Empirica Capital

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Empirica Capital LLC was a hedge fund founded in 1999 by Nassim Nicholas Taleb in partnership with Mark Spitznagel, that used Taleb's black swan strategy.[1][2][3][4] The firm closed in 2004.[4]:157

The investment strategy of the fund has been explained in a New Yorker article.[5]:162 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.[6]

Taleb claimed that he shut down Empirica LLC, in 2005 to become a "writer and a scholar.[3][7][8] At the time he also "feared he might have a recurrence of throat cancer."[7][9]

In 2007 Spitznagel founded the firm Universa Investments L.P. with Taleb as an adviser using black swan portfolio hedging strategies similar to Empirica's.[8][10]

References[edit]

  1. ^ Taleb, Nassim Nicholas (2007), "The Black Swan: The Impact of the Highly Improbable", Random House and Penguin, New York, ISBN 978-1-4000-6351-2 
  2. ^ Harrington, Shannon D. (July 19, 2010). "Pimco Sells Black Swan Protection as Wall Street Markets Fear". Bloomberg. Retrieved 2010-10-01. 
  3. ^ a b "Mr. Volatility and the Swan", The Wall Street Journal, July 13, 2007, retrieved January 5, 2016 
  4. ^ a b Hubbard, Douglas W. (April 2009). "The Failure of Risk Management: Why It's Broken and How to Fix It". Wiley. p. 304. ISBN 978-0-470-38795-5. 
  5. ^ Gladwell, Malcolm (22 April 2002). "Blowing Up". The New Yorker. Retrieved 5 January 2016. 
  6. ^ https://www.wsj.com/news/articles/SB118429436433665637 http://www.tavakolistructuredfinance.com/2009/06/talebs-stranded-swan/ The article said the fund had a 60% return in 2000 followed by “losses in 2001 and in 2002.” In 2003 and 2004 it had low single-digit gains, a period when hedge funds posted average returns of 20% and 9% respectively.
  7. ^ a b Lubove, Seth; Weiss, Miles (6 October 2011). "Black Swan Manager Returning 23% Anticipating Bear Market". Bloomberg. Retrieved 5 January 2016. 
  8. ^ a b Patterson, Scott (November 4, 2008), "October Pain Was 'Black Swan' Gain", The Wall Street Journal, retrieved January 5, 2016 
  9. ^ Farrell, Maureen (June 27, 2011). "Protect Your Tail". Forbes. 
  10. ^ "Black Swan Trader Bets Reputation on Inflation", The Wall Street Journal, June 17, 2009