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2013 AIMA Canada Research Award Winners Announced

Date: Tuesday, April 15, 2014
Author: AIMA Canada Press Release

Paper Shows Value of Option-Implied Information in Portfolio Construction


The Alternative Investment Management Association-Canada Inc. (AIMA Canada) today announced the winners of the 2013 AIMA Canada Research Award. This year’s winners are Peter Christoffersen of the Rotman School of Management, University of Toronto, and Xuhui (Nick) Pan of the Freeman School of Business, Tulane University, for their paper entitled "Equity Portfolio Management Using Option Price Information." The paper can be downloaded from the AIMA Canada website (under the Education tab).

Messrs. Christoffersen and Pan will share a cash prize of CAN $10,000 for their winning submission.

In announcing this year’s award winners, AIMA Canada Chair Gary Ostoich said: "The award winning paper by Peter Christoffersen and Nick Pan continues the exceptionally high standard set by previous AIMA Canada Research Award winners. Peter and Nick are to be congratulated on the important contribution they have made to Canadian research in the alternative investment field."

In their winning submission, the authors note that "it has long been recognized that options provide excellent forecasts of future volatility on underlying assets." They observe that recent academic research suggests: (1) that option-implied volatility estimates from index options can help predict future returns in the market; (2) that option-implied oil volatility can help forecast the overall stock market; and (3) that option prices contain information that is useful for equity portfolio allocation.

To test these assumptions, the authors surveyed three recent articles on cross-sectional equity pricing that incorporate option-implied information. All three showed that stocks with exposure to certain option-implied characteristics tend to perform better than other stocks on average over time.

On the basis of their study, the authors conclude that equity managers can earn positive alpha:

by using information in individual equity options;

by using stocks’ exposure to information in market index options, and

by using stocks’ exposure to crude oil option information.

They also conclude that option-implied information can also help construct better mean-variance portfolios and better estimates of market beta.

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Established in 2004, the AIMA Canada Research Award was created to encourage and recognize high-quality applied research in the field of alternative investments in Canada. It is open to academics, students and practitioners who are Canadian residents or were resident in Canada when conducting their research.

The winning submission was chosen from among entries from both Canadian professionals and academics. The winning submission was determined by an independent adjudication panel chaired by Mr. Paul Bates, of the DeGroote School of Business at McMaster University. The panel consisted of leading academic faculty from business schools across Canada. The full version of the winning paper and a summary are available on the AIMA Canada website.

About the Alternative Investment Management Association (AIMA)

As the global hedge fund association, the Alternative Investment Management Association (AIMA) has over 1,400 corporate members (with over 7,000 individual contacts) worldwide, based in over 50 countries.

Members include hedge fund managers, fund of hedge funds managers, prime brokers, legal and accounting firms, investors, fund administrators and independent fund directors. They all benefit from AIMA’s active influence in policy development, its leadership in industry initiatives, including education and sound practice manuals and its excellent reputation with regulators worldwide.

AIMA is a dynamic organisation that reflects its members’ interests and provides them with a vibrant global network. AIMA is committed to developing industry skills and education standards and is a co-founder of the Chartered Alternative Investment Analyst designation (CAIA) – the industry’s first and only specialised educational standard for alternative investment specialists. For further information, please visit AIMA’s website, www.aima.org.


AIMA Canada, the Canada National Group of the Alternative Investment Management Association (AIMA), was formed in March 2003 to act as the voice of the alternative investment industry in Canada. AIMA Canada now has over 100 corporate members. Additional information on AIMA Canada is available at www.aima-canada.org.


For further information:

Media Contacts:

Francis Communications


Barry Francis 416-447-7908  barry@franciscommunications.com


AIMA Canada

James Burron 416-453-0111 jburron@aima-canada.org