---
title: A Tactical Strategy using ETFs: Harvesting Volatility Risk Premia & Crisis Alpha
url: https://www.ml-quant.com/papers/ssrn/4666899/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4666899
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4666899
featured: 2023-12-20
citations: 0
topic: Derivatives & Volatility
---


# A Tactical Strategy using ETFs: Harvesting Volatility Risk Premia & Crisis Alpha

Volatility Risk Premia & Crisis Alpha Harvesting: The author proposes a systematic method for investing in volatility risk premia via ETFs, utilizing futures contracts for backtesting data.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4666899
- Identifier: SSRN 4666899
- Released: 2023-12-17
- First featured: Quant Letter No. 30 (2023-12-20): https://www.ml-quant.com/issues/2023-12-20/
- Citations (Semantic Scholar): 0
- Published in: not yet
- Topic: Derivatives & Volatility

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