International diversification works (eventually)

CS Asness, R Israelov, JM Liew - Financial Analysts Journal, 2011 - Taylor & Francis
Critics of international diversification observe that it does not protect investors against short-term
market crashes because markets become more correlated during downturns. Although …

Forecasting the distribution of option returns

R Israelov, BT Kelly - Available at SSRN 3033242, 2017 - papers.ssrn.com
We propose a method for constructing conditional option return distributions. In our model,
uncertainty about the future option return has two sources: Changes in the position and shape …

Covered calls uncovered

R Israelov, LN Nielsen - Financial Analysts Journal, 2015 - Taylor & Francis
Typical covered call strategies collect the equity and volatility risk premiums but also embed
exposure to a naive equity reversal strategy that is uncompensated. This article presents a …

[BOOK][B] Risk and return of equity index collar strategies

R Israelov, M Klein - 2017 - aqr.com
Aversion to loss leads many investors to seek tail-protection strategies, and they may turn to
an equity index collar strategy to reduce downside risk. A collar is constructed by offsetting …

Covered call strategies: One fact and eight myths

R Israelov, LN Nielsen - Financial Analysts Journal, 2014 - Taylor & Francis
A covered call is a long position in a security and a short position in a call option on that
security. Equity index covered calls are an attractive strategy to many investors because they …

Exclude with Impunity: Personalized Indexing and Stock Restrictions

Y Chen, R Israelov - Financial Analysts Journal, 2023 - Taylor & Francis
Using simulated historical backtests, we study the impact of stock exclusions on the
performance of passive and active portfolios. We find that at low to moderate numbers, stock …

To trade or not to trade? Informed trading with short-term signals for long-term investors

R Israelov, M Katz - Financial Analysts Journal, 2011 - Taylor & Francis
When long-term investors trade slowly changing portfolios, they are not particularly sensitive
to when they should place or modify their bets. Short-term information can be used to guide …

Pathetic protection: The elusive benefits of protective puts

R Israelov - Available at SSRN 2934538, 2017 - papers.ssrn.com
Conventional wisdom is that put options are effective drawdown protection tools. Unfortunately,
in the typical use case, put options are quite ineffective at reducing drawdowns versus …

[PDF][PDF] Embracing downside risk

R Israelov, LN Nielsen, D Villalon - The Journal of Alternative Investments, 2017 - aqr.com
It is well known that investors have asymmetric risk preferences in bearing downside risk or
participating in the upside. Options markets provide a useful and intuitive way to quantify …

Which Index Options Should You Sell?

R Israelov, H Tummala - Available at SSRN 2990542, 2017 - papers.ssrn.com
This paper explores historical return and risk properties of equity-hedged options across the
S&P 500 option surface. We evaluate returns by estimating alpha to the S&P 500 index, and …