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.
The investment strategy of the fund has been explained in a New Yorker article. 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". Forbes revealed in 2011 that Taleb was, at the time, "seriously ill". 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.
- Harrington, Shannon D. (July 19, 2010). "Pimco Sells Black Swan Protection as Wall Street Markets Fear". Bloomberg. Retrieved 2010-10-01.
- Mr. Volatility and the Swan, The Wall Street Journal, July 13, 2007
- Blowing Up, Malcolm Gladwell, April 22, 2002.
- Blowing Up, The New Yorker, April 22, 2002, p. 162
- October Pain Was ‘Black Swan’ Gain, The Wall Street Journal, November 4, 2008
- Farrell, Maureen (June 27, 2011). "Protect Your Tail". Forbes.
- Black Swan Trader Bets Reputation on Inflation, The Wall Street Journal, June 17, 2009