美国长期资本-管理公司操作对冲基金失败案例例子研究探究(英文版).pdf

A06-99-0020 Long-Term Capital Management Technical Note on a Global Hedge Fund Introduction Tuesday, September 22, 8:30pm, the Federal Reserve Bank of New York (Fed). It was a meeting at which all of Wall Street’s biggest power players were present. In attendance were Sandy Warner, chairman of JP Morgan; David Komansky, chairman, and Herb Allison, president of Merrill Lynch; Frank Newman, chairman of Bankers Trust; Jon Corzine, co-chairman of Goldman Sachs, and Robert Katz, the manag- ing director; Deryck Maughan, co-CEO of Salomon Smith Barney; Allen Wheat, chairman of Credit Suisse First Boston; Philip Purcell, chairman of Morgan Stanley; Jimmy Cayne, president of Bear Stearns Co, and Warren Spector, deputy president. Unlike previous gatherings at the Fed for which festive occasions were celebrated, this meeting was a grim one. They were there to help rescue Long-Term Capital Management, an unregulated hedge fund which was threatening to spin out of control, taking the global capital markets with it.1 Background Long Term Capital Management (LTCM or the Fund) was founded in 1994 as an unregulated hedge fund. A hedge fund is defined as any pooled investment vehicle that is privately organized, administered by professional investment managers, and not widely available to the public. The primary investors in hedge funds are institutions and wealthy individuals. Hedge funds are usually organized as limited partnerships, or limited liability companies.2 These type of funds generally charge advisory fees based on performance and tend to use short-term investment strategies. Another important aspect of hedge funds is that they usually employ an aggressive level of leverage. Leverage allows hedge funds to magnify their risk, as well as increase their total asset holdings. LTCM was able to obtain greater leverage by in