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Journal Article
International Diversification Works (Eventually)
May 1, 2011
Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.
Working Paper
Forecasting the Distribution of Option Returns
December 12, 2018
We propose a method for constructing conditional option return distributions.
Journal Article
Covering the World: Global Evidence on Covered Calls
July 7, 2017
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
Future Liquidity, Present Value: Measuring and Pricing Liquidity Risk
November 18, 2006
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.
White Paper
Understanding the Volatility Risk Premium
May 11, 2018
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.
White Paper
PutWrite versus BuyWrite: Yes, Put-Call Parity Holds Here Too
March 31, 2017
Surprisingly, the CBOE S&P 500 PutWrite Index has outperformed the CBOE S&P 500 BuyWrite Index by around 1.1 percent annually between 1986 and 2015. We explain the mystery behind this outperformance and its implications for portfolio construction.
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.
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
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.