Chapter 7

Jamie Mai

Seeking Asymmetry

I became aware of Jamie Mai through Michael Lewis’s book, The Big Short, which manages the neat feat of creating an entertaining narrative about the complex, esoteric world of mortgage-backed securities (MBS) that lay at the heart of the 2008 financial crisis. Ironically, based on the trades Lewis described, I drew a very different impression about the balance between luck and skill in driving the success of Cornwall Capital (Mai’s firm) than Lewis himself did.

Lewis’s colorful narrative of Cornwall as a hedge fund started in a shed on a shoestring budget, trading a small brokerage account, gave no hint of the firm’s institutional context. The reality is a bit duller. Cornwall was originally founded as a family office to diversify the capital of Mai’s father, who ran AEA Investors, a prominent, long-standing private equity firm that was recently rated one of the 10 most consistent performing buyout fund managers in the world.

Shortly after he started Cornwall, Mai was joined by Charlie Ledley, a former colleague from a private equity firm at which they had both worked. A third key principal, Ben Hockett, joined Cornwall in 2005 as head trader. The three collaborated closely in developing Cornwall’s investment program, which combined the bottom-up fundamental value approach in which Mai and Ledley had been trained with Hockett’s capital markets experience and expertise in derivatives and fixed income trading. Ledley left Cornwall (on good terms) ...

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