The following headlines appeared in the trade publications Pension & Investments….
“Hawaii assigns $1.6 billion total to 4 managers for options-based strategies” (March 21, 2016)
“South Carolina allocates nearly $1.9 billion to equity options, infrastructure strategies” (April 21, 2016)
The rationale for Hawaii and South Carolina’s interest in using options strategies to mitigate risk and enhance yields was outlined in the recent article in The Wall St. Journal…
“In Scramble for Yield, Pension Funds Will Try Almost Anything” (Aug. 21, 2016)
Why Pension Plans are Allocating to Option Strategies
Recently published whitepapers by Wilshire Associates “Three Decades of Options-Based Benchmark Indices with Premium Selling or Buying: A Performance Analysis” and Fund Evaluation Group “Evaluating Options for Enhanced Risk-Adjusted Returns: CBOE Russell 2000 Option and Case Studies on Fund Use of Options” highlight the performance attributes on various options-based CBOE Strategy Benchmark Indexes.
As seen in the Wilshire study, the CBOE S&P 500 30-Delta BuyWrite and CBOE S&P 500 PutWrite Indexes demonstrated higher annualized returns and a lower standard deviation than the S&P 500 as seen in the chart below.
Fund Evaluation Group’s study also highlights the CBOE Russell 2000 PutWrite as having a higher Annualized Return and a Lower Standard Deviation than the Russell 2000 Index.
eVestment adds CBOE’s Strategy Benchmark Indexes
eVestment is widely recognized by institutional investors as a leading-edge technology for performing analytics. Over 40 options-based CBOE Strategy Benchmark Indexes were recently added to the eVestment database providing the ability to track performance of asset managers and index benchmarks.
Having these analytical tools available are an important step towards better understanding the performance attributes of options-based strategies helping investors make investment decisions.
Please visit the following websites for more detailed information:
CBOE’s Strategy Benchmark Indexes and Studies: www.cboe.com/Benchmarks
CBOE S&P 500 30-Delta BuyWrite Index (BXMD) www.cboe.com/BXMD
CBOE S&P 500 PutWrite Index (PUT) www.cboe.com/PUT
CBOE Russell 2000 PutWrite Index (PUTR) www.cboe.com/PUTR