The index is actually BXM (ticker ^BXM)…
I didn’t know that Yahoo had the data for the index.
Is that, like most indexes, the price-only return, excluding the dividends on the portfolio?
The Eaton Vance ETV buy-write fund has outperformed that index by 3.74%/year since inception in 2005.
SPY has done better, but only by less than a percent–probably very endpoint dependent.
It was ahead from inception to end dates in the range 2009-2019, and did better in the last year.
The return profile is weirdly similar–you wonder why they bother. For the fees, of course.
Same standard deviation of and worst rolling years.
Also—
If I remember correctly, there are two related buy-write indexes.
One does at the money, the other does first out of the money, something like that.
One has done a lot worse than the other.
Anybody check that?
Also also—
There’s an interesting 2017 paper from AQR.
"The CBOE PutWrite Index has outperformed the BuyWrite Index
by approximately 1.1 percent per year between 1986 and 2015.
That is pretty impressive. But troubling. Yes – troubling –
because the theory of put-call parity tells us that such
outperformance should be almost impossible via a compelling
no-arbitrage restriction. This paper explains the mystery
of this outperformance, which has implications for portfolio
construction."
The reason for the difference is surprising and bizarre, though interesting only to numbers geeks.
It’s all about the details of the methodology the index is simulating, and nothing about the difference in puts versus calls.
Jim