You could only lose that much if you were long xiv like 90percent or massively levered. Listed vol and gamma didn't produce that much pnl this week.
It doesn't make sense.
LJM Preservation and Growth Fund, collapsed by 82 percent! (WTF?)
- Thread starter prc117f
- Start date
You could only lose that much if you were long xiv like 90percent or massively levered. Listed vol and gamma didn't produce that much pnl this week.
It doesn't make sense.
Most OPM vol sellers got pushed to the front of the curve over the past year or so. The curve has been compressed for a while and if you are gonna compete with or try to replicate XIV's performance you have to sell near dated vol where the convergence is steep which is exactly where the unprecedented 100% jump occurred.
Then there's the tripling of margins. To be honest i am surprised there aren't much more blowups hitting the news but i guess its not over yet.
If I remember correctly, you had some interesting long vol / short sp structures that you were trading a few months ago. Everything perform as expected during the past week or two?
Well XIV caused alot of turbulence. I was having a dejavu from the flash crash when the VIX futures asks disappeared completely. In a situation like this you can't do anything but hope you are hedged sufficiently. There is no exit for any meaningful size so admittedly i took some hits but i am still around. I've been through enough of these and it's never fun watching the market virtually disappear in a matter of minutes. I am personally glad reckless vol sellers are blowing up left and right, it would make for a more orderly market at each vix spike in the future.
Ironically, XIV would have been a good play at these levels. The front of the curve pushing 25 would make it a nice short vol play with limited downside. Let's see how long until it's resurrected under a new name
" LJM is registered as a Commodity Trading Advisor and Commodity Pool Operator with the CFTC and is a member of the NFA. The firm manages liquid alternative investment strategies with low correlation to other asset classes. "
https://www.ljmpartners.com/about/about-us
LJM Performance vs S&P 500 Total Return Index
LJM Aggressive LJM Moderately Aggressive LJM P&G S&P 500
1998 -10.16%1 n/a n/a 9.23%1
1999 60.52% n/a n/a 21.04%
2000 -3.07% n/a n/a -9.10%
2001 21.02% n/a n/a -11.89%
2002 -4.24% n/a n/a -22.10%
2003 68.10% 22.14%2 n/a 28.68%
2004 53.76% 38.22% n/a 10.88%
2005 42.21% 32.08% n/a 4.91%
2006 37.71% 31.35% 6.84%3 15.79%
2007 21.25% 26.33% 12.56% 5.49%
2008 -48.05% -18.69% 12.12% -37.00%
2009 50.01% 29.18% 11.11% 26.46%
2010 38.16% 22.78% 11.22% 15.06%
2011 -5.10% 2.09% 8.23% 2.11%
2012 46.48% 34.41% 10.88% 16.00%
2013 -3.80% -4.98% -8.42% 32.39%
2014 2.35% 3.26% 0.98% 13.69%
2015 26.99% 20.70% 12.55% 1.38%
2016 25.40% 19.01% 13.66% 11.96%
2017 17.69% 17.58% 9.20% 21.83%
2018 -7.79% -4.45% -4.74% 5.73%
LJM Total Return 2,432.23%1 936.74%2 146.07%3
S&P 500 Total Return 260.48%1 351.20%2 176.42%3
LJM Ave. Annual Return 17.94% 17.08% 7.96%
S&P 500 Ave. Annual Return 6.77% 10.69% 9.04%
Correlation 0.28 0.21 -0.07 1.00
Max Drawdown 63.65% 43.22% 12.64% -
Max Drawdown Time Period Aug-Oct 2008 Aug-Oct 2008 Feb-May 2013 -
Past results are not necessarily indicative of future results. Performance stated above is net of fees and expenses. January returns are estimated.
I assume you were replying to me?
Uh yes. Actually, the example merely points to irony. It's ironic that a hedge fund called Long Term Capital Management can't survive the long term. Likewise, it is ironic that a Preservation and Growth Fund can't do either claims stated in the name at the end of the day.