Daily Speculations

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Dedicated to the scientific method, free markets, deflating ballyhoo, creating value, and laughter;  a forum for us to use our meager abilities to make the world of specinvestments a better place.



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"The Oldest Profession"

Reviewed by Victor Niederhoffer

An interesting twist to Paula Vogel's very thoughtful off-Broadway play "The Oldest Profession," which does for prostitution what "Twlight Samurai" did for swordsmen, comes when the five old working girls decide to invest their money in a commodities fund. The fund is promoted by big people, and the girls figure they can make ends meet as their customers become older and take longer to finish their activities, thereby reducing turnover. Regrettably the girls lose everything in the fund. I am anxious that none of us thinks it is ever easy to make money in a fund, especially when big people are behind it. Or, especially when the system used by the promoters has a very high success rate of wins to losses. As Stan Jonas says, the higher the Sharpe ratio, the lower the future expected performance. Or as Mr. Wiz says, "They're selling volatility," even when they're a bond fund or commodities fund. Please forgive me if in my desire to walk the thin line between encouraging exuberance and discouraging the free lunch, I sometimes appear mean-spirited.

Kim Zussman responds:

It's hard to decide if this is a commodity swap or an options hedging strategy based on duration.


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