I guess you're probably talking about Universa, which Taleb is closely affiliated with? Taleb also ran his own shop Empirica for five years, 2000 - 2005. It bea

I guess you're probably talking about Universa, which Taleb is closely affiliated with? Taleb also ran his own shop Empirica for five years, 2000 - 2005. It beat the market on an absolute basis in year one (incidentally, during the dotcom crash) then had mostly negative results all other years. I don't specialize in derivatives so I can't speak to how compelling his industry work is versus his writing. But my understanding is Taleb's strategies were explicitly designed to lose small amounts of money often and win huge amounts of money occasionally. The idea is basically to go long vega and gamma waiting for an apparently rare event you believe will happen somewhat more frequently than expected. In the meantime you'll eat the theta and usually lose money, but ideally within certain risk parameters.