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LJM賣方基金倒下來的故事

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發表於 2020-6-7 20:15:09 | 顯示全部樓層 |閱讀模式

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https://citywireusa.com/registered-investment-advisor/news/the-bane-of-my-existence-investors-seek-20m-from-collapsed-vol-fund/a1111537
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 樓主| 發表於 2020-6-7 20:15:58 | 顯示全部樓層
Long and short of it
The LJM Preservation and Growth strategy was run since 2006 and launched as a mutual fund in January 2013 via three different share classes (LJMAX, LJMCX, LJMIX). It had $805 million in assets under management across all share classes at the end of January, which had fallen to $9.8 million by March 6.

According to the firm’s literature, the fund invested in ‘long and short options on the S&P 500 Index futures that seek to profit, primarily, from the volatility premium—the spread between implied and realized volatility.’
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 樓主| 發表於 2020-6-8 13:05:07 | 顯示全部樓層
The filing read: ‘…per Wells’ instructions, LJM had completely unwound its portfolio with disastrous results, losing more than $266 million across all managed and affiliated funds—at least $115 million more than if LJM had been allowed to apply its trading procedures. Of these trading losses, approximately $90 million alone resulted from the E-mini futures trades directed by Wells.’

LJM's counterclaim states that the firm had a standard process to contain losses and that ‘all those well laid plans went awry due to unlawful interference by Wells.’

The filing states LJM is seeking damages for breach of contract, breach of fiduciary duty and negligence.

‘We will defend ourselves and strongly disagree with LJM’s claims,’ a spokeswoman for Wells Fargo Securities said.
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