Shore Capital ​Research LLC
  • Home
  • Us
    • Us
    • Mark Shore Background
    • Contact Us
    • Community
  • Research
    • Research
    • Mkt Notes
    • VSTOXX Articles
    • VIX Articles
    • Most Read Articles
    • Skewing Your Diversification (The Show)
    • Data Center
  • In The Press
  • Links/Books
  • Events
  • Properties
    • Parking Spaces for Sale or Rent
    • Condos for Sale or Rent

Decoding the Myths of Managed Futures 2015 Webinar with Mark Shore

3/23/2016

0 Comments

 
Mark Shore was invited by RJ OASIS to present this educational webinar in January 2016 on his paper "Decoding the Myths of Managed Futures 2015"

To read the full paper click here

Follow Mark Shore on Twitter, Facebook and Linkedin

Mark Shore has more than 25 years of experience in the futures markets and managed futures, publishes research, consults on alternative investments & conducts educational workshops.
www.shorecapmgmt.com email: info@shorecapmgmt.com

Mark Shore is also an Adjunct Professor at DePaul University’s Kellstadt Graduate School of Business, where he teaches the only known accredited managed futures course in the country. He is also a Board Member of the Arditti Center for Risk Management at DePaul University.

Past performance is not necessarily indicative of future results. There is risk of loss when investing in futures and options. Futures and options can be a volatile and risky investment; only use appropriate risk capital; this investment is not for everyone. The opinions expressed are solely those of the author and are only for educational purposes. Please talk to your financial advisor before making any investment decisions.


0 Comments

NIBA NYC Futures Industry 2016 Conference

3/17/2016

0 Comments

 
Picture
NIBA Presents:
2016 NIBA New York Conference

Join fellow IBs, CTAs, CPOs, APs, regulatory officials and futures industry service providers including the exchanges, FCMs, legal, accounting, compliance, technology, marketing and more for an afternoon of learning, discussion, and networking. 

From the economy to compliance, the futures and commodities space is more complex than ever with new challenges and opportunities. Join your peers for the future industry's leading and only non-for-profit conference and participate in the conversation that effects how you do business. Stay informed and grow your business. 


Metals Update --
 James Steel, HSBC

Changing Ownership of Crude Futures Open Interest/Status of Barrel Ownership-- Albert Helmig, Grey House

Oil & Gas: All Stored Up with Nowhere to Go -- 
Brian Milne, Schneider Electric 

Cybersecurity Compliance -- 
Rob Demuria, Compliance Supervisors, Panel Leader
Ted Theisen, UnitedLex
Amy McCormick, National Futures Association
Michael Brice, BW CyberServices

Networking Cocktail reception immediately following the conference

Date: Wednesday April 20, 2016
Time: 1:30pm to 5pm
Venue: New York Athletic Club, 180 Central Park South, New York, N 10019

For more information and registration click here

Established in 1991—NIBA  - The association for derivatives professionals is one of the foremost, nationally recognized organizations representing professionals in the futures and options industry. Members include Introducing Brokers, Commodity Trading Advisors, Futures and Options Exchanges,Futures Commissions Merchants and resource providers to the industry.
​



0 Comments

Presentation of CBOE Russell 2000 Options-Based Benchmark Indexes

3/12/2016

0 Comments

 

Mark Shore presenting his new paper on CBOE Russell 2000 options-based indexes. This presentation occurred at the Chicago Board of Options Exchange on Feb., 4th 2016

For the full paper click here

Follow Mark Shore on Twitter, Facebook and Linkedin
​

Mark Shore has more than 25 years of experience in the futures markets and managed futures, publishes research, consults on alternative investments & conducts educational workshops.
www.shorecapmgmt.com email: info@shorecapmgmt.com

Mark Shore is also an Adjunct Professor at DePaul University’s Kellstadt Graduate School of Business, where he teaches the only known accredited managed futures course in the country. He is also a Board Member of the Arditti Center for Risk Management at DePaul University.

Past performance is not necessarily indicative of future results. There is risk of loss when investing in futures and options. Futures and options can be a volatile and risky investment; only use appropriate risk capital; this investment is not for everyone. The opinions expressed are solely those of the author and are only for educational purposes. Please talk to your financial advisor before making any investment decisions.


0 Comments

CTA Expo NYC 2016

3/8/2016

0 Comments

 
Picture

CTA EXPO New York 2016
For the first time the New York event on April 21, 2016 will be a combination of the Emerging Manager Forum and CTA Expo. The Expo / Forum is a one day conference consisting of speakers and panels combined with extensive networking opportunities. Attendees can attend any of the presentations throughout the day or decide to talk and network with other industry professionals.
 
Topics include:
Presentation of the CTAExpo Lifetime Achievement Award
Recipient: Sol Waksman (Barclay Hedge, Ltd)

An Insider’s Look at Platforms…Their Selection and Use for Managers and Investors
The panel will discuss guidelines for making the decision that the use of a platform is the right decision for investors and managers and what criteria should be used when selecting a platform.

The Astrology of Alternatives…What Investors and Managers Should Expect in 2016 and Beyond
A bestselling author and globally recognized expert in alternatives investments will discuss the impact of current events on managers and the impact these events are having on investor decisions.
Bob Swarup, PhD. (Camdor Global)

Marketing Your Strategy & Out Marketing Your Competitors
Bruce Frumerman is an expert in helping financial service firms create brand identities for their organizations and in developing marketing strategies and programs. He will discuss how to differentiate yourself in a crowded investment landscape.

Keynote Speaker
Trading Traps…Too Many to Count
Peter Borish is a prominent alternative industry pioneer, investor and opinion leader. He will discuss roadblocks he has experienced during a successful career and their impact on investment decisions.
Peter Borish (Quad Capital)

Manager Operational Issues in 2016 and Their Impact on the Investment Decision
Research has shown about 80% of the investment decision a client makes is based on factors other than track record. Managers are confronted with new legal and operational issues each year. They must keep abreast of these issues to satisfy clients. The panelist will discuss new challenges that face managers in 2016 as a result of regulatory changes.

Emerging Manager Selection…An Investors Perspective
A look at what three asset allocators consider before they make a decision to invest with an Alternative Manager and what managers need to know before they market to the investment universe represented by each panelist.
​
Emerging Managers and Emerging Manger Investors…Opportunities in Marketing
and Investing in Europe
 
Date: Thursday April 21, 2016
Time: 8am to 4:30pm. Cocktail reception immediately following
Location: The Roosevelt Hotel, 45 E 45th Street, New York, New York,

​For more information and registration click here




0 Comments

New Research Paper on the CBOE Options-Based Strategy Indexes for the Russell 2000 Index 

3/1/2016

0 Comments

 
Picture
​A new paper by Mark Shore "Analyzing Russell 2000 Options-Based Benchmark Indexes Designed to Provide Enhanced Yields and Risk-Adjusted Returns" was released in Feb, 2015.

This study compared the performances of six options-based strategy indexes to traditional investment indexes. The six options-based strategies, which all write options on the Russell 2000® (RUT) Index, are as follows:
1) BXR – CBOE Russell 2000 BuyWrite Index;
2) CLLR - CBOE Russell 2000 Zero-Cost Put Spread Collar Index;
3) BXRC - CBOE Russell 2000 Conditional BuyWrite Index;
4) BXRD - CBOE Russell 2000 30-Delta BuyWrite Index;
5) PUTR - CBOE Russell 2000 PutWrite Index;
6) WPTR - CBOE Russell 2000 One-Week PutWrite Index.

The following items highlight key results of the study (all analyses were done through the end of 2015):
1) Growth of Options Volume: The average daily contract volume of the Russell 2000® index options traded at the CBOE grew more than 2000% from 2004 to 2015. (Exhibit 1)

2)Risk-adjusted Returns: Since 2001 the CBOE Russell 2000 PutWrite Index (PUTR) had higher returns, lower volatility and higher Sharpe Ratio than both the Russell 2000 Index and Citigroup 30-Year Treasury Bond Index. (Exhibits 5, 6, 7, and  13)

3) Options Premium Income: In 2015 the aggregate gross premium (as a percentage of the underlying) was 41.4% for the CBOE Russell 2000 One-Week PutWrite Index (WPTR), 22.2% for the CBOE Russell 2000 PutWrite Index (PUTR), 19.5% for the CBOE Russell 2000 BuyWrite Index (BXR), and 9.2% for the CBOE Russell 2000 30-Delta BuyWrite Index (BXRD). (Exhibit 19)

4) Lower Volatility: Since 2001 the PUTR, BXR, CLLR & BXRD indexes had a lower annualized standard deviation than the Russell 2000 Index. The reduction ranged from 14% to 28% lower. The options-based indexes also had lower betas (ranging from 0.59 to 0.82) than the Russell 2000 Index. (Exhibits 7 & 13)

5) Less Maximum Drawdown: Since 2001 the maximum drawdowns for the PUTR, BXR, CLLR & BXRD indexes averaged 21% less than the Russell 2000 Index. (Exhibit 8)

6) Faster Average Recovery (in months): Since 2001 the PUTR Index average recovery time was 21% faster from the drawdown troughs than the Russell 2000 Index. (Exhibit 10)

7) Richly Priced Index Options: Since 2004 the implied volatility for the Russell 2000 has averaged about 2.88 volatility points higher than its realized volatility, and the rich pricing for index options may have facilitated higher returns for option-selling indexes such as PUTR and BXRD (when compared with the CBOE Russell 2000 Zero-Cost Spread Collar Index (CLLR)). (Exhibits 6 and 18)

8) Tail Risk: During the five years when the Russell 2000 return was negative, the PUTR and CLLR indexes had higher returns than the Russell 2000 Index. (Exhibit 26)

Click here for the entire paper

Mark Shore has more than 25 years of experience in the futures markets and managed futures, publishes research, consults on alternative investments & conducts educational workshops.
www.shorecapmgmt.com email: info@shorecapmgmt.com

Mark Shore is also an Adjunct Professor at DePaul University’s Kellstadt Graduate School of Business, where he teaches the only known accredited managed futures course in the country. He is also a Board Member of the Arditti Center for Risk Management at DePaul University.

Past performance is not necessarily indicative of future results. There is risk of loss when investing in futures and options. Futures and options can be a volatile and risky investment; only use appropriate risk capital; this investment is not for everyone. The opinions expressed are solely those of the author and are only for educational purposes. Please talk to your financial advisor before making any investment decisions.





0 Comments
0 Comments

    The postings on this site are not recommendations for trades and should not be perceived as such. Losses may occur from trading futures and options. Please talk to your financial advisor before trading futures or options. Past performance is no guarantee of future results.

    Proposals for consulting projects may be sent to mshore@shorecapmgmt.com

    Follow @shorecap

    Archives

    January 2018
    September 2017
    August 2017
    July 2017
    June 2017
    May 2017
    March 2017
    January 2017
    December 2016
    November 2016
    October 2016
    August 2016
    July 2016
    June 2016
    May 2016
    March 2016
    January 2016
    October 2015
    September 2015
    August 2015
    July 2015
    June 2015
    April 2015
    March 2015
    February 2015
    January 2015
    December 2014
    October 2014
    September 2014
    August 2014
    July 2014
    June 2014
    May 2014
    April 2014
    March 2014
    February 2014
    January 2014
    December 2013
    November 2013
    October 2013
    September 2013
    August 2013
    July 2013
    June 2013
    May 2013
    March 2013
    February 2013
    January 2013
    December 2012
    November 2012
    October 2012
    September 2012
    August 2012
    July 2012
    June 2012
    April 2012
    March 2012
    February 2012
    January 2012
    December 2011
    November 2011
    September 2011
    August 2011
    July 2011
    April 2011
    March 2011
    February 2011
    January 2011
    December 2010
    October 2010
    September 2010
    August 2010
    June 2010
    May 2010
    April 2010
    March 2010
    February 2010
    January 2010
    December 2009
    September 2009
    August 2009
    July 2009
    June 2009
    May 2009
    April 2009
    March 2009

    Categories

    All
    All
    Asset Allocation
    BTFD.TV
    Commodities
    Community
    Cyber Security
    Due Diligence
    Economic Stats
    Education
    Energy
    Equity
    Events
    Exchange News
    Fintech
    Forex
    Grains
    Hedge Funds
    Managed Futures
    Market Comments
    Metals
    Most Read Articles
    Options
    Other
    P2P Lending
    Portfolio Management
    Press
    Regulation
    Restoring Customer Confidence
    Risk Management
    Skewing Your Diversification (the Show)
    Trading Strategies
    Video
    Vix
    Vstoxx


    RSS Feed

Photos used under Creative Commons from dolbinator1000, *PaysImaginaire*, igotphotos, Michele Dorsey Walfred, MojoBaer, Barney A Bishop, renaissancechambara, ShardsOfBlue, Will Merydith, seanmcmenemy, sadatshami, everydayphotos41, Lars Plougmann, ota_photos, Tony Webster, Images_of_Money, ota_photos, bobchin1941, InvestmentTotal.com, christine zenino, reynermedia, charliekwalker, troyjmorris, Michael_Prepelica, theglobalpanorama, Zak Greant, epSos.de, mikebaird, Will Merydith, net_efekt, Gamma Man, Mike Licht, NotionsCapital.com, Lars Plougmann, sully213, WalkingGeek, bgilliard, LendingMemo, orijinal, Visual Content, pfala, Monika Thorpe, CallMeWhatEver, Philip Taylor PT, Rising Damp, Jeff Kubina, Cyron, kees torn, kenteegardin, jeffedoe, One Way Stock, tea610, epSos.de, alexdecarvalho, Frederick Wildman and Sons, Ltd, Nonprofit empowering young women immigrants in NYC, Don Hankins, joiseyshowaa, woodleywonderworks, Skrewtape, firmatography, Christoph Scholz, Charles Haynes, AndreasPoike, Citizen 4474, epicharmus, PinkPersimon, ota_photos, michaeltk, 401(K) 2013, riptheskull, M. Dolly