Nassim Taleb-Advised Universa Tail Fund Returned 3,600% in March

[Pekelo]

So why can't a fund do both strategies at the same time?:

-Be long ETFs
-Sacrify 2-3% annually to OTM puts

In average years it will underperform by 2-3%, but still make good money as the market tends to trend up. In bad years it will still make a positive return.

Don't they call this hedging?

 

[Atikon]

So why can't a fund do both strategies at the same time?:

-Be long ETFs
-Sacrify 2-3% annually to OTM puts

In average years it will underperform by 2-3%, but still make good money as the market tends to trend up. In bad years it will still make a positive return.

Don't they call this hedging?

My guess is, it pays more to accept the drawdowns based on historical events backtests. Nassim's Thesis is, as I understand it, that the market (Funds etc.) underestimate the black swan events/fat tails.

 

[.sigma]

And his last book available in PDF
"Technical incerto"

https://arxiv.org/abs/2001.10488

thanks!

 

[.sigma]

So why can't a fund do both strategies at the same time?:

-Be long ETFs
-Sacrify 2-3% annually to OTM puts

In average years it will underperform by 2-3%, but still make good money as the market tends to trend up. In bad years it will still make a positive return.

Don't they call this hedging?

Tail funds aren’t designed to catch the right side of the distribution.

Think of it like synthetic puts in an index. It’s more so designed to compliment a long risk portfolio.

 

[FrankInLa]

Nobody gives them credit above and beyond their performance numbers. Total, risk adjusted return is all that matters and someone who held shares with this fund over the past 10 years or so would have done pretty well, way better than the average hedge fund return. I don't know how else to put it. If you still disagree then we may have to leave it at this disagreement.

It is completely relevant. If you give someone 1MM to hedge your 100MM portfolio, do you mark them against their gains on 1MM or how much of your 100MM they protected?

I'm sure their books are audited and the investors look at it in the latter way. But the press doesn't care what audited returns look like. They are looking for sensational stories and Universa is all too happy to obliged.

And why should they get credit for earning in a blow up when their job is to earn in a blow up?

 

[FrankInLa]

I can't comment with certainty but after reading the link of allaboutalpha it sounds like the journalists at the wsj had no clue whatsoever what they were writing about. The contracts could have been traded in the otc market. Their counterparts would have had to hedge but that can be accomplished via many different means. It was stupid for the journalist or tasty trade to assume the profit claim was bogus because not enough contracts traded or because open interest was too low. Anyway, I was just the messenger and posted the article link, nothing more nothing less.

Wasn't there another Universa claim of massive returns in 2015/2016 then it turned out to be bogus and Taleb quickly distanced himself from Spitznagel after originally taking credit?
https://www.allaboutalpha.com/blog/...ar-claim-from-black-swan-fund-not-from-taleb/




"Taleb wasn't much of an investor when he ran money at Empirica. Perhaps Spitznagel's best trade yet was ditching Taleb and his ideas?"

http://falkenblog.blogspot.com/2012/06/is-spitznagel-apostate.html

 

[luisHK]

Taleb seems to be quite poor for someone so smart.

https://www.wealthypersons.com/nassim-taleb-net-worth-2020-2021/

Where did the authors get that number ? It sounds like pocket money for someone involved in finance for so long. Remember reading Taleb got already a couple of million upfront to write Antifragile.

 

[newwurldmn]

Nobody gives them credit above and beyond their performance numbers. Total, risk adjusted return is all that matters and someone who held shares with this fund over the past 10 years or so would have done pretty well, way better than the average hedge fund return. I don't know how else to put it. If you still disagree then we may have to leave it at this disagreement.

https://privatefunddata.com/fund-companies/universa-investments-lp/

This site claims that Universa has 2Bn AUM. Let me ask you this: do you think they are now an 80Bn fund? This would make them the second largest fund in the world after Bridgewater I think.

I don't think you understand the Universa model. If you are interested, I can explain it to you.

 

[newwurldmn]

Btw - it’s gotta sting when you claim to be the best tail hedger in the world and you make a 44x return on a trade. And a long biased fundamental guy makes 100x in the same event.

 

[virtusa]

Btw - it’s gotta sting when you claim to be the best tail hedger in the world and you make a 44x return on a trade. And a long biased fundamental guy makes 100x in the same event.

Making money is the results of:
profit * leverage * frequency.

For Taleb frequency is a problem that is not enough compensated by profit.