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Journal Article

Covering the World: Global Evidence on Covered Calls

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.

Working Paper

Forecasting the Distribution of Option Returns

We propose a method for constructing conditional option return distributions.

Working Paper

Future Liquidity, Present Value: Measuring and Pricing Liquidity Risk

In 1991, John Y. Campbell showed how an asset’s return is related to new information about its future cash flows and discount rates. We extend Campbell’s return decomposition to show how it is also related to new information on future liquidity.

Journal Article

Combining Empirical Likelihood and Generalized Method of Moments Estimators

This paper presents a new family of estimators for use in statistical estimation and econometrics.

Journal Article

Embracing Downside Risk

This paper shows that downside risk tends to be the main source of long-run returns in equities and other asset classes, and argues that long-term investors may be better off embracing downside risk in certain cases.

Journal Article

To Trade or Not to Trade? Informed Trading With Short-Term Signals for Long-Term Investors

One of the great frustrations in the asset management profession is to watch trading costs render useless a signal that predicts near-term returns beautifully.

Journal Article

Still Not Cheap: Portfolio Protection in Calm Markets

This paper investigates the relationship between option richness and volatility across 10 global equity indices.

White Paper

Understanding the Volatility Risk Premium

The volatility risk premium (VRP) represents the compensation that investors earn for providing protection against market losses. We explain the reasons why it may exist and explore its historical performance with a simple option-selling strategy.

Trade Publication

Ahead of the Curve: Time to Embrace Downside Risk

Buying equity put options to reduce a portfolio’s downside risk exposure is so attractive that the high cost of doing so all but offsets the benefit, the authors contend.

Working Paper

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

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.