大鱼吃小鱼

[门前镜湖水]

不过，拿钱投给这小孩的人的钱也多的是，赔了也不会伤筋动骨。

[crane]

记得上次贴的那个法国人的访谈里，他说过这些数学模型不能真正对付政治等黑天鹅事件，只是对短期，高频交易最有效。
我觉得这小伙栽在同样的原因。
数学不懂心理学，数学不知善恶，所以，不要以为数学是万能的。

想起来期权定价的创始者 Black，Scholes，Merton。Black 1995 年去世，后两位都栽在了 LTCM 上。

LTCM

LTCM 是由 Salomon Brothers 的前副董事长暨债券交易部主管 John Meriwether 于1994年成立，董事会成员包括了因制定期权定价公式，而在1997年共同获得诺贝尔经济学奖的 Myron Scholes 和 Robert C. Merton。
LTCM在成立第一年就获得了年化报酬率超过40%的巨大成功，然而在1998年俄罗斯金融危机后，却在不到四个月的时间里造成了46亿美元的巨大亏损，不得不请求美国联准会的财政介入。不久之后，该基金在2000年初倒闭。

[crane]

Dear Partners,

We let you down this month. We came closer to permanent capital impairment than is acceptable to us. While we ultimately found a solution that protected the fund and you as investors, our intention in running the fund is to never find ourselves in such a position in the first place.

Volatility is the price of long-term investment returns. Over the past two years, we have delivered outstanding results, despite occasional sharp pullbacks. But our fund must always be structured such that we can take a loss and fight another day.

I will make it my mission to ensure that we learn the necessary lessons from this experience.

Here is where things stand:

• The portfolio experienced a significant drawdown over the course of July, which was exacerbated by extreme moves in core positions over the past week. Many AI names drew down by half or more, while our positive L/S spread reversed violently. While we could say much about how unusual the month was, we hold ourselves to a higher standard, irrespective of market conditions.
• As these moves proceeded, we started to see increasingly adverse trading in names publicly associated with us. These dynamics are essentially similar to a bank run: vulnerability begetting more vulnerability. We worked to keep the portfolio within our risk parameters, but gradually this became more difficult as positions rapidly moved against us and market liquidity dried up.
• On Wednesday night/Thursday morning, we took decisive action to protect LP capital. We traded a portion of our public portfolio in a block transaction to remove all leverage from the fund, and prevent further losses. All shorts were closed and reliance on portfolio financing removed. We currently manage a fully-paid-for public book (long stock and long fully-paid-for options, with no margin/liquidation risk). This restored stability and allowed us to preserve our private positions.

I take full responsibility for these events.

To be clear, this should rightly have been a very painful month in terms of the performance of our fund: when AI stocks draw down dramatically while AI technical/business fundamentals are improving, you should expect our fund to be down a lot. We embrace volatility. But it should never jeopardize the fund.

The fund was not shut down, liquidated, or transformed into a private-only fund.

We are continuing to operate as a hybrid public-private fund as before. However, we will manage our public book on a fully-paid-for basis while we draw the lessons from these developments. Most importantly: we took the steps that were necessary to fight another day.

In the coming weeks, I will focus on putting in motion the necessary changes—across our portfolio management, risk team, and vigilance applied across the board—to ensure a higher level of resilience going forward. AI may continue to intensify market volatility for years to come. These were very expensive scars, but I am dedicated to ensuring they will be invaluable lessons for our organization and for myself as we move forward. My core promise to you is that we will not waste the opportunity to learn from these events.

On the portfolio itself: we are very optimistic about the current investment opportunity set. The underlying fundamentals are accelerating at the very same time that prices have declined significantly.

Thank you for your patience and your partnership. I am fully invested alongside you—virtually all of my capital is in the fund—and I intend to work relentlessly to demonstrate that the events of this month have made me a wiser and stronger investor. I am available next week for 1:1 phone calls with each of you to discuss all of the above.

As an interim update, our current, unaudited estimate of net MTD performance is -67%, and of net YTD performance is +80%. Final figures will follow through our normal reporting process.

We will follow up regarding a group call next week to share further details.

All the best,

Leopold