The final day of Cboe RMC Europe started with a presentation from Hitendra Varsani, executive director of index research at MSCI, about the globalization of portfolio allocations. Varsani discussed the decline of size and home bias, as well as the rise of multi-currency futures to help mitigate currency risk. He also focused on the increase in trading of Cboe MSCI Emerging Markets Index options and the new emerging market and EAFE buywrite and putwrite benchmark indexes.
The presentations that followed focused on volatility. Hari Krishnan from Doherty Advisors highlighted the strong performance of the VIX Index and changing VIX Index dynamics. He presented a new replication strategy that takes into account how quickly the VIX Index declines from peaks. Following Krishnan, Stefan Wintner from DUNN Capital addressed issues around implied volatility while Dr. Mikhail Krayzler from Allianz Global Investors addressed the importance of realized volatility in a joint presentation. Wintner described how the correlation between the VIX Index and S&P 500 Index breaks down in low volatility environments and the challenges of short volatility strategies in low volatility environments. Krayzler addressed the spread between realized close-to-close and intraday volatility. He also discussed how the spread changes in different market environments and why the way volatility is measured matters.
Rolf Agather from FTSE Russell and Doug Kramer from Neuberger Berman closed out the conference. After providing an overview of Russell 2000 Index performance and makeup, they discussed exciting small cap options-based strategies for the current market. Agather highlighted how small cap volatility has changed since the tech bubble and analyzed the historical spread between small cap and large cap volatility. He also illustrated the impact of sector exposure on small cap performance — specifically the rise in exposure to financial services and the drag from the energy sector. Kramer described how options-based strategies can capture small cap market performance, but with lower volatility. He also provided use-case scenarios to demonstrate how the strategies can be used to solve different problems for institutional investors.
That’s a wrap for Cboe RMC Europe in Munich!The conference may be over but there are still more insights on deck. Read about day one and day two for the full recap of Cboe RMC Europe.
Browse through photos below and be sure to check back for video interviews with panelists.