Universa, a hedge fund founded and owned by Mark Spitznagel that consults with New York University professor Nassim Taleb, had a 10-fold return this year through Aug. 8 on the capital in its black-swan accounts, said a person familiar with the firm who askedBloomberg not to be identified because the information is private. Black-swan clients of Pimco, manager of the world’s biggest mutual fund, saw gains this month of as much as 5.5 times the premiums they paid, according to Vineer Bhansali, a Pimco portfolio manager.
Spitznagel, who declined to comment on Universa’s results, published a white paper in June telling clients that there was a one-in-five chance that the S&P 500 would fall more than 40 percent during the next three years. Universa, based in Santa Monica, California, buys put options and futures on indexes such as the S&P 500 that become profitable when the benchmark declines more sharply than usual.
The firm reaped big gains on derivatives tied to the S&P 500 as the benchmark index fell almost 6.7 percent on Aug. 8, its largest one-day decline since December 2008, and market volatility rose. The Chicago Board Options Exchange Volatility Index, better known as the VIX, increased for a record ninth straight time to 48 on Aug. 8, raising the value of options on stocks and indexes.
Interested? Under Universa’s Black Swan Protection Protocols, customers invest capital equal to 1 percent to 5 percent of the value of assets they want to protect. Through the Aug. 8 rout, these investors had 10-fold gains for the year on their money with Universa, equating to average returns of 20 percent to 25 percent on the full value of their protected holdings, according to the person familiar with the firm’s strategy....
Find out more at http://www.bloomberg.com/news/2011-08-10/universa-pimco-posted-gains-on-black-swan-funds-as-market-fell.html
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