The Crisis of Crowding
The bailout really rescued LTCM’s partners, its investors, its counterparties, and averted further market imbalances.
Ludwig B. Chincarini • The Crisis of Crowding
They asked a basic question of their portfolio: If we can find many different arbitrage or relative value strategies that all look individually attractive, might they look even better when combined in a certain way?
Ludwig B. Chincarini • The Crisis of Crowding
relative value trades and convergence trades.
Ludwig B. Chincarini • The Crisis of Crowding
At that time the short U.S. swap spread, the European cross-swap trade, and the short volatility trade were by far LTCM’s largest trades.