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LCTM公司发展与崩溃的分析.ppt


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MainContentsBriefreviewofLTCM’sstoryandpeoplebehindthesceneLTCM’stradingstrategiesandriskmanagementWhatwentwrong–reasonsfortheLTCM’sdownfallIntroductiontoLTCMLTCM–LongTermCapitalManagementFormat:hedgefundadvantages:noregulation,limitedliabilityandtaxbenefitsStorybegins…….Spectacularreturn1994~1997startingcapital:$1billion(Mar-94)beforecollapse:$(Aug-97)capitalchartPeoplebehindthestory –anall-startradingteamHigh-profiletradingprofessionals––RobertMertonandMyronScholesFormervicechairmanofFed–DavidMullinsLTCM’stradingstrategiesBasictypesConvergencetradeRelativevaluetradeDirectionaltradeClassicalexamplesOn-the-run,off-the-runbondtradesInterestrateswapstradesSellingvolatilitytradesRiskarbitragetradesYieldcurverelative-valuetradesFrenchgovernmentbondtradesEquityrelative-valuetradesOn-off-the-runbondtradingType:convergencetradePrinciple:Whatison-the-runandoff-the-runTreasurybondHowtomakemoneyfromtrades:beforeconvergence,longoff-the-runandshorton-the-runAfterconvergence,unwindpositionOn-off-the-runconvergenceInfluenceonPricespread----Blueline:pricespreadinfluencedbybuyingtransaction----Redline:pricespreadinfluencedbysellingtransaction

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  • 时间2020-04-30