The Greatest Trade Ever by Dutch Book of Stone Street Advisors LLC

A few weeks back Bob Treue the president and founder of Barnegat Fund Management was kind enough to upload his November 2010 presentation at Oxford University. Here he explains at length and answers questions about his 2008 TIPS trade which became famous thanks to an academic paper and some coverage from the FT and Barrons.

I personally believe this was the greatest trade of all time. The trade idea itself was a rather straightforward arb opportunity brought about by the massive imbalances that arose during the period directly after the Lehman bankruptcy, but what made it extraordinary was the actual ability to execute.

The keys to the trade, as outlined here, were holding at least 50% of the fund in cash and equivalents as collateral for margin calls during periods of increased vol, selecting and educating a client base that was comfortable with the risks and rewards of a relative value fixed income fund, and hoodwinking desks like mine by negotiating the best ISDAs possible during times when dealers were less concerned about risk management.

Since it only had 25 views when I found it I thought it would be criminal not to share it. Enjoy.