Edward Thorp is considered by many to be "the first quantitative analyst", at least one of the first to successfully use quantitative models to take risks. He rose to fame after writing The Beat the Bookmaker, in which he documented a rational way of betting on beating casinos in blackjack.
He went on to study financial markets and in 1967 published Beat the Markets, a book on arbitrage. It is very difficult to profit from arbitrage today, but it is very clever at the time of writing.
Edward Thorp has one of the best investment track records he has ever had by using pure quantitative strategies. Outside of the circle of hedge funds and academic researchers, however, Thorpe is not well known.
From 1969 to 1988, his hedge fund, Princeton Newport Partners (PNP), grew at a compound growth rate of 19.1 percent, nearly double the S&P 500 index, with a significantly reduced decline, excellent performance, and never losing money.
After 1988, Thorpe decided to manage only his own money and no longer serve investors other than friends and family. He felt that managing external funds was too time-consuming and cumbersome.
In 2017, Thorp published A Man For All Markets: Beating The Odds, From Las Vegas To Wall Street, a personal adventure in science and financial markets. In the introduction, Thorpe writes that his goal is to show that a simple approach can also beat most investors and experts. Unfortunately, he didn't reveal much of what he found in the deal.
The first part of the book focuses on Thorpe's story of developing skills through reading and trial and error as a young man. This applies to trading and investing: stay curious and conduct your own research through trial and error.
The second part is about how he developed his betting system in various betting games. This led to the birth of Beat The Dealer and sparked his keen interest in the stock market.
The third part is the longest part: he dabbles in the financial industry and despises it. Because fraud and unethical things happen a lot in the financial industry.
The fourth part is very philosophical, and he spends some time explaining the basic principles of investing and giving some advice on how to live and invest.
Thorpe concludes by elaborating on what should be our guide to life: not wealth and fame, but how you spend your time on the things you enjoy.
Nassim Taleb also wrote in the introduction: "True success is to withdraw from some fierce competition and adjust yourself for peace of mind."