But he said LJM sold its portfolio partly at the insistence of its largest futures clearing firm, which came in person to supervise LJM's trading.
LJM eventually agreed with that broker that it made sense to liquidate all its clients accounts.
They sold at relatively disadvantageous prices, with the fund losing much of its remaining value, "because of the sudden and substantial lack of market liquidity," Caine said in the letter, without naming the broker.
LJM had previously identified Wells Fargo as its futures broker in a filing with the U.S. Securities and Exchange Commission.
Wells Fargo declined to comment on Caine's account.
This article was provided by Reuters.