- Options for Enhanced Yield and Risk-adjusted Returns in Times of Low Interest Rates
Options for Enhanced Yield and Risk-adjusted Returns in Times of Low Interest Rates
|対象者||CFA Society of Japan Members / Candidate Members CFA Candidates All others|
|パネラー・講師||Mr. Matthew Moran (VP, Business Development at Chicago Board Options Exchange (CBOE))|
|主催||CFA Society Japan|
As investors have struggled to cope with volatility and low interest rates, there is increased interest in tools that can be used to achieve the goals of managing portfolio risk, increasing income, and enhancing long-term risk-adjusted returns.
This presentation will discuss –
• 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.
• Increased use of option-writing strategies by pension funds and mutual funds.
• Studies by Hewitt EnnisKnupp, Ibbotson Associates, Asset Consulting Group, Cambridge Associates, Russell Investments, and Callan Associates.
• Benefits and disadvantages of key options strategies.