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標題: 美國歷史最久的賣方基金之一LJM驚傳鉅額損失，二月賠82% [打印本頁]

作者: sec2100 時間: 2018-2-9 22:20
標題: 美國歷史最久的賣方基金之一LJM驚傳鉅額損失，二月賠82%
本帖最後由 sec2100 於 2018-2-9 22:42 編輯

https://www.cnbc.com/2018/02/08/ ... latility-trade.html

The e-mail arrived in clients' inboxes shortly after the market opened on Tuesday: "LJM strategies have suffered significant losses."

LJM Partners, a Chicago-based hedge fund with about half a billion dollars in assets, pinpointed the damage on spiking volatility, a trade that has claimed more than one scalp in the last few trading days. Their mutual fund, known as the LJM Preservation and Growth Fund, collapsed by 82 percent over the last week and was closed to new capital on Wednesday.

Investors in the industry are calling LJM among the most prominent funds to fall victim to the popular "short vol trade." The trade had become profitable for many hedge funds, including LJM, whose "Preservation and Growth" fund posted positive returns every year except one since it launched in 2006, according to fund documents.

But the risk amplified this week after the CBOE Volatility Index, or VIX, more than doubled on Tuesday to the highest levels in six and a half years. The move caused an exchange-traded note called the VelocityShares Daily Inverse VIX, which was betting on continued calmness in the markets, to collapse in after-hours trading on Monday. Subsequently, Credit Suisse, which issued and managed the ETN announced that it would ultimately be liquidated. ProShares Short VIX Short-Term Futures also suffered massive declines after volatility spiked.

"Short volatility strategies, selling options and collecting premium, have been critically described as picking up dimes in front of a steamroller," wrote Don Steinbrugge, the founder and CEO of Agecroft Partners, a hedge-fund consulting firm, in a blog post. "They generate very good risk adjusted returns until volatility spikes and then have the potential to lose most of their assets if not properly hedged."

Tuesday's client note, signed by LJM's Founder and Chairman Tony Caine, said that the portfolio management team has been hedging "with as many futures as possible to attempt to insulate portfolios from further losses." He caveated that their "ability to do so depends on market conditions and liquidity."

"Our goal is to preserve as much capital as possible," he said.

LJM did not respond to multiple requests for comment.

The firm sent a note last Friday, describing the specific aspects of their portfolio that created losses in the month of January — before the market turmoil of this past week. Even still, rumblings in volatility during just the first month of the year caused losses in each of their three strategies.

"A rapidly rising market coupled with volatility at this magnitude is a rare market occurrence and is particularly challenging to the LJM strategy," the firm wrote to clients, according to a letter reviewed by CNBC. "Since the LJM strategies provide exposure to volatility, the strongest headwind came from the sharp rise in volatility and accounted for most of our losses in January."

作者: sec2100 時間: 2018-2-9 22:29
沒想到，我關注多年的LJM基金，竟然也關門了。記得它的創辦人(卡耐基大學高材生)在2013年接受訪問時，說他每經歷一件事，就學到一件事。沒想到，2018年才剛開始，他就結束。

作者: sec2100 時間: 2018-2-9 22:32
附圖是它的基金的績效，一向很棒，直到2月初‧‧‧‧

作者: sec2100 時間: 2018-2-9 22:40
本事件在ET論壇相關討論:

https://www.elitetrader.com/et/t ... percent-wtf.318065/

作者: sec2100 時間: 2018-2-9 22:58
ZEROHEDGE.COM相關報導

https://www.zerohedge.com/news/2 ... ates-down-80-2-days

作者: sec2100 時間: 2018-2-9 23:05
2月5日發生美國VIX指數史上單日最大漲幅事件，LJM的老闆說的:

As many of you may be aware, the market losses and volatility spike on Monday, February 5th were unprecedented. The VIX Index spiked 20 points, from 17.3 to 37.3, and was the largest one-day spike in the Index’s history. LJM strategies have suffered significant losses.

作者: sec2100 時間: 2018-2-9 23:06
所以，2月6日的台灣，發生史上最大的賣方違約事件，二者的關連度非常微妙。SNIPER在二月六日一早，攻擊台灣。

作者: EntrepreneurOPs 時間: 2018-2-10 13:55

sec2100 發表於 2018-2-9 22:32
附圖是它的基金的績效，一向很棒，直到2月初‧‧‧‧

績效和風險通常正相關吧
像我績效這麼差的
反很歡迎波動變大一點
賣方下手機會比較多

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