RECENT ARTICLES
How to estimate factor exposure, risk premia, and discount factors
The basic idea behind factor models is that a large range of assets’ returns can be explained by exposure to a small range of...
Variance risk premia for patient investors
The variance risk premium manifests as a long-term difference between option-implied and expected realized asset price volatility. It compensates investors for taking short volatility...
Classifying market regimes
Market regimes are clusters of persistent market conditions. They affect the relevance of investment factors and the success of trading strategies. The practical challenge...