This week a new paper by Fund Evaluation Group (FEG) — Evaluating Options For Enhanced Risk-Adjusted Returns: CBOE Russell 2000 Option Benchmark Suite and Case Studies on Fund Use of Options (2016) – was released and presented at the Fifth Annual CBOE Risk Management Conference (RMC) Europe.
A link to the new 18-page paper is at www.cboe.com/benchmarks, and below in this blog are 6 of the 30 exhibits in the paper.
DESCRIPTIONS OF INDEXES ANALYZED
PUTR INDEX HAD HIGHEST GROWTH
PUTR INDEX HAD THE LEAST SEVERE MAXIMUM DRAWDOWN
PUTR INDEX DID WELL ON RISK AND RETURN CHART
RUT INDEX OPTIONS USUALLY WERE RICHLY PRICED ON VOLATILITY RISK PREMIUM CHART
The volatility risk premium may have facilitated strong risk-adjusted returns by options-selling strategies represented by the PUTR Index.
GROSS PREMIUMS FOR INDEXES THAT SELL RUT OPTIONS ONCE A MONTH AND ONCE A WEEK
To read more, please visit a link to the new 18-page paper at www.cboe.com/benchmarks.