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The Black Swan Replies |
rffrydr
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 Posted: Thu Mar 04, 2010 12:53 pm Post subject: |
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Talib's straw that breaks the camel's back is becoming the narrative of our time. Nail Fergueson is all over it, rewriting history--and historians. But, here, where everyone can see it comes the Oscars and Hollywood's embrace of the long tail:
http://www.nytimes.com/2010/03/07/movies/awardsseason/07Scott.html?pagewanted=2
That so much was forseen by so many in this big bust ("while the music plays" should be the motto) is forgotten. Last era's truth will become this era's myth.
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rffrydr
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| Posted: Mon Jul 20, 2009 12:53 pm Post subject: |
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Jackson's sharpe ratio was to die for:
http://www.cnbc.com/id/32008618
| Quote: | | ...his 50 percent stake could be worth as much a $500 million. Mr. Jackson bought the majority of the Beatles catalog in 1985 for $47.5 million, after an informal chat with Paul McCartney about the wisdom of buying song catalogs. |
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HenryTo
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| Posted: Sun Jul 19, 2009 12:40 pm Post subject: |
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Article takes the idea of "black swans" and reapply it back to the scientific community in a (good) attempt to show what's wrong with new discoveries and innovations in today's culture:
http://physicsworld.com/cws/article/print/38468 |
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rffrydr
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HenryTo
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rffrydr
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wilmateng
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Joined: 14 Apr 2009
Posts: 1
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| Posted: Wed Apr 15, 2009 9:54 am Post subject: |
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i finally finished the book i bought half a year ago, but i still don't quite get the gist of what the author is saying. he don't really give specific tips on how to identify black swans events nor actual risk management techniques. would anyone b able to share a summary or analysis pls?  |
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HenryTo
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diesel
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Joined: 05 Oct 2006
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Location: Australia & New Zealand
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nodoodahs
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Joined: 06 May 2005
Posts: 2166
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| Posted: Tue Oct 14, 2008 12:06 pm Post subject: |
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| Quote: | | ``The Black Swan Protection Protocol is designed to break even 90 to 95 percent of the time,'' Spitznagel said. ``We happen to be in that other 5 to 10 percent environment.'' |
At one point, up over 100% but now closer to 50%. Let's call it 75% for the year.
Now let's be generous and assume no losing years, with breakeven 9 years out of 10 (instead of 95% or 19 out of 20 years).
1.75^(1/10) = 5.76% annualized over a decade.
Nothing, of course, next to the money he'll make on his next paragraph-stretched-into-a-pretentious-book.
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HenryTo
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| Posted: Tue Oct 14, 2008 11:55 am Post subject: |
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Taleb's strategies up more than 50% YTD:
http://www.bloomberg.com/apps/news?pid=20601087&sid=aDVgqxiT9RSg&refer=home
| Quote: | Universa Investments LP, the Santa Monica, California-based firm where Taleb is an adviser, has about $1 billion in accounts managed to hedge clients against big moves in financial markets. Returns for the year through Oct. 10 ranged as high as 110 percent, according investor documents. The Standard & Poor's 500 Index lost 39 percent in the same period.
``I am very sad to be vindicated,'' Taleb said today in an interview in London. ``I don't care about the money. We're proud we protected our investors.'' |
Classic quote:
| Quote: | | ``We refused to touch credit default swaps,'' Taleb said. ``It would be like buying insurance on the Titanic from someone on the Titanic.'' |
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chestnutstime
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Joined: 24 Oct 2007
Posts: 89
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| Posted: Mon Apr 07, 2008 12:21 am Post subject: |
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| Quote: | | Taleb likens modern-day financial markets to medicine in the 1800s, when going to a hospital in London or Paris multiplied your risk of death by four times, he says. Similarly, quants increase risk by deploying flawed financial tools designed to reduce it, he argues |
http://www.bloomberg.com/news/marketsmag/mm_0508_story1.html
Chestnut |
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HenryTo
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| Posted: Sat Sep 15, 2007 10:05 am Post subject: |
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John Mauldin on Black Swans in his latest weekly commentary:
http://www.2000wave.com/article.asp?id=mwo091407
| Quote: | I had been saving Nassim Taleb's latest book, "The Black Swan - The Impact of the Highly Improbable," to read on my summer vacation. Glancing through the book when I first got it assured me that I wanted to give the book more than a quick read. I was not disappointed. You can quibble over various points in the book (and I may at some point), or not like his confrontational style, but this is a book that demands to be consumed slowly and thoughtfully.
There are parts of our lives which inhabit Mediocristan and parts which dwell in Extremistan. Not knowing the difference can be problematic, if not fatal. And it is difficult to know where one country starts and the other ends. If you are in Mediocristan, then you can use your bell curve assumptions without fear. But if you wander into the murky border areas, you are no longer safe in your assumptions. And yet, the longer and deeper you go into Extremistan without a problem, thinking you are safe in Mediocristan, the larger the disruption is likely to be. |
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rffrydr
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| Posted: Tue Sep 04, 2007 4:56 am Post subject: |
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From NYT above:
| Quote: | | Go ask your portfolio manager for his definition of "risk," and odds are that he will supply you with a measure that excludes the possibility of the Black Swan-hence one that has no better predictive value for assessing the total risks than astrology |
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rffrydr
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| Posted: Tue Sep 04, 2007 4:23 am Post subject: |
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August 22nd
| Quote: | We're into Black Swan and long tail territory. Yesterday, at one point, the stampede to safety pushed down three-month Treasury rates to just below 3 per cent, compared with 5 per cent only weeks ago. In real terms the US government was able, almost, to borrow for free. Money market funds are buying indiscriminately, keen to show their customers they hold risk-free assets. Lenders are refusing to roll over commercial paper and parking their cash in Treasuries instead.
If investors are now hypersensitive to risk, the mystery is why there is not more differentiation between individual banks' borrowing costs. After all, the accepted wisdom is that a big, conservative retail bank is far less likely to fail as a result of subprime monkey-business than, say, a Wall Street firm or a state-backed European bank with their curious appetite for self-harm. Yet, according to advertised interbank market rates, all banks are equally radioactive relative to the government, with the three-month cost of borrowing dollars sitting at 5.5 per cent and no real differentiation between institutions.
The extra cash injected by central banks into the system now exceeds the likely rise in banks' aggregate capital requirement from the drying up of the commercial paper market. But it seems very likely that some banks are suffering more than others. First, both the Federal Reserve and Bank of England emergency lending windows have now been used by undisclosed institutions, in spite of their abnormal expense. Second, published interbank rates may not be a reliable guide to individual banks' actual activity. Yesterday, WestLB's advertised overnight borrowing rate for dollars in London was in line with the market in spite of its chief executive's comments that German banks could be penalised. Finally, other measures of banks' risk, such as spreads on longer-term debt, suggest differentiation. Freakishly low Treasury yields indicate that frazzled investors are drawing a line between risk-free and other assets. The more durable distinction is between healthy banks and the few whose survival hangs in the balance. |
Spread over Treasuries, aug 22:
Wachovia, BA 10bp
Merrill, Goldm 55bp
LEH 78bp
BSC 100bp
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