Well, I guess my problem with his strategy is that it still depends on market timing for the exit or adjustments. Now how he does it technically that is another question. He can easily misstime the lifting of the protective leg....
Since we are in a bearmarket, I could design an anti-Taleb strategy, that works exactly the opposite way like his and trying to take advantages of vicious bearmarket rallies. So I keep buying OTM calls for a small amount of the AUM, and when the bearmarket rally occurs, I cash out....
Interesting article discussing this problem:
http://pra-blog.blogspot.com/2008/11/nassim-talebs-black-swan-appeared.html
""He also helped start a hedge fund, Universa Investments L.P., which bases many of its strategies on themes in the book, including how to reap big rewards in a sharp market downturn. Like October's.
Assets under management at Universa have neared $2 billion since the fund launched early last year with $300 million under management. While Mr. Taleb frequently consults with Universa's traders, the Santa Monica, Calif., fund is owned and managed by Mark Spitznagel, who worked for several years in the 1990s as a pit trader on the Chicago Board of Trade.
The strategy, which keeps more than 90% of assets in cash or cash equivalents such as Treasury bonds, either breaks even or loses small amounts in most months while waiting for periodic, infrequent spikes in volatility."
