Option Strategist Covered Call Strategy Option Strategist

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Option Strategist Covered Call Strategy Option Strategist

Text of Option Strategist Covered Call Strategy Option Strategist

  • This material does not constitute investment advice and should not be viewed as a current or past recommendation or a solicitation of an offer to buy or sell any securities or to adopt any investment strategy.

    Q.M.S Advisorstel: 078 922 08 77

    e-mail: info@qmsadv.comwebsite: www.qmsadv.com

    Option StrategistCovered Call Strategy

    Option Strategist EUROSTOXX 50 IndexFebruary 2012

  • Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com Page 1

    Asset Management: l A highly competitive landscape anchored in the Mean-Variance space.

    Monetizing Volatilityl Significant potential enhancement of performance

    Increased potential underlying assets returns via volatility monetization Reduced risks in the mean-variance space

    Transparent, flexible and actionable strategies:l Systematic management:

    Passive investment strategy that requires no investment timing decision.l Allocation decision:

    Overlays: solutions with minimal impact on a strategic asset allocation. Dedicated allocation: Certificates, Structured Products, etc

    Enhancing Long-Term Portfolio Performance while Diminishing Risks in the Mean-Variance SpaceGOAL

    Option StrategistCovered Call Strategy

  • Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com Page 2

    Attractive historical statistical features Each strategy offers attractive statistical features whether considered on a standalone or

    total portfolio basis, and this despite the extreme market environment considered in our analysis.

    Source: Bloomberg, QMS Advisors

    Option Strategist Covered Call Strategy

    Euro Stoxx 50 Pr

    ESTX 50 NRt

    Euro Stoxx 50 Pr Ex-Div

    Covered Call Strategy: 2.5% OTM

    Euro Stoxx 50 Pr Ex-Div &

    Covered Call Strategy: 2.5% OTM

    Covered Call Strategy: 5%

    OTM

    Euro Stoxx 50 Pr Ex-Div &

    Covered Call Strategy: 5%

    OTM

    Rendement Historique -9.57% -6.76% -9.57% 18.31% 6.99% 17.19% 5.98%

    Volatilit Historique 26.05% 26.03% 26.05% 11.23% 23.40% 8.53% 24.05%

    Rendement/Risque -0.37 -0.26 -0.37 1.63 0.30 2.01 0.25

    Skewness Historique 0.06 0.06 0.06 -3.19 0.49 -4.11 0.38

    Kurtosis Historique 5.56 5.58 5.56 58.61 15.04 85.73 11.27

    Maximum Drawdown -64.1% -62.5% -64.1% -23.1% -37.3% -16.0% -40.1%

    Tracking Error au SX5T Index 0.63% 0.00% 0.63% 32.64% 11.34% 30.44% 8.64%

    Correlation au SX5T Index 100.0% 100.0% 100.0% -44.7% 90.0% -39.6% 94.4%

    Beta au SX5T Index 1.000 1.000 1.000 -0.193 0.809 -0.130 0.872

    Option Strategist- Covered Call: Based on Historical Data from Jan 16th 2006 to Jan 31st 2012

  • Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com Page 3

    Option Strategist Historical Efficient Frontier

    Based on Historical Data from Jan 16st 2006 to Jan 31st 2012

    -15%

    -10%

    -5%

    0%

    5%

    10%

    15%

    20%

    0% 5% 10% 15% 20% 25% 30%

    Historical Volatility (in % p.a.)

    His

    tori

    cal R

    etur

    n (in

    % p

    .a.)

    ESTX 50 NRt Euro Stoxx 50 PrEuro Stoxx 50 Pr Ex-Div Covered Call Strategy: 5% OTMEuro Stoxx 50 Pr Ex-Div & Covered Call Strategy: 5% OTM

  • Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com Page 4

    Options offer portfolio managers unrivaled tools to enhance their performance and to better manage their risk exposures

    l 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.

    l Covered Call strategies offer attractive payoff profiles: Historically offered higher investment performance Display asymmetric payoff profiles Offer lower variance and drawdown risks

    l Though passive and implemented in a mechanical manner, this strategy dominates the efficient frontier on a historical basis.

    Option Strategist Covered Call Strategy

    In a historical mean-variance context, this strategies offers significantly higher Sharpe ratios

    RATIONALE

  • Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com Page 5

    Option Strategist Performance

    Based on Historical Data from Jan 16st 2006 to Jan 31st 2012

    0

    50

    100

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    350Ja

    n-06

    Apr

    -06

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    12

    Gro

    wth

    of E

    UR

    100

    .-

    ESTX 50 NRt Euro Stoxx 50 PrEuro Stoxx 50 Pr Ex-Div & Covered Call Strategy: 5% OTM Covered Call Strategy: 5% OTM

  • Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com Page 6

    Option Strategist Reduced Drawdown Risks

    Based on Historical Data from Jan 16st 2006 to Jan 31st 2012

    -100%

    -90%

    -80%

    -70%

    -60%

    -50%

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    0%

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    His

    tori

    cal D

    raw

    dow

    ns (i

    n %

    )

    Maximum Drawdown Euro Stoxx 50 Pr Ex-Div & Covered Call Strategy: 5% OTM Ex-DividendsMaximum Drawdown ESTX 50 NRtMaximum Drawdown Euro Stoxx 50 Pr Ex-Div Ex-DividendsMaximum Drawdown Covered Call Strategy: 5% OTM Ex-Dividends

  • Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com Page 7

    Option Strategist Relative Risks and Tracking Error of the Strategy

    Based on Historical Data from Jan 16st 2006 to Jan 31st 2012

    0%

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    100%Ja

    n-06

    Apr

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    6

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    0-D

    ay V

    olat

    ility

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    ckin

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    ror (

    in %

    )

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    100%

    30-Day Historical Volatility Euro Stoxx 50 Pr30-Day Historical Volatility Euro Stoxx 50 Pr Ex-Div & Covered Call Strategy: 5% OTM30-Day Tracking Error btw Euro Stoxx 50 Pr Ex-Div & Covered Call Strategy: 5% OTM to Euro Stoxx 50 Pr30-Day ATM Implied Volatility - Euro Stoxx 50 Pr Ex-Div

  • Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com Page 8

    Attractive historical performance Covered call strategies introduce minimal tracking error to the underlying security Daily returns generated by the short call position have almost systematically been

    negatively correlated returns to the underlyings returns

    Option Strategist Relative Daily Distribution of Returns to the Benchmark

    Based on Historical Data from Jan 16st 2006 to Jan 31st 2012

    y = -0.1328x + 0.0007R2 = 0.1557

    -10%

    -8%

    -6%

    -4%

    -2%

    0%

    2%

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    8%

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    -10% -8% -6% -4% -2% 0% 2% 4% 6% 8% 10%

    Daily Returns - Eurostoxx 50 Ex-Divs (in %)Da

    ily R

    etur

    ns -

    Syst

    emat

    ic S

    ale

    of 1

    -Mon

    th

    105%

    Cal

    ls (i

    n %

    )Euro Stoxx 50 Pr Ex-Div & Covered Call Strategy: 5% OTM

    y = 0.8687x + 0.0007R2 = 0.8845

    -10%

    -8%

    -6%

    -4%

    -2%

    0%

    2%

    4%

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    10%

    -10% -5% 0% 5% 10%

    Daily Returns - Eurostoxx 50 Ex-Divs (in %)

    Daily

    Ret

    urns

    - Eu

    rost

    oxx

    50 E

    x-Di

    vs a

    nd

    Cove

    red

    Call

    Stra

    tegy

    (in

    %)

    Euro Stoxx 50 Pr Ex-Div & Covered Call Strategy: 5% OTM

  • Q.M.S Advisors | tel: +41 (0)78 922 08 77 | e-mail: info@qmsadv.com | website: www.qmsadv.com Page 9

    Option Strategist Comparative Distribution of Returns to the Benchmark

    0%

    5%

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    30%

    -6.0

    %

    -5.0

    %

    -4.0

    %

    -3.0

    %

    -2.0

    %

    -1.0

    %