dVolPut · Informed trading · An, Ang, Bali, Cakici (2014)

Change in put vol

Long minus short quintile portfolio, value-weighted, market-adjusted. Quarterly, 1996Q2 to 2022Q4.

Expected return · posterior mean, % per quarter

Next quarter

0.98%

95% interval −0.25% to 2.14%

Next year

0.94%

95% interval −0.30% to 2.16%

Next five years

0.81%

95% interval −0.60% to 2.20%

Next quarter

0.71%

95% interval −0.23% to 1.68%

Next year

0.71%

95% interval −0.26% to 1.69%

Next five years

0.73%

95% interval −0.33% to 1.73%

Next quarter

0.83%

95% interval −0.96% to 2.70%

Next year

0.87%

95% interval −0.97% to 2.72%

Next five years

1.00%

95% interval −1.01% to 2.86%

Next quarter

1.09%

95% interval −0.01% to 2.24%

Next year

1.09%

95% interval −0.05% to 2.25%

Next five years

1.11%

95% interval −0.15% to 2.30%

Cumulative market-adjusted return

+127% since 1996Q2 · log scale

Window	Mean	Vol.	Sharpe	t
1996Q2–2022Q4	4.19%	14.75%	0.28	1.47
2018Q1–2022Q4	4.84%	8.01%	0.60	1.35
2022Q1–2022Q4	11.54%	14.58%	0.79	0.79
1996Q2–2022Q4	3.84%	11.23%	0.34	1.77
2018Q1–2022Q4	1.15%	5.92%	0.19	0.44
2022Q1–2022Q4	−3.62%	7.20%	−0.50	−0.50
1996Q2–2022Q4	5.94%	20.07%	0.30	1.53
2018Q1–2022Q4	−2.36%	16.34%	−0.14	−0.32
2022Q1–2022Q4	−16.54%	6.86%	−2.41	−2.41
1996Q2–2022Q4	5.84%	13.26%	0.44	2.28
2018Q1–2022Q4	2.08%	8.71%	0.24	0.53
2022Q1–2022Q4	−3.84%	4.36%	−0.88	−0.88

Horizon	Mean	95% interval	P(neg)
Next quarter	0.134	−0.034 – 0.293	0.06
Next year	0.128	−0.041 – 0.294	0.07
Next five years	0.110	−0.081 – 0.299	0.12
Next quarter	0.126	−0.041 – 0.299	0.07
Next year	0.127	−0.046 – 0.300	0.07
Next five years	0.130	−0.058 – 0.308	0.08
Next quarter	0.083	−0.096 – 0.269	0.20
Next year	0.087	−0.097 – 0.271	0.18
Next five years	0.100	−0.101 – 0.285	0.15
Next quarter	0.164	−0.002 – 0.338	0.03
Next year	0.165	−0.007 – 0.339	0.03
Next five years	0.167	−0.023 – 0.348	0.04