100th Post, Tally Ho!

It has been slightly more than 5 months since I started my blogging experiment, and today is officially my 100th post! (It certainly feels much longer than that.) It is a bit surreal to be in a London cafe right now, having just polished off some of the best dim sum I have ever had after watching my first cricket game this morning. It has certainly been a useful endeavor from my perspective – getting emails and questions from all over the world has spawned quite a few fertile areas of research. Stay tuned for some much needed upgrades to the site in the current months.

The Battle of the Quants turned out to be a stellar conference (get those visions of nerds smashing calculators and stabbing each other with sharp pencils out of your head, this was a civil ‘Battle’). A little groggy from sleeping in the JFK airport, and minus one laptop that fried itself on the flight over, I made it through the day with the help of some strong coffee and English tea. A couple notes below.

The most pleasant surprise was the keynote speech by Nassim Taleb, author of ‘Fooled by Randomness’ and ‘The Black Swan’. I enjoyed Fooled by Randomness, but struggled to get through The Black Swan, and skimmed most of it. (I always struggle with books that could be 20 pages long that slog on for 300.) The talk, however, was highly entertaining, and painted an entirely different picture of Taleb than I gathered from his books (namely, an intellectual oozing with pretense). Taleb has started a new company, Universa, that is the follow on to Empirica. (And I believe it has > $1B in commitments.)

Two interesting notes from the talk. 1 – Taleb stated that 97% of his lifetime P&L occurred on one day (you guessed it, 1987). His product seems much less of a ‘hedge fund’ than a insurance type product. 2 – He mentioned how ironic it was that Gauss’s picture used to be on the Dutsche Mark 10 Bill, replete with the normal distribution in the background. Gauss did not invent the normal distribution (Abraham de Moivre did), and could there be a worse example of a normal distribution than the hyperinflation that plagued the German currency?

The second part I wanted to mention was the obligatory ‘Hedge Fund Replication Technique’ panel. I have blogged numerous times on the topic before, and have even penned an article on the subject. I just don’t get the appeal when you can match the returns with a simple buy and hold of world asset classes.

I am here until the weekend attending the IRC Asset Allocation Summit, and if my laptop is working I will send updates from the conference.

Any Brits have any good advice for the rest of my trip?