.

[Jabba_Hut]

para alguem ter perdido 30%, alguem com outra posicao deve ter ganho uma pipa de massa. ...E se calhar alguem negociava contratos estupidamente para outro alguem "apanhar" a' fartazana. E alegremente alguem vai enriquecendo enquanto muitos vao empobrecendo um pouquinho. Diga-se de passagem, que nao tenho pena nenhuma deste nenhuns deles.

jabba_Hut

[BullPower]

Só para dizer que o jovem trader de 32 anos tinha ganho 75 milhões de dólares como prémio pela performance que teve antes do desastre.

Acontece aos melhores...

Abraço e BN.

[Ulisses Pereira]

"Amaranth Debacle Creates Possibilities"

By Jim Cramer
RealMoney.com Columnist
9/21/2006 9:04 AM EDT

"What do you do if you are hugely short natural gas and you have no way to bring in all the position without roiling a very thin market?

I know what I would do. I would buy the worthless shell of Amaranth, the hedge fund that's, alas, just one big long natural gas contract.

That could be the trade of the century, short natural gas, cover with Amaranth.

I don't know if that's what Citadel -- the Chicago hedge fund that teamed with a big bank to buy Amaranth's energy portfolio -- is doing, but if I were short the commodity -- a fabulous move by the way -- this would be the best way to bring things in.

After all, what is Amaranth worth, other than a list of burned clients who want their money back?

Interesting ponder, no? "

(in www.realmoney.com)

[Rics]

Este blog tem uma entrada interessante sobre o secedido:
http://hedgefund.blogspot.com/2006/09/a ... unter.html


E já agora, no mesmo blog encontrei um outro post que acho muito interessante:
http://hedgefund.blogspot.com/2006/05/h ... naire.html

Nele fala-se dos salários milionários dos gestores de Hedge Funds.

[D1as]

Mais info.
O que aparece em parentese rectos é o link da info original.
Fonte: http://www.dealbreaker.com/
_____

Amaranth Meltdown Roundup

So much Amaranth news and commentary, so little attention-span. Fortunately, DealBreaker is here to deliver a quick round-up of today’s Amaranth news.
• There’s a domino loss effect going on at Amaranth. The fund was forced to sell half of its European loan portfolio to cover to cover the natural gas trading losses. The arranging banks bought these back at 96 to 96.5 percent of face value, delivering a two percent loss after fees. The losses could be even worse, depending on how much leverage Amaranth used to buy the loans. [Reuters]
• San Diego County’s pension fund may have been hit hard by Amaranth’s losses. The pension fund had about $160 million invested in Amaranth. [New York Times in Sydney Morning Herald]
• Amaranth’s clearing house is not in trouble, according to NYMEX. Anyone know which clearing house Amaranth uses? [Dow Jones Newswire in the New York Sun]
• Reuters profiles Brian Hunter. [Reuters]
• Chris Cox says Amaranth is a reminder of hedge fund risks. [Reuters]
• Amaranth’s losses seem to have given Cinram International Income Fund the balls to stand up to its largest shareholder. Yesterday it publicly rejected calls from Amaranth to put itself up for sale. Cinram Rejects Amaranth's Request to Hire Adviser [Bloomberg]
• Man Group fund exposed to Amaranth losses. It had 2.35 percent of its assets in Amaranth. Man business hit by Amaranth losses. [Times]
• Amaranth says it has reached an agreement to transfer all of its energy trades to a third party. Anyone know who? [Bloomberg]
• Funds of funds opeated by Morgan Stanley, Credit Suisse, Bank of New York and Deutsche Bank all recently had stakes in Amaranth ranging from 4 percent to seven percent of their assets. [New York Times]
• Amaranth’s meltdown is “not entirely unrelated” to Long-Term Capital [Jeff Matthews In Not Making This Up]

By John Carney | 09.20.06


Citadel and JP Morgan Chase Take Amaranth Energy Assets

Amaranth is out of the energy trading business all together (at least for now), according to CNBC's David Faber. Its entire energy portfolio has been off-loaded to Citadel and JP Morgan Chase, Faber reported moments ago. Those assets are even now most likely working their way into the broader markets.

No word on whether Brian Hunter, who headed the fund's energy trading operations and is said to be responsible for the enormous losses it recently suffered, still has a job.

By John Carney


Amaranth Meltdown Roundup, Part II

It’s been…what…an hour-and-a-half since we wrote about the Amaranth debacle? We’re sorry for leaving you in the dark for so long when so much is happening. Here’s the second part of our Amaranth Roundup for today.
• You knew it wouldn’t be long before the white hat of Johnny Lawman appeared coming over the crest of the hills, right? Connecticut Attorney-General Richard Blumenthal has raised the specter of “alleged representations” by Amaranth. His office is in the process of gathering evidence. Everyone’s friggin’ Eliot Spitzer these days. [Globe & Mail]
• And, of course, Congress is looking to get into the action. Amaranth’s troubles may prompt lawmakers to renew the push to regulate hedge funds. [CnnMoney.com]
• A Goldman Sachs fund listed on the London Stock Exchange was in to Amaranth to the tune of $25 million, about 5% of the firm’s total office. [Reuters]
• 3M’s pension fund was in to Amaranth too. [Bloomberg]
• Moody's says Amaranth’s loses will not risk the credit ratings of dealers who dealt with the hedge fund. [Reuters]

By John Carney | 09.20.06

[Ulisses Pereira]

Exactamente, CN. Mas também não duvido que a excelente renatbilidade que vinha tendo, muito se devia também a isso...

Eu diria que aquilo que aconteceu com o Pedro Caldeira é o exemplo extremo do que acabaste por dizer.

Um abraço,
Ulisses

[C.N.]

Oi!

Penso que deu barraca pela falta de liquidez do mercado. No artigo do link abaixo afirma-se que "a 32 year old Canadian energy trader by the name of Brian Hunter recently lost approximately $5 Billion USD in a period of one week in the natural gas market". Ora, sabendo que este mercado tem:

Average daily volume: 10,000 contracts
Average daily turnover: $500 Million
Open interest at present: 79,000 contracts with total notional value of $4 Billion

Percebe-se que estamos perante um caso de falta de liquidez, porque desfazer-se de uma posicao de alguns bilioes num mercado que so faz meio biliao por dia e dificil Liquidez essa que era conhecida antes de se piramidar posicoes e que nao foi tida em consideracao para o calculo de risco

Abraco com muita liquidez,

CN

Link: http://www.dailyfx.com/story/special_re ... 02266.html

[Camisa Roxa]

já agora aqui fica a história do LTCM tirado da wikipedia:

Long-Term Capital Management (LTCM) was a hedge fund founded in 1994 by John Meriwether (the former vice-chairman and head of bond trading at Salomon Brothers). On its board of directors were Myron Scholes and Robert C. Merton, who shared the 1997 Nobel Memorial Prize in Economics[1]. Initially amazingly successful, it folded in 1998, losing $4.6 billion in less than four months.

n addition to Meriwether, Scholes and Merton, also joining the company as principals were Eric Rosenfeld, Greg Hawkins, Larry Hilibrand, Dick Leahy, Victor Haghani and James McEntee. On 24 February 1994, LTCM began trading with $1,011,060,243 of investor capital.

The company had developed complex mathematical models to take advantage of fixed income arbitrage deals (termed convergence trades) usually with U.S., Japanese, and European government bonds. The basic idea was that over time the value of long-dated bonds issued a short time apart would tend to become identical. However the rate at which these bonds approached this price would be different, and that more heavily traded bonds such as US Treasury bonds would approach the long term price more quickly than less heavily traded and less liquid bonds.

Thus by a series of financial transactions (essentially amounting to buying the cheaper 'off-the-run' bond and short selling the more expensive, but more liquid, 'on-the-run' bond) it would be possible to make a profit as the difference in the value of the bonds narrowed when a new bond came on the run.

As LTCM's capital base grew the need for additional returns on that expanded capital led it to undertake other trading strategies. Although these trading strategies were non-market directional, i.e. they were not dependent on overall interest rates or stock prices going up (or down), they were not convergence trades as such. By 1998 LTCM had extremely large positions in areas such as merger arbitrage and S&P 500 options (net short long term S&P vol). In fact some market participants believed that LTCM had been the primary supplier of S&P500 gamma which had been in demand by US insurance companies selling equity indexed annuities products for the prior two years.

Because these differences in value were minute — especially for the convergence trades — the fund needed to take highly-leveraged positions in order to make a significant profit. At the beginning of 1998, the firm had equity of $4.72 billion and had borrowed over $124.5 billion with assets of around $129 billion. It had off-balance sheet derivative positions amounting to $1.25 trillion, most of which were in interest rate derivatives such as interest rate swaps. The fund also invested in other derivatives such as equity options.

The downfall of the fund started in May and June 1998 when net returns fell to -6.42 and -10.14 % reducing LTCM's capital by $461 million. This was further aggravated by the exit of Salomon Brothers from the arbitrage business in July 1998.

The scheme finally unraveled in August and September 1998 when the Russian government defaulted on their government bonds (GKOs). Panicked investors sold Japanese and European bonds to buy U.S. treasury bonds. The profits that were supposed to occur as the value of these bonds converged became huge losses as the value of the bonds diverged. By the end of August the fund had lost $1.85 billion in capital.

The company, which was providing annual returns of almost 40% up to this point, experienced a Flight-to-Liquidity. This prompted a bail-out of $3.625 bn by the banks, organized by the Federal Reserve Bank of New York, ostensibly in order to avoid a wider collapse in the financial markets. The fear was that there would be a chain reaction as the company liquidated its securities to cover its debt, leading to a drop in prices which would force other companies to liquidate their own debt creating a vicious cycle.

The total losses were found to be $4.6 billion. The losses in the major investment categories were (ordered by magnitude):

* $1.6 bn in swaps
* $1.3 bn in equity volatility
* $430 mn in Russian and other emerging markets
* $371 mn in directional trades in developed countries
* $215 mn in yield curve arbitrage
* $203 mn in S&P 500 stocks
* $100 mn in junk bond arbitrage
* no substantial losses in merger arbitrage

See also: East Asian financial crisis

Long Term Capital was audited by Pricewaterhouse LLP. The lead partner on the engagement was John Reville (Pricewaterhouse LLP - Manhattan office).

The profits from LTCM's trading strategies were generally not correlated with each other and thus normally LTCM's highly leveraged portfolio benefitted from diversification. However, the general flight to liquidity in the late summer of 1998 led to a marketwide repricing of all risk and these positions then did all move in the same direction. As the correlation of LTCM's positions increased, the diversified aspect of LTCM's portfolio vanished and large losses to its equity value occurred. Thus the primary lesson of 1998 and the collapse of LTCM for Value at Risk (VaR) users is not a liquidity one, but more fundamentally that the underlying covariance matrix used in VaR analysis is not static but changes over time.

In the end, the basic idea of LTCM was correct, in that the values of government bonds did eventually converge after the company was wiped out. Nonetheless, the incident confirms an insight often (though perhaps apocryphally) attributed to the economist John Maynard Keynes, who is said to have warned investors that although markets do tend toward rational positions in the long run, "the market can stay irrational longer than you can stay solvent."

The fall of LTCM is an important example of the principle that arbitrage is not riskless. This undermines the claim of efficient market theorists that markets must converge instantaneously to efficient prices because of the action of rational investors who will immediately take advantage of pricing anomalies in markets. Markets are not perfect devices — they consist of people entering into contracts based on expectations. When unexpected events depress confidence, investors panic and reason goes out the window. When this took place in 1929, the stock market crash that followed led to the Great Depression.

[Rics]

No caso da Amaranth, em particular, não me parece que tenha tentado adivinhar um fundo ou um topo. A estratégia deles era apostar no spread entre as cotações dos contratos de futuros de verão e os de inverno. A "aposta" deles era de que este spread iria aumentar (ou pelo menos manter), e o que aconteceu é que ele desceu quase para metade do habitual (para níves historicamente baixos até, mas isso pode, como o Ulisses já referiu, ter sido exagerado pelo cancelamento de posições deles).

O que aconteceu é que estavam sobre-alavancados e, dado ser conhecida a extrema volatilidade do gás, obviamente sobre-expostos.

Como referi, uma falta clara de money-management adequado...

[nnascimento]

Não entendo como um fundo, aliás neste artigo até mencionam dois, geridos profissionalmente e até por quem deveria ser competente, fica KO apenas por causa de um activo!
Como é possível que quem anda nisto há tantos anos, com tantas lições do passado, compromete de forma tão irresponsável (amadora até) o dinheiro de quem neles depositou confiança.

A maior vantagem dos hedge-funds é sem dúvida a pouca regulamentação que os rege, o que dá enorme liberdade aos seus gestores, a nível de estratégia, composição da carteira, activos transacionados, etc. Infelizmente, a pior desvantagem é essa pouca regulamentação...



Money management, anyone?!

A maior vantagem dos Hedge Funds não é somente a pouca regulamentação. A alavancagem é simplesmente brutal, coisa que num fundo comum não acontece, bem como que o assumir posições curtas, a meu ver qd bem executadas produzem bons resultados-rendibilidades. Depois há uma lição que apesar de todos julgarmos saber, ignoramos constantemente - adivinhar topos ou fundos. O gás natural, já de si muito volátil, vem numa tendencia decrescente de médio prazo e a meu ver (tb ontem vi na CNBC esta história), a ideia que me dá é que devido à sazonalidade (O consumo nesta altura começa a acelerar) os homens tiveram a ideia de que se estava perante uma inversão de tendência (adivinhar um fundo).Tal não sucedeu.Conclusão- estoiraram qs 50% do valor.

A lição que eu retiro é mt simples. Alavancar sim qd a tendencia é visivel e fiável sempre com money management presente.Grandes alavancagens geralmente qd mal executadas dão m......;
A outra lição é mesmo nunca tentar adivinhar fundos ou topos. Entrar apenas qd a tendencia começa a desenvolver.

Cumprimentos

[Camisa Roxa]

hum, outro LTCM?

[BullPower]

(V. Exa. como "engenhocas" que é, devia saber que o Gas é volatil..até eu sei, caraças. Se queres um activo não volatil, compra chumbo, pá)

Abraço e beijoca

Bem visto

Beijocas.

Abraço e BN.

[charles]

tá-te a dar a travadinha o quê, tomas-te os comprimidos hoje?


cumpt

[maisum_CALD]

Os contratos de Nov/06 estão já com um preço de $6,300 contra os $5,000 aprox dos velhos contratos de Out/06 .... Eu estou a fazer a seguinte leitura... Quem vem longo desde lá de cima dos $10 / $15 ou até de outros valores e pretende manter as posições longas, tem de vender em baixo e voltar a comprar em cima e ninguém lhes garante que os preços não se mantenham por estes níveis durante bastante tempo e sempre com este diferencial na passagem de cada mês... Ou seja, devagar, devagarinho o dinheiro vai-se evaporando...
Abraço

[scpnuno]

.... É um activo com uma volatilidade incrível, diria mesmo rídícula. Tão cedo não lhe toco.

Abraço e BN.

(V. Exa. como "engenhocas" que é, devia saber que o Gas é volatil..até eu sei, caraças. Se queres um activo não volatil, compra chumbo, pá)

Abraço e beijoca

[BullPower]

Eu já tive uma experiência no Gas Natural quase desastrosa, tive muita sorte em não ter perdido um tostão mas também não ganhei para o susto depois de ter estado a perder uma percentagem substancial da minha carteira. É um activo com uma volatilidade incrível, diria mesmo rídícula. Tão cedo não lhe toco.

Abraço e BN.

[Rics]

Não entendo como um fundo, aliás neste artigo até mencionam dois, geridos profissionalmente e até por quem deveria ser competente, fica KO apenas por causa de um activo!
Como é possível que quem anda nisto há tantos anos, com tantas lições do passado, compromete de forma tão irresponsável (amadora até) o dinheiro de quem neles depositou confiança.

A maior vantagem dos hedge-funds é sem dúvida a pouca regulamentação que os rege, o que dá enorme liberdade aos seus gestores, a nível de estratégia, composição da carteira, activos transacionados, etc. Infelizmente, a pior desvantagem é essa pouca regulamentação...



Money management, anyone?!

[Ulisses Pereira]

Quando ouvi ontem, no início da sessão, essa notícia na CNBC, 2 coisas me vieram logo ao pensamento:

A queda do gás natural foi, naturalmente, agravada pela liquidação das posições deste fundo. O facto deles terem enviado notas aos seus clientes preparandoos para a rentabilidade que aí vêm, penso que é um sinal de que estas posições foram liquidadas.

Qual será a reacção dos clientes a esta notícia? Confiarão num hedge fund que tem tido rentabilidades tão boas desde há alguns anos ou resgatarão o seu capital, em função deste acontecimento? Se esta última opção for tomada pela maioria, o fundo deverá ter que liquidar muitas posições e isto abrangérá outros sectores, tendo algumas repercussões no mercado.

Ninguém está a salvo no mercado.

Um abraço,
Ulisses

[Old Trader]

"Amaranth Facing $2B in Gas Market Losses

All Associated Press News
NEW YORK (AP) - Amaranth Advisors, a multibillion-dollar hedge fund, is likely to have more than $2 billion in losses after a fall in volatile natural gas futures last week.

"We anticipate our year-to-date losses might be in excess of 35 percent as we near completion of the disposition of our natural gas exposure," Amaranth President and founder Nicholas Maounis said in a letter to investors. "In an attempt to preserve investor capital, we have taken a number of steps, including aggressively reducing our natural gas exposure."

Greenwich, Conn.-based Amaranth, which has $7.5 billion under management according to its Web site, declined to comment on the losses. Based on assets of $7.5 billion, however, the fund is looking at a loss of $2.63 billion.
Amaranth is the second hedge fund to be devastated by big swings in the natural gas market recently, with New York's MotherRock LP last week telling investors they are unlikely to get any of their money back.

MotherRock, founded by former New York Mercantile Exchange President Robert "Bo" Collins, in August told investors it was closing down after making the wrong bet on the direction of natural gas prices. MotherRock had expected natural gas prices, already soft this year, to continue weakening. Futures, however, instead surged in July following a record heat wave across the United States that led to an unprecedented summer-month storage withdrawal.

The losses come amid a huge influx of fund money into energy derivatives, which market watchers say are both increasing potential gains and the number of risky propositions. The New York-based Energy Hedge Fund Center estimates the number of funds it tracks has risen fivefold to more than 500 in the past two years, with about $67 billion under management.

While Amaranth hasn't said it's closing down, its losses far outweigh those of MotherRock, which had about $430 million under management at its peak.

"We have met every margin call to date," Maounis said. "We are in discussions with our prime brokers and other counterparties and are working to protect our investors while meeting the obligations of our creditors."

Margin calls are funds paid to exchange clearing houses, which guarantee payments to futures counterparties, when prices move against a trader's position. MotherRock said last week that it was unable to repay commitments to its clearing house, according to investor RMF Investment Management.

Amaranth, which employs more than 115 traders, analysts and fund managers, describes itself as a multi-strategy hedge fund which invests in a "highly disciplined, risk-controlled manner."

Amaranth natural gas trader Bill Hunter was listed second on a list of top energy traders in a U.S. Senate Committee report into the role of speculation on rising oil and gas prices.

The report, citing Trader Monthly, said Hunter made between $75 million and $100 million in 2005 and was rumored to have made Amaranth $800 million.

In a report earlier in the day, CNBC's David Faber said Amaranth was up as much as 22 percent a few weeks ago. Faber said Hunter may have been behind the losing natural gas trade.""