LQG 08/02/22 – On-Line – Options in portfolios – David Buckle

“Enhanced income and costless protection”
Good options, poor choices and the hidden costs of a supposedly free lunch

Seminar by David Buckle

8th February 2022 – On-Line

David Buckle will review and assess the impact of options on investment portfolios.

Closed-form formulae for the risk-premium, risk, Sharpe ratio, and beta of any portfolio containing any combination of options will be presented.

The formulae are applied to three examples of simple option strategies; call-overwriting, put protection, and collars.

Additionally, when option overlay strategies repeated over multiple investment time-periods the long-run returns are shown to be normally distributed.

This seminar will provide the mathematics to assess the impact of the introduction of options on a portfolio’s characteristics and provide the framework to assess likely long-run effects on risk and expected returns.

Read and or download the full paper‘“Enhanced income and costless protection” : Good options, poor choices and the hidden costs of a supposedly free lunch


David Buckle



David has been in the asset management industry for over 25 years, primarily as a portfolio manager or analyst. He has been made redundant many more times than he would have liked and therefore has worked for many blue-chip asset managers including JP Morgan Asset Management, Putnam Investments, Merrill Lynch Investment Managers, Blackrock, UBS Global Asset Management and Fidelity. He also ran an investment boutique for several years deploying overlay strategies. Throughout his career he has contributed to the investment literature, especially in the area of the theory of active management.

Having become a bit disenchanted with the industry of late, David now has a plurality of roles, including being the CEO and CIO of a tiny real asset investment company, running a handful of multi asset portfolios, and is the chairman of the Institute for Quantitative Investment Research (INQUIRE). He spends much of his time authoring articles and is in the process of writing a couple of books on investment matters.

David’s background is as a Phd. mathematician and that discipline remains his hobby. His most recent article is the interpretation of some cuneiform mathematics scribed on a Babylonian stone from 2000BCE.