Day Two in Geneva: black swans, a new way to clone and new research on persistence
| Sep 27th, 2007 | Filed under: Alternative Beta & Hedge Fund Replication | By: Alpha Male |
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Taleb: Definitely not a normally-distributed kind of guy
Day two was kicked off by a thought-provoking presentation by Nassim Nicholas Taleb, author of several best-selling books about risk, including: Fooled by Randomness: The Hidden Role of Chance in Life and in the Markets, and recently: The Black Swan: The Impact of the Highly Improbable.
Taleb’s basic premise is that the familiar bell-shaped “normal” distribution has little relevance to the financial world. In fact, Taleb doesn’t even think it’s that useful for many non-financial applications.
He shows, for example, that approximately half of the cumulative return of the S&P 500 over the past 55 years was the result of only 10 trading days (of both up and down varieties).
(Source: Fortune Magazine)
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Chapple’s replicas may speak for themselves. i dont know when he started this fund and how much of it is recreated but what the chart tells me is that it did v badly v recently. and i cant see whether it includes August or not.