Browsing: variance risk premium

Posts Tagged ‘ variance risk premium ’

Variance Risk Premium: What Premium?

Jun 25th, 2020 | Filed under: Newly Added, Alpha Strategies, Risk management, Risk Metrics and Measurement, Alternative Investments in Context, Risk Management Strategies & Processes

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Investing is akin to fighting in the forever war. There are long periods of peace and prosperity, but investors are frequently drawn into short-term combat, extended battles, and multi-year wars. And the cycle repeats over and over. For some of the foot soldiers,Read More


Using the Variance Risk Premium to Predict Futures Markets

Jul 15th, 2018 | Filed under: Commodities, Hard metals, Newly Added, Risk management, oil, Risk Metrics and Measurement, Commodities: Examples, Energy, Risk Management Strategies & Processes, Gold, Commodities

A new study of volatility in commodity prices indicates that both the total and the decomposed variance risk premiums of at least certain commodities markets contain information with predictive power. The variance risk premium is the pay-off of the synthetic variance swap contract. Specifically, it’s the difference between the floatingRead More