The authors examined the role of volatility premiums in institutional investment portfolios. They began by defining and calculating standardized returns to volatility exposure for a variety of global asset markets. They found that shorting volatility offers not only a very high and statistically significant Sharpe ratio of approximately 1.0 but also substantial tail risk. Although classic diversification benefits are limited, the authors show that modest allocations to short volatility exposure could have enhanced long-term returns, in one case increasing the portfolio’s combined Sharpe ratio by 12%.