Lehman Brothers is hosting a conference call, uh, right now, quite whimsically called “Turbulent Times in Quant Land.” Obviously, Lehman Brothers does not have its own hedge fund, per se, so the advice to be proffered from LEH analysts will probably be along the lines of “sell Goldman” and not “everything’s cool with us, 27% is nothing to worry about, it’s a blip.” With no plans to listen to the call, we took a gander at the report the Brothers attached. A lot of numbers, a lot of charts, some things about naughty portfolios “misbehaving” and then BAM, THIS:
We like to believe in the rationality of human beings (and particularly quants) and place our faith in the strong forces and mutual incentives we all have for orderly functioning of the capital markets. As drivers of cars down dark roads at night, we learn to have faith that the driver approaching on the other side of the road, will not swerve into our lane to hit us. In fact, he is just as afraid of our swerving to hit him as we are of his swerving to hit us. We both exhale as we pass by each other headed into the night in our respective opposite directions, successfully avoiding both of our destructions.
Yes, somehow Lehman Brothers managed to come up with the perfect storm of one analyst who happens to be a card carrying member of the workers of the world, one analyst who dabbles in peyote usage, one analyst who’s been taken hostage, one analyst who’s out to argue the point that even if you’re not drunk, another driver on the road could be, and, therefore, you’re never really safe and we should repeal these provincial DUI laws and one analyst who’s…Carney, to write this report?
Turbulent Times in Quant Land [PDF]
this just proves it, deal breaker is 2 legit
oh also, can you please do some technological voodoo so posting a comment doesn’t take 45 seconds to go through?
ditto on the archaic comment-posting scripts, etc
this is hilarious stuff…and people trust lehmans with their money…ha!
Goldman’s Global Alpha is in a 40% drawdown. 40%!
I posted a similar blurb from a shareholder letter from TFS Capital on my blog World Beta:
http://worldbeta.blogspot.com/
Faber, are you saying that they’ve now lost 40% in August?
drawdown refers to how far down you are from the most recent high-water mark. since global alpha was down last year, presumably they haven’t recaptured their high watermark. so, with last year and this year, down about 40%.
how much of de shaw does lehman own? anyone? 20%?
Series7.5: Yes, acquired 20% in March per FT.
http://news.moneycentral.msn.com/provider/providerarticle.aspx?feed=FT&Date=20070313&ID=6606772
Shockingly, models misbehaving. The real world not complying. Why is this even news? Ultimately, a few months from now this won’t even be considered a material economic event. Much less the associated commentary (including this post).