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The Long Volatility Premium: Short the Market, Get Paid?

alphaarchitect

4 months ago

65 views

We can list some facts1 of life: death, taxes… and buying puts results in portfolio drag.

Then burn the list.2

At least that’s what One River Asset Management’s Patrick Kazley suggests we should do. According to Kazley, long volatility should be considered a factor (much like our beloved value, momentum and trend factors) that earns positive returns over the long term. And he’s brought the receipts.

In this piece, I wanted to break down the paper titled Heretical Thinking: The Long Vola...

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