poor Roni Israelov … will he ever be anything more than a “former AQR quant”?

Corey Hoffstein 🏴‍☠️ Roni Israelov HULK’S FAVORITE PAPER TO SEND TO FOOLS THAT DON’T REALLY UNDERSTAND HOW BUY-WRITE STRATS WORK.

I think that international diversification isn’t so much about protection against crash risk. All markets crash together these days.

It’s mostly protection against a home country asset “lost decade” after an asset price bubble.

If you were able to diversify away from Japanese

𝓩* Jon Arnell åh nästa intricacy.
Som Roni Israelov visat, optioner skyddar inte alltid på det sättet man väntar sig.
Om man hade en delta neutral optionsstruktur under covid krashen hade begränsad lönsamhet.
Hela lönsamheten under denna period fanns i deltan i optionerna.

Exclude with Impunity: Personalized Indexing and Stock Restrictions
Yin Chen and Roni Israelov use simulated historical backtests to study the impact of stock exclusions on the performance of passive and active portfolios.
ow.ly/PHEK50Q2hs2

Exclude with Impunity: Personalized Indexing and Stock Restrictions
Yin Chen and Roni Israelov use simulated historical backtests to study the impact of stock exclusions on the performance of passive and active portfolios.
ow.ly/PHEK50Q2hs2

My latest article for Alpha Architect dives into the research on covered calls and shows how the focus on 'income' can undermine returns
alphaarchitect.com/2023/11/covere…

Focus on Income Can Undermine Returns: The Case of Covered Calls--
Covered calls implemented to deliver higher derivative income should be expected to have lower total returns, more tax-drag, more negative skew. Yuck.
by Larry Swedroe
cc Roni Israelov

alphaarchitect.com/?p=89562

'Dividend income seeking strategies have a long history. More recently, interest in derivative income strategies – such as covered calls and put underwriting – continues to develop.'

A good read here: When Generating Income Undermines Investment Returns
papers.ssrn.com/sol3/papers.cf…

Essential reading for those using option-selling strategies

Devil's Bargain: When Generating Income Undermines Investment Returns (Israelov, Nze Ndong)

'We demonstrate a negative mechanical relationship between expected total return and covered call 'income.' We empirically validate this on S&P 500 Index calls.'

papers.ssrn.com/sol3/papers.cf…

Buying options-enhanced funds for the express purpose of pocketing the extra money is a mistake, according to the latest research from quant veteran Roni Israelov bloomberg.com/news/articles/… via Bloomberg Markets with Isabelle Lee

Buying options-enhanced funds for the express purpose of pocketing the extra money is a mistake, according to the latest research from quant veteran Roni Israelov trib.al/1Vbytpc

'Do high derivative income covered calls tend to deliver higher total returns? No. In fact, the relationship goes the other way.'

A Devil's Bargain: When Generating Income Undermines Investment Returns

papers.ssrn.com/sol3/papers.cf…

Roni Israelov has a gift for making option strategies simple and transparent.

Anyone investing in option strategies for income should read this.

papers.ssrn.com/sol3/papers.cf…

Deciding how to space out your investments? The latest NDVR analysis explores why lump-sum investing can often outperform dollar-cost averaging for better outcomes. #InvestmentStrategy #QuantitativeAnalysis #PortfolioConstruction

hubs.ly/Q026LwxQ0

Paper by Roni Israelov and Ndong on covered call strategies. 'We demonstrate a strong negative mechanical relationship between expected total return and derivative income for covered call strategies.'

Covered call strategies harvest the equity risk premium and the volatility

Darren 🥚🐣🕊️ Reminds me of this by AQR/Roni Israelov aqr.com/Insights/Resea…