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Journal Article
To Trade or Not to Trade? Informed Trading With Short-Term Signals for Long-Term Investors
September 1, 2011
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
August 3, 2015
This paper investigates the relationship between option richness and volatility across 10 global equity indices.
Trade Publication
Ahead of the Curve: Time to Embrace Downside Risk
February 15, 2016
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
Forecasting the Distribution of Option Returns
December 12, 2018
We propose a method for constructing conditional option return distributions.
Working Paper
Risk Parity Is Not Short Volatility (Not That There's Anything Wrong with Short Volatility)
August 21, 2019
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
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.
Journal Article
Combining Empirical Likelihood and Generalized Method of Moments Estimators
April 22, 2011
This paper presents a new family of estimators for use in statistical estimation and econometrics.
Working Paper
Give Credit Where Credit Is Due: What Explains Corporate Bond Returns?
May 17, 2019
We examine the risk and returns of U.S. corporate bond indices using a set of economically-motivated factors and find that options markets explain a great deal of credit returns.
Working Paper
Which Index Options Should You Sell?
July 7, 2017
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.