… Asness is founding and managing principal, Roni Israelov is vice president, and John M.
Liew is founding principal at AQR Capital Management, LLC, Greenwich, Connecticut. …

… In a similar manner, Israelov and Klein (2015) applied our performance attribution to explain
the risk and return characteristics of a more complex option portfolio—an equity index collar …

We propose a method for constructing conditional option return distributions. In our model,
uncertainty about the future option return has two sources: Changes in the position and shape …

… collar implementation, and Israelov and Klein believe it is reasonable to treat its … “CLL is
not explicitly described as being zero-cost,” says Israelov, “but materials that describe collar …

… Except for BAB, all our factor returns come from Kenneth R. French Data Library. BAB return
… Except for BAB, all our factor returns come from Kenneth R. French Data Library. BAB return …

A covered call is a long position in a security and a short position in a call option on that
security. Equity index covered calls are an attractive strategy to many investors because they …

… This alpha is consistent with the findings of Israelov and Nielsen (2015b), who report a -2.0%
annualized return for owning delta-hedged 5% out-of-the-money put options over the …

It is well known that investors have asymmetric risk preferences in bearing downside risk or
participating in the upside. Options markets provide a useful and intuitive way to quantify …

… Roni Israelov and Michael Katz … Roni Israelov is vice president and Michael Katz is
vice president at AQR Capital Management, LLC, Greenwich, Connecticut. … r …

Typical covered call strategies may be decomposed, using a risk and performance attribution
methodology, into three components: equity exposure, short volatility exposure and equity …