There is nothing too remarkable in Absolute Return Partners' Niels Jensen's latest letter: it does a good compilation of a recent letter by James Montier posted previously, and juxtaposes it with textbook precepts from the discredited Market Portfolio Theory, in terms of what makes a good investor. Well, indeed: if one does everything correctly according to what works in a textbook definition and combines it with real world success, one will certainly end up making money. On the other hand, Jensen does have an actual trade recommendation: and it is go illiquid. "My favourite example right now is illiquid as opposed to liquid investments. I strongly believe that less liquid investments will outperform more liquid ones over the next few years for the simple reason that the less liquid ones are struggling to catch the attention of investors who, still smarting from the deep wounds inflicted in 2008-09, stay clear of anything that is not instantly liquid. This has had the effect of pushing the illiquidity premium (i.e. the extra return you can expect to earn by investing in an illiquid as opposed to a liquid instrument) to levels we haven’t seen for years." We wonder how ARP will fare if and when the markets seize up once again. But there's at least a few milliseconds until HFTs blow a fuse next and crash the market yet again.