Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements …

components: equity exposure, short volatility exposure, and equity timing. This paper applies that attribution methodology to … most of the strategy's risk and return, while the short volatility exposure has the highest Sharpe ratio of the strategy …-managed covered calls may be viewed as a defensive alternative to global equity, providing similar returns with lower volatility and …