Roger Ehrenberg

Nassim Taleb: Renegade Trader with Renegade Ideas - That Work

Guys, bottom line, is that Taleb's fund is a good part of a diversified portfolio. Under most conditions Taleb's strategy hemmorages "theta" (time value), and generates a steady stream of losses. However, when volatility explodes his ownership of the "tails" pays off in spades. His strategy has similar properties to CTAs/trend followers, who tend to do poorly in low-volatility environments but do well when uncertainty spikes and trends are more pronounced. So analyzing Taleb's approach in a vacuum doesn't make much sense, as to hold his fund stand-alone is neither practical nor rewarding. However, as part of a diversified book, his strategy actually reduces portfolio volatility and increases return.

Have Recent Crises Blown a Hole Through Modern Financial Theory?

Fractals, I didn't say that they were unique to this market. Read the last paragraph. What I said is that changes in market structure and security design, among other things, have exacerbated the trend towards discontinuity over the past 30 years. I agree with you comment.