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The Tail Hedge Debate: Spitznagel Is Right, AQR Is Answering the Wrong Question The Tail Hedge Debate: Spitznagel Is Right, AQR Is Answering the Wrong Question
17 min read Keywords:  options, tail hedging, Spitznagel, AQR, volatility, SPY, backtesting

We tested Spitznagel’s tail hedging strategy and AQR’s critique with 17 years of real SPY options data. AQR is correct about a strategy nobody runs. Spitznagel’s actual strategy, leveraged deep OTM puts, wins on every metric.