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CBOE announces report on fund use of options in portfolio management


The Chicago Board Options Exchange announced today the release and publication of a groundbreaking new study: “Highlights of Performance Analysis of Options-Based Equity Mutual Funds, CEFs, and ETFs.” The study analysed 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 found that the number of options-based funds grew from just 10 in 2000 to 119 in 2014, and presents a first-ever publicly available list of names and ticker symbols for those 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:

HIGHER RISK-ADJUSTED RETURNS: The options-based funds had higher risk-adjusted returns (as measured by the Sharpe Ratio and Sortino Ratio) than the S&P 500 and S&P GSCI Indexes.

LOWER RISK: The options-based funds had lower volatility and lower maximum drawdowns than the S&P 500 and S&P GSCI Indexes.

The study also analyzed the performance from mid-1988 through the end of 2014 for some “traditional” benchmark indexes, as well as for options-based benchmark indexes, such as the CBOE S&P 500 PutWrite Index (PUT) and the CBOE S&P 500 2% OTM BuyWrite Index (BXY), that use S&P 500® Index (SPX) options. During that time period, both the PUT and BXY Indexes produced higher returns and lower volatility than the S&P 500 and S&P GSCI Indexes. SPX options, which usually have been richly priced, were a key component in the higher risk-adjusted returns generated by PUT and BXY. The study also found that the notional value of average daily volume in S&P 500 Index options rose to more than $170 billion in 2014.

CBOE commissioned INGARM (Institute for Global Asset and Risk Management) to conduct the study, and, on behalf of INGARM, the co-authors of the study are Keith Black, Ph.D., CAIA, CFA, Managing Director of CAIA (Chartered Alternative Investment Analyst Association and Edward Szado, Ph.D., CFA, Assistant Professor of Finance, Providence College.

For more information on the new study, and to view testimonials and videos by options-based fund managers, visit

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