The Black Swan: The Impact of the Highly Improbable · chapter 8 · id the-black-swan-c8-05-empirica-kurtosis-llc-talebs-e
“Empirica Kurtosis LLC, Taleb's earlier fund, returned 56.86% in 2000 during the dot-com crash, followed by losses of -8.39% (2001), -13.81% (2002), and -3.92% (2003) -- demonstrating the 'bleed' cost of the tail-risk strategy during non-crisis periods.”
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Wikipedia: Empirica Capitalsource alive
Empirica Kurtosis LLC reported returns of 56.86% in 2000, -8.39% in 2001, -13.81% in 2002, and -3.92% in 2003, according to investor letters.
Tavakoli Structured Finance: Taleb's Stranded Swansource alive
The fund outperformed during crashes but underperformed in prolonged bull markets. The ongoing 'bleed' from expired out-of-the-money options eroded investor enthusiasm and contributed to the fund's closure.
Market Folly: Nassim Taleb's Black Swan Returns Examinedsource alive
After the strong 2000 performance, Empirica Kurtosis experienced consistent losses as the out-of-the-money options expired worthless during periods of low volatility.
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