Short-term and Long-term Strategies for Dealing with Financial Risk Exposures
A 2022 paper by Henriques-de-Brito on options trading strategies in volatility and options: the abstract mentions an information ratio, excess returns, profits and a benchmark and leaves out an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“Besides comparing annualized returns, data for risk-adjusted returns given by the information ratio is useful to provide insights on the effects of rebalancing and also on the ‘mean reversion’ principle.”
AssetVolatility and optionsoptions
StrategyOptions strategiesshort-term reversal
ClaimInformation ratioexcess return
Also stated: benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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