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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.

Journal Article

International Diversification Works (Eventually)

May 1, 2011 - Cliff Asness Roni Israelov John M. Liew

Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.

Journal Article

Combining Empirical Likelihood and Generalized Method of Moments Estimators

April 22, 2011 - Roni Israelov Steven Lugauer

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

Working Paper

Which Index Options Should You Sell?

July 7, 2017 - Roni Israelov Harsha Tummala

We study return and risk properties of equity-hedged options across the S&P 500 option surface. We evaluate returns by estimating alpha to the S&P 500 and quantify risk using return volatility, losses under stress tests, and conditional value at risk.

Journal Article

Covered Calls Uncovered

November 30, 2015 - Roni Israelov Lars N. Nielsen

Journal Article

Embracing Downside Risk

January 15, 2017 - Roni Israelov Lars N. Nielsen Daniel Villalon

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

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.

Trade Publication

Ahead of the Curve: Time to Embrace Downside Risk

February 15, 2016 - Roni Israelov Lars N. Nielsen

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.

Journal Article

An Alternative Option to Portfolio Rebalancing

March 5, 2018 - Roni Israelov Harsha Tummala

We explore how investors can use an implementable option selling overlay to improve portfolio rebalancing.

Journal Article

Covered Call Strategies: One Fact and Eight Myths

October 21, 2014 - Roni Israelov Lars N. Nielsen

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.