Long-Term Capital Management

Organigramma LTCM
John Meriwether Former vice chair and head of bond trading at Salomon Brothers; MBA, University of Chicago
Robert Merton Leading scholar in finance; Ph.D., Massachusetts Institute of Technology; Professor at Harvard University
Myron Scholes Author of Black-Scholes model; Ph.D., University of Chicago; Professor at Stanford University
David W. Mullins Jr. Vice chairman of the Federal Reserve; Ph.D. MIT; Professor at Harvard University; was seen as potential successor to Alan Greenspan
Eric Rosenfeld Arbitrage group at Salomon; Ph.D. MIT; former Harvard Business School professor
William Krasker Arbitrage group at Salomon; Ph.D. MIT; former Harvard Business School professor
Gregory Hawkins Arbitrage group at Salomon; Ph.D. MIT; worked on Bill Clinton's campaign for Arkansas state attorney general
Larry Hilibrand Arbitrage group at Salomon; Ph.D. MIT
James McEntee Bond-trader
Dick Leahy Executive at Salomon
Victor Haghani Arbitrage group at Salomon; Masters in Finance, LSE
L'economista Myron Scholes

Il fondo Long Term Capital Management (LTCM) era un fondo speculativo nel cui board figuravano grandi protagonisti del mondo economico. Fu istituito nel 1994 da John Meriwether e il suo team proveniente dalla Salomon Brothers e si basò sui modelli matematici creati dagli associati Robert Merton e Myron Scholes, premi Nobel per l'economia del 1997. Compiva, perlopiù, operazioni di arbitraggio economico.

Vi lavorarono anche Eric Rosenfeld, Greg Hawkins, Larry Hilibrand, William Krasker, Dick Leahy, Victor Haghani, James McEntee, Robert Shustak, David W. Mullins Jr. Possedeva un capitale gestito di 4 miliardi di dollari ma, tramite leve finanziarie molto ampie, operò con esposizioni in alcuni casi sino a 1200 miliardi di dollari. Nei primi anni riuscì a produrre rendimenti netti annui di circa il 40%.

Numerosi erano i gestori che replicavano le strategie di investimento di LTCM, col risultato che alcuni errori commessi dal fondo sono stati effettuati anche da chi utilizzava le medesime strategie. Tutto questo, unitamente alla crisi della Russia dove LTCM aveva investito e al grande utilizzo della leva finanziaria da parte di LTCM, ha reso il suo collasso drammatico nel 1998, richiedendo l'intervento diretto della Federal reserve a sostegno, al fine di evitare il peggio.

Dopo LTCM, Meriwether nel 2000 ha lanciato JWM Partners, insieme ad Haghani, Hilibrand, Leahy, e Rosenfeld, operando con gli stessi modelli matematici sebbene con esposizioni finanziarie minori.

Bibliografia

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Controllo di autoritàVIAF (EN) 145745392 · LCCN (EN) no99091394 · J9U (EN, HE) 987007572980305171

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