31 st Annual Conference of The International Organization of Securities Commissions (IOSCO) 8 th June 2006 Hong Kong
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1 31 st Annual Conference of The International Organization of Securities Commissions (IOSCO) 8 th June 2006 Hong Kong Panel 2: Hedge Funds How Far is it Necessary to Regulate? J. Michael Evans Chairman Goldman Sachs (Asia) LLC, Hong Kong
2 Hedge Funds: How Far is it Necessary to Regulate? Presentation to the IOSCO Annual Meeting Hong Kong 8 June, 2006 J. Michael Evans Chairman, Goldman Sachs Asia
3 Global Hedge Fund Universe Fastest Growing Segment of Investment Management Hedge funds are the fastest growing segment of investment management ment business, attracting $338 bn in new capital since 2000 (a) From 1998 to 2005, number of hedge funds increased 160% to over 8,600 (b) Hedge Fund AUM as % of Global Wealth Market (c (c) 0.64% 0.72% 0.84% 0.96% 1.05% 1.14% 1.20% HF AUM ($bn bn) $456 $491 $539 $626 $820 $973 $1,105 (a) Source: Hedge Fund Research Industry Report, 4Q05. (b) Source: AsiaHedge, EurekaHedge,, Bloomberg, Goldman Sachs Prime Brokerage estimate. As of March h (c) Source: AUM HFR 4Q05 Industry Report, Boston Consulting Group (2005 report). 2
4 Hedge Funds have Outperformed Hedge Fund Performance vs. S&P 500 ( ) (a) Hedge Funds S&P500 Relative Value Event Driven Equity Long/Short Macro Tactical Trading Annualized Return 10.5% 8.7% 11.4% 11.9% 9.4% Volatility 14.8% 3.0% 5.7% 10.3% 9.4% Risk Adjusted Return (Sharpe Ratio) (a) Source: Goldman Sachs internal fund database estimates. 3
5 Hedge Funds bring Benefits to Markets Estimated Hedge Fund Volume by Asset Class (a Equity Securities NYSE & LSE 40-50% Exchange Traded Funds 70% Convertible Bond Trading 70% Credit Default Swaps 20-30% High Yield Bond Trading 33% Distressed Debt Trading 82% (a) (a) Source: Equity research reports and studies by Fitch, Standard and a Poor s s and Greenwich Associates. 4
6 Asia Hedge Fund Industry Still Young and Small 50% of all Asia-focused hedge funds were launched within the last 2 years The typical Asia-focused hedge fund remains a small business - around 1/3 of these funds manage less than $25 mm (a) 2% 7% 12% 32% 15% 33% <25 mm 25 to 100 mm 100 to 250 mm 250 to 500 mm 500 to 1,000 mm >1,000 mm (a) Source: AsiaHedge, EurekaHedge,, Bloomberg, Goldman Sachs Prime Brokerage estimate. As of March h
7 How Far is it Necessary to Regulate? Key justifications for regulation Investor protection Fair and healthy markets Systemic risk Some regulation is now a reality Registration in US and UK Licensing in Hong Kong, Japan and Australia 6
8 LTCM What Happened? 1,300 1,250 1,200 Early 1998: NAV: $4 bn August 17: Russia devalues currency and defaults on debt Market selling of numerous debt instruments Liquidity crisis September 22: NAV drops to $600 mm Banks question LTCM s ability to meet margin calls but not move to liquidate fearing massive losses amongst LTCM s counterparties and potential systemic shock 1,150 S&P 500 1,100 1,050 1, September 1: NAV drops to $2.3 bn Investors are prohibited from exiting their investments September 23: Consortium of leading investment and commercial banks organize rescue package Inject $3.5 bn into LTCM in exchange for 90% of equity Jan Mar May Aug Oct Dec
9 Private Sector Review Counterparty Risk Management Group (CRMPG) CRMPG I: January 1999 Co-chaired by Jerry Corrigan and Stephen Thieke; ; members included representatives of 12 major commercial and investment banks Established in light of 1998 market disruptions (LTCM) Focus: promote enhanced strong practices in counterparty credit and market risk management CRMPG II: July 2005 Chaired by Jerry Corrigan; members included chief risk officers from six major banks and other industry experts from banks, fund managers and law firms Report: Toward Greater Financial Stability: A Private Sector Perspective 8
10 Could LTCM Happen Again? Improvements since January 1999 CRMPG II Conclusions Heightened resilience in the financial system Enhanced risk management and prudential supervisory practices Diversification of market and credit risk through innovation Greater liquidity in markets from size and number of hedge funds and private equity Improved infrastructure in major markets 9
11 Could LTCM Happen Again? Areas for Continued Improvement CRMPG II Conclusions Continuous vigilance" by market participants focused on funds (private equity, real estate and hedge funds) Fluctuations in asset bases Diligent risk management and other best practices essential, especially given high targeted returns A A disturbance that threatens a group of smaller funds having similar investment strategies could achieve a critical mass that engenders broad-based based market dangers" 10
12 Investor Protection Directed primarily to sophisticated investors Most strategies probably inappropriate for retail General market rules apply Insider trading Information distribution Asset valuation 11
13
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