The Remarkable Frequency of Once in a Lifetime Events

Pension funds and the hedge fund managers who invest on their behalf are trusted with the retirement savings of everyday people and that trust is based on the idea that those “experts” fully understand the risks that they are taking. Gontran de Quillacq, practitioner and expert witness for Navesink International, is the expert to the experts. When funds blow up and pensioners are left holding the bag, he can step in and testify as to whether these experts were actually behaving like amateurs or the victims of an unpredictable black swan event. In this conversation with Michael Green of Logica Capital Advisers, Gontran touches on his decades of experience trading complex and esoteric assets to explain why many of the models and common risk metrics like Sharpe ratio don’t capture the full picture of the risks that certain strategies employ. They examine how the recent sell-off has brought forward many of these risks, shown that once in a lifetime events tend to happen much more frequently than the models would suggest, and left behind the remains of fund managers who to the untrained eye looked like the smartest guys in the room. Filmed on May 14, 2020.

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