That's my guess as well. If they were only trading VIX, their performance in 2017 would equate to a position of 6% long XIV (which tripled in value to earn approx. 20%). To have the loss they did in 2018 they would have then had to have 80% XIV. Either they changed their position drastically or they had a different risk. My guess is that they were short a lot of tails and perhaps long ATM to flatten or get long the spot gamma. The small move in the SPX didn't allow the ATM to earn while the rally in VIX caused (or was caused by) a rally in the DOTM puts which caused substantial marked to market pain. They were probably buying in the post market and that's where the insanity came from. Their book is vega flat and gamma flat but short a lot of vol gamma. If I'm right, if they were able to hold on for a week, they would have survived. It's still inexcusable in my opinion. But it seems more and more funds are doing stupid things like the fund last year that was trading 1x4 callspreads so that they were long that market but hedged for a down move.
Are you talking about this one? https://www.zerohedge.com/news/2017...ltdown-here-reason-markets-inexplicable-surge
btw, this particular fund did NOT survive 2008 - it was launched in 2013. https://products.ljmfunds.com/sites/default/files/downloads/ljm_funds_fact_sheet_q4_2017_retail.pdf
What do you mean? Stats there are for 2013 and later. There is only 1 mention of 2008 that they were active back then.
You mentioned that they survived 2008 - what I'm saying is that this particular fund was launched in 2013, long after 2008.
Does anyone have any idea what happened to their Aggressive Strategy? It's supposed to be an even more levered version...