Empirica Capital: Difference between revisions
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'''Empirica Capital''' a tail hedging firm started by [[Nassim Nicholas Taleb]] in 1999 |
'''Empirica Capital''' was a tail hedging firm started by [[Nassim Nicholas Taleb]] in 1999 which operated from 2001 to the end of 2004.<ref>{{cite web | |
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publisher=National Futures Association | |
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title=Record for "Empirica Capital" | |
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date=January 5, 2010 }}</ref> It claimed to use an insurance-style strategy (now called "Black Swan Protection") aiming to protect investors from large adverse events <ref>{{cite web|last=Harrington |first=Shannon D. |url=http://www.bloomberg.com/news/2010-07-20/pimco-sells-black-swan-protection-as-wall-street-profits-from-selling-fear.html |title=Pimco Sells Black Swan Protection as Wall Street Markets Fear |publisher=Bloomberg |date= |accessdate=2010-10-01}}</ref><ref name="Pat"><cite>Mr. Volatility and the Swan</cite>, ''[[The Wall Street Journal]]'', July 13, 2007</ref> |
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Detailed (unaudited) return figures are available for the years 2000-2003.<ref>{{cite news | |
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title=The "Black Swan" Hedge Fund Returns Aren't So Hot | |
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publisher=Business Insider | |
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author=Weisenthal, Joe | |
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date=Jun. 17, 2009 | |
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url=http://www.businessinsider.com/watch-out-investors-the-black-swan-funds-arent-that-good-2009-6}}</ref> The source of this data has been questioned by supporters of Taleb. The fund has not directly released verifiable performance numbers. The data shown below is the best available. |
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Empirica Kurtosis LLC |
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! Year |
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! Yield |
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|- |
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| 2000 |
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| 56.85% |
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|- |
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| 2001 |
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| -8.38% |
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|- |
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| 2002 |
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| -13.18% |
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|- |
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| 2003 |
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| -3.92% |
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|- |
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| Compounded average 2000-2003 (data for end of 1999 and start of 2004 unavailable) |
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| 4.6% |
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|} |
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The investment strategy of the fund has been explained in a New Yorker article.<ref>[http://www.gladwell.com/2002/2002_04_29_a_blowingup.htm Gladwell.com]</ref> 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 returned the funds in 2004 to investors to become a writer and scholar.<ref name="Pat"/> |
The investment strategy of the fund has been explained in a New Yorker article.<ref>[http://www.gladwell.com/2002/2002_04_29_a_blowingup.htm Gladwell.com]</ref> 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 returned the funds in 2004 to investors to become a writer and scholar.<ref name="Pat"/> |
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Revision as of 20:30, 5 January 2011
Empirica Capital was a tail hedging firm started by Nassim Nicholas Taleb in 1999 which operated from 2001 to the end of 2004.[1] It claimed to use an insurance-style strategy (now called "Black Swan Protection") aiming to protect investors from large adverse events [2][3]
Detailed (unaudited) return figures are available for the years 2000-2003.[4] The source of this data has been questioned by supporters of Taleb. The fund has not directly released verifiable performance numbers. The data shown below is the best available.
| Year | Yield |
|---|---|
| 2000 | 56.85% |
| 2001 | -8.38% |
| 2002 | -13.18% |
| 2003 | -3.92% |
| Compounded average 2000-2003 (data for end of 1999 and start of 2004 unavailable) | 4.6% |
The investment strategy of the fund has been explained in a New Yorker article.[5] 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 returned the funds in 2004 to investors to become a writer and scholar.[3] [6][7] 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.[7][8]
References
- ^ "Record for "Empirica Capital"". National Futures Association. January 5, 2010.
{{cite web}}: Missing or empty|url=(help) - ^ Harrington, Shannon D. "Pimco Sells Black Swan Protection as Wall Street Markets Fear". Bloomberg. Retrieved 2010-10-01.
- ^ a b Mr. Volatility and the Swan, The Wall Street Journal, July 13, 2007
- ^ Weisenthal, Joe (Jun. 17, 2009). "The "Black Swan" Hedge Fund Returns Aren't So Hot". Business Insider.
{{cite news}}: Check date values in:|date=(help) - ^ Gladwell.com
- ^ The Risk Maverick, Stephanie Baker-Said, Bloomberg L.P.
- ^ a b October Pain Was ‘Black Swan’ Gain, The Wall Street Journal, November 4, 2008
- ^ Black Swan Trader Bets Reputation on Inflation, The Wall Street Journal, June 17, 2009