A new, first-of-its-kind, study on use of options by more than 80 Investment Company funds is being published in early 2015, and results of the study will be presented. Funds use options with the goals of managing portfolio risk, increasing income, and enhancing long-term risk-adjusted returns. This presentation discusses a number of risk-management strategies and related benchmark indices, including the protective put, the buy-write, the collateralized put-write, the protective collar, and the use of futures and options on the CBOE Volatility Index (VIX) that measures implied volatility. Twenty-five years of historical data show that certain options-based benchmark indices have generated attractive risk-adjusted returns, with stock-like returns and bond-like volatility. A key source of return for options writers has been a persistence of "overpricing" for index options.
Join us in Frankfurt to hear Matthew’s insightful presentation discussing Funds’ Use of Options for Managing Volatility and Options for Enhanced Yield and Risk-adjusted Returns in Times of Low Interest Rates.