volatility

Not the keyword you're looking for? See all keywords.

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
45 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’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.

Twenty Centuries of Financial Data: What 240 Countries and 2,000 Years Reveal Twenty Centuries of Financial Data: What 240 Countries and 2,000 Years Reveal
23 min read Keywords:  forex, exchange rates, fat tails, gold, silver, interest rates, commodity prices, sovereign debt, volatility, medieval finance, currency crisis, open data

We assembled forex-centuries, an open dataset of exchange rates, gold, silver, interest rates, commodity prices, GDP, sovereign debt, and more — 27 sources spanning 1 CE to 2026, covering 240 countries. Fat tails are universal. Pegged currencies are the most dangerous. Every currency loses against gold.