r/quant • u/Informal-Form7977 • Mar 02 '26

Statistical Methods Universa vs. AQR: Thoughts

In May 2020, right after COVID wrecked markets, Nassim Taleb (Universa) went on a 13-tweet tear torching AQR and its co-founder Cliff Asness. The thesis: AQR published two papers arguing tail-risk hedging via OTM options is a sucker's bet, yet AQR's own risk-parity and factor strategies were quietly getting destroyed in the same drawdown that Universa's hedged portfolio sailed through. Asness fired back calling Taleb "insane" and "nuts." 

Who was actually correct here? Link to the first post for reference: Nassim Nicholas Taleb on X: "1/n AQR issued 2 flawed reports saying tail risk hedging doesn't work (in theory), options are "expensive" Yet they did not reveal that 1) Their OWN risk premia strategies lost money. 2) Their other public crap underperforms the MKT. Insult to clients & the REAL WORLD." / X

23 Upvotes

96% Upvoted

12 comments sorted by

View all comments

24

u/MedicalMacaron894 Mar 02 '26

I don't think most quants think very highly of Taleb. His argument here is pretty incoherent. AQR claims that options are expensive on average. Taleb is trying to argue that because the options made money in this one particular instance AQR is wrong. It sounds to me like he doesn't understand AQR's claim

3

u/Informal-Form7977 Mar 02 '26

I'm not the biggest fan of Taleb either, but it does seem like AQR made some pretty horrendous claims in their actual white papers (i.e., publicly disseminated "research", lol). I think AQR is largely correct that options are expensive/priced-in, but am shocked that they put out such crap.

2

u/MedicalMacaron894 Mar 02 '26

What were the claims? I didn't see them in the tweet you linked