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"An investment in knowledge always pays the best interest." — Benjamin Franklin


Below you will find several academic research papers, raw data sources, and white papers.

Ibbotson Associates. "Highlights from Case Study on BXM Buy-Write Options Strategy." (2004).

Moran, Matthew. "Risk-adjusted Performance for Derivatives-based Indexes - Tools to Help Stabilize Returns." The Journal of Indexes. (Fourth Quarter, 2002) pp. 34 - 40.

Schneeweis, Thomas, and Richard Spurgin. "The Benefits of Index Option-Based Strategies for Institutional Portfolios" The Journal of Alternative Investments, Spring 2001, pp. 44 - 52.

Callan Associates. "An Historical Evaluation of the CBOE S&P 500 BuyWrite Index Strategy."(October 2006).

Equity Collars as an. Alternative to Asset Allocation by Louis D'Antonio, MBA, PhD.  Using equity collars to control investment risk.   Journal of Financial Service Professional, January 2008.  

Bakshi, G., and N. Kapadia, “Delta-Hedged Gains and the Negative Market Volatility Risk Premium.”, Review of Financial Studies, (2003), 16(2), 527-566.

Feldman, Barry, and Dhruv Roy., “Passive Options-Based Investment Strategies: The Case of the CBOE S&P 500 Buy Write Index.”, Ibbotson Associates July 28, 2004.

Hill, Joanne, Venkatesh Balasubramanian, Krag (Buzz) Gregory, and Ingrid Tierens. "Finding Alpha via Covered Index Writing." Financial Analysts Journal. (Sept.-Oct. 2006). pp. 29-46. Covered S&P 500 Index call strategies have, on average, outperformed the S&P 500 Index over the past 15+ years while realizing lower standard deviations of returns. This analysis dissects the strategy underlying the BXM Index, the most broadly quoted benchmark for index call-selling strategies. Also discussed are alternative structured S&P 500 option-overwriting strategies, which have even more attractive risk-return trade-offs than the BXM because they take advantage of the implicit positive risk premium of equities and potentially adjust the strike price of the call sold on the basis of the volatility environment.

Jegadeesh, Narasimhan and Sheridan Titman, “Momentum.”, University Of Illinois WorkingPaper, October 23, 2001.

Kapadia, Nikunj and Edward Szado, “The Risk Return Characteristics of the Buy-Write Strategyon the Russell 2000 Index.”, Journal of Alternative Investments, Spring 2007, 39-56.

Leland, Hayne E., “Beyond Mean-Variance: Performance Measurement in a Non-Symmetrical World.”, Financial Analysts Journal Jan/Feb 1999, 27-35.

Renicker, Ryan and Devapriya Mallick., “Enhanced Call Overwriting.”, Lehman,Brothers Global Equity Research Nov 17, 2005.

Schneeweis, Thomas, Hossein Kazemi, and Richard Spurgin, “Momentum in Asset Returns: AreCommodity Returns a Special Case?”, Journal of Alternative Investments, 2008, 10 (4).

Schneeweis , Thomas and Richard B Spurgin., “The Benefits of Index Option-Based Strategies for Institutional Portfolios.”, Journal of Alternative Investments, Spring 2001, 44-53.

Spurgin, R., “How to Game your Sharpe Ratio.”, Journal of Alternative Investments, Winter 2001, 38-46.Stutzer, Michael, “A Portfolio Performance Index.”, Financial Analysts Journal, May/June 2000, Vol. 56, No. 3: 52-61.

Szado, Edward and Hossein Kazemi “Collaring the Cube: Protection Options for a QQQ ETFPortfolio.”, Journal of Alternative Investments, Spring 2009, 24-42. Page 41 41

Ungar, J., and M.T. Moran, “The Cash-secured Put-Write Strategy and Performance of Related Benchmark Indexes.”, Journal of Alternative Investments, Spring 2009, 43-56.

Whaley, Robert E., “Return and Risk of CBOE Buy Write Monthly Index.”, The Journal of Derivatives Winter 2002, 35-42.

Filter Tests in Nasdaq Stocks — This study examines the performance of filter and dual moving-average crossover trading rules applied to Nasdaq stocks. The researchers find that trading rules conditioned on a stock?s past price history perform poorly, but those based on past movements in the overall Nasdaq Index tend to earn statistically significant abnormal returns. Since there is a high level of transaction costs in this market, these abnormal returns are generally not economically significant. However, there are indications that pursuing some of these strategies can be worthwhile in carefully selected subsets of stocks.  Szakmary, Andrew, Davidson, Wallace N. and Schwarz, Thomas V., Filter Tests in Nasdaq Stocks. Financial Review, February 1999.

Raw Data Sets

Stock market data set consisting of monthly stock price, dividends, and earnings data and the consumer price index to allow conversion to real values.  All starting from January 1871.  This data was compiled by Dr. Robert Shiller of Yale University and are available to download here.