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Working Paper

Risk Parity Is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)

August 21, 2019 - Benjamin Hood John J. Huss Roni Israelov Matthew Klein

Are risk parity strategies hiding an implicit short volatility? To find out, we simulated stylized versions of three asset-class (equity, fixed income, and commodities) risk parity and short volatility strategies, and we compared the trading behavior and returns of each.

Journal Article

Covering the World: Global Evidence on Covered Calls

July 7, 2017 - Roni Israelov Matthew Klein Harsha Tummala

Covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure, and equity timing. This paper applies that attribution methodology to covered calls on 11 global indexes.

Journal Article

Risk and Return of Equity Index Collar Strategies

July 1, 2016 - Roni Israelov Matthew Klein

Equity index collar strategies are often perceived as a way for investors, at little to no cost, to exchange some upside exposure for reduced losses on the downside.