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• W2108951024 abstract "This article assesses the investment value of the CBOE S&P 500 BuyWrite (BXM) index and its covered call investment strategy to an investor from the total portfolio perspective. Whaley [2002] finds risk-adjusted performance improvement based on the BXM index in individual comparison to the S&P 500. We replicate this work with a longer history for the BXM index and with the short but meaningful history of the Rampart Investment Management investable version of the BXM. We use the Stutzer [2000] index and Leland's [1999] alpha to assess risk-adjusted performance taking the skew and kurtosis of the covered call strategy into account. Additionally, we compare standard investor portfolios to portfolios where BXM has been substituted for large cap assets and find significant risk-adjusted performance improvement. The compound annual return of the BXM index over the almost 16-year history of this study is 12.39%, compared to 12.20% for the S&P 500. Risk-adjusted performance, as measured by the Stutzer index, is ..." @default.
• W2108951024 created "2016-06-24" @default.
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• W2108951024 date "2009-03-27" @default.
• W2108951024 modified "2023-09-28" @default.
• W2108951024 title "Passive Options-Based Investment Strategies" @default.
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