Cross-Sectional and Volatility Strategies¶
Under development
This lesson is part of the course scaffold and is being actively written. The learning objectives and outline below define its final scope.
Learning objectives¶
By the end of this lesson you will be able to:
- Rank a universe by cross-sectional momentum, form decile portfolios, and measure the return spread between top and bottom deciles.
- Construct market-neutral long-short portfolios with defined weighting schemes and attribute their returns to signal versus residual exposure.
- Measure the volatility risk premium as the gap between implied and realized volatility and implement a harvesting strategy with explicit tail-risk accounting.
- Build a term-structure strategy that trades contango and backwardation, and quantify its roll-yield contribution.
Outline¶
- Cross-sectional vs time-series signals — ranking within a universe
- Cross-sectional momentum — formation and holding periods, decile spreads
- Long-short construction — neutrality, weighting schemes, turnover
- The volatility risk premium — implied vs realized, and why the gap exists
- Harvesting the premium — instruments, sizing, and tail-risk control
- Term-structure strategies — contango, backwardation, and roll yield
- Combining the sleeves — a cross-sectional plus volatility book