Ok, I'm sure you guys are familiar with Empirica Capital and its strategy of t-bills and using the coupons to buy long options. Ok, let's say that for $1 million, EC pulls in 45k a year income, a 4.5 percent return. And lets say that spreading his bets, he doubles that or even triples it one year. Wow that like a 9 percent to 13 percent return. Ok, I guess. And quite good given the market risk on the downside - nil. (Forget inflation, bond market crash, etc. for a second.) But if this is a good year and there are many years where they entire 45k is frittered away on options that expire worthless, what kind of long-term gain are we talking here? Like merger arb returns, slightly better than bonds? Is this fund just for people loooking to diversify, correlate away, preserve capital and get lucky occassionally? I fail to see how this could generate substantial positive returns over time. Anyone know the details of what Taleb does and what his returns are like?