LCTM公司发展与崩溃的分析.pptx

Up and downof LTCM Main ContentsBrief review of LTCM’s story and people behind the sceneLTCM’s trading strategies and risk managementWhat went wrong – reasons for the LTCM’s downfallIntroduction to LTCMLTCM – Long Term Capital ManagementFormat: hedge fund advantages: no regulation, limited liability and tax benefits Story begins…….Spectacular return 1994~1997 starting capital: $ 1 billion (Mar-94) before collapse: $ 6.7 billion (Aug-97)Quick downfall in 1998Monthly net capital chartPeople behind the story – an all-star trading teamHigh-pro professionals – John. Meriwether and his loyal menNobel laureates – Robert Merton and Myron ScholesFormer vice chairman of Fed – David Mullins LTCM’s trading strategiesBasic typesConvergence tradeRelative value tradeDirectional tradeClassical examplesOn-the-run, off-the-run bond tradesInterest rate swaps tradesSelling volatility tradesRisk arbitrage tradesYield curve relative-value tradesFrench government bond tradesEquity relative-value tradesOn-off-the-run bond tradingType: convergence tradePrinciple: What is on-the-run and off-the-run Treasury bondHow to make money from trades:before convergence, long off-the-run and short on-the-runAfter convergence, unwind positionOn-off-the-run convergenceInfluence on Price spread---- Blue line: price spread influenced by buying transaction---- Red line: price spread influenced by selling transactionInterest rate swaps tradesType: relative value tradePrinciple: What is interest rate swapsWhat is repo financingHow to make money from combination of Treasury bond, repo financing and interest rate swapsConcept of interest rate swapsCash flow of an IRSFor receiving fixed and paying floating case:Fixed s paymenttVariable rate paymentRepo financingA form of collateralized borrowingAn example: a perfect repo financingBorrow moneyBuy assetsUse assets as collateral of borrowingSell assets at appropriate timePay back principal and interestQ: what benefits do we get?IRS trading exampleAvailable inf