At a 75-minute session on Sept. 4 at CBOE Risk Management Conference Europe, presentations on Asset Allocation and Rebalancing Using Short Options will be delivered by Pav Sethi, CEO and CIO of Gladius Investment Group, and by Dr. Christoph Gort, Partner, SIGLO Capital Advisors. www.cboermc.com
Here are some of the points that are planned for the presentations —
Institutional investors usually define a strategic asset allocation (SAA). An SAA does not only contain percentage points for allocations but also lower and upper boundaries (constant proportion SAA). Boundaries are used to keep exposures constant over time and his implies rebalancing. Results from an empirical study on use of SPX options to implement allocation shifts will be presented, as will case studies on how dynamic rebalancing has been accomplished in practice.
Dr. Gort will present this a number of findings, including this table with a comparison of a rules-based implementation, buy-and-hold, and other strategies —
Links to papers by SIGLO Capital Advisors and other consulting firms are at www.cboe.com/benchmarks.