Even the most experienced mortgage traders had a tough time
making money this summer, as evidenced by recent results from
mortgage powerhouse Ellington Management Group. The composite
return for the firm, which was founded by star trader Michael
Vranos, declined by an estimated 2.38% in August (and -2.31%
for July) to put it at -0.51% for the year.
Ellington got hurt by long subprime bets, including an
unprofitable ABX index trade, which...