The recent market upheaval was difficult for nearly all stock investors but one popular strategy had disastrous results. The “low volatility” strategy wagered that the smooth ups and downs the market had enjoyed for the last couple of years would continue. As volatility went through the roof overnight, several funds that were dedicated to this strategy, and incorporated low volatility in their names, went out of existence.

Then there’s the LJM Preservation and Growth Fund with the following objective: “The investment seeks capital appreciation and capital preservation with low correlation to the broader U.S. equity market . . . The Fund’s investment management team will also buy options to help mitigate the impact of sudden price moves and potentially add incremental return.” In other words, the fund strives to act differently than the stock market, help preserve the value of investments and partially insulate investors from dramatic market swings.

The fund apparently abandoned the mitigation of the impact of sudden price moves. Instead it bet the house on low volatility and as of February 7 had declined by 82% (no, that is not a typo).

As recently as February 1 (yes, the day before the market went into shock) the fund manager issued a “perspective” on using market volatility in a portfolio. “When considering a volatility strategy, investors and advisors should first determine what primary function they want the investment to play in their portfolio—diversification, incremental income, or hedging. They should also understand the best and worst environments for the strategies and how they’re being executed.” It seems these strategies are good for any investment objective. An accompanying chart illustrates market conditions in which various strategies would do well but there was no mention at all of how these strategies could backfire.

It’s a wonder how this fund attracted nearly $800 million in the first place. Since its inception in January, 2013 the fund had nearly as much volatility as the S&P 500, the same number of up and down months, a 2% greater decline in the worst quarter and a 3% less increase in the best quarter. The fund’s expense ratio is 3.24% or 2.49% with an upfront sales charge (there’s a bargain share class with expenses of 2.24% if more than $100,000 is invested). It seems plenty of investors were willing to accept high fees and poor performance in hopes that this fund would magically protect them in a market downturn.

A straightforward well-diversified portfolio that focuses on major asset classes (stocks, bonds, maybe real estate) without gimmicks or complicated strategies is certainly not a panacea. And there are unquestionably opportunities to generate high returns by taking greater risks. But investing blindly or in uncontrolled strategies is just asking for trouble.

Here’s a simple rule of investing. If you want to invest in a market and accept the risks, go ahead. If you are concerned that the risks of a market are too great, stay out of that market. Don’t try to have it both ways.