Jamie Mai and the Rise of Cornwall Capital

In the early 2000s, in a quiet backyard in Berkeley, California, two friends were plotting something audacious. Jamie Mai, a history major with a curious mind and a knack for asking the right questions, had just left private equity. His partner, Charlie Ledley, wasn’t a Wall Street veteran either—both men were outsiders in almost every sense.

Their base of operations was not a gleaming Manhattan skyscraper but a converted garden shed. Inside, there was no trading floor hum, no teams of analysts, no Bloomberg terminals flashing on every wall. What they had instead was a Charles Schwab account with $110,000—seed money from Mai’s father, Vincent Mai, himself a respected financier. That modest sum, and the audacity to think differently, would become the foundation for Cornwall Capital.

From the very beginning, Cornwall’s strategy was anything but conventional. Mai and Ledley believed in the power of asymmetric bets —positions where the upside was many multiples of the downside. It wasn’t about swinging for the fences on every trade; it was about structuring opportunities so that losing was survivable, and winning could be transformative.

They sought out mispriced opportunities —situations where the market’s models, assumptions, or fears had distorted prices beyond reason. And they had the patience to wait. Sometimes months went by without a single trade. When they acted, it was with deep conviction, often using deep out-of-the-money (DOTM) options to lock in massive leverage for minimal cost.

This philosophy would carry them from that Berkeley shed to the pages of Michael Lewis’s The Big Short and into hedge fund history.

Their first big win came not from some obscure small-cap but from a household name—Capital One. In the early 2000s, the credit card giant was under fire from regulators. Headlines were grim, and the stock tumbled from around $60 to $30 in a matter of weeks.

To most, it looked like a sinking ship. But Mai and Ledley’s research told a different story. They saw a company with a sound balance sheet and an overblown crisis.

They put $26,000—nearly a quarter of their capital—into long-term call options with a $40 strike price. If they were wrong, the options would expire worthless. If they were right, the upside could be life-changing.

When Capital One recovered, those calls exploded in value, turning $26,000 into over $500,000—a 2,000% return. It was proof their approach worked, and it gave them the confidence to keep hunting.

From there, Cornwall racked up a series of asymmetric victories. A $500,000 bet on United Pan European Cable turned into $5.5 million. A $20,000 position in a medical supplies company ballooned to $3 million.

Each trade had the same DNA: a misunderstood event, a lopsided risk-to-reward ratio, and the discipline to bet big when the odds were in their favor.

Their most famous trade, of course, came in the run-up to the 2008 financial crisis. Cornwall had spotted trouble brewing in subprime mortgage securities long before it became mainstream knowledge. Working with trader Ben Hockett—who joined Cornwall in 2005—they used credit default swaps to bet against risky mortgage-backed securities.

The bet was, in Mai’s words, like “buying hurricane insurance in Florida during hurricane season when nobody else thinks there’s a storm coming.”

When the storm hit, Cornwall’s positions paid off—massively. In some cases, they made up to 80 times their initial investment.

This trade earned them a prominent place in The Big Short, where their underdog story was immortalized.

While the 2008 bet was career-defining, Cornwall didn’t fade into history afterward. They continued to find mispriced opportunities around the globe—buying undervalued companies in South Korea, structuring option plays around litigation outcomes, and even becoming active in Japanese corporate restructurings.

From 2003 to 2011, Cornwall achieved an astonishing 40% net annualized return (52% gross). These weren’t smoothed, low-volatility hedge fund returns. Their equity curve had sharp jumps, the mark of a strategy that thrived on rare, high-impact events.

Jamie Mai’s journey from history major to hedge fund legend is proof that success in markets doesn’t require the traditional pedigree—it requires curiosity, patience, and the courage to bet when others won’t.

Cornwall Capital’s story is more than just a sequence of great trades. It’s a case study in how to think differently, how to structure risk, and how a small group of outsiders—working in a shed—could outwit some of the most sophisticated players on Wall Street.

And in the end, that’s perhaps the greatest trade of all.