Here are a few more tidbits from the Hotel President Wilson here in Geneva…
“I’m thinking about launching an index fund of replicated hedge fund index funds!”
– John Godden, IGS Group, jokes about a fund of funds to replicate the replicators
“Alternative beta is like sex in high school. Everyone talks about it, but no one is actually doing it. Well we have had sex…and we don’t pay for it…In fact, sometimes we get paid!”
– Peter Norman, AP7 Pension Plan on his policy of investing in low-cost alternative beta and often generating revenue by lending equities.
“We call it Virgin Beta…It’s just a wording.”
– Mikael Simonsen, Ice Capital, on a new form of beta somewhere between alpha and alternative beta.
“I live for rare events.”
“You simply can’t ignore extreme events. For example, if you remove 2 hours out of O.J. Simpson’s life, he’s a perfect citizen.”
“Standard deviation is not a concept that is workable in finance.”
– Nassim Nicholas Taleb, risk expert and best-selling author on non-normal distributions
“We weren’t that enthused about it.”
– Neil Simons, Northwater Capital, on the correlation-targeting aspects of distributional replication
“Hedge fund replication will drive a normalization of hedge fund fees.”
– Gianluca Oderda, Pictet Asset Management on the impact of hedge fund replicas