Alpha Exchange cover image

Roni Israelov, President and CIO: NDVR

Alpha Exchange

00:00

The Persistence of the Vol Risk Premium

A AQR analyst says it's possible to be tactical successfully with volatility risk premium. There are times when the returns look stronger and there are other periods where they look weaker, he says. A model doesn't predict a greater or less great probability of a 20% crash but something more about the day-to-day carry of the strategy,. So I think if someone is allocating to the strategy, they have to understand that by doing so, they are exposed to crashes"

Transcript
Play full episode

The AI-powered Podcast Player

Save insights by tapping your headphones, chat with episodes, discover the best highlights - and more!
App store bannerPlay store banner
Get the app