Academic Journal
Volatility Carry Strategies Across Global Asset Classes.
| Τίτλος: | Volatility Carry Strategies Across Global Asset Classes. |
|---|---|
| Συγγραφείς: | Khalfallah, Walid (AUTHOR), Tessaromatis, Nikolaos (AUTHOR) nikolaos.tessaromatis@edhec.edu |
| Πηγή: | Financial Analysts Journal. Sep2026, p1-22. 22p. 1 Illustration. |
| Θεματικοί όροι: | *Financial instruments, *Derivative securities, *Risk premiums, *Investment management, *Portfolio diversification, *Abnormal returns |
| Περίληψη: | This article examines whether volatility carry predicts volatility risk premia across global asset classes. Using forward volatility agreements and volatility swaps, we construct cross-sectional strategies that buy high-carry assets and short low-carry assets across equities, currencies, fixed income, and commodities. These strategies generate positive excess returns and strong Sharpe ratios, especially in diversified multi-asset portfolios. Timing strategies based on volatility carry also produce significant alpha. After allowing for transaction costs, the most robust results are obtained for volatility swap strategies; forward volatility agreement strategies are more affected by trading frictions. The evidence suggests that volatility carry is a useful signal for systematic volatility investing, but its practical value depends on the instrument used and on implementation costs. [ABSTRACT FROM AUTHOR] |
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