In “dramatic” times, it’s red ink for Ellington composite


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 the firm exited in July, and several large whole-loan positions. The firm’s worst-performing fund this year, Ellington Credit Fund, fell an estimated 6.41% in July and another