The cost of insurance is carry e.g. when you buy an option you are paying for the convexity with time decay. It is quite expensive.

It is worth saying however that part of tail hedging is that the payoff is worth a lot more when everything else has tanked, so e.g. even if you (say) get 10% on your puts when the wider portfolio is still down 40% (made up numbers), you can deploy that capital at probably quite a high expected return.