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.