In 2008, the S&P 500 experienced a drawdown of about 50% from peak to trough. Many
assets which are typically considered effective equity diversifiers also faced precipitous losses. …

Using the implied volatility smirk on individual equity securities to measure perceived tail risk,
we find that better environmental, social and governance ( ESG ) practices significantly …

Using data from January 18, 1996 to November 16, 2006, we construct and evaluate returns
on a buy-write strategy on the Russell 2000 index. The results demonstrate that the strategy …

The meaning attributed to a particular financial term can have a significant impact on the
way one considers issues in the marketplace. The purpose of this articleis to offer one …

Mutual fund managers may implement a variety of trading strategies using exchange-traded
equity and equity index options. These strategies predominately include covered calls, …

Hedge Fund replication has generated significant academic and practitioner interest in
recent years. This interest has been translated into several product offerings by the major …

While the impact of backfill bias, survivor bias, and other database construction issues (eg,
onshore versus offshore) on hedge fund performance have received considerable research …

This article assesses the effectiveness of a long collar as a protective strategy. We examine
the risk/return characteristics of a passive collar strategy on the Powershares QQQ trust …

The data and time dependency of empirical financial research is a common concern to both
academics and practitioners. Changes in regulatory, trading and investor environments may …

The credit crisis and the associated decline in equity markets has rekindled new interest in
option based equity collars and in protective strategies in general. In this paper we consider …