Although the risks were limited, the profits from LTCM's swap-spread trading were impressive. The trade described in appendix G earned a profit of $35 million, which was a return of 28-35 percent achieved in eight months or less. Nor was this untypical. Between February and December 1994, LTCM's returns before fees were 28.1 percent (un-annualized); after management and incentive fees were deducted, investors received 19.9 percent (unannualized). Gross returns in 1995 were 59.0 percent, and returns after fees 42.8 percent; in 1996, the corresponding percentages were 61.5 and 40.8.

Donald MacKenzie, An Engine, Not a Camera, loc. 985