- Filter By.
-
Topic (${ Topics.length })
-
-
Type (${ ContentTypes.length })
-
Contributor (${ Contributors.length })
- Relevance
- Newest
- Oldest
Interview
Meet the Expert: Roni Israelov on Volatility
October 31, 2018
AQR Principal Roni Israelov answers questions about the volatility risk premium (VRP), including how it is similar to other alternative risk premia and how AQR implements it.
Perspective
Wild but Not Crazy
February 15, 2018
Just how volatile was the recent market ride? Cliff Asness puts the volatility into perspective in terms of both its absolute and surprise levels.
Journal Article
The Limits to Arbitrage and the Low-Volatility Anomaly
January 2, 2014
Researchers have found that a strategy of buying prior low volatility stocks and selling prior high volatility risk stocks has historically generated substantial abnormal returns in the U.S.
Journal Article
The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing
January 29, 2016
Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.
Working Paper
Betting Against Correlation: Testing Theories of the Low-Risk Effect
February 15, 2017
What drives the low-risk effect? We test whether it's driven by leverage constraints (and thus risk should be measured using beta) or behavioral effects (and thus risk should be measured by idiosyncratic risk).
White Paper
Covered Calls and Their Unintended Reversal Bet
June 2, 2014
Equity index covered calls have historically realized returns not much less than their underlying index with significantly less volatility.
Journal Article
Covered Call Strategies: One Fact and Eight Myths
October 21, 2014
Call overwriting is a method of simultaneously expressing a view on a security and its volatility, and the CBOE S&P 500 BuyWrite Index (BXM) is one of many ways to get exposure to the equity and volatility risk premia.
Working Paper
Forecasting the Distribution of Option Returns
December 12, 2018
We propose a method for constructing conditional option return distributions.