The VIX Futures Basis: Evidence and Trading Strategies
Simon and Campasano (2012) study the volatility risk premium in volatility and options over 2006–2011. The abstract mentions profits, a benchmark, an out-of-sample test and transaction costs but not multiple testing or the size of the universe.
“The results indicate that these trading strategies are highly profitable and robust to transaction costs, out of sample hedge ratio forecasts and risk management rules.”
AssetVolatility and optionsfutures, indices
StrategyVolatility risk premiumhedging
GeographyUS
Sample window2006–2011
Also stated: Profit, benchmark, out-of-sample test, costs
Missing from abstract: multiple testing, universe
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The paper's neighbourhoodVolatility risk premium by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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