1.原文連結：
https://goo.gl/9uLHik
CNBC - Fund crashes after wrong-way volatility trade
期權波動交易做錯邊, 基金 ◢▆▅▄▃_崩╰(〒皿〒)╯潰_▃▄▅▆◣
2.原文內容：
The e-mail arrived in clients' inboxes shortly after the market opened on
Tuesday: "LJM strategies have suffered significant losses."
週二開盤, LJM 遺客戶雙鯉魚曰大賠
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.
LJM Partners, 資產~1B der芝加哥對沖基金短線交易(scalp)慘賠
共同基金 LJM Preservation and Growth Fund 崩崩 82%
◢▆▅▄▃_中止╰(〒皿〒)╯交易_▃▄▅▆◣
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.
LJM 在眾對沖基金中以短波交易著名, 2006 以來只有一次負報酬
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.
但本週風險暴增, VIX 噴新高, 一支 ETN 叫什摸 XIV 的週一崩崩
瑞信將清算此 ETN QQ VIXY 也 han 慘
"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."
Don Steinbrugge:
短波交易, 當選擇權賣方收租金,
風險調整收益(risk adjusted return)棒棒, 沒避險一次賠身家
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."
Tony Caine 週二給客戶的訊息: 資產組合團隊已用許多選擇權避險 QQ
因應市場情況和流動性
"Our goal is to preserve as much capital as possible," he said.
Tony Caine: 努力留老本惹 QQ
LJM did not respond to multiple requests for comment.
LJM 不回應惹
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.
本週大賣崩前, 上週五 LJM 才說明一月三項交易策略的損失跟展望
"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."
(上週的信): 快速成長的市場伴隨大量波動實在罕見, 也 han 油挑戰性
因為 LJM 投資策略暴險於市場波動, 一月的損失多來自於急速波動
https://imgur.com/rVaezP6
3.心得/評論：
上週五有機會給泥跑噗跑, 你看看你, 自以為股神囉
哈哈哈哈哈
延伸閱讀:
LJM Preservation and Growth Fund to hard close to new and existing investors
https://goo.gl/DFHVSB