SIRCA Breakfast Forums
July 2004
Return and Risk of Buy-Write Strategies using Index Options
SIRCA invites you to a complimentary breakfast forum to discuss:
“Return and Risk of Buy-Write Strategies using Index Options"
By Dr Elvis Jarnesic, Research Director, SIRCA.
| Date |
Thursday, 29th July, 2004 |
| Time |
7.30am for 7.45am start. The forum will conclude at 8.45am.
Light breakfast provided. |
| Where |
Level 2, 9 Castlereagh Street, Sydney.
SIRCA Breakfast Forums are held at our Sydney CBD office with
places deliberately limited to ensure frank and open discussion. |
| RSVP |
Frances Carlow, Business Development Manager
Email: fcarlow@sirca.org.au
Tel: +61 2 9236 9114 |
 Download
Research Paper (PDF, 248KB)
Download
Presentation Slides (PDF, 220KB)
What makes the study interesting?
SIRCA research has found outperforms the S&P/ASX200 Accumulation
Index in the Australian equity market. Come along and learn how
implementing this strategy can generate higher returns with lower
risk.
Summary of the findings of this research
This paper examines the performance of a buy-write strategy involving
the purchase of the index portfolio and writing one just-out-of
the money index call option for the Australian market. The results
confirm that the buy-write strategy generates a higher return than
the index portfolio, and the standard deviation of returns on the
buy-write portfolio is less than the standard deviation of returns
on the index portfolio. On both a total risk and beta-risk adjusted
basis, the buy-write strategy outperforms the index portfolio. Consistent
with Whaley (2002) for the US market, we conclude that a buy write
strategy appears to be profitable in the Australian market.
Who should attend?
Stock market brokers, analysts, and advisers.
To join our mailing list for SIRCA events
Subscribe Now.
|
