This paper proposes a simple and robust expected shortfall estimation method based on the tail-based normal approximation.
Short volatility players try to box clever after strategy’s Covid rout
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
David Hand shines a light on dark data and the dangers of distortion by absence
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
In this paper, the authors develop a computational method to find a unique, corrected Cornish–Fisher distribution efficiently for a wide range of skewnesses and kurtoses.
This paper investigates the distributional characteristics of stock market returns and analyzes the significance of higher moments.
The authors investigate the underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution.
Johnson-Omega could change the way financial firms measure portfolio performance
Paper designs and tests performance of new strategy in commodity futures
Tail-risk skewness, rather than volatility, is correlated with risk premiums
Non-linear momentum strategies
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled…
Momentum trading: ’skews me