Part 1 From what I can glean from the links provided in part 1, Universa allocates approximately 1% of its capital on OTM (out-of-money) S&P 500 puts that expire in 70-90 days and have a ‘delta’ of .01 (at-the-money puts typically have a delta of .50). These are puts that are struck at strike prices… Continue reading Analysis of Mark Spitznagel Tail Hedging, Part 2
Tag: Mark Spitznagel
Does Tail Hedging Work? It Depends
Lately there has been a lot of discussion about finance, and people want to know how to ‘protect themselves’ in a market crash, so as to be expected buzzwords such as ‘black swans’, ‘fat tails’, and ‘tail hedging’ are mentioned, topics popularized by Nassim Taleb, who became something of a legend akin to the 21st.… Continue reading Does Tail Hedging Work? It Depends