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E complicat cu drawdown-ul. Ceva relevant: In the summer of 1997, Taleb predicted that hedge funds like Long Term Capital Management were headed for trouble, because they did not understand this notion of fat tails. Just a year later, L.T.C.M. sold an extraordinary number of options, because its computer models told it that the markets ought to be calming down. And what happened? The Russian government defaulted on its bonds; the markets went crazy; and in a matter of weeks L.T.C.M. was finished. Spitznagel, Taleb's head trader, says that he recently heard one of the former top executives of L.T.C.M. give a lecture in which he defended the gamble that the fund had made. "What he said was, Look, when I drive home every night in the fall I see all these leaves scattered around the base of the trees,?" Spitznagel recounts. "There is a statistical distribution that governs the way they fall, and I can be pretty accurate in figuring out what that distribution is going to be. But one day I came home and the leaves were in little piles. Does that falsify my theory that there are statistical rules governing how leaves fall? No. It was a man-made event." In other words, the Russians, by defaulting on their bonds, did something that they were not supposed to do, a once-in-a-lifetime, rule-breaking event. But this, to Taleb, is just the point: in the markets, unlike in the physical universe, the rules of the game can be changed. Central banks can decide to default on government-backed securities. BTW, graficul tau seamana foarte mult cu asa-numita "distributie Taleb" http://1.bp.blogspot.com/_RIqPsj7KzEY/SNcKoIpzjsI/AAAAAAAAAAk/ASDi47BN-zk/s320/turkeyblowup.png Sute de hedge-fund-uri au un grafic similar. De ce? Pt ca e in interesul lor sa faca asta. Daca vrei sa ai o idee despre bazele back-testing-ului, citeste cartea asta: http://www.amazon.co.../dp/0470128011/ Sunt doar bazele, mai e mult de invatat pe langa.