Broker: hearing bad rumors about Goldman
Cav: probably way long commodities
Cav: i know their prop traders are really underwater. buttresses my theory that since Fischer Black's passing, Goldman is just another firm now
Cav: the corollary is that, since Black died, Robert Rubin is just another suit
Broker: it is bizarre how global alpha were so poor
Cav: Black was the guy saying how LTCM was doomed well before their blowup. Goldman could be the new LTCM
Cav: Rubin was the guy who "discovered" Black, brought him to Goldman, and then rode all the way to the managing partner office
Cav: and then SecTreas
Cav: Black dies in 1995, and Goldman hits its peak a few years later, following his risk inertia
Broker: i would argue GS peaked later than that
Cav: right, but under my theory, it is because Black moved them ahead on risk
Broker: not the stock (2006), but the company
Cav: look at notre dame, how great is charlie weis?
Cav: great coach, horrible, horrible recruiter
Cav: so you separate Rubin and Goldman from Black, and they are all of a sudden very average, but because their risk culture, processes and controls are so advanced vs. the competition, they continue to mine the gold
Cav: but then the main force keeping from them becoming the next LTCM dies, so they will revert back to overconfident risk folks. Benoit Mandelbrot is great, and Nassim Taleb is not bad (except for his writing)--but they are not Fischer Black
Cav: think about it--the Black-Derman-Toy interest rate derivatives model gave Goldman so much proprietary advantage in the 80s and 90s. What happened to Scholes & Merton? They joined LTCM and blew up. What happened to Derman-Toy and Goldman ...? I predict a gentle demise, if not dramatic blowup
No comments:
Post a Comment