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Wilshire Associates Improving Diversification by Harvesting Volatility Risk Premiums The Cboe Russell 2000 Option Benchmark Suite MARCH 2020 Jeff Foley, Managing Director & Head of Business Operations, Wilshire Analytics ©2020 Wilshire Associates. For Financial Professionals Only. $1 trillion in assets under advisement* Wilshire Associates $68 billion has been improving outcomes in assets under management* for investors worldwide for over four decades. Institutional advisory Intermediary advisory Private markets advisory Multi-asset class analytics Index solutions ©2020 Wilshire Associates. For Financial Professionals Only. *As of 9/30/2019 2 Wilshire Associates Wilshire Analytics Wilshire Consulting Provides investment firms worldwide with Delivers non-discretionary and discretionary multi-asset class analytics for attribution, (OCIO) investment advisory services to some of An independent risk management and performance and the nation’s largest institutional asset owners GIPS composites firm since 1972, Trusted advocate for building disciplined, World-class indexes including the Wilshire 5000®, efficient and innovative portfolios definitive measure for the broad U.S. stock Wilshire serves market, and Wilshire Trust Universe Comparison Advises on $971 billion* in assets Service® (Wilshire TUCS®) for U.S. institutional more than 500 asset performance and allocation institutional and intermediary Wilshire Private Markets Wilshire Funds Management Assists institutional investors on a global basis Leverages Wilshire’s institutional expertise to clients worldwide in building portfolios of private equity and offer a broad range of investment advisory, private real assets investments that cover the retirement and alternatives services to leading full range of opportunities, including primaries, financial intermediaries including banks, from 10 offices secondaries, and co-investments broker/dealers, asset managers, insurance companies and retirement plan providers around the globe. Advises on $12 billion* in assets Advises on $179 billion* in assets *As of 9/30/2019 ©2020 Wilshire Associates. For Financial Professionals©2020 Only. Wilshire Associates. For Financial Professionals Only. 3 WILSHIRE ASSOCIATES Institutional Heritage 1972 Firm founded; early innovator of equity risk models 1974 Wilshire 5000 Total Stock Market IndexSM created 1978 Wilshire Trust Universe Comparison Service® (Wilshire TUCS®) created; captures data on over $3.6 trillion in institutional holdings (as of 10/30/2019) 1980 Began asset allocation modeling for pension plans 1981 Pension consulting practice started 1991 Wilshire U.S. Real Estate Securities IndexSM launched 1996 Private equity Fund of Funds platform launched 1997 Wilshire Mutual Funds, Inc. established 2005 Hedge fund platform created 2008 Launched model portfolios for B/Ds & recordkeepers 2014 Wilshire launches Liquid Alternatives Indexes 2017 Wilshire surpasses $50 billion in assets under management 2019 Wilshire launches suite of multi-asset Risk Parity Indexes ©2020 Wilshire Associates. For Financial Professionals Only. 4 WILSHIRE ASSOCIATES Global Presence 265 Associates worldwide 6 7 2 3 4 5 1 10 9 76 8 Investment professionals 37 1 Santa Monica 6 London CFA 2 Denver 7 Amsterdam charterholders 3 Chicago 8 Singapore 4 Pittsburgh 9 Hong Kong As of 1/31/2020 5 Jersey City 10 Suzhou ©2020 Wilshire Associates. For Financial Professionals Only. 5 THE CBOE RUSSELL 2000 OPTION BENCHMARK SUITE Study: 19 Year Performance Analysis of Cboe Russell 2000 Option-Selling Index Strategies Purpose of the Analysis • Wilshire Analytics conducted a historical performance analysis of four Cboe Russell 2000 Option-Selling Indexes to gauge how effectively they delivered as is generally expected from option-selling strategies, namely: improving diversification, managing tail risk and consistently compensating investors for providing downside cushion in the event of unexpected market volatility, referred to as the implied volatility risk premium (IVRP) • As designed, option-selling strategies are largely expected to outperform in bear markets and underperform in certain bull markets. Study Criteria • 19 years of performance data (January 31, 2001 to December 31, 2019) for four Cboe Russell 2000 Option-Selling Indexes and relevant market benchmarks was analyzed, and wide range of risk measures calculated to provide a more complete picture of the behavior across time, various market regimes, and individual option-selling index strategies. Index included were: Cboe Russell 2000 Buywrite Index (BXR℠) Cboe Russell 2000 30-Delta Buywrite Index (BXRD℠) Cboe Russell 2000 Putwrite Index (PUTR℠) Cboe Russell 2000 Zero-Cost Spread Collar Index (CLLR℠) ©2020 Wilshire Associates. For Financial Professionals Only. 6 THE CBOE RUSSELL 2000 OPTION BENCHMARK SUITE Indexes Studied, Strategies Defined TICKER INDEX POSITIONS HELD Hold Russell 2000 stocks + Sell 1-mo. BXRSM Cboe Russell 2000 BuyWrite Index at-the-money Russell 2000 (RUT) call options Cboe Russell 2000 Hold Russell 2000 stocks + Sell 1-mo. BXRDSM 30-Delta BuyWrite Index out-of-the-money 30-delta RUT call options Hold U.S. Treasury Bills + Sell 1-mo. PUTRSM Cboe Russell 2000 PutWrite Index at-the-money RUT put options Cboe Russell 2000 Hold Russell 2000 stocks + Buy RUT put CLLRSM Zero-Cost Put Spread Collar Index options spread + Sell RUT call options Source: Wilshire Associates, Cboe ©2020 Wilshire Associates. For Financial Professionals Only. 7 THE CBOE RUSSELL 2000 OPTION BENCHMARK SUITE Executive Summary: What We Found Expanded Efficient Frontier • 15% additional allocation of a Cboe PUTR Index to stock and bond portfolios improved returns by 8 basis points, and reduced standard deviation by 21 to 57 basis points (Exhibit 1). Improved Tail Risk and Lower Volatility • All four Cboe indexes had lower volatility and maximum drawdowns than the Russell 2000 Index. The PUTR Index had a 29% lower standard deviation and 28% less severe drawdown than the Russell 2000 Index (Exhibit 2). Richly Priced Options Premiums Harvested • All four Cboe indexes sold RUT options and collected monthly premiums. The BXR Index collected an average gross premium of 2.1%. RUT options were usually richly priced, as average implied exceeded average realized volatility by about 3.3 points (Exhibits 9 & 10). Enhanced Risk-Adjusted Returns • The implied volatility risk premium fueled strong risk-adjusted returns for the PUTR Index, which demonstrated a 28% higher Sharpe Ratio than Russell 2000 Index (Exhibit 4). ©2020 Wilshire Associates. For Financial Professionals Only. 8 THE CBOE RUSSELL 2000 OPTION BENCHMARK SUITE Exhibit 1 – Diversification Benefit: Expanding the Efficient Frontier • A 15% additional allocation of a Cboe PUTR index to a traditional stock/bond portfolio, funded directly/redirected from the allocation to stocks clearly demonstrates the diversification benefit. • We see a consistently improvement to the risk/reward profile: returns improve by 8 points at all points along the curve, and risk reduced from 21 to 57 basis points. JANUARY 31, 2001–DECEMBER 31, 2019 Source: Wilshire Associates, Cboe, Bloomberg ©2020 Wilshire Associates. For Financial Professionals Only. 9 THE CBOE RUSSELL 2000 OPTION BENCHMARK SUITE Exhibit 2 – Improved Tail Risk: Providing Downside Cushion • A comparison of the return distributions for the PUTR versus the Russell 2000 Index demonstrates a decrease in volatility by narrowing the tails, in exchange for a reduced median and upside return range. • PUTR reduced return distributions by 29% at the 95% confidence level versus the Russell 2000. • Russell 2000 showed six months of returns above 10% and an average return of 12.70 vs. 5.45 percent for PUTR across the same six months; meanwhile, the benchmark showed nine months with returns -10% or lower, with an average return of -13.16 vs. -10.76 for PUTR across the same nine months. JANUARY 31, 2001–DECEMBER 31, 2019 Source: Wilshire Associates, Cboe ©2020 Wilshire Associates. For Financial Professionals Only. 10 THE CBOE RUSSELL 2000 OPTION BENCHMARK SUITE Exhibit 3 – Annualized Risk & Return Analysis • All four Cboe Russell 2000 Option indexes demonstrated a lower risk as represented by standard deviation than the underlying index Russell 2000 Index during the time period studied • Cboe PUTR delivered the highest returns of the four at 7.5%, with an 28.7% reduction in risk versus the Russell 2000 Index and 14.4% less risk than the U.S. stock market; however, all Cboe Russell 2000 Indexes provided risk reductions ranging from 9.5% to 28.7% versus the underlying baseline • Regimes least advantageous for option-selling strategies on a returns basis alone are extreme bull markets (half the time window of this study), so results here are as expected based on strategy attributes JANUARY 31, 2001–DECEMBER 31, 2019 Source: Wilshire Associates, Cboe, Bloomberg ©2020 Wilshire Associates. For Financial Professionals Only. 11 THE CBOE RUSSELL 2000 OPTION BENCHMARK SUITE Exhibit 4 – Enhanced Risk-Adjusted Annualized Returns: Sharpe Ratio and Sortino Ratio • Here we look to two risk-adjusted measures of return: Sharpe ratio and Sortino ratio • While both measure returns on a risk-adjusted basis, the Sortino ratio focuses on downside deviation only • Viewed together, these measures offer deeper insights into performance and the overall return profile • PUTR showed improved values across both measures vs. the underlying Russell 2000, with a 28% improved Sharpe ratio, and 20% improved Sortino ratio. JANUARY 31, 2001–DECEMBER 31, 2019 Source:
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