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Statistik › Optionen, Shorts und Positionierung › Covered calls

No study of the covered call index reports a significance test on its alpha

Exchange-funded, 1988 to 2006|raw returnsS&P 500: 0.51Buy-write: 0.770.77Exchange-funded, 1986 to 2012|raw returnsS&P 500: 0.33Buy-write: 0.460.46Independent, 1986 to 2013|excess of cashS&P 500: 0.29Buy-write: 0.330.33S&P 500Buy-write

Sharpe ratios of the buy-write index against the S&P 500 from three studies. The two exchange-funded studies measure raw returns and start in 1986 or 1988. The independent study measures returns in excess of three month cash and runs to 2013. The advantage shrinks from 0.26 to 0.04 across them.

Two sponsor-funded studies report buy-write alphas of 1.9% a year and 0.2% a month. Neither gives a t statistic, a standard error or a regression specification. The one study not funded by the exchange finds a Sharpe advantage of 0.33 against 0.29.

0.77 against 0.51Buy-write Sharpe against the index, exchange-funded study, 1988 to 2006
0.33 against 0.29The same comparison in excess of cash, 1986 to 2013
KeineAlphas in this literature carrying a t statistic or standard error
0.7 to 2.0ppAnnual drag of investable buy-write vehicles against the paper index

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