Rusya ve Çağrışım
Nihayet piyasaların spekülasyon konusu yaptığı Rus tahvillerinde 16 Mart kupon ödemesi geldi çattı. Rusya'dan gelen açıklama ödemenin Ruble bazında yapılabileceği yönünde olsa da bu 7 Martta da belirttiğim gibi bu kupon ödemeleri özelinde kabul edilebilir bir alternatif değil. Rusya'nın rezervlerine erişemediği göz önüne alınırsa adil bir mahkemede ödememe durumu default kabul edilir mi? Ediliyorsa yine yargı yolu ile alacaklılar Rusya'nın bloke edilmiş olan rezervlerinden alacaklarını alabilir mi? gibi sorular da hemen akla geliyor. 30 günlük süre 15 Nisanda dolacağı için bugün nihai sonucu da görmeyeceğiz.
- ABD, Avrupa ve Japon bonoları arasında görece ucuz/pahalı
- Avrupa bonolarının kendi içinde karşılaştırması
- Yeni ihraç edilmiş ABD bonoları ile eskilerin karşılaştırması
- EM bonolarında kur risksiz long
Date: September 2, 1998
To: Investors in the Investment Vehicles of Long-Term Capital Portfolio, LP
From: John W. Meriwether
Subject: Impact on Net Asset Value of August Market Conditions
Dear Investor:
As you are all
too aware, events surrounding the collapse in Russia caused large and
dramatically increasing volatility in global markets throughout August, capped
by a last-day decline in the Dow Jones Industrial Average of 5123 points. The
resulting dislocations in markets and greatly increased uncertainty have driven
investors to safer and more liquid assets. With increases in both risk and
liquidity premia--investment funds widely, many Wall Street firms, and
money-center banks have reported large trading losses with resulting sharp
declines in their share prices. Investors everywhere have experienced large
declines in their wealth.
Unfortunately,
Long-Term Capital Portfolio ("Fund") has also experienced a sharp
decline in net asset value. As you know, our formal procedure for releasing our
official net asset value normally takes about ten days after month end.
Following our usual practice to give you an early estimate of the Fund's
performance, it is down 44 percent for the month of August, and 52 percent for
the year to date. Losses of this magnitude are a shock to us as they
surely are to you, especially in light of the historical volatility of the
Fund. The losses arising from the event-driven major increase in volatility and
the flight to liquidity were magnified by the time of year when markets were
seasonally thin.
The losses in
August occurred in a wide variety of strategies, distributed approximately 82
percent in relative-value trades and 18 percent in directional trades. Emerging
markets across both trade categories accounted for 16 percent of the month's
total losses in the Fund. Within emerging markes, holdings involving
Russia accounted for less than 10 percent of total losses.
A distinguishing
characteristic of the Fund's invetment philosophy has always been that
its returns are generally expected not to exhibit systematic correlation with
the returns on global bond, stock, and currency markets. August saw an
accelerating increase in demand for liquidity in nearly every market around the
world. Consequently, Government bonds have been the best performers, while
small-cap common stocks and other relatively illiquid and risky instruments
such as high-yield bonds have performed poorly. Many of the Fund's investment
strategies involve providing liquidity to the market. Hence, our losses
across strategies were correlated after the fact from a sharp increase in the
liquidity premium.
The majority of
the Fund's risks are in our core investment strategies; that is, convergence,
relative-value, and conditional convergence trades in the U.S., Japan, and in
the larger markets of Europe. Although we have hedged risk-exposure
components that were not expected to add incremental value to performance,
large divergences in August occurred in many of our key trading strategies that
resulted in large losses. The use of leverage has accentuated these losses.
With the large
and rapid fall in our capital, steps have been taken to reduce risks now,
commensurate with our level of capital. We have raised the risk-return tradeoff
requirements for positions. Risk and position reduction is occurring in some
strategies that do not meet the new standard. This is a prudent step given the
level of capital and uncertainties in the marketplace.
On the other
hand, we see great opportunities in a number of our best strategies and these
are being held by the Fund. As it happens, the best strategies are the ones we
have worked on over many years. We will focus on these high expected
return-to-risk positions and, thereby we can manage them more aggressively.
A cornerstone of
our investment management philosophy is the availability and efficiency of
financing to support the long horizon for many of our investment strategies. Our
capital base is over $2.3 billion, and it is quite liquid. Our financing is in
place, including secured and unsecured term debt and long-dated contractural
arrangements. These term arrangements provide time to reduce our positions, if
needed, as markets become more settled. We continue to work closely with
counterparts.
Investors in the
Fund proviDeLong-term equity capital that can only be withdrawn in multi-year
stages at each year-end. This capital allows the Fund to secure stronger term
financing and contractual agreements. It also provides greater flexibility to
adjust positions, given changes in the level of its capital. The first date
that any investors can withdraw capital is year-end 1998 and that potential
withdrawal is less than 12 percent of the capital of the Fund. The principals
of LTCM represent over a third of the capital of the Fund. To provide a solid
foundation for the Fund and to capitalize on the materially richer investment
opportunity set, LTCM is in the process of seeking to raise additional capital.
The poor
performance of the Fund, year-to-date and especially in August, has been very
disappointing to all of us. However, I would ask in assessing performance going
forward, that you keep in mind that the Fund's relative-value strategies may
require a relatively long convergence horizon. The expected horizon for
convergence on our trades range from six months to two years, or even longer.
Implementation of these strategies involves large positions that take
significant time to accumulate and to reduce efficiently. The convergence
return pattern of these core trades normally implies that the day-to-day
volatility is much greater in proportion to time than the month-to-month or
year-to-year volatility of their performance. This does not imply, however,
that the reported short-term performance of the Fund is in any way an
inaccurate or invalid measure of actual returns. The mark-to-market valuations
on positions in the Fund reported to you are always derived from actual dealer
and broker quotations.
The Fund
returned approximately $2.7 billion of its capital at year-end 1997 when it
appeared that the existing investment opportunities were not large and
attractive enough to warrant its retention. Many of the trades had converged
producing profits and were unwound. Over the past several months, however these
trades that had converged once again diverged. The Fund added to its positions
in anticipation of convergence, yet largely because of last month's market
events, the trades diverged dramatically. As a result, the opportunity act in
these trades at this time is believed to be among the best that LTCM has ever
seen. But, as we have seen, good convergence trades can diverge further. In August,
many of them diverged at a speed and to an extent that had not been seen
before. LTCM thus believes that it is prudent and opportunistic to increase the
level of the Fund's capital to take advantage of this unusually attractive
environment.
With limited
expectations, the Fund has been closed to new investment since July 1995. Many
of you have asked to add to your investment in the Fund. Since iti s prudent to
raise additonal capital, the Fund is offering you the opportunity to invest in
the Fund on special terms relating to LTCM fees. If you have an interest in
investing, please contact Richard Leahy at LTCM (203-552-5511) for additional
information.
I cannot close
without telling you about the remarkable performance of the LTCM employees
during this particularly difficult month. Over the first four years of the
Fund, we had the great good fortune of consistent return performances resulting
in larger-than-expected returns with lower-than-expected volatility. We
expected that sooner or later that this good fortune could not continue
uninterrupted and that we as a firm would be tested. I did not anticipate,
hoever, how severe the test would be. I am happy to report the magnificent
performance of our employees operating as a team--administration, technology, operations.
legal, and strategies--coordinated across the Greenwich, London, and Tokyo
offices during this extreme period. August has been very painful for all of us,
but I am confident that as a consequence LTCM will emerge a stronger and better
firm.
Sincerely,
John W.
Meriwether
CEO
Chairman of the Management Committee
Emeğiniz ve yazınız için teşekkürler. Geleceği tahmin edemeyiz ancak anlamlandırmak adına geçmişteki olayları inceleyebiliriz, tam da 70 krizi ve o dönemki stagflasyon yazılarını okurken yazınızı okudum. Umarım gelecek geçmişten güzel olur, zamanımızı kazanmak için yatırıma devam...
ReplyDelete