A recent study provides the latest academic evidence that options add value to an institutional equity portfolio whilst reducing risk. The research looked at S&P500 Index options over 13 years.
The files on this page contain the results of the study completed by widely respected academic Professor Robert E. Whaley, the T. Austin Finch Foundation Professor of Business Administration, Fuqua School of Business, Duke University, Chicago.
The study uses S&P500 index options to effectively implement a buy-write strategy over the S&P500 index for a period of 13 years. The study proves empirically that this strategy produces the same return as a simple long position in the S&P500 index, but with lower variance.
Insurance and Superannuation Commission requirements for derivatives for Approved Deposit Funds (ADFs) and Pooled Superannuation Trusts (PSTs) were first published in 1997 as Superannuation Circular No.II.D.7
These publications detail the legal requirements for ADFs and PSTs that use exchange traded derivatives such as ASX options and futures.
- ISC Superannuation Circular No.II.D.7 (PDF 165KB)
- Circular No.II.D.7 Derivatives Addendum (PDF 42KB)
Fund underperforming? What are the options? (PDF 161KB) - Article from Investor Weekly, 3 November 2002