It was a hedge fund, no matter what he prefers to call it. I even know the name - "Empirica Kurtosis". Now get me those dirty numbers
I subscribe to most of the hedge fund databases, and more than few wrap account DBs. So I usually have no problem finding return data for pretty much any hedge fund that are, actively soliciting money, manages public institutional money, have money from a FoF, or have quarterly NAVs. I can not find any returns for Empirica going back 2-3 years. This means, either the fund is funded completely with private wealth money (no FoF, or public institutional money), or have been closed for > 5 years. In any case, this fund can not be very big, he only started it after '99, and I can't find any significant capital raising activities. Being that most institutional exposure reports are strictly based VaR, and Nassim's ardent against application of VaR, I can't imagine him able to raise any measure of institutional money. This would mean that his fund is < 250M. Off hand, I would guess it being < 50M, funded mostly by his own, and friends and family. This is insignificant in the hedge fund universe.
Jim Simons isn't trained in any finance or the random walk of bullcrap theory. He hired just one guy with wall street experience and thats basically it. The rest of his traders and researchers are people in academia doing the sciences, or engineering. He trains them at the fund and probably teaches them methods that aren't laden with academic finance theories.
A few things: - Taleb has been on Sabbatical most of this year, and is about to return (if he hasn't already) to Empirica - apparently. - He was a trader before he decided to get his PhD (Paris). - I believe that most of what Empirica does these days is for his own and his family's interests - thus he has no obligation to release any figures to anyone. - He is more interested in Epistemology and writing these days than anything else. I believe he still teaches a course at Columbia U (Levy process related?) - He is tighter than a fish's rectum when it comes to discussing his trading strategies. - You can actually email him (address on his website). If you ask a decent question you might even get a response. - He occasionally lurks on the Wilmott forum under the handle "Kurtosis".
Heck, I threw out $50M, with no basis of guessing except my past experiences with hedge funds. So $69M sounds about right, anything less than $200M I would think would be probable.
Rufus, did you check here: http://www.globalfundanalysis.com/default.php?page=/fundmanager.php&&id={47A84D8D-D7A2-41ED-8D6E-8B81E7B56AEF} They seem to have something on the fund. Also found this. http://www.bermudasun.bm/archives/2004-12-03/20Legals01 MEMBERâS VOLUNTARY WINDING UP NOTICE OF APPOINTMENT OF LIQUIDATOR EMPIRICA KURTOSIS LIMITED http://bankrupt.com/TCRLA_Public/041207.mbx
Nope, I am a member of GFA, the performance report (in Excel and PDF format) is empty, with no NAVs to speak of.
I just read the liquidation / unwind notices, that's pretty amazing, considering that if he is serious about running a fund, he should (!) have no problem raising significant capital. But as an academic, maybe he doesn't care, and I admire him for doing so. On the other hand, his stubborn opposition of VaR is pretty unforgivable. Is it deeply flawed, absolutely! In a way, VaR remind me of capitalism, it is the worst system out there, but it is also the best system out there. But as a technologist, I believe that of the quants (Taleb, Derman, etc), missed the boat on the electronic trading revolution. And it is a revolution, starting from ISLAND (derided in the beginning as "destination for BucketShops"), to GLOBEX, to consolidation. The "old school" quants believes that Derivatives are highly complex instruments, that can only traded between "professionals", people with full mathematical modeling of the instrument. But instead, like everything "professional", the rise of the mass retail or "professional retail", has made the market much more liquid, and capable of more efficient behavior, also to smooth out the "jump" that are so problematic in replication. Just my observations (rant?).