Thursday, March 18, 2010

Largest U.S. Hedge Funds, by Assets

BofA/ML published a report today, ranking U.S HFs by AUM as of Jan 1, 2010, in billion dollars. Some of their data are clearly wrong (e.g. Paulson). As shown in the table, some numbers differ significantly from those reported in the March issue of Absolute Return + Alpha, such as Soros, which has $27bn under management according to the magazine.

Name AUM according to BAML AUM according to AR+A
Bridgewater 43.6 43.6
Paulson & Co. 15 (incorrect!) 32 (definitely correct)
King Street 18.5 19
D.E. Shaw & Co. 16.1 23
Och-Ziff 14.4 23
Baupost Not mentioned 21.8
Angelo Gordon Not mentioned 20.8
Farallon Not mentioned 20.7
SAC Capital Advisors 14 12
Highbridge 12.4 17.9
Citadel Investment Group 10.7 12
Renaissance 9.2 15
Tudor 9.2 10
TPG-Axon Capital 8.3 9.6
Soros Fund Management 8.3 27
Viking Global Investors 7.6 11.8

Wednesday, March 17, 2010

This graph of front-month futures contracts nicely shows the cyclical behavior of this commodity: because production is constant throughout the year but consumption in North American peaks in winter, and because storage costs are significant for natural gas, the forward curve slops upward when stocks are being accumulated, which is in the fall. Once the colder months are passed, the forward curve slops downward.




Ultra Futures Contract

Forgot to say that the new 30-year "Ultra" futures contract is made possible by the recent surge in issuance of 30-year bonds by the Treasury...

Tuesday, March 2, 2010

A New T-Bond Futures Contract: the Ultra

The T-Bond futures contract we all know has a large range of deliverable securities: all U.S. bonds with remaining terms to maturity of 15 years or more. This made the choice of the CTD (Cheapest To Deliver) quite large and the embedded option quite valuable.

A new contract was launched by the CME Group, the Chicago exchange. The so-called Ultra T-Bond futures takes as deliverable bonds with at least 25 years of remaining term to maturity. This opens the door to quite a few trades and asset-liability management ideas, some of them being detailed on the CME web site: www.cmegroup.com/ultra.

BTW, the code for this new contract is "WN" like "US" is the code for the classic T-Bond futures and "TY" for 10-year contracts. For example, WNH0 refers to the March 2010 Ultra futures contract.