A new conference called Psi-Q will be held in London this June, featuring luminaries in the academic quantitative finance world, as well as risk and fund managers from various banks and hedge funds. Example topics:
via Quantitative Trading: Conference on the sociology of quantitative finance.
Below is the latest investor letter out of John Burbank's hedge fund firm Passport Capital. We'll be taking a look at James Cunningham and Ejnar Knudsen's Agriculture Fund. Since inception on March 1st, 2009, the fund is up 10.3%. They run a concentrated portfolio and some of their largest positions include Imperial Sugar (12% of the fund's NAV), Pilgrim's Pride (5%), CF Industries (10%), and Makhteshim-Agan Industries (8%).
via Hedge Fund Passport Capital: Agriculture Fund Investor Letter ~ market folly.
When the Fed stops buying mortgage-backed securities, Fannie and Freddie can easily pick up the slack. There's no chance MBS will go unbought, the only question is who will be buying them. And it doesn't matter, because the Fed and the GSEs are all now organs of the same government.
“It’s almost too uncanny,” Calacci says. “If these banks had insight into the underlying loans because they had relationships with banks, originators or servicers, that’s at the least unethical.”
The identification of securities in the document, known as Schedule A, and data compiled by Bloomberg show that Goldman Sachs underwrote $17.2 billion of the $62.1 billion in CDOs that AIG insured — more than any other investment bank. Merrill Lynch & Co., now part of Bank of America Corp., created $13.2 billion of the CDOs, and Deutsche Bank AG underwrote $9.5 billion.
These tallies suggest a possible reason why the New York Fed kept so much under wraps, Professor James Cox of Duke University School of Law says: “They may have been trying to shield Goldman — for Goldman’s sake or out of macro concerns that another investment bank would be at risk.”
via Secret AIG Document Shows Goldman Sachs Minted Most Toxic CDOs – Bloomberg.com.
Harvard’s endowment is a big player in the ETF industry. Or should we say, in iShares.
The exchange-traded fund industry loves the fact that Harvard’s endowment holds large positions in ETFs. Scroll around the Web enough and you’ll come across a story noting that “9 of Harvard’s 10 largest positions” are in ETFs.
Kenneth Rogoff, former IMF chief economist warned that a series of sovereign debt defaults is likely to be in the offing. From Bloomberg:
Following banking crises, “we usually see a bunch of sovereign defaults, say in a few years. I predict we will again,” Rogoff,…said at a forum in Tokyo today.
He said financial markets will eventually drive interest rates higher, and European countries such as Greece and Portugal will “have a lot of troubles….
“It’s very, very hard to call the timing, but it will happen,” Rogoff, 56, said in the speech. “In rich countries – – Germany, the United States and maybe Japan — we are going to see slow growth. They will tighten their belts when the problem hits with interest rates. They will deal with it.”…
Rogoff said Japanese fiscal policy is “out of control.” Japan has the world’s largest public debt, with gross liabilities that are approaching twice the size of the economy.
via Rogoff Foresees A Wave of Sovereign Debt Defaults « naked capitalism.
The problems are greatest in construction loans for single-family homes, where nearly 40 percent of the loans either are delinquent or have been written off as uncollectible. But they are also high in mortgage loans for single-family homes, where $1 in every $8 of loans is troubled.
via Think Banks Are Out of the Woods? Maybe Not – DealBook Blog – NYTimes.com.
Robert Litan at Brookings has a paper out, In Defense of Much, But Not All, Financial Innovation. You should check it out, it is pretty good. Here’s the summary chart, that Kevin Drum grabbed from the paper:
The prepaid financial services company did not disclose an offering price in its filing with the Securities and Exchange Commission, nor did it say what ticker symbol it plans to use.
what made Goldman savvier than most firm was that everyone got the official rationale for technically legal but questionable behavior BEFORE they did it, which made it much easier to maintain party line, rather than after the fact, when some conversations and communiques might contain remarks that were decidedly unhelpful. Note that this practice was well established over two decades before e-mails became pervasive
via Is Goldman Finally About to be Leashed and Collared? « naked capitalism.