LCTM公司发展与崩溃的分析课件

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公司发展与崩溃的分析课件34树立质量法制观念、提高全员质量意识。12月-2212月-22Monday,December26,2022人生得意须尽欢，莫使金樽空对月。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，常把弓弦绷。12月-2215:45:4315:45Dec-2226-Dec-22加强交通建设管理，确保工程建设质量。15:45:4315:45:4315:45Monday,December26,2022安全在于心细，事故出在麻痹。12月-2212月-2215:45:4315:45:43December26,2022踏实肯干，努力奋斗。2022年12月26日3:45下午12月-2212月-22追求至善凭技术开拓市场，凭管理增创效益，凭服务树立形象。26十二月20223:45:43下午15:45:4312月-22严格把控质量关，让生产更加有保障。十二月223:45下午12月-2215:45December26,2022作业标准记得牢，驾轻就熟除烦恼。2022/12/2615:45:4315:45:4326December2022好的事情马上就会到来，一切都是最好的安排。3:45:43下午3:45下午15:45:4312月-22专注今天，好好努力，剩下的交给时间。12月-2212月-2215:4515:45:4315:45:43Dec-22牢记安全之责，善谋安全之策，力务安全之实。2022/12/2615:45:43Monday,December26,2022相信相信得力量。12月-222022/12/2615:45:4312月-22谢谢大家！树立质量法制观念、提高全员质量意识。12月-2212月-2235生活中的辛苦阻挠不了我对生活的热爱。12月-2212月-22Monday,December26,2022人生得意须尽欢，莫使金樽空对月。15:45:4315:45:4315:4512/26/20223:45:43PM做一枚螺丝钉，那里需要那里上。12月-2215:45:4315:45Dec-2226-Dec-22日复一日的努力只为成就美好的明天。15:45:4315:45:4315:45Monday,December26,2022安全放在第一位，防微杜渐。12月-2212月-2215:45:4315:45:43December26,2022加强自身建设，增强个人的休养。2022年12月26日3:45下午12月-2212月-22精益求精，追求卓越，因为相信而伟大。26十二月20223:45:43下午15:45:4312月-22让自己更加强大，更加专业，这才能让自己更好。十二月223:45下午12月-2215:45December26,2022这些年的努力就为了得到相应的回报。2022/12/2615:45:4315:45:4326December2022科学，你是国力的灵魂；同时又是社会发展的标志。3:45:43下午3:45下午15:45:4312月-22每天都是美好的一天，新的一天开启。12月-2212月-2215:4515:45:4315:45:43Dec-22相信命运，让自己成长，慢慢的长大。2022/12/2615:45:43Monday,December26,2022爱情，亲情，友情，让人无法割舍。12月-222022/12/2615:45:4312月-22谢谢大家！生活中的辛苦阻挠不了我对生活的热爱。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