Passive option-based investment strategies

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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 [] index and Leland's [] 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 year history zecco forex reviews this study is Risk-adjusted performance, as measured by the Stutzer index, is 0. Leland's alpha is 2.

The tracking error of the Rampart investable version of the BXM 1. Known sources passive option-based investment strategies BXM return are reviewed and behavioral factors that may have enhanced BXM performance are considered.

Barry E Feldman A senior research consultant at Ibbotson Associates in Chicago. Dhruv Roy A senior research analyst at Ibbotson Associates in Chicago.

Institutional Investor Journals: The Journal of Investing - 14(2)

Sorry, you do not have access to this article! Barry E Feldman Barry E Feldman A senior research consultant at Ibbotson Associates in Chicago.

Passive Investing

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