--关注对冲基金的净值计算方式

　关注对冲基金的净值计算方式Hedge Funds Under Spotlight 最新学术研究显示，某些对冲基金经理在对他们持有的那些交易不活跃的证券计算价值时可能会选用对他们有利的价格，以便让基金的业绩看上去更好。投资者对此应该引起警醒，研究发现，这种做法可能会让本来亏损的某个月“变成”有赢利的一个月。随着对冲基金数量的激增（目前已超过7,500家），对基金经理而言，要吸引并留住投资者的钱，对上涨月数和下跌月数的统计正变得越来越重要。近几个月，在信贷市场一片萧瑟的同时，如何给难以计算净值的证券定价成了华尔街的热门话题。有时，对一些不经常交易或买卖报价差距较大的债券来说，要让银行、经纪公司和对冲基金精确确定它们的价格是件很难的事。近来，在对冲基金计价问题上最出名的一个案例是Ellington Capital Management，它是一家专门从事债券投资的对冲基金公司，旗下管理着52亿美元的资产。Ellington在9月30日给客户的信中说，由于信贷市场发生动荡，它持有的两只债券受到波及，旗下两只基金将暂停赎回。信中说，无法在对要赎回基金的投资者和仍留在基金里的投资者都保持公平的前提下确定资产净值。没有任何迹象表明Ellington有什么不当行为。信中说，公司的做法不是为了回应投资者提出的赎回请求、追缴保证金或其他任何问题。 Ellington发言人拒绝发表评论。该公司的举动在《纽约邮报》(New York Post)上有报导。目前，投资者、审计部门和监管机构都在关注银行和经纪公司是如何评判这些证券的价值。不过近来有研究显示，对冲基金或许更值得人们注意。学术研究发现，在任何一个月中，报告有少量上涨的基金家数与报告有少量下跌的基金家数之间存在很大差距。对从事流动性较差的证券交易的基金来说，这个差距最为明显。而在主要交易股票或期货合约的基金中间，则不存在这样的悬殊。股票或期货合约市场活跃，而且很容易定价。这也意味着，某些基金有可能捏造结果。研究报告作者保伦(Nicolas P.B. Bollen)和波尔(Veronika K. Pool)说，对冲基金经理可能故意编造其投资组合的价值，以便逃避向投资者报告损失。保伦是范德比特大学(Vanderbilt University)金融学副教授，波尔是印地安那大学(Indiana University)金融学助教。他们在报告中写道，如果真出现伪造的情况，那么投资者可能会对未来的潜在损失估计不足，还有可能对基金经理的能力估计过高。这项研究采用了马萨诸塞大学(University of Massachusetts)的一个对冲基金数据库，分析了4,268家不同投资风格的对冲基金在1994-2005年间的月回报率数据。眼下，市场已从八月份的信贷危机中逐渐平复下来。为化解危机，美国联邦储备委员会(Fed) 9月份将联邦基准利率下调了50个基点。对冲基金顾问公司Hennessee Group LLC周一表示，它们编制的对冲基金指数8月份下跌了近1%，9月份上涨了2.26%。截至9月底，该指数今年的涨幅已超过10%，同期，道琼斯工业股票平均价格指数和标普500指数分别上涨了11.5%和7.7%。有关弱流动性证券的定价问题第一次进入公众视野是在今年春天，当时，贝尔斯登(Bear Stearns)的两只基金出了大麻烦。其中一家基金起初公布4月份亏损了6.5%，但几周后投资者得知，该基金当月实际下跌了20%。该基金对投资者表示，这个变化是因为对不易估价证券的估计价格做了向下调整所导致的。基金经理在判断这类证券是盈是亏方面有很大的灵活空间。举例来说，只要他们前后保持一致，他们可以选择是采用一只证券的买入报价还是卖出报价来计算投资组合的价值，而这两个价格有时悬殊很大。他们还可以选择不同经纪公司报出的不同价格作为“标价”。如果一家对冲基金预计某个月可能出现亏损，那么基金经理可能会针对某些证券挑选比较乐观的价格，从而使基金总体不会下跌，而不会去考虑那些放大亏损的价格。由于银行和经纪公司是公共交易机构，因此他们采用的这些估值通常要面对投资者及审计机构的审查。最近的市场动荡更是促使监管部门对经纪公司采用的价格发起了深入调查。而对冲基金则不会受到外界的同样审视。他们大多并未在美国证券交易委员会(Securities and Exchange Commission)注册，而且很多对冲基金甚至是在开曼群岛等离岸避税地注册。另外，一些基金每年只接受一次审计，也就是说月度估计值未必会被外部审计方审查到。以前的研究发现，在不断变化的经济形势下，各种对冲基金都能获得较平稳的回报。保伦和波尔最近发表的论文也在这方面做了研究，但结论却有所不同。他们的论文指出，基金经理会把回报率向上圆整，以保证基金是略微上涨的，而不会将升值和亏损都遮掩掉。通常来说，对冲基金的回报率会表现出一种人们熟悉的正态分布曲线，其高点会落在略微上涨的区域。对股票持中性策略的交易（不论预计股价会下跌还是上涨）其回报率会有这样的表现，而针对弱流动性证券的策略则不会如此。论文指出，这或许并不奇怪：当经理们发挥自主能动性的机会比较大的时候，歪曲回报率就比较容易做到了。 David Reilly / Gregory Zuckerman New academic research suggests that some hedge-fund managers may cherry-pick flattering prices when valuing securities that don't actively trade in an effort to improve the performance of their funds. Investors should take heed because this massaging can help make the difference between a winning or losing month, the research found. For hedge-fund managers, such statistics on the number of winning and losing months have grown increasingly significant as the PRINTED BAG(PARIS) & PRINTED BAG(penguin) number of hedge funds has exploded -- to more than 7,500 -- and managers vie to attract and retain investor capital. How to price hard-to-value securities has become a hot-button topic on Wall Street in recent months as debt markets froze up. This made it difficult at times for banks, brokers and hedge funds to determine accurate prices for some debt securities that trade infrequently or have wide gaps between offers to buy and sell. The most recent known case of hedge-fund pricing issues occurred at Ellington Capital Management, a $5.2 billion debt-focused hedge fund, which said in a PRINTED BAG(portrait) Sept. 30 letter to clients that it would temporarily suspend withdrawals from two of its funds because of upheaval in the credit markets that affected its holdings of illiquid securities. 'There is no way to determine net asset values that would be simultaneously fair both to investors redeeming from these funds and to investors remaining in the Process Pipe funds,' the firm said in the letter. There have been no suggestions that Ellington has done anything improper. The letter said the firm's actions aren't in response to pending withdrawal requests Production Line , margin calls or any other issues. A spokesman for the firm declined to comment. The move by Ellington was reported in the New York Post. So far, investors, auditors and regulators have focused on the way banks and brokers value these securities. But the new research suggests hedge funds may be an even bigger area of concern. The academic research found a significant difference in the number of funds reporting a slight gain compared with a slight loss in any given month. That difference Professional Brush was most pronounced for funds that trade illiquid securities; it didn't show up in funds that primarily trade stocks or futures contracts, which have active markets and easily obtained prices. This suggests that some funds could be fudging results. 'Hedge-fund managers purposefully avoid reporting losses by marking up the value of their portfolios,' according to the authors of the study, Nicolas P.B. Bollen, an associate finance professor at Vanderbilt University, and Veronika K. Pool, an assistant finance Promotion pen professor at Indiana University. If that is the case, the authors wrote, investors may 'underestimate the potential for losses in the future and may overestimate the ability of hedge-fund managers.' The study used a hedge-fund database from the University of Massachusetts to analyze monthly returns from 4,268 hedge funds with varying investment styles between 1994 and 2005. Markets have settled down since the August credit crunch, thanks in part to the half-percentage-point interest-rate cut in September by the Federal Reserve. Hedge-fund adviser Hennessee Group LLC said yesterday that its hedge-fund index rose 2.26% in September after a nearly 1% decline in August. That index was up more than 10% for the year through the end of September, compared with an 11.5% gain for the Dow Jones Industrial Average and a 7.7% rise for the Pruning Shears Standard & Poor's 500-stock index. Valuation of infrequently traded securities first sprang to public view as an issue this spring when two Bear Stearns Cos. hedge funds blew up. One of the funds initially reported a 6.5% loss for April. A few weeks later, investors learned that the fund was actually down about 20% for that month. The fund told investors that the change was because of downward revisions in the price estimates it received for hard-to-value securities. Fund managers can have a lot of leeway in determining whether such securities have lost or gained money. As long as they remain consistent, they can, for example, choose whether to use the PUFF pultruded rod bid or offer price of a security, which can sometimes vary widely, or pick among different quotes offered by competing brokers. So if a hedge fund is looking at a possible loss for a month, a manager could pick the more optimistic prices for some securities to push the fund into positive territory while ignoring those that could exacerbate losses. Because they are publicly traded, banks and brokers typically face scrutiny over the estimates they use, from both investors and auditors. The recent market turmoil also prompted regulators to pore over the valuations being used by brokers. Hedge funds don't operate under the same sort of spotlight. Most aren't registered with the Securities and Exchange Commission, and many are domiciled in offshore tax havens such as the Cayman Islands. Finally, some funds are audited only on an annual basis, meaning monthly valuations don't necessarily get checked by an outside auditor. Previous academic research has found that a variety of hedge-fund strategies generate smoother returns than the underlying economics might justify. The recent paper by Mr. Bollen and Ms. Pool builds on this work but is different in that it suggests a manager 'is going to round up returns to make sure they're slightly positive' rather than smoothing out both gains and losses, Mr. Bollen said. Typically, hedge-fund returns should fall along a familiar bell-curve pattern with a peak that is likely to be in slightly positive territory. That is how the returns play out for equity-neutral strategies, which bet on stocks either rising or falling in value. But that doesn't happen for strategies that deal with illiquid securities. 'This is perhaps no surprise: Distorting returns is more feasible when the opportunity for exerting managerial discretion is higher,' the paper said.

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