Ben Eifert
speaker
517 appearances
1 recordings
1 series
first heard Feb 2025
last heard Feb 2025
Ben Eifert’s voice in public audio — every appearance, attributed to the second.
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Appearances
Mm-hmm.
From about, yeah, lines going up from about, and you want to compare that to just the S P.
So from 1990 to about 2012, they look pretty good.
They kind of keep up on average with the S P, but on somewhat lower volatility with a little bit lower drawdowns.
And that was really the pitch that investment consultants and pension fund consultants started making after the credit crisis to their clients.
They said
Wasn't
He was claiming to be doing like conversions and like diagonal spreads and stuff.
So like a little bit funkier stuff.
But yeah, he was out there saying, Oh, we're doing this kind of really cute option stuff.
So this stuff, again, it it looked recent decent in this sort of back test.
And but the whole point is of, you know, very much like any back test in finance, option selling looked good when nobody was doing it.
In size, right?
There were n it was not, you know, option markets were a backwater.
There were funny little things that some hedge a few hedge funds did and a few kind of people, but there were no giant pension two hundred billion dollar pension funds doing like option selling.
And then those pension fund consultants started writing white papers and they started pitching to their clients' boards.
And by like 2011, 2012, 2013, they started to get some traction and you started to have, you know, giant $200 billion pension funds saying, sure, we'll put 10% of our assets in move it from equity into option selling.
And that grew and grew and grew and grew and grew.
And so what you ended up with then is volatility term structures steepened, which means that short dated options that were getting sold really heavily went down in price because that's what everybody was selling.
And what happened was you see the performance then of in kind of the out of sample period, if you want to think of it that way from a back test, yeah, for BXM and put index, which are the benchmarks for this kind of stuff, then really deteriorated relative to S P where they sort of had very similar risk but much less return.
Showing 221–240 of 517 · page 12 of 26
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