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An anatomy of the market return

机译：市场收益剖析

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This paper introduces a model free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return and subsequently to visual and formal diagnosing of asset pricing models. It utilizes a novel conditional frequency analysis on the basis of available options rather than the times series of the S&P 500. Empirically, downside risk accounts for most of the forward market return, while symmetric tail risk is not prominently featured. The predictable, persistent part of the realized return is small. Nevertheless, signals revealed by this risk anatomy provide predictive out of sample power for realized returns, in particular for longer maturities. Furthermore, it indicates that models with identically and independently distributed state variables are generally misspecified in this market, and that care must be taken when calibrating disaster risk models. A formal test based on the risk anatomy rejects a model with time-varying disaster intensity. (C) 2018 Elsevier B.V. All rights reserved.
机译：本文介绍了使用期权投资组合，根据已实现和隐含的分散，下行和尾部风险对S＆P 500远期市场指数收益进行免费模型分解。分解可以通过构造自身来了解市场回报中的不同风险来源，并随后进行资产定价模型的可视化和形式化诊断。它基于可用期权而不是标准普尔500指数的时间序列，利用了新颖的条件频率分析。从经验上讲，下行风险占了大部分的远期市场收益，而对称尾部风险并不突出。已实现回报的可预测的持久部分很小。然而，通过这种风险解剖结构揭示的信号可以为实现的回报（尤其是更长的期限）提供超出样本能力的预测。此外，它表明在该市场中通常错误指定具有相同且独立分布的状态变量的模型，因此在校准灾难风险模型时必须格外小心。基于风险解剖结构的正式测试拒绝了具有时变灾难强度的模型。 （C）2018 Elsevier B.V.保留所有权利。

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