Nassim Taleb/Empirica Results

Discussion in 'Wall St. News' started by sunnyskies, Aug 31, 2005.

  1. I want to know Empirica's results since this guy seems to talk smack about everyone else. Anyone got this info?
     
  2. just21

    just21

    Do a search on this site, there are some very long threads discussing his results.
     
  3. There is no public dissemination of Empirica's performance.
     

  4. That probably means that it didn't do very well.

    Empirica's method seems to have been copied by some Hong Kong banks. Your invest most (95%) in T-bills, and use the interests to buy deep-out-of-the-money calls on equities, and hope to win a black swan reward.
     
  5. And permutations thereof. The classic model consisted of investing 100% in FI and applying the Q-interest payments into long puts, calls or strangles. I m sure Taleb favored the long puts into a "black swan" or the strangles, i.e., his "fat tails" reference to further projects. In any event, it's worked like pure-shite.
     
  6. A lot of things are "not supposed to be" but are. So I'm sure a lot of people on this board know the results. Let it out :)
     
  7. Taleb's mentioned publically he ran a hedge fund. Now he states Empirica isn't a hedge fund but a "portfolio protection" fund. What does that imply, blistering performance?
     
  8. FredBloggs

    FredBloggs Guest

    lol - should have taken a lesson from mr tulip maybe??


    show me a phd or otherwise over intellectulised method to rationalize the market, and i'll show you an accident waiting to happen.
     
  9. james simons

     
  10. 9th Gate

    9th Gate

    I get the feeling after reading his book that things would turn out this way if I invested $1,000,000 with Mr. Taleb:

    Year #1: Stock Market gets 15%, but my account gets - 5%.

    Me: What happened Mr. Taleb ?
    Mr. Taleb: Hey, what can I say, maybe randomness ? I don't know, but you were statistically covered for events that didn't occur.

    Year #2: Stock Market gets 10 %, but my account gets 0%.
    Me: What happened Mr. Taleb ?
    Mr. Taleb: I told you when you opened the account you would be protected from loss, didn't I.

    Year #3: Stock Market drops -50%, but my account losses 50%.
    Me: What happened I thought you would buy put options to protect my account from random negative black swan events ?
    Mr. Taleb: Put options ? Random ? Black Swan ? I didn't buy you any put options because I saw the drop coming from a mile away. I only trade when the event has 0 chance of occuring.

    :D :D :D
     
    #10     Aug 31, 2005
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