Hedge Fund Focus

Background Information:

• Manger: Long Term Capital Management
• Website:   http://www.sjsu.edu/faculty/watkins/ltcm.htm
• SEC Registered: Yes
• Location: Greenwich, CT
• AUM: around $3.65 billion
• Strategies: arbitrage opportunities
• Founders: Myron Scholes and Robert C. Merton
• Key Employees: John Meriwether; David Mullins, Eric Rosenfeld
• Other: LTCM was to look for arbitrage opportunities in markets using computers, massive databases and the insights of top level theorists. These opportunities arose when markets deviated from normal patterns and was likely to re-adjust to the normal patterns. By creating hedged portfolios the risks could be reduced to low levels. According to the model developed by Merton the risk could be reduced to zero, but in practice some of the crucial assumptions of Merton’s model did not hold so the risk of the hedged portfolios was not really zero, as subsequent events proved.

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Articles on Long Term Capital Management by Hedge Fund Focus:

• Hedge Fund Service Provider Acquired

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