We have been very busy. Managers have been letting us know of our exposures to financials and we have even been discussing the merits of an ex-financials benchmark. The question is where is the bottom to all this mess? Word of advice: do not rely totally on your black-box quant manager. Our quant managers are struggling with our questions and are wriggling - a lot. A recent meeting went something like this: “Thanks for coming over to see us in Amsterdam”. Quant manager: “That’s OK”. “Shall we start with performance?” “Well we have underperformed year to date but this has largely been due to the most extraordinary recent movement in the markets.” “And how have we performed before these extraordinary movements?” “Well we were underperforming as well, but this was because of the start of the deleveraging momentum which took us all by surprise and which our models were not factoring in.” “Are there any time periods where we have been successful and been able to deliver alpha?” “Oh yes, in

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