Portfolio Protection

Strategy Indices

Cboe Global Indices strategy indices are used by investors to explore various strategies - like portfolio protection.

Performance Tracking

Indices designed for portfolio protection track the hypothetical performance of buying options compared to traditional investments.

Strategy Benefits

These option-buying strategies in some cases have experienced less volatility, lower Betas, and less severe drawdowns than related stock indices.

Index Performance in Challenging Quarters

As shown in the table below, in the six quarters in which the S&P 500 fell by more than 13.8%, most of the Cboe indices did not have losses as severe as those of the S&P 500 Index. Because many of the Cboe indices track strategies that purchase index options on a certain day of the month, there is some path dependency and variability in their performance over various time periods.

Six Quarters in Which the S&P 500 Index Fell by More Than 13.8% (from 1987 through 2023)

	3Q2001	3Q2002	4Q2008	3Q2011	1Q2020	2Q2022
VXTH^℠ - Cboe VIX Tail Hedge Index	n/a	n/a	0.2%	-6.8%	54.9%	-18.2%
PPUT^℠ - Cboe S&P 500 5% Put Protection Index	-4.1%	-9.1%	0.2%	-8.0%	0.0%	-13.1%
CLL^℠ - Cboe S&P 500 95-110 Collar Index	-0.7%	-8.1%	-5.9%	-11.6%	-5.0%	-6.7%
S&P 500^® Index	-14.7%	-17.3%	-21.9%	-13.9%	-19.6%	-16.1%
	Total return (pre-tax) Indices. Source: Cboe Global Indices

In Depth: Thought Leadership on Portfolio Protection Strategies

Whitepapers

Key Tools for Hedging and Tail Risk Management

Asset Consulting Group

Download Whitepaper

Videos and Webinars

Option-Buying Strategy Indices

Strategy Diagrams and Descriptions

There are important risks associated with transacting in any of the Cboe Company products or any digital assets discussed here. Before engaging in any transactions in those products or digital assets, it is important for market participants to carefully review the disclosures and disclaimers contained here.
These products and digital assets are complex and are suitable only for sophisticated market participants.
These products involve the risk of loss, which can be substantial and, depending on the type of product, can exceed the amount of money deposited in establishing the position. Market participants should put at risk only funds that they can afford to lose without affecting their lifestyle.