Empirica Capital

Empirica Capital a tail hedging firm started by Nassim Nicholas Taleb in 1999 carrying an insurance-style strategy (now called "Black Swan Protection") aiming to protect investors from large adverse events.[1][2]

The investment strategy of the fund has been explained in a New Yorker article.[3][4] One of Empirica's funds, Empirica Kurtosis LLC, was reported to have made a 60% return in 2000 followed by losses in 2001, 2002, and single digit gains in 2003 and 2004. Taleb claims that the fund was closed so that he could "become a writer and scholar".[2][5] Forbes revealed in 2011 that Taleb was, at the time, "seriously ill".[6] In 2007, Mark Spitznagel, Taleb's former partner at Empirica, founded the firm Universa Investments L.P., to which Taleb is an adviser, and which runs portfolio hedging strategies similar to Empirica's.[5][7]

References

  1. ↑ Harrington, Shannon D. (July 19, 2010). "Pimco Sells Black Swan Protection as Wall Street Markets Fear". Bloomberg. Retrieved 2010-10-01.
  2. ↑ 2.0 2.1 Mr. Volatility and the Swan, The Wall Street Journal, July 13, 2007
  3. ↑ Blowing Up, Malcolm Gladwell, April 22, 2002.
  4. ↑ Blowing Up, The New Yorker, April 22, 2002, p. 162
  5. ↑ 5.0 5.1 October Pain Was ‘Black Swan’ Gain, The Wall Street Journal, November 4, 2008
  6. ↑ Farrell, Maureen (June 27, 2011). "Protect Your Tail". Forbes.
  7. ↑ Black Swan Trader Bets Reputation on Inflation, The Wall Street Journal, June 17, 2009