Greetings, all --
As someone who has been front and center in all of this (our global macro fund is down about 40% in the last three months, after being up about the same amount in the first six of 2008), I suppose I can say that a well-reasoned strategy and quantitative model cannot adequately address extreme events. This, of course, is a main point of Taleb's two books, both of which I have read. I think this entry and its links give a good overview:
http://conservationfinance.wordpress.com/2007/06/21/falkenstein-on-taleb/
- Claiborne -
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