LTCM had known perfectly well that a flight to quality could happen and that this would be its consequence. Indeed, it was of the very essence of convergence and relative-value arbitrage that spreads could widen relative prices could move against the arbitrageur before a trade finally converged. For that reason, LTCM had required investors to leave their capital in the fund for a minimum of three years: it was in part this restriction that made the fund LongTerm Capital Management.

Donald MacKenzie, An Engine, Not a Camera, loc. 1041