Today Mr. Shane Schurter, Senior Consultant, Hewitt EnnisKnupp, delivered a presentation on a new paper “The CBOE S&P 500 BuyWrite Index (BXM) — A Review of Performance” at the CBOE’s 28th Annual Risk Management Conference (RMC).
The new paper found that (from June 1986 through January 2012), the BXM produced a —
• Similar return but lower volatility relative to the S&P 500 Index
• Return in excess of all other comparative indices
• Standard deviation lower than all other equity and commodity indices
• Standard deviation lower than the 30-Year Treasury Index
• Sharpe ratio that was superior to that of other equity and commodity
Here are four Exhibits from the new paper:
More from CBOE’s RMC conference at www.cboe.com/rmclive
Hewitt EnnisKnupp, Inc., an Aon company, provides investment consulting services to over 460 clients in North America with total client assets of over $2 trillion. CBOE provided financial support for this paper. The BXM Index is designed to represent a hypothetical strategy. The actual performance of investment vehicles such as mutual funds can have significant differences from the performance of hypothetical indices. Past performance does not guarantee future results. This paper contains index performance data based on back-testing, i.e., calculations of how the index might have performed prior to launch. Index returns do not reflect management fees, transactions costs or expenses. Nothing in this paper should be deemed as investment advice or a recommendation by Hewitt EnnisKnupp or CBOE to buy or sell securities. Neither Hewitt EnnisKnupp nor CBOE assumes any responsibility for any losses you might suffer by reason of adopting any investment strategy discussed in this paper. CBOE®, Chicago Board Options Exchange® and VIX® are registered trademarks and BuyWrite and BXM are service marks of CBOE. CBOE calculates and disseminates the BXM Index. The methodologies of the BXM Index is owned by CBOE and may be covered by one or more patents or pending patent applications.