backtesting

We tested Spitznagel’s tail hedging strategy and AQR’s critique with 17 years of real SPY options data. AQR’s published tests use near-ATM puts in a no-leverage framing, two differences from the portfolio Spitznagel and Universa actually describe. Deep OTM puts beat SPY in both framings; the externally funded overlay wins by the widest margin. Biweekly rebalancing is the practical default (Sharpe 1.3); weekly pushes the backtest Sharpe to 2.2 but should be read as an upper bound. Macro signals are useless for timing.