...You look for the birds...they're gonna help you, those birds...you'll see -- good luck." --Eli Wallach, Wall Street 2. 2010 movie
The ignorance displayed in this thread about LTCM is appalling. The assumption that just because they had computers and a few PhDs and even a Nobel prize winner or two that they should have killed it is ludicrous. And their failure is in no way "proof" that math doesn't work. What LTCM did isn't some big mystery. First of all, they didn't pursue a basket of strategies. Their focus was on highly leveraged arbitrage trades. No directional trades at all. They probably had no better idea how to find a trend than most of ET does. Believe it or not, there is no math class called Trend Finding. It remains for most, mathematically adept or not, an art and for a very few, an undisclosed science. Mathematics and statistics are very beneficial tools but possessing them is no guarantee that you'll find the best edge(s). But they can enable you to optimize your edge once you find it.
if anything the responses from some on this thread back up my point about joining a professional firm. just sayin.
So, ladies and gents, it took our here resident great pretender a whole week, in an age of google and wikipedia, to figure out that LTCM doesn't stand for Losing Trader Crappy Moron. A pity but I now understand he needs all the math he can find where we all have more than enough with elementary arithmetics.