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There’s nothing like a very public spat between two titans of the financial world.
In the one corner, “Black Swan” author Nassim Nicholas Taleb; in the other, Cliff Asness, the founder of AQR Capital Management. The two took to Twitter with each using unprintable words about whether it’s worth the cost to insure against extreme events, or what’s called tail-risk hedging.
Taleb criticized AQR’s performance, which Asness acknowledges but says is due to the market’s current punishment of value stocks.
The coronavirus pandemic has proved to be a terrific time for tail-risk hedging — the CBOE Eurekahedge Tail Risk Volatility Hedge Fund Index has returned 51.47% this year.
Here’s an abridged version of the debate.
The rest of Finance Twitter just pulled out the popcorn and enjoyed.
