Rare occurrences are known as black swans. It dates back to a time when people thought there were only white swans in the world. Any man who only believed in white swans would be shaken to his core if the Black Swan was seen.
Nassim Taleb ran with the idea, extending it to the worlds of finance and investing. A black swan, in this sense, is an outlier whose occurrence is unpredictable and whose effect is beyond the reach of daily expectations.
Black Swans, according to Taleb, are unavoidable and unpredictable, and when they happen, the losses will be much greater than you could have expected.
The barbell strategy was to invest 90% of its funds in low-risk assets including cash and treasury bonds.
The other 10% of the portfolio was spent on far out of the money puts. In a market downturn, these contracts would reap huge rewards.
The strategy takes small losses when the market was trending upwards, but when the inevitable black swan event occurred, the strategy profited wildly.