The MacroTourist

The MacroTourist

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The MacroTourist
THE TROUBLE WITH 4-SIGMA MOVES
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THE TROUBLE WITH 4-SIGMA MOVES

Kevin Muir's avatar
Kevin Muir
Mar 04, 2020
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The MacroTourist
The MacroTourist
THE TROUBLE WITH 4-SIGMA MOVES
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Way back in another life, I worked on an institutional equity derivative desk. There was one firm that was my biggest competitor. I became good friends with the head risk-taker over there, and we have stayed in touch over the years.

Yesterday, when I wrote about the 4-sigma move lower in interest rate yields, I almost included a joke the two of us used…

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