New Paper by Fund Evaluation Group Analyzes CBOE Russell Benchmark Index Suite with Strong Performance by PUTR Index

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

R1 - Index descriptions

PUTR INDEX HAD HIGHEST GROWTH

R2 - Line chart Growth (1)

PUTR INDEX HAD THE LEAST SEVERE MAXIMUM DRAWDOWN

R3- Drawdwns

PUTR INDEX DID WELL ON RISK AND RETURN CHART

R4- Risk & Return

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.

R5- Vola Risk Premium

GROSS PREMIUMS FOR INDEXES THAT SELL RUT OPTIONS ONCE A MONTH AND ONCE A WEEK

R6 - Annual Gross  Premiums

To read more, please visit a link to the new 18-page paper at www.cboe.com/benchmarks.