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Title

Options for Enhanced Yield and Risk-Adjusted Returns in Times of Low and Rising Interest Rates

Speaker(s)/Highlights

Matthew Moran, Vice President of Business Development, Chicago Board Options Exchange (CBOE)

Start Time

1/26/2017 5:00 PM

End Time

1/26/2017 8:30 PM

Global Passport Eligible?

Yes

Registration


Register Here!​​​​

​​Pre-Pay with PayPal through 1/24​/17 and save $5! Event Eligible for CFA Institute's Global Passport Program.

​​

Member Price

$30

Non-Member Price

$55

Candidate Price

$55

Location Info

​DoubleTree by Hilton Hotel & Executive Meeting Center
LaStone Meeting Room
​4431 PGA Boulevard
Palm Beach Gardens, Florida 33410​​​​

Event Description

Overview
​​​
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 portfolio 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 the Speaker

Mr. Matthew 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 two Institutional Investor publications -- The Journal of Trading and The Journal of Index Investing. Mr. Moran holds JD and MBA degrees from the University of Illinois.

Published Papers

Moran, Matthew. "Thirty Volatility Indexes: Worldwide Tools to Gauge Sentiment and Diversify Portfolios." The Journal of Index Investing. (Spring 2014): pp. 69-87. 

Moran, Matthew T.  “Diversification and Risk Management with Index Products During the 2008 Financial Crisis.”  The Journal of Index Investing. (Summer 2010) pp. 117-130.www.iijournals.com    http://bit.ly/MTM-10-Div

Moran, Matthew T. "Record-High Correlations Pose Challenges For Modern Portfolio Theory" The Journal of Indexes (Jan-Feb. 2010). www.journalofindexes.com   http://bit.ly/MTM-10-Corr

Ungar, Jason, and Matthew T. Moran. “The Cash-secured PutWrite Strategy and Performance of Related Benchmark Indexes.” The Journal of Alternative Investments. (Spring 2009) www.iijai.com    http://bit.ly/MTM-09-PUT

Fulton, Benjamin T., and Matthew T. Moran.  “BuyWrite Benchmark Indexes and the First Options-based ETFs.”  Institutional Investor Guide to ETFs and Indexing (Fall 2008) www.iiguides.com     http://bit.ly/MTM-08-BXM

Moran, Matthew, and Srikant Dash. “VIX Futures and Options: Pricing and Using Volatility Products to Manage Downside Risk and Improve Efficiency in Equity Portfolios.” The Journal of Trading. (Summer 2007). www.iijot.com   http://bit.ly/MTM-07-VIX

Moran, Matt. “Index Buy-Write Strategies Explained.”  Derivatives Week.  (Aug. 7, 2006). www.derivativesweek.com

Egalka, Ronald and Moran, Matthew.  “Options on ETFs and Indexes – Tools for Portfolio Management and Higher Yields.”  Institutional Investor – Guide to ETFs and Indexing Innovations. (Fall 2006).  www.iiguides.com    http://bit.ly/MTM-06-ETF

Dash, Srikant and Moran, Matthew. “VIX as a Companion for Hedge Fund Portfolios.” The Journal of Alternative Investments.  (Winter 2005) www.iijai.com   http://bit.ly/MTM-05-VIX

Moran, Matthew, “Review of the VIX Index and VIX Futures." The Journal of Indexes, (2004).www.journalofindexes.com  http://bit.ly/MTM-04-Vol

Moran, Matthew.  “The VIX Index as a Market Signal and Hedging and Asset Allocation Tool.”  Institutional Investor – Guide to ETFs.  (2004). www.iiguides.com   http://bit.ly/MTM-04-VIX

Moran, Matthew.  “Managing Costs and Risks with ETF Tools.” Institutional Investor – Guide to ETFs.  (2003). www.iiguides.com  http://bit.ly/MTM-03-ETF

Moran, Matthew. “Risk-adjusted Performance for Derivatives-based Indexes – Tools to Help Stabilize Returns.” The Journal of Indexes. (Fourth Quarter, 2002). www.journalofindexes.com  http://bit.ly/MTM-02-Der

Moran, Matthew. “A Comparison of ETFs and Mutual Funds.” Institutional Investor – Guide to ETFs.  (2001). www.iiguides.com     http://bit.ly/MTM-02-ETF

Event Type

Society

Society Category

Speaker

Education Topic

Derivatives

Event Region

Americas

CE Credit

1

SER Credit

0

Event Terms

On-site registrations are accepted on an exception basis and are payable with credit card only. To cancel, please send an email to admin@cfasouthflorida.org​ with your name, email address and CFA Society South Florida member ID (same as CFA Institute ID for regular and affiliate members)​ if applicable. ​

Advance registrations that fail to attend or that fail to cancel prior to 48 hours before the event will be billed at the non-member walk-in rate quoted for the event. If the event is subsidized for both members and non-members, late cancellations and no-shows may be billed at the actual cost per attendee. Cancellations for a full refund must be made at least 48 hours before an event. Registrations cancelled within the last 48 hours prior to an event are not eligible for a refund.​

Location Name

DoubleTree by Hilton Hotel & Executive Meeting Center

All Day Event

 

Recurrence

 

End

1/26/2017 8:30 PM

Date

1/26/2017

Event Manager Email

admin@cfasouthflorida.org

Location Address

LaStone Meeting Room, ​4431 PGA Boulevard

Location City

Palm Beach Gardens, Florida 33410​​​​

Event Link

 

Event Link Leads To New Tab

 

Event Short Info

 
Approval Status Approved
 

Attachments

Content Type: MyCFA Calendar
Created at 1/2/2017 9:11 PM by 38
Last modified at 5/27/2019 10:02 AM by 38