【文章标题】：Leopold’s Fall 【文章标题】：利奥波德的陨落
【文章正文】： Programming note: As in prior years, expect interrupted coverage over August. I am currently in Croatia, before heading through Slovenia into Italy. I am perfectly accessible though… any ideas, comments, or feedback, please get in touch. 编辑说明：与往年一样，8月份的报道可能会中断。我目前正在克罗地亚，之后将途经斯洛文尼亚前往意大利。不过，我随时可以联系……如有任何想法、评论或反馈，请与我联系。
In 2021, hedge fund manager Steve Cohen revealed his secret for surviving 30 years in markets: 2021年，对冲基金经理史蒂夫·科恩透露了他在市场生存30年的秘诀：
“Oh, listen, you’re gonna lose money, okay? You gonna take risk, you’re gonna lose money. I think the three things is: liquidity, leverage, and concentration. Those are the three rules. If you’re in illiquid stuff, that’s a problem. If you’re using too much leverage, that’s a problem. And if you too concentrated, that’s a problem. So doesn’t mean that if you have one of them, maybe it works, if you have two of them, uh oh. If you got three of them, you’re whistling past the graveyard.” “哦，听着，你会亏钱的，好吗？你要承担风险，你就会亏钱。我认为有三件事：流动性、杠杆和集中度。这就是三条规则。如果你持有非流动性资产，那就有问题。如果你使用过多杠杆，那就有问题。如果你过于集中，那也有问题。所以这并不意味着如果你有一个，也许能行，如果你有两个，嗯哦。如果你有三个，你就是在走过墓地时吹口哨。”
Leopold Aschenbrenner had three of them. His fund, Situational Awareness, collapsed last week under the weight of illiquidity, leverage and concentration. At peak in early July, it managed $45 billion of assets, up fivefold in just three months. But as Cohen says, “it works until it doesn’t.” 利奥波德·阿申布伦纳三条都占了。他的基金“情境意识”上周在非流动性、杠杆和集中度的重压下崩溃。7月初高峰期，该基金管理着450亿美元的资产，仅在三个月内就增长了五倍。但正如科恩所说，“在它不起作用之前，它一直有效。”
In the space of a month, the 29 US-listed long positions in Aschenbrenner’s portfolio fell by an average of 21%, while short positions such as Adobe rose by 26%. Combined with leverage of three to four times, that spelt disaster. The fund was down 67% for the month; strip out private company holdings such as Anthropic, which made up around 45 billion peak assets, and the public portfolio was down around 85%. 在一个月内，阿申布伦纳投资组合中29只美国上市多头头寸平均下跌21%，而Adobe等空头头寸则上涨26%。再加上三到四倍的杠杆，这就意味着灾难。该基金当月下跌67%；剔除Anthropic等私营公司持股（在450亿美元峰值资产中约占100亿美元），公开投资组合下跌约85%。
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We’ve talked about margin calls here before. Aschenbrenner tried to avert his on July 24 in a letter that invited investors to inject fresh capital. “At times, we call out opportunities that seem like a particularly good time to add funds, if you have been waiting for one,” wrote Aschenbrenner. But by then, his problems were well-telegraphed and the market took over: “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.” 我们之前在这里讨论过追加保证金的问题。阿申布伦纳试图在7月24日通过一封邀请投资者注入新资本的信来避免这种情况。“有时，我们会指出那些似乎特别适合增加资金的机会，如果你一直在等待的话，”阿申布伦纳写道。但到那时，他的问题已经广为人知，市场占据了主导地位：“随着这些变动的发展，我们开始看到与公开关联的股票交易越来越不利。这种动态本质上类似于银行挤兑：脆弱性滋生更多脆弱性。我们努力将投资组合保持在风险参数范围内，但随着头寸迅速对我们不利且市场流动性枯竭，这逐渐变得更加困难。”
It’s a story all too familiar. Faced with increasingly punitive margin calls, Aschenbrenner was forced to liquidate most of his public portfolio via a single block trade at a 10% discount to market value. The transaction, with Citadel, removed all leverage from the fund, allowing Aschenbrenner to enjoy his wedding without his phone vibrating and return to a business bruised but still standing. 这是一个再熟悉不过的故事。面对越来越苛刻的追加保证金要求，阿申布伦纳被迫通过一笔大宗交易以市值10%的折价清算其大部分公开投资组合。这笔与Citadel的交易消除了基金的所有杠杆，让阿申布伦纳得以在没有手机震动的情况下享受婚礼，并回到一个虽受重创但仍屹立不倒的企业。
“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.” “我们继续像以前一样作为公私混合基金运营。然而，我们将在全额付清的基础上管理我们的公开账簿，同时从这些事件中汲取教训。最重要的是：我们采取了必要措施，以便来日再战。”
Aschenbrenner may very well come back stronger. John Arnold – along with Steve Cohen, one of the best traders of his generation – reflected that his philosophy when hiring traders used to be that the “optimal number of past blow ups was one.” The record bears this out. Several of the top hedge fund managers of all time have survived single periods of catastrophic loss: Ken Griffin of Citadel and Chris Hohn of TCI were down 55% and 43% respectively in 2008. 阿申布伦纳很可能会更强势地回归。约翰·阿诺德——与史蒂夫·科恩一样，是他那一代最优秀的交易员之一——曾反思说，他过去招聘交易员时的理念是“过去爆仓的最佳次数是一次。”记录证明了这一点。有史以来最顶尖的几位对冲基金经理都曾经历过单次灾难性亏损期而幸存：Citadel的肯·格里芬和TCI的克里斯·霍恩在2008年分别亏损了55%和43%。
No wonder failed managers find it easy to raise fresh capital. After the demise of LTCM in 1998, principal John Meriwether raised a new fund, JWM Partners, whose assets rose to 200,000 in 1999 to $600 million at peak before seeing it fall by two thirds in the early 2000s. 难怪失败的基金经理很容易筹集到新资本。1998年LTCM倒闭后，负责人约翰·梅里韦瑟筹集了一只新基金JWM合伙公司，其资产增至27亿美元。25年过去了，瑞安·雅各布仍在经营着他的互联网基金，该基金从1999年的20万美元增长到峰值时的6亿美元，然后在2000年代初下跌了三分之二。
Perhaps the best precedent for Situational Awareness, though, is Amaranth Advisors, which, at the time of its unwind 20 years ago, was the largest hedge fund collapse in history. Its “star” trader Brian Hunter raised commitments of $800 million from 25 investors after he blew up his former fund. His new fund, Solengo Capital, never got off the ground for … reasons, but the tale provides further evidence of Arnold’s point. 不过，也许“情境意识”最好的先例是阿玛兰斯顾问公司，它在20年前清盘时，是历史上最大的对冲基金崩盘。其“明星”交易员布莱恩·亨特在爆掉前一只基金后，从25位投资者那里筹集了8亿美元的投资承诺。他的新基金索伦戈资本从未真正启动，原因……，但这个故事进一步证明了阿诺德的观点。
Indeed, if he’s looking to “not waste the opportunity to learn from these events,” Aschenbrenner could do worse than to read up on Amaranth. 事实上，如果他想“不浪费从这些事件中学习的机会”，阿申布伦纳最好去读读阿玛兰斯的资料。
Like his own fund, it was bailed out by Citadel after being shopped to multiple buyers. Its star trader was just two years into the job and was feted by the media. The Wall Street Journal dispatched a reporter to Hunter’s home in Calgary a month before his downfall to write a feature on the “hotshot trader everyone was talking up” – just as it had on Aschenbrenner in June (“The 24-Year-Old AI Wiz Who Counts Jane Street as an Investor.”) Both survived a prior wobble; both were rejected by Blackstone; both finally came undone during the summer – and both neglected Cohen’s sage advice against layering concentration on leverage on illiquidity. 就像他自己的基金一样，阿玛兰斯在被推销给多个买家之后，最终被Citadel救助。其明星交易员当时才入职两年，备受媒体追捧。《华尔街日报》在亨特倒台前一个月派记者到他在卡尔加里的家中，撰写一篇关于这位“人人都在谈论的炙手可热的交易员”的特写——正如它在6月对阿申布伦纳所做的那样（“让Jane Street作为投资者的24岁AI奇才”）。两人都曾经历过先前的波折；两人都被黑石拒绝；两人最终都在夏天崩溃——而且两人都忽视了科恩关于不要在非流动性上叠加杠杆和集中度的明智建议。
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For Aschenbrenner it’s too late, but for others looking for a historical lesson in risk management – and how it can be applied today – read on. 对于阿申布伦纳来说已经太晚了，但对于其他希望从风险管理中汲取历史教训——以及如何将其应用于今天——的人来说，请继续阅读。
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