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par PBourdon , Levallois, jeudi 15 septembre 2005, 10:53 (il y a 6992 jours) @ PBourdon

That, in turn, makes the investments more prone to a sudden credit crisis. Hedge funds that are highly leveraged are vulnerable to having their lenders - banks and big brokerage firms - cut off credit when they think that their money may be at risk. And Mr. Lo thinks that lenders would do exactly that in an industrywide downturn. That would force hedge funds to close out their positions at the worst possible time - the kind of cycle that brought down Long Term Capital Management.

Here again, his data suggests that the current situation is serious. His research indicates that the industry may have already entered a period of lower returns that signal a prelude to crisis. He points to a downturn in April that hit virtually every category of hedge fund pursuing every kind of strategy.

"The concern that I and others have is that we're approaching the perfect financial storm where all the arrows line up in one direction," Mr. Lo said. The more money that is invested in hedge funds, he said, "the bigger the storm will be."

What might set off a crash is a matter of guesswork. Mr. Lo thinks that an oil-price increase to $100 a barrel, a level predicted by one Goldman Sachs analyst, could do it. Or , he said, a tightening of lending rules at Fannie Mae, the mortgage giant, could set off a "humongous unwinding" in credit markets. But Mr. Lo, who refers to some of his research as "measuring how strong the camel's back is and how much straw is already on it," thinks that the spark could be something much smaller.

ALREADY, his work has prompted hedge fund managers and investors to pay more attention to the hidden risks of funds that seem to be performing quite well. Clifford S. Asness, managing principal at AQR Capital Management, a large and successful hedge fund based in Greenwich, Conn., says Mr. Lo's work forces fund managers in general to confront the risks: "He demonstrates simple models that generally show a winning payoff but occasionally really die."

So what should be done> Mr. Lo sees no way to eliminate the cyclical nature of hedge fund investing, but he says we can learn from the mistakes of funds that fail. He advocates the creation of a financial equivalent of the teams at the National Transportation Safety Board that swoop in to investigate airplane crashes.

The nightmare script for Mr. Lo would be a series of collapses of highly leveraged hedge funds that bring down the major banks or brokerage firms that lend to them. That's a possibility that the entire hedge fund industry - secretive and fractious though it is - has a huge interest in avoiding.

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Bon courage pour la lecture du document cité dans l'article; je ne suis pas très à l'aise pour lire des documents en anglais, alors j'ai laissé tombé. L'article est daté du 4 septembre 2005; ne vous méprenez pas, je ne lis pas le NYT tous les jours, j'ai trouvé l'article sur un forum bourse !
Pierre