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UpanddownofLTCM
UpanddownofLTCM1
MainContentsBriefreviewofLTCM’sstoryandpeoplebehindthesceneLTCM’stradingstrategiesandriskmanagementWhatwentwrong–reasonsfortheLTCM’sdownfallMainContentsBrief2IntroductiontoLTCMLTCM–LongTermCapitalManagementFormat:hedgefundadvantages:noregulation,limitedliabilityandtaxbenefitsIntroductiontoLTCMLTCM–Lon3Storybegins…….Spectacularreturn1994~1997startingcapital:$1billion(Mar-94)beforecollapse:$6.7billion(Aug-97)Quickdownfallin1998Storybegins…….Spectacularret4MonthlynetcapitalchartMonthlynetcapitalchart5Peoplebehindthestory
–anall-startradingteamHigh-profiletradingprofessionals–John.MeriwetherandhisloyalmenNobellaureates–RobertMertonandMyronScholesFormervicechairmanofFed–DavidMullinsPeoplebehindthestory
6LTCM’stradingstrategiesBasictypesConvergencetradeRelativevaluetradeDirectionaltradeLTCM’stradingstrategiesBasic7ClassicalexamplesOn-the-run,off-the-runbondtradesInterestrateswapstradesSellingvolatilitytradesRiskarbitragetradesYieldcurverelative-valuetradesFrenchgovernmentbondtradesEquityrelative-valuetradesClassicalexamplesOn-the-run,8On-off-the-runbondtradingType:convergencetradePrinciple:Whatison-the-runandoff-the-runTreasurybondHowtomakemoneyfromtrades:beforeconvergence,longoff-the-runandshorton-the-runAfterconvergence,unwindpositionOn-off-the-runbondtradingTyp9On-off-the-runconvergenceOn-off-the-runconvergence10InfluenceonPricespread----Blueline:pricespreadinfluencedbybuyingtransaction----Redline:pricespreadinfluencedbysellingtransactionInfluenceonPricespread----11InterestrateswapstradesType:relativevaluetradePrinciple:WhatisinterestrateswapsWhatisrepofinancingHowtomakemoneyfromcombinationofTreasurybond,repofinancingandinterestrateswapsInterestrateswapstradesType12ConceptofinterestrateswapsConceptofinterestrateswaps13CashflowofanIRStFixedswapratepaymentVariableratepaymentForreceivingfixedandpayingfloatingcase:CashflowofanIRStFixedswap14RepofinancingAformofcollateralizedborrowingAnexample:aperfectrepofinancingBorrowmoneyBuyassetsUseassetsascollateralofborrowingSellassetsatappropriatetimePaybackprincipalandinterestQ:whatbenefitsdoweget?RepofinancingAformofcollat15IRStradingexampleAvailableinformation:20-yearTreasuryyield=6.77%Libor-Reporate=0.20%=20bpsSwapfixedrate=6.94%Weknowswapspread(6.94-6.77=17bps)isathistoricallowWeknowdifferenceofLiborandrepowillhavelittlevariationQ:Isitpossibletostructureaprofitabletrade?IRStradingexampleAvailablei16IRStradingexampleAnswer:Yes!Basicideabehindtrading:findtwosimilarcashflows.Longthecheaperoneandshorttheexpensiveone.Inthisexample:PurchasingTreasuryusingrepofinancinghassimilarcashflowofaninterestrateswap.Notethatswapspreadisathistoricallow(expensivetopayingfloatingandreceivingfixed).IRStradingexampleAnswer:Yes17MultiplelegsofswaptradesBuying20-yearTreasurybondsofcertainamountusingrepofinancing“Selling”20-yearinterestrateswapsofsamenotionalamount–thatis,payingfixedandreceivingfloatingMultiplelegsofswaptradesBu18CashflowsoftwolegsLeg1:purchasingTreasuryusingrepofinancingtBondinterestpayment:6.77%Reporatepayment:Libor-0.20%Leg2:interestrateswaps(payingfixedandreceivingfloating)Liborratepayment:LiborratetSwapfixedratepayment:6.94%CashflowsoftwolegsLeg1:p19IRStradingexampleNetinflowtothefund:XX=(Treasuryyield–reporate)–(swaprate–Libor)=(Libor–repo)–swapspread=20bps–17bps=3bps/yearStillapositivecarrytillmaturity!IRStradingexampleNetinflow20IRStradingexampleHopeswapspreadwiden,thensimplyunwindthepositionEnteringareversepositiontooffsetOffsettingpositionfurtherenhancestheleverage(totalassets/equitycapital),soleverageisnotasignificantindicatorofriskIRStradingexampleHopeswaps21ReallifedataonswapspreadEntrypointExitpointReallifedataonswapspreadE22SellingVolatilityRecalltheBlack-Scholes:Volatilityrisk:SellingVolatilityRecalltheB23SellingVolatility(continued)Theportfolio=selllong-termcalloptiononindex +selllong-termputoptiononindex +someshort-termindexderivativeNoimmediateexposuretothemovementinindexMakeprofitastheimpliedvolatilitydecreasesQ:WhyLTCMbelievedthecurrentimpliedvolatilityistoohigh?SellingVolatility(continued)24SellingVolatility(continued)Answer:HistoricalvolatilityandneartermimpliedvolatilityisnotthathighTruereason:supplyanddemand.Investor’sdesiretogetdownsideprotectiondrovethepriceofoptiontoohigh.Sowasimpliedvolatility.SellingVolatility(continued)25Reasonsforthedownfall–1Modelandparameterrisk:extremecaseProbabilitybelief:a10-sigmaevent?Fattailofaprobabilitydistribution(fear,greed……irrational)Reasonsforthedownfall–1Mo26Reasonsforthedownfall–1FattailofapdfReasonsforthedownfall–1Fa27Reasonsforthedownfall–1FamousmottobyJohnMaynardKeynes:ThemarketcanstayirrationallongerthanyoucanstaysolventSoextremesituationstresstestingisindispensable!Reasonsforthedownfall–1Fa28Reasonsforthedownfall–2Liquidityrisk:ByessenceofLTCM’strade,theyareinfactprovidingliquiditytobroadmarket–sellingliquidassetsandbuyingnon-liquidassetsWhenthewholemarket“flytoliquidity”……Reasonsforthedownfall–2Li29Reasonsforthedownfall–3PortfolioLeverage?EndofAugust1997,fund’sleverageis:19:1.Peakvalueis31:1.Q:IsleveragetoobigforLTCM?Reasonsforthedownfall–3Po30Reasonsforthedownfall–4Fund’sfinancing?AlmostperfectinmanyoftheirtradesReturn2billionsofcapitaltoinvestorsattheendof1997.Isitawrongmove?Notsufficientlineofcredittodrawinadversesituation.Reasonsforthedownfall–4Fu31Reasonsforthedownfall–5People,people,people!!!ManagementreasonsBigegooftheirtoptradersNoeffectiveseparateentityforriskcontroloftheirtradingpositionsReasonsforthedownfall–5Pe32Reasonsforthedownfall–6
Badluck!!!
Murphy’sLaw:Whatevercangowrong,willgowrong!Reasonsforthedownfall–6B33
Thankyou!LCTM公司發(fā)展與崩潰的分析課件34樹立質(zhì)量法制觀念、提高全員質(zhì)量意識。12月-2212月-22Monday,December26,2022人生得意須盡歡,莫使金樽空對月。15:45:4315:45:4315:4512/26/20223:45:43PM安全象只弓,不拉它就松,要想保安全,常把弓弦繃。12月-2215:45:4315:45Dec-2226-Dec-22加強交通建設(shè)管理,確保工程建設(shè)質(zhì)量。15:45:4315:45:4315:45Monday,December26,2022安全在于心細(xì),事故出在麻痹。12月-2212月-2215:45:4315:45:43December26,2022踏實肯干,努力奮斗。2022年12月26日3:45下午12月-2212月-22追求至善憑技術(shù)開拓市場,憑管理增創(chuàng)效益,憑服務(wù)樹立形象。26十二月20223:45:43下午15:45:4312月-22嚴(yán)格把控質(zhì)量關(guān),讓生產(chǎn)更加有保障。十二月223:45下午12月-2215:45December26,2022作業(yè)標(biāo)準(zhǔn)記得牢,駕輕就熟除煩惱。2022/12/2615:45:4315:45:4326December2022好的事情馬上就會到來,一切都是最好的安排。3:45:43下午3:45下午15:45:4312月-22專注今天,好好努力,剩下的交給時間。12月-2212月-2215:4515:45:4315:45:43Dec-22牢記安全之責(zé),善謀安全之策,力務(wù)安全之實。2022/12/2615:45:43Monday,December26,2022相信相信得力量。12月-222022/12/2615:45:4312月-22謝謝大家!樹立質(zhì)量法制觀念、提高全員質(zhì)量意識。12月-2212月-2235生活中的辛苦阻撓不了我對生活的熱愛。12月-2212月-22Monday,December26,2022人生得意須盡歡,莫使金樽空對月。15:45:4315:45:4315:4512/26/20223:45:43PM做一枚螺絲釘,那里需要那里上。12月-2215:45:4315:45Dec-2226-Dec-22日復(fù)一日的努力只為成就美好的明天。15:45:4315:45:4315:45Monday,December26,2022安全放在第一位,防微杜漸。12月-2212月-2215:45:4315:45:43December26,2022加強自身建設(shè),增強個人的休養(yǎng)。2022年12月26日3:45下午12月-2212月-22精益求精,追求卓越,因為相信而偉大。26十二月20223:45:43下午15:45:4312月-22讓自己更加強大,更加專業(yè),這才能讓自己更好。十二月223:45下午12月-2215:45December26,2022這些年的努力就為了得到相應(yīng)的回報。2022/12/2615:45:4315:45:4326December2022科學(xué),你是國力的靈魂;同時又是社會發(fā)展的標(biāo)志。3:45:43下午3:45下午15:45:4312月-22每天都是美好的一天,新的一天開啟。12月-2212月-2215:4515:45:4315:45:43Dec-22相信命運,讓自己成長,慢慢的長大。2022/12/2615:45:43Monday,December26,2022愛情,親情,友情,讓人無法割舍。12月-222022/12/2615:45:4312月-22謝謝大家!生活中的辛苦阻撓不了我對生活的熱愛。12月-2212月-2236UpanddownofLTCM
UpanddownofLTCM37
MainContentsBriefreviewofLTCM’sstoryandpeoplebehindthesceneLTCM’stradingstrategiesandriskmanagementWhatwentwrong–reasonsfortheLTCM’sdownfallMainContentsBrief38IntroductiontoLTCMLTCM–LongTermCapitalManagementFormat:hedgefundadvantages:noregulation,limitedliabilityandtaxbenefitsIntroductiontoLTCMLTCM–Lon39Storybegins…….Spectacularreturn1994~1997startingcapital:$1billion(Mar-94)beforecollapse:$6.7billion(Aug-97)Quickdownfallin1998Storybegins…….Spectacularret40MonthlynetcapitalchartMonthlynetcapitalchart41Peoplebehindthestory
–anall-startradingteamHigh-profiletradingprofessionals–John.MeriwetherandhisloyalmenNobellaureates–RobertMertonandMyronScholesFormervicechairmanofFed–DavidMullinsPeoplebehindthestory
42LTCM’stradingstrategiesBasictypesConvergencetradeRelativevaluetradeDirectionaltradeLTCM’stradingstrategiesBasic43ClassicalexamplesOn-the-run,off-the-runbondtradesInterestrateswapstradesSellingvolatilitytradesRiskarbitragetradesYieldcurverelative-valuetradesFrenchgovernmentbondtradesEquityrelative-valuetradesClassicalexamplesOn-the-run,44On-off-the-runbondtradingType:convergencetradePrinciple:Whatison-the-runandoff-the-runTreasurybondHowtomakemoneyfromtrades:beforeconvergence,longoff-the-runandshorton-the-runAfterconvergence,unwindpositionOn-off-the-runbondtradingTyp45On-off-the-runconvergenceOn-off-the-runconvergence46InfluenceonPricespread----Blueline:pricespreadinfluencedbybuyingtransaction----Redline:pricespreadinfluencedbysellingtransactionInfluenceonPricespread----47InterestrateswapstradesType:relativevaluetradePrinciple:WhatisinterestrateswapsWhatisrepofinancingHowtomakemoneyfromcombinationofTreasurybond,repofinancingandinterestrateswapsInterestrateswapstradesType48ConceptofinterestrateswapsConceptofinterestrateswaps49CashflowofanIRStFixedswapratepaymentVariableratepaymentForreceivingfixedandpayingfloatingcase:CashflowofanIRStFixedswap50RepofinancingAformofcollateralizedborrowingAnexample:aperfectrepofinancingBorrowmoneyBuyassetsUseassetsascollateralofborrowingSellassetsatappropriatetimePaybackprincipalandinterestQ:whatbenefitsdoweget?RepofinancingAformofcollat51IRStradingexampleAvailableinformation:20-yearTreasuryyield=6.77%Libor-Reporate=0.20%=20bpsSwapfixedrate=6.94%Weknowswapspread(6.94-6.77=17bps)isathistoricallowWeknowdifferenceofLiborandrepowillhavelittlevariationQ:Isitpossibletostructureaprofitabletrade?IRStradingexampleAvailablei52IRStradingexampleAnswer:Yes!Basicideabehindtrading:findtwosimilarcashflows.Longthecheaperoneandshorttheexpensiveone.Inthisexample:PurchasingTreasuryusingrepofinancinghassimilarcashflowofaninterestrateswap.Notethatswapspreadisathistoricallow(expensivetopayingfloatingandreceivingfixed).IRStradingexampleAnswer:Yes53MultiplelegsofswaptradesBuying20-yearTreasurybondsofcertainamountusingrepofinancing“Selling”20-yearinterestrateswapsofsamenotionalamount–thatis,payingfixedandreceivingfloatingMultiplelegsofswaptradesBu54CashflowsoftwolegsLeg1:purchasingTreasuryusingrepofinancingtBondinterestpayment:6.77%Reporatepayment:Libor-0.20%Leg2:interestrateswaps(payingfixedandreceivingfloating)Liborratepayment:LiborratetSwapfixedratepayment:6.94%CashflowsoftwolegsLeg1:p55IRStradingexampleNetinflowtothefund:XX=(Treasuryyield–reporate)–(swaprate–Libor)=(Libor–repo)–swapspread=20bps–17bps=3bps/yearStillapositivecarrytillmaturity!IRStradingexampleNetinflow56IRStradingexampleHopeswapspreadwiden,thensimplyunwindthepositionEnteringareversepositiontooffsetOffsettingpositionfurtherenhancestheleverage(totalassets/equitycapital),soleverageisnotasignificantindicatorofriskIRStradingexampleHopeswaps57ReallifedataonswapspreadEntrypointExitpointReallifedataonswapspreadE58SellingVolatilityRecalltheBlack-Scholes:Volatilityrisk:SellingVolatilityRecalltheB59SellingVolatility(continued)Theportfolio=selllong-termcalloptiononindex +selllong-termputoptiononindex +someshort-termindexderivativeNoimmediateexposuretothemovementinindexMakeprofitastheimpliedvolatilitydecreasesQ:WhyLTCMbelievedthecurrentimpliedvolatilityistoohigh?SellingVolatility(continued)60SellingVolatility(continued)Answer:HistoricalvolatilityandneartermimpliedvolatilityisnotthathighTruereason:supplyanddemand.Investor’sdesiretogetdownsideprotectiondrovethepriceofoptiontoohigh.Sowasimpliedvolatility.SellingVolatility(continued)61Reasonsforthedownfall–1Modelandparameterrisk:extremecaseProbabilitybelief:a10-sigmaevent?Fattailofaprobabilitydistribution(fear,greed……irrational)Reasonsforthedownfall–1Mo62Reasonsforthedownfall–1FattailofapdfReasonsforthedownfall–1Fa63Reasonsforthedownfall–1FamousmottobyJohnMaynardKeynes:ThemarketcanstayirrationallongerthanyoucanstaysolventSoextremesituationstresstestingisindispensable!Reasonsforthedownfall–1Fa64Reasonsforthedownfall–2Liquidityrisk:ByessenceofLTCM’strade,theyareinfactprovidingliquiditytobroadmarket–sellingliquidassetsandbuyingnon-liquidassetsWhenthewholemarket“flytoliquidity”……Reasonsforthedownfall–2Li65Reasonsforthedownfall–3PortfolioLeverage?EndofAugust1997,fund’sleverageis:19:1.Peakvalueis31:1.Q:IsleveragetoobigforLTCM?Reasonsforthedownfall–3Po66Reasonsforthedownfall–4Fund’sfinancing?AlmostperfectinmanyoftheirtradesReturn2billionsofcapitaltoinvestorsattheendof1997.Isitawrongmove?Notsufficientlineofcredittodrawinadversesituation.Reasonsforthedownfall–4Fu67Reasonsforthedownfall–5People,people,people!!!ManagementreasonsBigegooftheirtoptradersNoeffectiveseparateentityforriskcontroloftheirtradingpositionsReasonsforthedownfall–5Pe68Reasonsforthedownfall–6
Badluck!!!
Murphy’sLaw:Whatevercangowrong,willgowrong!Reasonsforthedownfall–6B69
Than
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