Adam had an initial tally of some investment bank losses after the SNB’s move on Thursday, here: Citigroup said to lose more than $150m on currency moves
But … What of hedge funds?
From the Financial Times (gated, but can be read with a free registration): Investment banks count losses from Swiss move
(ps. an FT subscription is money well spent)
- Data from Lyxor, which tracks $288bn of hedge fund assets, showed that only a net 2 per cent of so called global macro funds’ positions on the Swiss franc were short selling bets, a very small amount compared to their exposure to other currencies
- The figure compares with a tally of more than 90 per cent of retail investors who were short the Swiss franc, according to traders
- The same data show that global macro funds are short the euro against the US dollar in a size of about 40 per cent of their assets
- Several large quantitative hedge fund managers said they had also stopped trading around the Swiss franc when the SNB first intervened because it became impossible for their computers to use historical prices to predict how the currency would move
- Leda Braga, who heads the $8bn Systematica quantitative hedge fund, said it had exited trading the Swiss currency since the first intervention. “In that situation you cannot base your analysis on historical data, so we ceased to trade it,” she said
