His fund loses money most years, and he issues press releases when they have a big win. The basic idea is to buy cheap options that are way out of the money. Most of those options expire un-exercised, so they lose money on them. On big market moves, there's a big win. His last big announced win was in 2008. If he had a regulated (not "qualified investors") fund, the performance data would be public. But it's not, so there's no public baseline for evaluating performance.

Taleb claims that options far from the current price are often underpriced. Whether or not this is the case is not clear.[1]

In 2009, Taleb was caught exaggerating his fund results.[2] Also in that year, he had a fund which bet on US dollar hyperinflation.[3] Wonder how that came out. He's not saying.

This is called the "cherry picking problem" in fund rating, and it's why, for public funds, the SEC requires funds to report 1, 5 and 10 year results after fees as their primary reporting numbers. For investment advisers, there's a rating service called Hulbert Digest, which subscribes to all those expensive newsletters and computes how you would have done if you followed their recommendations. Hulbert then publishes an expensive newsletter with the results. Taleb's fund is not checked by the SEC or Hulbert, so claims should be viewed skeptically.

[1] http://blogs.reuters.com/felix-salmon/2011/08/11/black-swan-... [2] http://www.businessinsider.com/wait-before-you-invest-in-nas... [3] http://www.wsj.com/articles/SB124519615631521063