Option Strategist – Swiss Market Index (SMI)
A highly competitive landscape anchored in the Mean-Variance space.
Significant potential enhancement of performance
Increased potential underlying asset’s returns via volatility monetization
Reduced risks in the mean-variance space
Transparent, flexible and actionable strategies:
“Passive” investment strategy that requires no investment timing decision.
Overlays: solutions with minimal impact on a strategic asset allocation.
Dedicated allocation: Certificates, Structured Products, etc…
Options offer portfolio managers unrivaled tools to enhance their performance and to better manage their risk exposures
Multiple passive option-based investment strategies have offered and offer more attractive return and risk profiles in a mean-variance context than traditional passive investment strategies on similar underlying assets.
Covered call strategies consist in systematically selling one-month out of the money calls and rolling those positions at expiry. This systematic approach does not require any decisions in terms of market timing.
Covered Call strategies offer attractive payoff profiles:
Historically offered higher investment performance
Display asymmetric payoff profiles
Offer lower variance and drawdown risks
Though passive and implemented in a mechanical manner, this strategy dominates the efficient frontier on a historical basis.
Covered Call Strategies offer a simple, transparent and liquid alternative to tap the most recognized and documented source of alpha:
Covered call strategies are an easy and efficient way to monetize volatility: an approach that offers mechanical investment protocols with clear statistical return characteristics, and attractive historical track-records.
Historically, the strategy has produced significantly higher returns with lower realized volatility when compared to the underlying security, resulting in attractive Sharpe ratios.
Covered Call strategies are structurally short volatility strategies that allows investors to exploit one of the very few sources of academically recognized and widely documented market inefficiency, that is the non-convergence between implied and realized historical volatilities.
SMI SWISS MARKET SX5E Euro Stoxx 50 Pr SXXP STXE 600 € Pr UKX FTSE 100 CAC CAC 40 DAX DAX FTSEMIB FTSE MIB AEX AEX-Index OMX OMX STOCKHOLM 30 BEL20 BEL 20 SPX S&P 500 NDX NASDAQ 100 STOCK INDX SPTSX60 S&P/TSX 60 IBOV BRAZIL BOVESPA NKY NIKKEI 225 TPX TOPIX (TOKYO) HSI HANG SENG AS51 S&P/ASX 200 NIFTY NSE S&P CNX NIFTY TWSE TAIWAN TAIEX ABI BB ANHEUSER-BUSCH INBEV NV SAN SQ BANCO SANTANDER SA BBVA SQ BANCO BILBAO VIZCAYA ARGENTA CRH ID CRH PLC ENEL IM ENEL SPA ENI IM ENI SPA G IM ASSICURAZIONI GENERALI IBE SQ IBERDROLA SA INGA NA ING GROEP NV-CVA ISP IM INTESA SANPAOLO NOK1V FH NOKIA OYJ PHIA NA KONINKLIJKE PHILIPS ELECTRON REP SQ REPSOL YPF SA TIT IM TELECOM ITALIA SPA TEF SQ TELEFONICA SA UCG IM UNICREDIT SPA UNA NA UNILEVER NV-CVA ADS ADIDAS AG ALV ALLIANZ SE-REG BAS BASF SE BAYN BAYER AG-REG BMW BAYERISCHE MOTOREN WERKE AG BEI BEIERSDORF AG CBK COMMERZBANK AG DAI DAIMLER AG-REGISTERED SHARES DBK DEUTSCHE BANK AG-REGISTERED DB1 DEUTSCHE BOERSE AG LHA DEUTSCHE LUFTHANSA-REG DPW DEUTSCHE POST AG-REG DTE DEUTSCHE TELEKOM AG-REG EOAN E.ON AG FME FRESENIUS MEDICAL CARE AG & FRE3 FRESENIUS SE-PREF HEN3 HENKEL AG & CO KGAA VORZUG IFX INFINEON TECHNOLOGIES AG SDF K+S AG LIN LINDE AG MAN MAN SE MRK MERCK KGAA MEO METRO AG MUV2 MUENCHENER RUECKVER AG-REG RWE RWE AG SZG SALZGITTER AG SAP SAP AG SIE SIEMENS AG-REG TKA THYSSENKRUPP AG VOW VOLKSWAGEN AG AC ACCOR SA AI AIR LIQUIDE SA ALU ALCATEL-LUCENT ALO ALSTOM MT NA ARCELORMITTAL CS AXA SA BNP BNP PARIBAS EN BOUYGUES SA CAP CAP GEMINI CA CARREFOUR SA ACA CREDIT AGRICOLE SA BN DANONE DEX