Experts to Discuss Options Benchmark Performance on March 17 in FL

On March 17th at the 30th Annual CBOE Risk Management Conference in Florida, I will participate in a panel discussion on Historical Performance of Options-Related Strategies with these three investment management experts –

  •  Karl A. Schneider, CAIA, Vice President, State Street Global Advisors
  • Doug Kramer, Chief Executive Officer, Horizon Kinetics
  • Theodore Samulowitz, Vice President – Portfolio Manager, Invesco PowerShares

Topics to be covered by the panel include:

–     An analysis of benchmark indexes for covered call, cash-secured short put and collar strategies

–      Sources of enhanced risk-adjusted returns

–     Comparing options-based strategies to stocks, bonds, and alternatives

The panel’s investment managers all use benchmark indexes that write S&P 500 (SPX) options, or that purchase futures on the CBOE Volatility Index® (VIX®). The managers will discuss the performance of many of the indexes in the charts below.

INDEXES SINCE MID-1988

As shown in the charts below, since mid-1988 the CBOE S&P 500 2% OTM Index (BXY) rose 1295%, the CBOE S&P 500 PutWrite Index (PUT) rose 1277%.  The panel will discuss why the BXY and PUT indexes had higher returns and lower volatility than indexes such as the S&P 500 and S&P GSCI.

  INDEXES SINCE MARCH 2006

VIX futures began trading in 2004 and benchmark indexes have been developed to try to manage tail risk.  The panel will discuss several of the indexes in the chart below.

Here are short descriptions of two of the indexes —

S&P 500 Dynamic VEQTOR Index (SPVQDTR).  The index is designed to provide broad equity market exposure with an implied volatility hedge by dynamically allocating between equity, volatility and cash. The index allows investors to receive exposure to the equity and volatility of the S&P 500 Index in a dynamic framework.

 CBOE Low Volatility Index (LOVOL).   The index is a 40% / 60% blend of the CBOE S&P 500 BuyWrite Index (BXM) and CBOE VIX Tail Hedge Index (VXTH).  The resulting portfolio overlays long VIX calls and short S&P 500 calls over an investment in S&P 500 stocks.

 RMC

For more information on the 30th Annual CBOE Risk Management Conference, please visit http://www.cboermc.com/

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Matt Moran

Matt Moran is vice president of business development for Chicago Board Options Exchange (CBOE), where he communicates with pension funds, mutual funds, and financial advisors. He has delivered more than 200 presentations worldwide on the topics of managing volatility and adding income with option-writing strategies. Previously,…

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