Variance Risk Premium Long
In plain terms
The original unvintaged proxy stays blocked; a named published-spot successor restores its internal rules.
How it works
Variance Risk Premium (VRP) = (VIX/100)^2 minus trailing 30d realized variance of SPY. When VRP is in the top quintile of trailing 252d own-history, investors are paying an unusually high premium for downside protection — historically a +6-10%/yr forward equity-return signal as the implied-vol overpricing converges.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Vix prices
A data feed this strategy reads, refreshed on its normal schedule.
- Spy prices
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- +6-10%/yr conditional
- Tested over
- T+1 to T+21d
+6-10%/yr on long equity conditional on top-quintile VRP (Drechsler-Yaron 2011).
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
Explore Variance Risk Premium Long on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.