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« Investors and Hedge Fund Risk | Main | Strength and Weakness »

September 20, 2006



Jason - Thanks for your great comment! I think you are correct on all of your observations. A key theme is how to get potential clients to look at the right things. What about adding some risk protection to your regular trading?


Doesn't Mr. Taleb run Empirica like this?

I think the first step would be to present how the Sharpe ratio, alpha, etc. don't necessarily capture all the necessary performance metrics. Selling puts on the Nasdaq from 97-99 made you look like a hero.

It would be a hard sell though (unless you could insure specific portfolios?) - if you run a crisis-hunter style hedge fund, most clients would probably just look at the 2 year returns or whatever and scoff. Maybe they'll come into vogue after a big market crash.


Thanks for the kind words Prof. Your check is in the mail ;-)

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