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


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

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Location Info

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

Event Description

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.

Moran, Matthew T. "Record-High Correlations Pose Challenges For Modern Portfolio Theory" The Journal of Indexes (Jan-Feb. 2010).

Ungar, Jason, and Matthew T. Moran. “The Cash-secured PutWrite Strategy and Performance of Related Benchmark Indexes.” The Journal of Alternative Investments. (Spring 2009)

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)

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).

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

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).

Dash, Srikant and Moran, Matthew. “VIX as a Companion for Hedge Fund Portfolios.” The Journal of Alternative Investments.  (Winter 2005)

Moran, Matthew, “Review of the VIX Index and VIX Futures." The Journal of Indexes, (2004)

Moran, Matthew.  “The VIX Index as a Market Signal and Hedging and Asset Allocation Tool.”  Institutional Investor – Guide to ETFs.  (2004).

Moran, Matthew.  “Managing Costs and Risks with ETF Tools.” Institutional Investor – Guide to ETFs.  (2003).

Moran, Matthew. “Risk-adjusted Performance for Derivatives-based Indexes – Tools to Help Stabilize Returns.” The Journal of Indexes. (Fourth Quarter, 2002).

Moran, Matthew. “A Comparison of ETFs and Mutual Funds.” Institutional Investor – Guide to ETFs.  (2001).

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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​ 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





1/26/2017 8:30 PM



Event Manager Email

Location Address

LaStone Meeting Room, ​4431 PGA Boulevard

Location City

Palm Beach Gardens, Florida 33410​​​​

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Event Short Info

Approval Status Approved


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