What could be better than launching our website with a big bang? With a big bang created by someone else!
For everyone who enjoyed some well-deserved easing of the lockdown over the weekend and did not witness the Gigantomachy between hedge fund founder/billionaire Cliff Asness and trader/turned mathematician/turned philosopher Nassim Nicholas Taleb, I want to use this introductory post of our new website to give you a full overview on last week’s event. And with “full” I mean limited to what I witnessed and with “event” I mean the epic mud fight
celebrity death match battle. In honor of these two legends of the modern investing world I decided to commission a depiction of the tale that will without any doubt enter into the comic books on modern investment history (or maybe even replace some macroeconomic textbook). Since an ancient relief did not seem fitting, I needed a modern version that bestows true honor. And who else than the extremely talented Stefan Gasic could be better suited for this task. So lo and behold, I present you the artist’s depiction of this battle and will follow-up with a chronology of significant events.
Prologue or “The Elusive Benefits of Protective Puts”
In the opening of the play, Cliff and his faithful research companion Antti Illmanen want to investigate the ongoing underperformance of the value factor. Antti refuses to reassess the ancient topic, not believing that it will actually be possible to find a satisfying answer. They settle on (another) piece about portfolio protection where they caution against the ability of put options to add value over longer-term time horizons. By the way, they also make quite a convincing case for the favorite Two Quants strategy: Trend Following. But back to the story …
The chorus – or a single chorus member – starts to sing
Nassim N. Taleb enters. The chorus cast his background story into a mythic and heroic context. He is irritated by the study’s alleged claims that puts are expensive; Nassim, furious, orders Antti to consider convexity and hidden moments. He urges Cliff to reflect on their own risk premia strategies that lost money during the recent crash. During the philosophical exchange, words such as sub-imbecile and lunatic are ushered. Nassim praises his new bible book to offer revelation and disapproves Cliff’s mentor, Eugene Fama, the father of the efficient market hypothesis who resides on Mount Olympus. The chorus hums affirmations.
The chorus sing of the trouble Taleb has created before. Since all main actors were on stage at the end of the previous episode, this chorus is necessary so that one can change costume and take up arms. In the background of the scenery, fine fog wafts around and flows over the edges of the stage. When the fog slowly lifts, parts of grossly mutilated bodies stand out from the background. The chorus chants in a state of suspense. Among the many victims, we can recognize the bodies of P. Tetlock, G. Selgin and S. Pinker.
The chorus encourages Cliff by singing of the great men of myth who suffered by the hands of Nassim.
Cliff enters. On his shoulder sits a white dove, the spirit of the Twitter absentee Antti. The chorus begin collectively in trembling lyric mode at this appearance. He argues unflinchingly with Taleb about the immorality of his accusations, defending Antti, his mentor Fama as well as his thoughts on tail insurance. He points to the mistake of exaggerating strategy performance by not using notional as a base and restarting the strategy after failure. The chorus revert to a single, shocked iambic line, an individual’s voice and then respond with a mixture of lyrics of sympathy and questioning horror. The discussion deteriorates, and the two men are soon bitterly insulting each other. The light is dimmed on the main protagonists as the chorus’ emotional confusion upon the demise of their heroes is palpable through echoing voices of the protagonists last Tweets.
A messenger enters to tell the leader of the chorus that both protagonists have blocked each other. The battle is not over, it’s only postponed.