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The Favorite/Long-Shot Bias in S&P 500 and Ftse 100 Index Futures Options: The Return to Bets and the Cost of Insurance

Backtest Period

1986-1995

Markets Traded

Options

Maximum Drawdown

Period of Rebalancing

Monthly

Return (Annual)

26%

Sharpe Ratio

1.16

Standard Deviation (Annual)

19%

Original paper

SSRN-id424421.pdf93.1KB

Trading rules

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