Ex-Allianz Quant Preps Hedge Fund Analytics Group

Bernard Lee, former head of quantitative research at fund-of-hedge-funds manager Allianz Hedge Fund Partners, is starting a quantitative analytics group for hedge fund products.

  • 18 Jul 2004
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Bernard Lee, former head of quantitative research at fund-of-hedge-funds manager Allianz Hedge Fund Partners, is starting a quantitative analytics group for hedge fund products. The group will select and monitor tailored hedge fund portfolios as well as offer advice and structure products, explained Lee at last month's Risk USA conference in New York.

The group is designed to act as the middleman between clients, such as college endowment funds, that want to gain exposure to hedge funds, but find individual hedge funds too risky and the double fees on structures such as some funds-of-hedge-funds with large portfolios too expensive.

Investors are skittish about purchasing single hedge funds because of the risk of the fund blowing up, Lee stated. Meanwhile funds of hedge funds often comprise such a large number of funds that their performance replicates traditional investments. Lee's group will advise on, and construct, smaller portfolios that preserve upside performance, while also offering some downside protection.

Protection against negative hedge fund performance is presently expensive because there is no real means of determining the likelihood that a hedge fund will lose money, explained Lee. For this reason dealers price protection as an insurance policy. Lee argues, however, that the performance of hedge fund portfolios comprising a few funds can be strongly correlated to style indices. If a problem occurs in a style, such as convertible bonds for example, all convertible arbitrage funds would start marking down their positions.

Lee has modeled a means of hedging this style risk by shorting corresponding style indices. An additional premium could also be charged in order to cover the idiosyncratic risk of a single manager performing badly. This would offer investors reasonable protection against catastrophic losses at a lower cost than full principal protection, he said.

  • 18 Jul 2004

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
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1 Citi 325,433.10 1264 8.10%
2 JPMorgan 317,420.42 1383 7.90%
3 Bank of America Merrill Lynch 292,651.96 1006 7.28%
4 Barclays 245,574.95 917 6.11%
5 Goldman Sachs 216,745.88 728 5.39%

Bookrunners of All Syndicated Loans EMEA

Rank Lead Manager Amount $m No of issues Share %
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1 BNP Paribas 45,688.28 179 7.05%
2 JPMorgan 43,572.44 88 6.72%
3 UniCredit 35,452.34 152 5.47%
4 Credit Agricole CIB 33,170.05 159 5.12%
5 SG Corporate & Investment Banking 32,244.80 125 4.97%

Bookrunners of all EMEA ECM Issuance

Rank Lead Manager Amount $m No of issues Share %
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1 JPMorgan 13,643.79 60 8.96%
2 Goldman Sachs 13,204.47 65 8.68%
3 Citi 9,716.40 55 6.38%
4 Morgan Stanley 8,471.86 53 5.57%
5 UBS 8,136.41 33 5.35%