Lego Death Star - Cantab

宏觀策略失靈 基金巨人慘蝕 - 太陽報 2013-11-11

Man Group 受旗艦基金 AHL 虧損拖累，市值於五年間縮水至八分一。（資料圖片）

【太陽報專訊】自從金融海嘯後，不論全球經濟及金融市場均缺乏大趨勢，例如歐債危機一而再惡化，歐洲央行突然再減息，美國退市態度「扭扭擰擰」，玩殘不少大型宏觀策略對沖基金。其中由高盛前交易主管創立、規模40億美元的 Cantab 資本今年以來虧損多達28%，曾被喻為「不敗基金」之稱 Man Group 旗艦基金AHL亦蝕9%。

量化寬鬆（QE）時代風行多年，宏觀策略對沖基金就衰足多年，即使曾被喻為「不敗基金」的 Man Group 旗艦基金 AHL，亦拖累該集團市值由○八年中的200億美元，如今縮水至僅25億美元。

據對沖基金研究機構 Hedge Fund Research（HFR）指出，宏觀策略對沖基金今年首三季平均蝕3.7%，行內人士稱即使十月份表現不俗，也不足以扭轉全年虧損局面，令外界不禁質疑這種利用電腦程式捕捉市場獲利機會的宏觀策略是否已失效。

高盛舊將苦候時機

不過，英國《金融時報》分析認為，目前宏觀基金最應該做的事，就是「甚麼都不幹」，當QE時代落幕，就是宏觀基金翻身之日。

就在等待QE時代結束期間，據悉 Cantab 資本今夏花上2,000英鎊購買樂高積木，以提振員工士氣，可謂苦中作樂。


Christmas Comes Early To Cantab Capital By Jon Shazar 8 Nov 2013 at 3:19 PM HEDGE FUNDS

Some hedge fund managers have a Machiavellian approach to dealing with failure: screaming, yelling, humiliating, firing, making examples of, etc. Ewan Kirk has a different approach.

The Cantab Capital Partners founder is suffering his worst year ever, down in the 20% to 30% range. And yet it would appear that he has not thrown a single thing or denigrated a single employee’s manhood.

Kirk has a more constructive system: If you can’t build me some models that work, why don’t you try building something with these?

The irreverent – and until this year, highly profitable – Cambridge-based firm, set up by Goldman Sachs’ former head of quantitative trading, spent £2,000 on Lego to boost staff morale this summer after a painful losing streak struck hundreds of millions off its trading portfolio’s value….

Sources tell the Financial Times, work on Cantab’s Lego Death Star is ongoing.

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