From the Floor: “Taleb-isms” and other quotes from Hedge Funds World Zurich

25 Nov 2008

AllAboutAlpha contributor Timothy Laing reports from the floor of Hedge Funds World Zurich this week.  Below is some of what Laing heard in the hallways at the storied Dolder Grand hotel.  (The hotel was built in 1899 as a health spa.  So this year, there is probably no better venue for the hedge fund sector to address its ailments.)

“How many of you believe that Sharpe ratio is bull****? How many of you use portfolio theory, optimal portfolio and all that cr*p?…If someone starts talking about Sharpe, VaR and all that, throw them out of your office.”

“I make my life as uncomplicated as I can get it. I do not want to be exposed to left tail risk, since I cannot compute it.”

– Nassim Nicholas Taleb, Author ‘The Black Swan‘ and Senior Scientific Advisor, Universa Investments

“Early is the new wrong.”

– Peter Clarke, CEO, Man Group

“The bail out game is dangerous if one gets in too early…A 90% drop is a drop of 80% followed by a drop of 50%.”

– Gerlof de Vrij, Head of Global Tactical Asset Allocation, APG Investments

“What happened to hedge funds over the past few months was not statistically possible so it is going to be difficult to adjust risk management models to reflect what has happened.”

– Michael Brandenberger, CEO, Complementa Investment Controlling

“We are in the middle of a storm and will worry about changes in direction when the storm subsides; many hedge fund managers, on the other hand, are simply worried about surviving the storm.”

– Nikos Latsos, Alpheus Family Office

(Timothy Laing, CFA, CAIA is Head of Business Development at Plenum Investments in Zurich.)

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