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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
63 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. In the allocation-reducing framing AQR uses, selling SPY to fund puts, deep OTM puts lose at every budget. In the externally funded overlay Spitznagel actually proposes (100% SPY + put budget on top), the strategy shows a positive raw gap versus plain SPY only when the OTM band is set by strike (not delta), held for longer than the article first published, and tested across rolling windows that include a crash. The edge is regime-conditional: it pays in 6 of 13 rolling 5-year windows (every window that contains a ≥25% SPY drawdown) and drags by 2-3pp/yr in windows that don’t.

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
24 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, across 27 sources spanning 1 CE to 2026 and covering 240 countries. Fat tails are universal. Pegged currencies are the most dangerous. Every currency loses against gold.