Aqui fica. Há tempo tinha lido mais sobre estas estratégias e sobre a sua posterior regulamentação após o crash de 1987 mas não encontrei mais nada. Era útil porque como o autor a seguir descreve, parecem simples hedges mas de simples não tinham nada pois usavam uma combinação complexa de estratégias de opções e futuros:
The 1987 stock market crash was a watershed event in modern financial history. Although it was not as devastating a blow to Main Street as the crash of 1929, it dealt a crushing blow to Wall Street. The crash was a closing chapter in the Roaring 80s, a meltdown that reminded investment professionals just how vulnerable they are to an abrupt reversal of fortune.
The 1987 crash was also noteworthy because it illustrated quite clearly the new ways in which world markets operated. The creation of sophisticated new investment products, the impact of technological innovation and the new-found ability to speed money around the globe in a millisecond all played a part in the market meltdown that gripped Wall Street nearly a decade ago.
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In the meantime a firm called Leland, O'Brien and Rubenstein was busy making its mark on Wall Street, selling a concept known to investors as "dynamic hedging". It later was popularly called portfolio insurance, a complicated hedging strategy for money managers that had a significant impact on the way Wall Street worked. To put it simply, portfolio insurance was a strategy that allowed equity investors to proptect their stock portfolios from unexpected downturns in the equity market. Money managers were taught to sell large amounts of stock index options, or stock index futures, against their equity holdings to profit from a decline in the stock market. Essentially, money managers were selling short the optionsor futures, while holding onto their entire portfolio of stocks. The futures were used as a proxy for their investments. As the money managers "shorted" the derivative contracts, they would make money from the ongoing decline in stock prices, off-setting the losses in their real portfolios. In this way their exposure to a bear market in stocks was "dynamically hedged". Portfolio insurance was a "black box" program that told the investors to keep selling futures or options until the market stopped going down.
The problem that no one antecipated was that the dumping of those derivative contracts exacerbated market declines, making every act of portfolio insurance selling trigger yet another round of sales. It was a vicious cycle that had disastrous consequences on October 19, 1987.
From his perch in Morgan Stanley's options division, Marty Marino came to realize that hedges weren't actually hedges at all. In fact if everyone tried to hedge their stock portfolios at the same time, he reasoned, the result would be chaos. That chaos would ultimately force the underlying stock market to simply meltdown, as all investors rushed to sell simultaneously. It was a thesis that few of the investors of portfolio insurance ever took seriously. The "rocket scientists" argued that would never be a series of events that would force all investors to engage in their portfolio protection programs in tandem. Such a scenario would have to precipitate a crash in the market. And a crash simply wasn't on their radar screen.
Admittedly such rushes to the exit door on Wall Street have been rare occurences, indeed. There were panics in the past: 1871, 1914, 1921, 1929, 1937, 1969, 1973, 1978 and 1979 all represented market manias that came to an end with a resounding crash on Wall Street. But true market meltdowns were generation events, and, no one in 1987 believed they were part of a "crash generation". (...)
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