Harvesting the Volatility Risk Premium: A Learning-to-Rank Approach
The volatility risk premium in equities over 2021–2024, studied by Wysocki in 2026 with tree ensembles. The abstract mentions a Sharpe ratio, an information ratio, drawdowns, a benchmark and an out-of-sample test but not transaction costs, multiple testing or the size of the universe.
“Seven sizing methods produce out-of-time annualized Sharpe ratios between 4.31 and 5.76, with the headline method reaching a Probabilistic Sharpe Ratio of 0.964 and a sample-period maximum drawdown of -2.28%, on a single hold-out year against a walk-forward range of 1.90 to 3.11.”
Also stated: Daily, 2021–2024, Sharpe ratio, Information ratio, Drawdown, Long-only, Text and news, benchmark, out-of-sample test
Missing from abstract: costs, multiple testing, universe
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| Compression of the Variance Risk Premium: Demand Pressure or a Repricing of Variance Carry? by Clark and Dickson | 2026 | ||||
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