Nassim Taleb: Ask Me Anything

murray t turtle · Jul 21, 2017

ironchef said:
Let's see, if options are fairly priced, then neither buyers nor sellers on average have any advantage. Both will lose money after commissions and slippage.

So if options are fairly priced, Taleb will at most breakeven unless the tails are way underpriced since he and his associates mostly hedged the tails (or bought tails?).

Have anyone here done any tail analysis to determine that his method won't work because after 1987, 1997, 2000 and 2008, tail events are priced in?

Thanks.
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NOT exactly done what you asked , IronChief,but very closely related to that. Enjoy study of insurance[ risk transfer]+ insurance contracts, which can help- in trading-investing. Like my banker dad warned me as a kid ''accidents do NOT just happen ,son --they are CAUSED'' . Great point /warning thru my banker dad!!==================================

OddTrader · Jan 31, 2018

Pekelo said:
Why couldn't Taleb clean up after 9/11?

http://www.tavakolistructuredfinance.com/2009/06/talebs-stranded-swan/

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His former partner Mark Spitznagel's HF:

"When things do go very wrong for the underlying markets, however, they go very right for Universa. As the Standard & Poor’s 500 dropped 38.5% by the end of 2008, the fund increased its investors’ money tenfold. Spitznagel says that investors generally allocate about 1% of an investment portfolio to fund such a “black swan protection protocol."

https://www.forbes.com/forbes/2011/0627/money-guide-11-spitznagel-black-swan-cnbc-protect-tail.html
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Taleb Kills $20 Billion Mythical Swan

Posted June 1, 2009
By Janet Tavakoli

https://www.tavakolistructuredfinance.com/2009/06/taleb-performance-myth/

A recent GQ article quoted Nassim Nicholas Taleb as saying that in the falling market he “made $20 billion for our clients, half a billion for the Black Swan fund.” [1]

I checked with Nassim Taleb regarding the $20 billion in gains and asked if he were misquoted. He responded via email: “The quote is inaccurate. THe (sic) 20 billion might correspond to the face value of positions.” This response is both vague and different in character from the mythical $20 billion in gains inaccurately quoted in GQ’s article. The total gains could be a tiny fraction of what Taleb loosely describes as “face value.” [2]

...

...

Now Taleb claims that the $20 billion might refer to “face value” of the trades. Yet as Rogers says, that raises strategy and execution questions at the very least. There may be a reasonable explanation, but it seems I am not alone in wondering what that explanation could be.
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learner88 · Jan 31, 2018

What is Nassib Taleb's investment performance since 2009, given that many prominent hedge fund managers seem to have faltered in this bull market?

SoesWasBetter · Jan 31, 2018

he writes books

learner88 · Jan 31, 2018

SoesWasBetter said:
he writes books
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An investment writer who wants to be taken seriously should also have a good investment record. I hate to read investment books that sound like a summary of what is written by other writers. A good writer needs to write original stuff. Only those who invest on their own can write original stuff because you need unique experience to do that.

tomorton · Feb 1, 2018

I recommend all traders understand what a black swan is and what Taleb said about them (and us).

But I found his writing style overbearing, superior and arrogant, to the point where I'll never read anything further he has written. I truly believe he only writes so he can demonstrate he is smarter than the people around him. He does not write as an iterative process as part of the development of a line of thinking, nor to help traders or investors.

OK, it might be that he IS smarter than the people around him, but I don't want to be the leg he humps up against.

newwurldmn · Feb 1, 2018

tomorton said:
OK, it might be that he IS smarter than the people around him, but I don't want to be the leg he humps up against.
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I'll bet there are a thousand quants in Wall Street who are smarter than taleb, but few who are better at self promotion.

OddTrader · Feb 2, 2018

Pekelo said:
Why couldn't Taleb clean up after 9/11?

http://www.tavakolistructuredfinance.com/2009/06/talebs-stranded-swan/

--------------------------------------

His former partner Mark Spitznagel's HF:

"When things do go very wrong for the underlying markets, however, they go very right for Universa. As the Standard & Poor’s 500 dropped 38.5% by the end of 2008, the fund increased its investors’ money tenfold. Spitznagel says that investors generally allocate about 1% of an investment portfolio to fund such a “black swan protection protocol."

https://www.forbes.com/forbes/2011/0627/money-guide-11-spitznagel-black-swan-cnbc-protect-tail.html
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Billion Dollar Claim from Black Swan Fund: Not from Taleb

CAPM / Alpha Theory, Performance, Analytics & Metrics 07 Sep 2015

http://www.allaboutalpha.com/blog/2...ar-claim-from-black-swan-fund-not-from-taleb/

Not Enough Open Interest

Even more tellingly, Tasty Trade looked at the SPX Oct.59 DTE options. To make $6 billion, even assuming perfect timing, Universa would have had to buy 60,240 contracts. That way, it would have bought puts at $4.15 on August 17th and sold them at $71.70 on August 24th. That would give it a nice 16 fold profit on however much of its capital it had invested buying these puts and then liquidating with perfect timing. If it had pulled this trick with 1/17th of a billion then, it could have ended up with a $1 billion profit in this way.

But … the market wouldn’t have allowed for the purchase of 60,240 contracts to play for such an event. The open interest was: 83. Not 8,300. Not 830. Just 83.

Sosnoff’s conclusion is a familiar one: “if profits seem too good to be true, they probably are.”

Sosnoff isn’t making an accusation against Spitznagel. He is accusing the WSJ, though, of sloppy and sensationalist advertising. It is a safe guess we’ll hear more of this.
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sss12 · Feb 2, 2018

tomorton said:
I recommend all traders understand what a black swan is and what Taleb said about them (and us).

But I found his writing style overbearing, superior and arrogant, to the point where I'll never read anything further he has written. I truly believe he only writes so he can demonstrate he is smarter than the people around him. He does not write as an iterative process as part of the development of a line of thinking, nor to help traders or investors.

OK, it might be that he IS smarter than the people around him, but I don't want to be the leg he humps up against.
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When I read someone with the "style" of NT, I try to just to take one or two points away from it. Nothing more.

One I took was that when faced with a loss, you do not need to know right then WHY it happened, just admit that it had happened and your rational for being in the position did not work this time, and GET OUT.

tomorton · Feb 3, 2018

sss12 said:
When I read someone with the "style" of NT, I try to just to take one or two points away from it. Nothing more.

One I took was that when faced with a loss, you do not need to know right then WHY it happened, just admit that it had happened and your rational for being in the position did not work this time, and GET OUT.
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On losses I agree. The old advice, "Nobody ever went broke taking profits" should be changed now and forever to "Nobody ever went broke cutting losers early".

On NT, I 'm sure you have a higher tolerance level than I do. I can't read anything more by this man. If he cared what I think I'm sure he'd have a very sharp, superior and personal comment in reply.