Another gambling Hedge Fund goes under: LJM Partners

http://www.ljmpartners.com/content/history.html



Read all about his strategy and his Ph.D. risk manager here:

http://ljmpartners.com/content/PDFs/ActiveTraderMagazine.pdf
http://ljmpartners.com/content/PDFs/ActiveTraderMagazine_part2.pdf

All the academic voodoo won't help you in this market. Never has, never will:

http://ljmpartners.com/content/PDFs/LJM_LongVolatilty_10Feb2008.pdf

 

yaaaawn

 

I thought I recognized that acronym....ironic:

http://en.wikipedia.org/wiki/LJM

 

Go away. Seriously.

 

1) His second month of operation, August-1998, he had a ~37% MONTHLY loss. This should have scared anybody away from ever, ever investing with him.
2) July-2002, a ~46% loss. Come on! His exit strategy is badly flawed.
3) October-2008, another huge loss. This guy likes to eat like a bird and dump like an elephant.

 

Yup! He explained that he tried to time the bottom on the SP500 in 2002... he then "learned' his lesson. Sounds to me like he tried it again.

http://ljmpartners.com/content/PDFs/ActiveTraderMagazine.pdf
http://ljmpartners.com/content/PDFs/ActiveTraderMagazine_part2.pdf

This is where quantitative risk management gets you.

 

?......reversion to the mean.....Hail Mary!........

 

Risk management? These guys were selling naked puts I am amazed they can talk dumbass investors into paying 2/20 for their 'expertise' to short naked ES options.

Fat tail events happens rarely, but when they happen they tends to wipe you out.

 

"Once-in-a-lifetime events that happen every several years."

 

because there are many people who are fat or want to get fat in america! So he eat the fat tails