FREG Data

FREG is an investable trading strategy that mimicks the regret measure as proposed in Arisoy, Y. E., Bali, T. G., and Tang, Y., 2024, "Investor Regret and Stock Returns", Management Science, forthcoming.

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LBVIX Data

LBVIX is an investable trading strategy, which is exposed to uncertainty about volatility of the market portfolio. The methodology to construct the LBVIX strategy is detailed in Agarwal, V., Arisoy, Y. E., and Naik, N. Y., 2017, "Volatility of Aggregate Volatility and Hedge Fund Returns", Journal of Financial Economics 125, 491-510.

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