【英语财经】专注新兴市场的对冲基金面临赎回潮 ‘Chaos and carnage’ threaten emerging market-focused hedge funds

Holidaying investment professionals were jolted out of their sun loungers last month when extreme volatility across global markets forced them to switch on their BlackBerrys and respond to panicky emails from clients and colleagues.

China’s stock market rout throughout the summer, followed by the Chinese central bank’s unexpected decision to devalue its currency last month, prompted a rollercoaster week in markets on August 24.

The fallout for traditional fund houses with an emerging market focus, such as UK groups Aberdeen Asset Management and Ashmore, was clear. Both companies suffered a sharp drop in their share prices over the past month, with some analysts predicting further falls if the US raises interest rates later this year.

However, the impact of the equity and currency turmoil on emerging market-focused hedge funds is less clear, although many institutional investors believe these funds are equally vulnerable to performance issues and redemptions.

Troy Gayeski, senior portfolio manager at SkyBridge, the US fund of hedge funds business, says several emerging market hedge fund managers suffered substantial losses of between 3 and 35 per cent in August. He plans to continue to avoid such managers as a result.

He says: “There is a lot of chaos and carnage out there. We are using this [volatility] as an opportunity to add risk, but certainly not in the emerging markets. We are not saying the world is ending, but we cannot understand why anyone would buy emerging markets now.”

Top of his list of concerns is the fact that an imminent US rate rise is expected to trigger further volatility across emerging markets. He is also worried by two potential “wild cards”: political risk across eastern Europe, Thailand, Russia and China, and the risk of China experiencing a “hard landing” (a severe slowdown in economic growth).

He says: “We have not seen any reason to step in [to emerging markets] amid the carnage. The fact that [China was] forced to competitively devalue [its currency] is really the last kick in the teeth.

“[These problems] could go on for years. Ultimately the only way you will make money in emerging markets is if capital flows start to turn around. The problems are fundamentally so profound that the probability of things improving in the next six to 12 months is very low.”

Alper Ince, a managing director at Paamco, the fund of hedge fund company, is similarly pessimistic about prospects for emerging market managers, and began reducing his group’s exposure to such funds in July.

“Unless emerging market managers were net short China, they will have suffered headwinds as there was so much volatility, even if they were tightly hedged,” he says.

He adds that Brazil-focused hedge funds are particularly vulnerable to outflows given the significant drop in Brazil’s stock market index, Bovespa, over the course of this year. “This [latest market shock] will not help their case,” he says.

As investors and analysts wait for complete performance data to trickle through for last month, the hedge fund community is upping communications with clients in an attempt to keep concerns at bay.

Mr Gayeski says: “The biggest thing clients are focused on is whether [last month is] a sign that China will have too hard a landing. No one knows. We have spent more time than usual articulating that we do not own anything [in emerging markets] to clients.”

Damon Hoff, co-founder of Capricorn Capital, the South African hedge fund, says his company “placated investors by writing a short piece [detailing the group’s reaction to the market volatility] for those who were worried”.

His fund, which is up 10 per cent year to date, lost 0.3 per cent last month after cutting the number of long positions it held from 85 to 75, as well as introducing more short positions and increasing the size of selected long positions.

Mr Hoff believes other emerging market managers are likely to have suffered. He says: “The volatility is what caught everybody off guard. For any emerging market manager, that is a difficult scenario to navigate. I am hoping the hedge fund space did better than the volatility suggested. I have not heard horror stories, but I know they are always out there.”

China-focused hedge funds and long-biased Asia-focused funds were among the worst affected, registering negative returns of between 6 and 10 per cent last month, according to Philippe Ferreira, senior strategist at Lyxor, the French fund house.

He points out, however, that although emerging market hedge funds collectively fell 3.4 per cent in August, they outperformed the MSCI EM index (down 9 per cent) and local currency bond indices (down 5 per cent).

More-diversified emerging market managers were relatively unscathed. Several diversified emerging market funds on Lyxor’s hedge fund platform were flat in August, and are up 7 to 10 per cent year to date, according to Mr Ferreira.

Investors may still be disappointed by flat or slightly negative performance, as hedge funds’ central selling point is the notion of “absolute return”: positive performance no matter in which direction markets turn.

Jennifer Bishop, head of macro research at Towers Watson, the consultancy that advises many of the world’s biggest institutions on their investments, says last month’s turmoil highlighted the fact that many funds in this asset class are in fact long only.

Their performance was therefore closely aligned with the fluctuations in emerging market stocks and currencies.

“People will be very disappointed if their hedge fund has done as badly as broad emerging markets or worse. When you allocate to a hedge fund you do not expect it to be just long. There is definitely confusion around this, with strategies that call themselves hedge funds but are long only,” she says.

George Cadbury, managing partner at Gatemore, the investment advisory firm, believes redemptions loom for the bulk of emerging market managers. He says: “Any investors looking to reduce risk in their portfolio will start with the most liquid positions. Emerging market hedge funds that offer monthly liquidity are a natural place to start.”

Turmoil or train wreck: The economic reality of emerging markets

Billed as the “Great Fall of China”, stock markets around the world plunged on August 24 in response to fears that China’s economic growth was running out of steam.

In a rollercoaster week for investors, the FTSE 100, S&P 500 and FTSE Eurofirst 300 all briefly fell more than 10 per cent, but stock markets in Germany and emerging markets witnessed falls of 20 per cent or more from their peaks, due to their greater exposure to China.

The fund management community has largely presented the turmoil as a short-term correction, rather than a long-term crisis.

Jan Dehn, head of research at Ashmore, the emerging markets-focused asset manager, says: “The obsession with an emerging-markets crisis is bordering on the compulsive.

“The perception that [emerging markets are] about to have some major fundamental crisis has little to do with economic reality. The parallel being drawn with the Asian crisis in the late 1990s is particularly superficial.”

Other investors are less sanguine. Damon Hoff, co-founder of Capricorn Capital, the South African hedge fund company, says: “Our biggest dilemma is China’s effect on other markets. Russia and South Africa are heading for recession, and many are feeling the brunt of the Chinese story.

“The number-one thing that keeps me up at night [is that] the emerging markets that have had currency crises are a train wreck.”

全球股市上月的剧烈波动，吓得度假中的投资专业人士从躺椅上跳起来，打开黑莓手机，回复客户和同事们恐慌的电子邮件。

中国股市整个夏天的暴跌以及上月中国央行出人意料让人民币贬值的决定，使得全球股市在8月24日开始的那一周出现过山车般的行情。

对于专注新兴市场的传统基金公司——如英国的安本资产管理公司(Aberdeen Asset Management)和安石集团(Ashmore)——来说，造成的影响很明显。过去一个月，两家公司都遭遇了股价大幅下跌，而有分析师预测，如果美国今年晚些时候加息的话，跌势还将持续。

然而，股市、汇率动荡对于专注新兴市场的对冲基金的影响并不那么明显，尽管许多机构投资者相信，这些基金同样容易受到业绩问题和赎回的影响。

美国“对冲基金的基金”公司天桥资本(SkyBridge Capital)高级投资组合经理特罗伊?加耶斯基(Troy Gayeski)称，几个新兴市场对冲基金公司8月都遭受了3%至35%的惨重损失。因此，他计划继续回避此类基金公司。

他说：“目前市场上有很多混乱和牺牲品。我们借此番（波动）之机增持较高风险资产，但肯定不是在新兴市场。我们并没有说末日已经来临，但我们无法理解为什么眼下会有人要买入新兴市场。”

他最担忧的是，美国即将到来的加息将会引发整个新兴市场的进一步波动。他还担心两项潜在的风险：遍及东欧、泰国、俄罗斯及中国的政治风险，以及中国遭遇“硬着陆”（经济增长严重放缓）的风险。

他说：“眼下市场上腥风血雨，我们没有看到进入（新兴市场）的任何理由。（中国）被迫让（人民币）竞争性贬值是真正要命的最后一击。”

“（这些问题）可能会持续多年。最终，你在新兴市场赚钱的唯一方式是资本流动开始转向。这些问题如此根深蒂固，未来6到12个月形势转好的可能性非常低。”

对冲基金投资机构Paamco董事总经理阿尔珀?因斯(Alper Ince)对新兴市场基金公司的前景同样感到悲观，而且7月就开始减少该集团对此类基金的敞口。

“除非新兴市场基金公司对中国市场处于净空头状态，否则这么大的波动将给他们带来沉重打击，即使他们有严密的对冲也没有用，”他说。

他补充说，考虑到今年以来巴西Bovespa股市指数的大幅下跌，专注巴西的对冲基金特别容易受到资本外流的影响。“此番（最新的市场震荡）不会帮助他们，”他说。

在投资机构和分析师等待上月的完整表现数据逐渐出炉之际，对冲基金界正在加强与客户的沟通，以缓解他们的担忧。

天桥资本的加耶斯基说：“客户关注的头等大事是（上月的情况）是否意味着中国将遭遇硬着陆。没人知道。我们花了比平常更多的时间向客户解释，我们不拥有任何（新兴市场）资产。”

南非对冲基金Capricorn Capital联合创始人达蒙?霍夫(Damon Hoff)表示，他的公司“通过为那些担忧人士撰写一篇短文（详细说明该集团对市场波动的反应）来安抚投资者”。

他的基金今年迄今上涨了10%，上月微跌0.3%，之前将多头的股票从85只减少至75只，引入更多空头头寸，还加大了少数精选的多头股票的头寸。

霍夫认为，其他新兴市场基金公司很可能已遭受损失。他说：“此番波动让每个人都措手不及。对于任何新兴市场基金公司来说，这都是难以驾驭的情景。我希望对冲基金界的处境比波动给人的印象要好一些。我没听到过惨烈的故事，但我知道肯定有这样的事例。”

法国对冲基金公司——领先资产管理公司(Lyxor)高级策略师菲利普?费雷拉(Philippe Ferreira)认为，专注中国的对冲基金和专注亚洲的多头基金受到的影响最严重，上月的回报率介于-6%至-10%之间。

然而，他指出，尽管新兴市场对冲基金8月集体下跌了3.4%，但他们的表现优于MSCI明晟新兴市场指数（下降9%）以及本币债券指数（下降5%）。

更加多元化的新兴市场基金管理公司受到的影响相对较小。费雷拉称，领先资产管理公司对冲基金平台上的几只多元化新兴市场基金8月保持了横盘，今年迄今上涨7%至10%。

投资者可能仍对横盘或者微幅的负业绩感到失望，因为对冲基金的核心卖点是“绝对回报”概念：无论市场如何转向都要保持正业绩。

为许多全球顶级机构提供投资建议的咨询公司——韬睿惠悦(Towers Watson)宏观研究部负责人珍妮弗?毕晓普(Jennifer Bishop)称，上月的动荡突显了一个事实，即此种资产类别的许多基金实际上只做多头。

因此，他们的业绩与新兴市场股市和货币的波动密切关联。

“如果他们的对冲基金表现得与新兴市场整体一样糟糕或者更糟，人们会非常失望。当你投资对冲基金时，你并不期望它只做多头。对此肯定存在困惑，有些策略自称对冲基金，但他们只做多头，”她说。

投资咨询公司Gatemore执行合伙人乔治?卡德伯里(George Cadbury)认为，大部分新兴市场基金都面临着即将到来的赎回。他说：“任何希望降低投资组合风险的投资者，都将从流动性最好的头寸开始。提供月度流动性的新兴市场对冲基金是一个天然的起点。”

风暴或是“火车残骸”：新兴市场的经济现实

由于担忧中国经济增长势头放缓，8月24日世界各地股市陷入暴跌，这一情形被惊呼为“中国大跌”(Great Fall of China)。

在那个对投资者如过山车般的一周里，富时100指数(FTSE 100)、标普500指数(S&P 500)以及富时Eurofirst 300指数(FTSE Eurofirst 300)都曾一度下跌逾10%，而德国及新兴市场股市从峰值下跌20%或者更多，因为他们对中国的敞口更大。

基金管理界基本上认为，此番动荡为短期回调，而非一场长期危机。

专注新兴市场的安石投资管理公司的研究主管简?德恩(Jan Dehn)表示：“对新兴市场可能发生危机念念不忘的心态，正在接近强迫症的程度。”

“认为（新兴市场）将发生一场重大的基本面危机的看法与经济现实关系不大。将现在与上世纪90年代末亚洲金融危机进行对比的作法特别肤浅。”

但其他投资者不那么乐观。南非Capricorn Capital的霍夫表示：“我们最大的困境是中国对其他市场的影响。俄罗斯和南非正陷入经济衰退，许多国家都感受到了中国放缓的冲击。”

“让我彻夜难眠的头等大事（是）遭遇货币危机的新兴市场简直是失事火车的残骸。”

译者/陈隆祥