What's so seductive about the efficient markets hypothesis is that it applies nine years out of ten. A lot of the time it works. But when it stops working, you blow up.
Nothing is more dangerous in practice, than an obstinate, unbending adherence to a system.
No matter how skillful the trading scheme, over the long haul, abnormal returns are sustained only through abnormal exposure to risk.
Beta and modern portfolio theory and the like - none of it makes any sense to me.
The average investor does significantly worse than a simple index... It's literally because of the way our brains are wired.
We concluded that you cannot rely on delta hedging alone. It sounds simplistic to say that now, but back then, this was the sort of thing people were only just beginning to realize.
Markets are unforgiving, and sometimes they move for reasons we can't possibly foresee.
I think one lesson we have to learn is that there's a lot more risk than we're giving credit to, a lot more what economist calls systematic risk.
Now quantitatively we rank things on something called alpha over standard deviation, which is the return independent of the market divided by volatility. Usually, to get a high ranking, you need some buying pressure.
