dCPVolSpread · Informed trading · An, Ang, Bali, Cakici (2014)
Change in put vol minus change in call vol
Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1996Q2 to 2022Q4.
Expected return · posterior mean, % per quarter
Next quarter
0.59%
95% interval −0.04% to 1.45%
Next year
0.68%
95% interval −0.03% to 1.55%
Next five years
0.95%
95% interval −0.02% to 1.90%
Cumulative market-adjusted return
+659% since 1996Q2 · log scale
Past performance, annualized
| Window | Mean | Vol. | Sharpe | t |
|---|---|---|---|---|
| 1996Q2–2022Q4 | 7.97% | 8.11% | 0.98 | 5.08 |
| 2018Q1–2022Q4 | 1.83% | 7.79% | 0.24 | 0.53 |
| 2022Q1–2022Q4 | −6.27% | 7.19% | −0.87 | −0.87 |
| 1996Q2–2022Q4 | 10.28% | 6.62% | 1.55 | 8.03 |
| 2018Q1–2022Q4 | 5.20% | 5.15% | 1.01 | 2.26 |
| 2022Q1–2022Q4 | 1.46% | 6.55% | 0.22 | 0.22 |
| 1996Q2–2022Q4 | 14.81% | 11.82% | 1.25 | 6.48 |
| 2018Q1–2022Q4 | 6.14% | 11.69% | 0.53 | 1.17 |
| 2022Q1–2022Q4 | 2.64% | 4.70% | 0.56 | 0.56 |
| 1996Q2–2022Q4 | 12.88% | 9.22% | 1.40 | 7.22 |
| 2018Q1–2022Q4 | 5.80% | 7.20% | 0.81 | 1.80 |
| 2022Q1–2022Q4 | 6.40% | 5.85% | 1.09 | 1.09 |
Forecast Sharpe ratio, per quarter
| Horizon | Mean | 95% interval | P(neg) |
|---|---|---|---|
| Next quarter | 0.147 | −0.009 – 0.359 | 0.03 |
| Next year | 0.169 | −0.008 – 0.383 | 0.03 |
| Next five years | 0.233 | −0.005 – 0.471 | 0.03 |
| Next quarter | 0.342 | 0.217 – 0.481 | 0.00 |
| Next year | 0.344 | 0.190 – 0.510 | 0.00 |
| Next five years | 0.353 | 0.116 – 0.596 | 0.00 |
| Next quarter | 0.300 | 0.176 – 0.438 | 0.00 |
| Next year | 0.298 | 0.146 – 0.462 | 0.00 |
| Next five years | 0.297 | 0.063 – 0.530 | 0.01 |
| Next quarter | 0.343 | 0.224 – 0.476 | 0.00 |
| Next year | 0.337 | 0.190 – 0.494 | 0.00 |
| Next five years | 0.324 | 0.097 – 0.552 | 0.00 |