Roni Israelov's guest appearances

Roni Israelov

Alpha Exchange

Resolve's Gestalt University

OwlTail

The hedge that carries positively but delivers convex returns during a market panic is about as elusive as our lawmakers coming together in bipartisan fashion. As head of option strategies at AQR, Roni Israelov not only confirmed this but saw in the empirical data distinctly unpromising results for hedging strategies that utilized put options.Trained with a PhD in Financial Economics from Carnegie Mellon, Roni has spent his career researching complex topics in markets. We explore his paper “Pathetic Protection” and the challenges that arise from paying option premium to reduce risk. Roni sites the path dependency of options as introducing sometimes significant variability in the effectiveness of a program. He also sites the equity risk premium and the vol risk premium as headwinds for success.Our conversation shifts to another interesting topic, “rebalance timing luck”, work that Roni has done in collaboration with Newfound Research. The finding - that the performance of mechanically rebalanced strategies – can rest heavily on the date of rebalance, is especially the case for option strategies like the giant put spread collar on the SPX that is rolled each quarter.Roni is now the President and CIO of NDVR, a firm providing optimized portfolio solutions to individuals, using academic research, technology and tax efficiency. I hope you enjoy this episode of the Alpha Exchange, my conversation with Roni Israelov.

The hedge that carries positively but delivers convex returns during a market panic is about as elusive as our lawmakers coming together in bipartisan fashion. As head of option strategies at AQR, Roni Israelov not only confirmed this but saw in the empirical data distinctly unpromising results for hedging strategies that utilized put options. Trained with a PhD in Financial Economics from Carnegie Mellon, Roni has spent his career researching complex topics in markets. We explore his paper “Pathetic Protection” and the challenges that arise from paying option premium to reduce risk. Roni sites the path dependency of options as introducing sometimes significant variability in the effectiveness of a program. He also sites the equity risk premium and the vol risk premium as headwinds for success. Our conversation shifts to another interesting topic, “rebalance timing luck”, work that Roni has done in collaboration with Newfound Research. The finding - that the performance of mechanically rebalanced strategies – can rest heavily on the date of rebalance, is especially the case for option strategies like the giant put spread collar on the SPX that is rolled each quarter. Roni is now the President and CIO of NDVR, a firm providing optimized portfolio solutions to individuals, using academic research, technology and tax efficiency. I hope you enjoy this episode of the Alpha Exchange, my conversation with Roni Israelov.

Roni Israelov, President and CIO: NDVR

In this episode, the ReSolve team welcomes Roni Israelov, Chief Investment Officer and President of  NDVR, to discuss advanced portfolio strategies for optimizing tax efficiency, credit exposure, and cash flow objectives.  We explore a wide range of topics, including:  Roni's background and experience in asset management, including his time at AQR Capital Management and Lehman Brothers  The importance of portfolio construction and implementation in achieving investment goals  The challenges and opportunities in managing custom lifestyle-protected growth portfolios  The role of research and model building in informing and optimizing investment strategies The impact of transaction costs and factor decay profiles on portfolio performance  The benefits and risks of incorporating short-term signals within long-term investment models, and using short-term models to adjust overall trading Lessons learned from building and managing option strategies focused on harvesting volatility risk premiums  The role of investor psychology and behavioral biases in decision-making and portfolio management  The importance of diversification and risk management in navigating uncertain markets  The complexity of characterizing individual investors' utility functions and the need for custom portfolios to best satisfy unique objectives Future trends and potential opportunities in the wealth optimization space     This episode is a must-listen for anyone interested in advanced portfolio strategies, tax efficiency, credit exposure, and cash flow goals, providing valuable insights and practical advice for navigating complex financial markets and achieving lasting success in the world of investing.   This is “ReSolve Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global* and Richard Laterman of ReSolve Asset Management Inc.   *ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association ("NFA"). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.

In this episode, the ReSolve team welcomes Roni Israelov, Chief Investment Officer and President of  NDVR, to discuss advanced portfolio strategies for optimizing tax efficiency, credit exposure, and cash flow objectives.  We explore a wide range of topics, including: <ul> <li>Roni's background and experience in asset management, including his time at AQR Capital Management and Lehman Brothers </li> <li>The importance of portfolio construction and implementation in achieving investment goals </li> <li>The challenges and opportunities in managing custom lifestyle-protected growth portfolios </li> <li>The role of research and model building in informing and optimizing investment strategies</li> <li>The impact of transaction costs and factor decay profiles on portfolio performance </li> <li>The benefits and risks of incorporating short-term signals within long-term investment models, and using short-term models to adjust overall trading</li> <li>Lessons learned from building and managing option strategies focused on harvesting volatility risk premiums </li> <li>The role of investor psychology and behavioral biases in decision-making and portfolio management </li> <li>The importance of diversification and risk management in navigating uncertain markets </li> <li>The complexity of characterizing individual investors' utility functions and the need for custom portfolios to best satisfy unique objectives</li> <li>Future trends and potential opportunities in the wealth optimization space </li> </ul> This episode is a must-listen for anyone interested in advanced portfolio strategies, tax efficiency, credit exposure, and cash flow goals, providing valuable insights and practical advice for navigating complex financial markets and achieving lasting success in the world of investing. This is “ReSolve Riffs” – live on YouTube every Friday afternoon to debate the most relevant investment topics of the day, hosted by Adam Butler, Mike Philbrick and Rodrigo Gordillo of ReSolve Global* and Richard Laterman of ReSolve Asset Management Inc. *ReSolve Global refers to ReSolve Asset Management SEZC (Cayman) which is registered with the Commodity Futures Trading Commission as a commodity trading advisor and commodity pool operator. This registration is administered through the National Futures Association ("NFA"). Further, ReSolve Global is a registered person with the Cayman Islands Monetary Authority.