Buy-Write or Put-Write: An Active Index Writing Portfolio to Strike it Right
“An example case of the active portfolio achieves better returns and risk-adjusted returns than the CBOE S&P 500 Monthly Buy-Write (BXM) or Put-Write (PUT) Index, and out-performs the underlying equity index by over 5% in annualized return with similar levels of risk.”
AssetEquitiesoptions, indices
StrategyOptions strategiesmarket timing
GeographyUS
FrequencyDaily
Also stated: Alpha, Excess return, Profit, Price and volume, benchmark, costs
Missing from abstract: out-of-sample test, multiple testing, universe
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