Is there a Nassim Taleb portfolio?

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kayanco
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Is there a Nassim Taleb portfolio?

Post by kayanco » Mon Dec 24, 2018 11:26 am

A question for folks knowledgeable with the works for Nassim Taleb:

Is there a portfolio consistent with his views/recommendations on investing? Something that can be constructed and held at the likes of Fidelity or Vanguard, and mostly in a buy-and-hold manner (akin to a lazy portfolio).

I know he advocates something called a "barbell strategy", but I never came across what that would actually look like, or how one would implement it with Vanguard or Fidelity funds. So I wanted to see if anyone here had looked into that.

Than you.

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Blueskies123
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Re: Is there a Nassim Taleb portfolio?

Post by Blueskies123 » Mon Dec 24, 2018 11:37 am

No, he has said multiple times he does not talk about his own trades. If you read his books or google him you can find out what he means by bar-bell strategies but you have to make your own picks.
An example might treasuries balanced by aggressive stocks.

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Re: Is there a Nassim Taleb portfolio?

Post by CaliJim » Mon Dec 24, 2018 11:41 am

IIRC: Victoria F is a Taleb adherent and investor arhat.

viewtopic.php?t=70092
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Re: Is there a Nassim Taleb portfolio?

Post by Random Walker » Mon Dec 24, 2018 12:06 pm

The barbell strategy, from what I understand, is very much the same concept as the “Larry Portfolio” or risk parity. The idea is to have a huge dose of the safest assets and a much smaller dose of the riskiest assets. The value at risk on each side of the barbell is more equal that what most of us long only equity heavy investors have in our portfolios. The typical 60/40 portfolio has 85-90% of it's risk on the equity side. A Larry Swedroeish Portfolio might be something in the range of 30% US SV, Int SV, EMV and 70% short to intermediate term high quality bonds. I think Taleb might do something wilder with derivatives on the risk side and Trasury bills on the safe side. The absolute percentages aren’t the issue, the overall concept is the point.

Dave

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hdas
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Re: Is there a Nassim Taleb portfolio?

Post by hdas » Mon Dec 24, 2018 12:17 pm

Yes, No, if there's one you don't want it:

1. He ran a hedge fund and failed at it.
2. He proclaimed that every US citizen should be short treasuries on 2012...see how that worked.
3. On 2009 he proclaimed that if US stocks recover to highs that would be a black swan.

If you insist, the closest thing you can find is the Mark Spitznagel approach. I think nassim is still an adviser for the fund.

See this thread on Tail Risk for Details.
Last edited by hdas on Mon Dec 24, 2018 12:37 pm, edited 3 times in total.
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VictoriaF
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Re: Is there a Nassim Taleb portfolio?

Post by VictoriaF » Mon Dec 24, 2018 12:29 pm

There are two ways to define "Taleb portfolio":
1. His own investments
2. His investment recommendations

1. Taleb's own investments rely on his models and his analysis of global trends that generate Black Swans (negative and positive). His approach is one of a professional and it's not in his interest to share all the details with competing professionals.

2. Taleb's recommendation to his non-professional readers is a bar-bell:
- 90% in the safest investments possible
- 10% highly speculative investments that have a potential to catch positive Black Swans

Taleb's general recommendations include:
- avoiding debt
- maintaining a large margin of safety

My personal take-aways from reading Taleb are:
- keep a large amount of my assets in cash to have my lifestyle independent from market fluctuations
- write a book that will have a minuscule chance to catch a positive Black Swan, but more importantly, is fun to work on.

Victoria
WINNER of the 2015 Boglehead Contest. | Every joke has a bit of a joke. ... The rest is the truth. (Marat F)

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Re: Is there a Nassim Taleb portfolio?

Post by hdas » Mon Dec 24, 2018 12:38 pm

VictoriaF wrote:
Mon Dec 24, 2018 12:29 pm

1. Taleb's own investments rely on his models and his analysis of global trends that generate Black Swans (negative and positive). His approach is one of a professional and it's not in his interest to share all the details with competing professionals.
Are you privy of his hedge fund days track record?. H
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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Re: Is there a Nassim Taleb portfolio?

Post by VictoriaF » Mon Dec 24, 2018 12:40 pm

hdas wrote:
Mon Dec 24, 2018 12:38 pm
VictoriaF wrote:
Mon Dec 24, 2018 12:29 pm

1. Taleb's own investments rely on his models and his analysis of global trends that generate Black Swans (negative and positive). His approach is one of a professional and it's not in his interest to share all the details with competing professionals.
Are you privy of his hedge fund days track record?. H
I was never interested in the specifics of his hedge fund or personal investments. I like his philosophy and apply it as I see fit to my life.

Victoria
WINNER of the 2015 Boglehead Contest. | Every joke has a bit of a joke. ... The rest is the truth. (Marat F)

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Re: Is there a Nassim Taleb portfolio?

Post by cinghiale » Mon Dec 24, 2018 12:50 pm

I suspect Taleb would prefer you reposition your view of life and fulfillment than go thrashing around trying to mimic his investment strategy. Here’s a little something in the spirit of the season: Google “Taleb” and “flaneur.” Rummage around on what Taleb had written about life, leisure, reading, disinterest, and the joys of sitting back and observing. If Taleb were more trendy, he might term it “being in the moment.” And there goes life, just flying right by...

A fun review of Antifragile touches on flaneurism here: https://raymondthewilliams.wordpress.co ... las-taleb/
Last edited by cinghiale on Tue Dec 25, 2018 2:35 am, edited 1 time in total.
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Re: Is there a Nassim Taleb portfolio?

Post by heyyou » Tue Dec 25, 2018 1:53 am

Some are flanuers of mountain pathways.

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Re: Is there a Nassim Taleb portfolio?

Post by fennewaldaj » Tue Dec 25, 2018 2:15 am

Random Walker wrote:
Mon Dec 24, 2018 12:06 pm
same concept as the “Larry Portfolio”
Having read most of Talebs writings I doubt he is a huge fan of small value (that is he would be very wary the out performance is not real). He has never discussed it specifically as far as I know but it does not seem like what he would be into. But yeah the idea of lots of treasuries plus a high performing asset is similar to what Taleb suggest.

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Re: Is there a Nassim Taleb portfolio?

Post by Theoretical » Tue Dec 25, 2018 4:03 am

Pure trend-following (especially on a broad array of assets), options-buying, and being long-VIX come to mind, as those are positively skewed. Venture capital, but not private equity or small value also would fit the mold.

Re: small value - Swedroe's approach takes a bunch of sharply negative-skewed assets (domestic and international small value & EM value equities plus risk premia, alternative lending, the volatility risk premium, and reinsurance alts (3 of which also have inherent illiquidity)) and combines them with safe, short-term bonds.

Taleb prefers the same kind of bonds (or even less risk in the form of bills) with positively skewed assets. However, he's more of a philosophical type than a portfolio manager, so that's a factor as well. It's simultaneously grounded in principle and ethereal in application. I think in terms of one with a similar philosophy who has been and is actively in the trenches as a portfolio manager (in managed futures) for 30+ years is probably Jerry Parker of Chesapeake Capital.

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Re: Is there a Nassim Taleb portfolio?

Post by james22 » Tue Dec 25, 2018 4:16 am

TAIL Cambria Tail Risk ETF

The Cambria Tail Risk ETF seeks to mitigate significant downside market risk. The Fund intends to invest in a portfolio of "out of the money" put options purchased on the U.S. stock market.

TAIL strategy offers the potential advantage of buying more puts when volatility is low and fewer puts when volatility is high. While a portion of the fund's assets will be invested in the basket of long put option premiums, the majority of fund assets will be invested in intermediate term US Treasuries.

As the fund is designed to be a hedge against market declines and rising volatility, Cambria expects the fund to produce negative returns in the most years with rising markets or declining volatility.


http://www.cambriafunds.com/tail

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Re: Is there a Nassim Taleb portfolio?

Post by kayanco » Tue Dec 25, 2018 6:54 am

james22 wrote:
Tue Dec 25, 2018 4:16 am
TAIL Cambria Tail Risk ETF

The Cambria Tail Risk ETF seeks to mitigate significant downside market risk. The Fund intends to invest in a portfolio of "out of the money" put options purchased on the U.S. stock market.

TAIL strategy offers the potential advantage of buying more puts when volatility is low and fewer puts when volatility is high. While a portion of the fund's assets will be invested in the basket of long put option premiums, the majority of fund assets will be invested in intermediate term US Treasuries.

As the fund is designed to be a hedge against market declines and rising volatility, Cambria expects the fund to produce negative returns in the most years with rising markets or declining volatility.


http://www.cambriafunds.com/tail
Is this the same as:
https://www.newswire.ca/news-releases/h ... 94751.html
Thanks.
Last edited by kayanco on Wed Jan 02, 2019 9:56 am, edited 2 times in total.

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Re: Is there a Nassim Taleb portfolio?

Post by hotpancakes » Tue Dec 25, 2018 7:32 am

VictoriaF wrote:
Mon Dec 24, 2018 12:40 pm
hdas wrote:
Mon Dec 24, 2018 12:38 pm
VictoriaF wrote:
Mon Dec 24, 2018 12:29 pm

1. Taleb's own investments rely on his models and his analysis of global trends that generate Black Swans (negative and positive). His approach is one of a professional and it's not in his interest to share all the details with competing professionals.
Are you privy of his hedge fund days track record?. H
I was never interested in the specifics of his hedge fund or personal investments. I like his philosophy and apply it as I see fit to my life.

Victoria
I totally agree. One may read Antifragile and think, "Hmm, how do I build a barbell portfolio?" but the real enlightenment comes when you realize it's not about the portfolio, but about lifestyle, courage, having freedom, taking risk (not limited to financial risk), and having fun along the way. Better to figure out what you want out of life (and what could potentially take that away from you), and work backward to an investing strategy that enables that. A decamillionaire who's owned and doesn't have fun is a total sucker, even though he has money falling out of his behind.

In plain English: I took a typical Boglehead portfolio and added about 5% gold as an insurance policy if the world collapses. I lost the desire for status-y things. My only financial goal is to never have anyone tell me what to do, and to stay out of all hierarchies (you lose even if you're at the top).

EDIT: I'll add this: https://www.youtube.com/watch?v=xdfeXqHFmPI

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Re: Is there a Nassim Taleb portfolio?

Post by kayanco » Tue Dec 25, 2018 8:52 am

hotpancakes wrote:
Tue Dec 25, 2018 7:32 am
I took a typical Boglehead portfolio and added about 5% gold as an insurance policy if the world collapses.
How did you add the Gold? Using an ETF or physical?

Thanks.

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Re: Is there a Nassim Taleb portfolio?

Post by VictoriaF » Tue Dec 25, 2018 9:24 am

cinghiale wrote:
Mon Dec 24, 2018 12:50 pm
A fun review of Antifragile touches on flaneurism here: https://raymondthewilliams.wordpress.co ... las-taleb/
Thank you, cinghiale, for a reference. It captures the essence of being a flâneur.

Victoria
WINNER of the 2015 Boglehead Contest. | Every joke has a bit of a joke. ... The rest is the truth. (Marat F)

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Re: Is there a Nassim Taleb portfolio?

Post by pascalwager » Tue Dec 25, 2018 7:30 pm

At one time Taleb recommended 90% Treasuries and 10% very-high risk. Later, in an interview, he was mainly interested in protecting $30 million from inflation and welcomed any new ideas.

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Re: Is there a Nassim Taleb portfolio?

Post by arcticpineapplecorp. » Tue Dec 25, 2018 7:45 pm

I remember reading in a Malcolm Gladwell piece about Taleb (I think the piece was talking about his options trading) that while he may make a lot of money when black swan events occur, because they are not everyday events, Taleb's strategy was described as like having to endure "death by a thousand cuts".

Sounds like fun. Not.

Also there's this (two words edited to not offend those with sensibilities. Can you guess which two words?):
In 1987 he made a great deal of money shorting the financial crash, and millions more during the 2008 meltdown. It's his "f--k you" money that allows him to do exactly what he wants, when he wants, beholden to no one.
source: https://www.theguardian.com/books/2012/ ... -interview
So I'd say that unless you have f.you money, you probably can't have the Taleb portfolio.
Last edited by arcticpineapplecorp. on Tue Dec 25, 2018 7:49 pm, edited 2 times in total.
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Re: Is there a Nassim Taleb portfolio?

Post by columbia » Tue Dec 25, 2018 7:46 pm

What’s a positive black swan (in the context of investing)?

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Re: Is there a Nassim Taleb portfolio?

Post by hotpancakes » Wed Dec 26, 2018 2:14 am

columbia wrote:
Tue Dec 25, 2018 7:46 pm
What’s a positive black swan (in the context of investing)?
In his case, a convex options payoff. i.e. Buy out-of-money options when they're very cheap and sell them once they've exploded. Losses are capped at the small amount of $$ invested, but upside is potentially unlimited.

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Re: Is there a Nassim Taleb portfolio?

Post by VictoriaF » Wed Dec 26, 2018 6:21 am

columbia wrote:
Tue Dec 25, 2018 7:46 pm
What’s a positive black swan (in the context of investing)?
Taleb's example is venture capital. VC spreads money among many highly risky startups. A small number of these ventures make big, so big that they compensate for all other expenses and bring profits in orders of magnitude.

Victoria
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Re: Is there a Nassim Taleb portfolio?

Post by Valuethinker » Wed Dec 26, 2018 7:32 am

VictoriaF wrote:
Wed Dec 26, 2018 6:21 am
columbia wrote:
Tue Dec 25, 2018 7:46 pm
What’s a positive black swan (in the context of investing)?
Taleb's example is venture capital. VC spreads money among many highly risky startups. A small number of these ventures make big, so big that they compensate for all other expenses and bring profits in orders of magnitude.

Victoria
And the practical problems w same are outlined by David Swensen in his book on personal investing and by that Kaufman Foundation report.

The average investor is better off just investing in the nasdaq. Only a privileged group of investors are able to invest as Limited Partners in the long run successful funds.

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Re: Is there a Nassim Taleb portfolio?

Post by hdas » Wed Dec 26, 2018 7:40 am

VictoriaF wrote:
Wed Dec 26, 2018 6:21 am
columbia wrote:
Tue Dec 25, 2018 7:46 pm
What’s a positive black swan (in the context of investing)?
Taleb's example is venture capital. VC spreads money among many highly risky startups. A small number of these ventures make big, so big that they compensate for all other expenses and bring profits in orders of magnitude.

Victoria
A biotech fund has Same right tail friendly properties. H
"whenever there is a randomized way of doing something, then there is a nonrandomized way that delivers better performance but requires more thought" ET Jaynes

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Re: Is there a Nassim Taleb portfolio?

Post by motorcyclesarecool » Wed Dec 26, 2018 7:43 am

I’ve used Taleb’s observations to fine tune my investment philosophy, but I have not embraced his wholeheartedly.

In The Black Swan Taleb observed that a very small number of days’ movements accounts for a disproportionate share of the stock market’s gains (or losses) for the year. From his observation, I draw the conclusion that the only way I can be assured of capturing these gains is to buy and hold the whole market, and not even think about trying to time.

I was uneasy with the idea of bonds as a safe haven in times of market decline. I want to take my risk outside my bond allocation. Taleb introduced me to the concept of antifragility. The G-Fund of the TSP is the simplest antifragile bond vehicle I’m aware of. Bogleheads introduced me to brokered CDs. Taleb’s perspective helped me to appreciate that secondary Market CDs trading at a discount to their face value are inherently antifragile. If an issuing institution fails, FDIC ensures I walk away with a tidy profit, earlier than expected.

Instead of keeping lots of safe assets and putting a small amount in extremely risky vehicles, I choose to allow the antifragile nature of the G-Fund and brokered CDs to allow me to have a larger allocation to (more moderately risky) stocks. Different application of similar philosophy, requiring less babysitting from me.

My single greatest takeaway from Taleb is the intellectual blindness of mindlessly equating odds or standard deviation with risk. Risk is multidimensional.
Understand that choosing an HDHP is very much a "red pill" approach. Most would rather pay higher premiums for a $20 copay per visit. They will think you weird for choosing an HSA.

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Re: Is there a Nassim Taleb portfolio?

Post by TigerNest » Wed Dec 26, 2018 7:47 am

VictoriaF wrote:
Mon Dec 24, 2018 12:29 pm
2. Taleb's recommendation to his non-professional readers is a bar-bell:
- 90% in the safest investments possible
- 10% highly speculative investments that have a potential to catch positive Black Swans
This sounds like it would leave one very exposed to a Black Swan event that affected safe investments, exactly because everyone considers them safe.

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Re: Is there a Nassim Taleb portfolio?

Post by bberris » Wed Dec 26, 2018 9:27 am

hotpancakes wrote:
Wed Dec 26, 2018 2:14 am
columbia wrote:
Tue Dec 25, 2018 7:46 pm
What’s a positive black swan (in the context of investing)?
In his case, a convex options payoff. i.e. Buy out-of-money options when they're very cheap and sell them once they've exploded. Losses are capped at the small amount of $$ invested, but upside is potentially unlimited.
This sounds a lot like the low-cost imitation of indexed annuities: A large percent of bonds, and the remainder index options (but maybe at the money instead of way out of the money). You never lose money because the interest pays for the options.

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Re: Is there a Nassim Taleb portfolio?

Post by columbia » Wed Dec 26, 2018 9:30 am

Valuethinker wrote:
Wed Dec 26, 2018 7:32 am
VictoriaF wrote:
Wed Dec 26, 2018 6:21 am
columbia wrote:
Tue Dec 25, 2018 7:46 pm
What’s a positive black swan (in the context of investing)?
Taleb's example is venture capital. VC spreads money among many highly risky startups. A small number of these ventures make big, so big that they compensate for all other expenses and bring profits in orders of magnitude.

Victoria
And the practical problems w same are outlined by David Swensen in his book on personal investing and by that Kaufman Foundation report.

The average investor is better off just investing in the nasdaq. Only a privileged group of investors are able to invest as Limited Partners in the long run successful funds.
Yes...that seems beyond my abilities.

Thanks to both for the insight.

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Re: Is there a Nassim Taleb portfolio?

Post by Horton » Wed Dec 26, 2018 9:45 am

motorcyclesarecool wrote:
Wed Dec 26, 2018 7:43 am

I was uneasy with the idea of bonds as a safe haven in times of market decline. I want to take my risk outside my bond allocation. Taleb introduced me to the concept of antifragility. The G-Fund of the TSP is the simplest antifragile bond vehicle I’m aware of. Bogleheads introduced me to brokered CDs. Taleb’s perspective helped me to appreciate that secondary Market CDs trading at a discount to their face value are inherently antifragile. If an issuing institution fails, FDIC ensures I walk away with a tidy profit, earlier than expected.

Instead of keeping lots of safe assets and putting a small amount in extremely risky vehicles, I choose to allow the antifragile nature of the G-Fund and brokered CDs to allow me to have a larger allocation to (more moderately risky) stocks. Different application of similar philosophy, requiring less babysitting from me.

My single greatest takeaway from Taleb is the intellectual blindness of mindlessly equating odds or standard deviation with risk. Risk is multidimensional.
If you think the G-Fund and CDs are antifragile, then you may want to read the piece below by Robert Merton.

https://hbr.org/2014/07/the-crisis-in-r ... t-planning

If rates fall, these type of funds will produce less retirement income. Given the low environment we are in, the risk has been low lately. However, as rates rise, this is something to keep in mind.

These type of funds may produce an antifragile asset balance, but they don’t produce an antifragile nominal income stream (let alone an antifragile real income stream).
"You must know that there is nothing higher and stronger and more wholesome and good for life in the future than some good memory, especially a memory of childhood, of home." - Dostoyevsky

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kayanco
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Re: Is there a Nassim Taleb portfolio?

Post by kayanco » Wed Jan 02, 2019 9:57 am

james22 wrote:
Tue Dec 25, 2018 4:16 am
TAIL Cambria Tail Risk ETF

The Cambria Tail Risk ETF seeks to mitigate significant downside market risk. The Fund intends to invest in a portfolio of "out of the money" put options purchased on the U.S. stock market.

TAIL strategy offers the potential advantage of buying more puts when volatility is low and fewer puts when volatility is high. While a portion of the fund's assets will be invested in the basket of long put option premiums, the majority of fund assets will be invested in intermediate term US Treasuries.

As the fund is designed to be a hedge against market declines and rising volatility, Cambria expects the fund to produce negative returns in the most years with rising markets or declining volatility.


http://www.cambriafunds.com/tail
Does anyone know if the Cambria TAIL and Horizon HUS.U (or HUS.V) ETFs are similar?

https://www.newswire.ca/news-releases/h ... 94751.html
http://www.cambriafunds.com/tail

Thanks.

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Re: Is there a Nassim Taleb portfolio?

Post by knpstr » Wed Jan 02, 2019 10:12 am

VictoriaF wrote:
Mon Dec 24, 2018 12:29 pm
...
2. Taleb's recommendation to his non-professional readers is a bar-bell:
- 90% in the safest investments possible
- 10% highly speculative investments that have a potential to catch positive Black Swans
...
By safest, does he mean least volatility? I'd assume (perhaps incorrectly) that he'd want to at least keep pace with inflation in his "safest" investments. Is he satsified with 0% real growth for this money?
Very little is needed to make a happy life; it is all within yourself, in your way of thinking. -Marcus Aurelius

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Re: Is there a Nassim Taleb portfolio?

Post by garlandwhizzer » Wed Jan 02, 2019 11:32 am

It's important to remember that preparing for a black swan with a high percentage of ST/IT Treasuries approaching 90% and a low 10% or so of high risk/high expected return assets is not a very productive portfolio if the black swan does not occur. This is especially true if high risk/high reward assets like SCV, INTL, etc. underperform instead of outperforming as they have for a decade or more. Such a portfolio is rational if you're very wealthy and your primary concern is protecting your existing assets rather than optimizing long term returns. If you need substantial portfolio growth to meet your financial goals it is unlikely to be the best approach. I suspect that over the last decade a Taleb black swan protection portfolio has vastly underperformed a 3 fund or 4 fund approach although undoubtedly it has been much less volatile.

Garland Whizzer

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Re: Is there a Nassim Taleb portfolio?

Post by rubthemtogether » Wed Jan 02, 2019 4:07 pm

cinghiale wrote:
Mon Dec 24, 2018 12:50 pm
I suspect Taleb would prefer you reposition your view of life and fulfillment than go thrashing around trying to mimic his investment strategy. Here’s a little something in the spirit of the season: Google “Taleb” and “flaneur.” Rummage around on what Taleb had written about life, leisure, reading, disinterest, and the joys of sitting back and observing. If Taleb were more trendy, he might term it “being in the moment.” And there goes life, just flying right by...

A fun review of Antifragile touches on flaneurism here: https://raymondthewilliams.wordpress.co ... las-taleb/
Hi. That's my site. Thanks for posting this and glad you enjoyed reading it

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Re: Is there a Nassim Taleb portfolio?

Post by cinghiale » Fri Jan 04, 2019 2:50 pm

rubthemtogether wrote:
Hi. That's my site. Thanks for posting this and glad you enjoyed reading it
Hello back. And welcome to the forum. As a recent retiree, I’ve been seeking a more flaneurish lifestyle and attitude. Your essay was, and is, a keeper. I have bookmarked it and have forwarded it along to a number of friends.

Though focused on successful, smart investing and personal finance, this forum serves up savvy and inisightful discussions of good wine, foreign travel, who’s reading what, credit card strategies, tax planning, and favorite products, to name a few. I hope you will stick around and jump in, comment-wise, from time to time.
"We don't see things as they are; we see them as we are." Anais Nin | | "Sometimes the first duty of intelligent men is the restatement of the obvious." George Orwell

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Re: Is there a Nassim Taleb portfolio?

Post by VictoriaF » Mon Jan 07, 2019 12:51 pm

rubthemtogether wrote:
Wed Jan 02, 2019 4:07 pm
cinghiale wrote: A fun review of Antifragile touches on flaneurism here: https://raymondthewilliams.wordpress.co ... las-taleb/
Hi. That's my site. Thanks for posting this and glad you enjoyed reading it
As an aspiring blogger, I am curious how you found out that you were cited in the Bogleheads. Is there an app that tells you about every corner of the web where your site has been mentioned?

Victoria
WINNER of the 2015 Boglehead Contest. | Every joke has a bit of a joke. ... The rest is the truth. (Marat F)

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Re: Is there a Nassim Taleb portfolio?

Post by rapscallion » Wed Jan 09, 2019 9:35 pm

VictoriaF wrote:
Mon Jan 07, 2019 12:51 pm
As an aspiring blogger...
I would love to read your blog. Can I?

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Re: Is there a Nassim Taleb portfolio?

Post by VictoriaF » Thu Jan 10, 2019 10:30 am

rapscallion wrote:
Wed Jan 09, 2019 9:35 pm
VictoriaF wrote:
Mon Jan 07, 2019 12:51 pm
As an aspiring blogger...
I would love to read your blog. Can I?
I am still aspiring. I have not launched it yet.

Victoria
WINNER of the 2015 Boglehead Contest. | Every joke has a bit of a joke. ... The rest is the truth. (Marat F)

J295
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Re: Is there a Nassim Taleb portfolio?

Post by J295 » Thu Jan 10, 2019 2:11 pm

Flaneur.... brings to mind The Razors Edge by Maugham

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travelogue
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Re: Is there a Nassim Taleb portfolio?

Post by travelogue » Thu Jan 10, 2019 3:07 pm

Some takeaways I got from The Black Swan and Taleb’s other work:
  • Risk is hard (impossible?) to quantify, partially because of all the “negative evidence” that doesn’t get measured but is lurking out there, unseen. Just because you don’t see it doesn’t mean it doesn’t exist. (Hence the titular “Black Swan”.)
  • “Don’t blow up.” You need to be defensive because things will come at you from unexpected directions and potentially wipe you out. He uses the example of star portfolio managers who are on top of the world until an event surfaces they didn’t expect and they lose everything (including their jobs). He also talks about avoiding leverage and staying comfortably within your means in both investment portfolios and life generally.
  • Use a barbell strategy to overweight the safest assets possible while at the same time working to capture gains from “anti fragile” assets that benefit from the very rare but extreme disruptive event. Think of Houndstooth Capital’s 6,000% profit on its VIX volatility trade. He talks about looking for things that are not just robust or resilient but actually benefit from the disruptive event.
I’m sure there’s more (and I do recommend reading The Black Swan, as it’s a mind expanding book), but those are some of the things I remember and think about.

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