It isn't any big mystery that if you take big, highly concentrated positions you are at risk for some big losses should your thesis prove incorrect. It is the classic risk-return issue. Big macro funds such as Pershing tend to believe that their research offsets the risk to a great degree but the problem is that there simply are no sure things in the market regardless of who well informed you might be. Even people that trade on inside information often suffer losses
Running highly concentrated positions is the best way to make a killing but it is also the easiest way to blow up. However, in the money-management business blowing up isn't always the same disaster it is for individual traders and investors. Big fund managers are constantly wiped out but are able to set up new funds and attract substantial funding. Bill Ackman is a good example.
If you aren't a big fund manager you may want to be more aware of the risk of highly concentrated positions. You don't have the ability to do better research than a fund and you don't have an easy way to gain new capital if you are wiped out.
What you do have is the ability to move fast and that is of huge value. Guys like Ackman can't move in and out of position. They have little choice but to stick it out even when there are warning signs of impending peril. If you aren't a big fund manager you don't have to trade like one.