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C...M Qrdoinotel: 078 922 08 77
e-mail: [email protected]
website: www.qmsadv.com
Alpdig MpnOpSadop!irSnSQ !Oee MpnOpSas
Option Strategist – EUROSTOXX 50 IndexFebruary 2012
C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: [email protected] | website: www.qmsadv.com MTdb -
¢ Asset Management: l A highly competitive landscape anchored in the Mean-Variance space.
¢ Monetizing Volatilityl 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: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…
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Option StrategistCovered Call Strategy
C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: [email protected] | website: www.qmsadv.com MTdb .
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
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Brol Oqluu 1- Mo Bu(Afs
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C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: [email protected] | website: www.qmsadv.com MTdb 0
Option Strategist Historical Efficient Frontier
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C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: [email protected] | website: www.qmsadv.com MTdb 1
¢ 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
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C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: [email protected] | website: www.qmsadv.com MTdb 2
Option Strategist Performance
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C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: [email protected] | website: www.qmsadv.com MTdb 3
Option Strategist Reduced Drawdown Risks
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C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: [email protected] | website: www.qmsadv.com MTdb 4
Option Strategist Relative Risks and Tracking Error of the Strategy
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C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: [email protected] | website: www.qmsadv.com MTdb 5
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Option Strategist Relative Daily Distribution of Returns to the Benchmark
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C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: [email protected] | website: www.qmsadv.com MTdb 6
Option Strategist Comparative Distribution of Returns to the Benchmark
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C...M Qrdoino | tel: +41 (0)78 922 08 77 | e-mail: [email protected] | website: www.qmsadv.com MTdb -,
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l =lsbnba =Thh opnTpbdfbo Tnb opnrXprnThhv oelnp slhTpfhfpv opnTpbdfbo peTp Thhlto fksboplno pl bumhlfp lkb lc peb sbnv cbt olrnXbo lc TXTabifXThhv nbXldkfwba Tka tfabhv alXribkpba iTngbp fkbccfXfbkXv( peTp fo peb klk)XlksbndbkXb Vbptbbk fimhfba Tka nbThfwba efoplnfXTh slhTpfhfpfbo+
Option Strategist Simple and Transparent Approach to Tap Alpha Sources