On Wednesday at the 31st Annual CBOE Risk Management Conference, a joint presentation on a new study was delivered by Keith Black, Ph.D., CAIA, CFA, Managing Director, Curriculum and Exams, Chartered Alternative Investment Analyst (CAIA) Association.  (Edward Szado, Assistant Professor of Finance, Providence College was scheduled to be on the panel with Dr. Black, but was delayed by weather on the East Coast and unable to attend).

Early this year Dr. Black and Dr. Szado published their new groundbreaking study - Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs. The study analyzed SEC-regulated investment companies (mutual funds, exchange traded funds (ETFs) and closed-end funds (CEFs)) that focus on use of exchange-listed options for portfolio management (options-based funds). The study presents a first-ever publicly available list of names and ticker symbols for 119 options-based funds. The study analyzed the equal-weighted performance of a subset (nearly three-fourths) of the 119 options-based funds -- those that focus on use of U.S. stock index options and/or equity options -- during the 15-year period from 2000 through 2014.

Key findings of the study include:

LOWER VOLATILITY The options-based funds had lower volatility the S&P 500, Treasury bond and S&P GSCI Indexes. 2015-03-04-1430-Black Sza Standard Devia12015-03-04-1430-Black Sza ret2RETURNS. The Options-Based Funds had higher returns than the MSCI EAFE and S&P GSCI indexes.

GROWTH IN NUMBER OF FUNDS. The study found that the number of options-based funds grew from just 10 in 2000 to 119 in 2014.2015-03-04-1430-Black Szad Number Funds3

The new study and options testimonials are available at www.cboe.com/funds .