| Options for Enhanced Yield and Risk-adjusted Returns in Times of Low Interest Rates |
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This event is closed for registration
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| Date: |
10/11/12 |
| Time: |
12:30 - 2:00 PM |
| Member Cost: |
$15.00 |
| Nonmember Cost: |
$25.00 |
| CFASF Review Student Cost: |
$15.00 |
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Price includes box lunch. |
| Refund Policy: |
Cancellations must be received no later than October 8 to receive a refund. To cancel a registration, send an email to meetings@cfasanfrancisco.org |
| Location: |
CFASF Program Center |
| Address: |
300 Montgomery Street, Suite 1130, San Francisco |
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Speaker(s):
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Matt Moran, Vice President, CBOE |
| Chair(s): |
Jonathan Masse, CFA |
| Event Description: |
| 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 left-tail 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.
About Our Speaker
Mr. Moran is vice president of business development for the Chicago Board Options Exchange (CBOE), where he is responsible for many of the exchange's educational efforts for pension funds, mutual funds, and other institutional investors. Previously, he was trust counsel at Harris Bank and vice president at Chicago Mercantile Exchange. He is an associate editor of The Journal of Trading and The Journal of Index Investing. Mr. Moran holds JD and MBA degrees from the University of Illinois. |
| Other Information: |
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| As an approved provider in CFA Institute's Continuing Education Program for CFA Charterholders, CFASF has determined that this program qualifies for 1.5 hours of continuing education credit. CE Eligible. |
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