Castle Ridge Investment Management LP Historical SEC 13F Holdings & Archive (Q3 2017)

The 1.4x turnover executing this binary liquidation introduces a single-point-of-failure timing dependency: the entire strategy now rests on the rate shock arriving immediately and violently. Having zero duration and zero equity beta creates a massive asymmetric performance gap if the Fed pivots dovish or rates stabilize—forcing Castle Ridge into either a panicked re-entry at worse prices or a career-defining tracking error versus its peers. The 96.25 position sizing discipline score signals a rigid VaR-driven framework that mechanically exited the entire complex; such models historically fail to distinguish a secular regime change from a transient volatility spike, exposing the fund to a liquidity trap born entirely from its own conviction caps.