Over the summer I teamed up with Mark Sebastian from Option Pit and Hannah Chody, the Options Institute summer intern, to conduct a study on applying leverage to systematic buywrite strategies. The result was a white paper titled – A Leveraged Portfolio Management Approach Applying the CBOE S&P 500 2% OTM BuyWrite Index.
Some highlights from the paper –
- The CBOE S&P 500 2% OTM BuyWrite Index (BXY) has outperformed the total return for the S&P 500 on both a risk adjusted and absolute basis over the last 25 plus years.
- Applying leverage to BXY can enhance performance while still encountering a risk profile lower than a buy and hold portfolio
- A demonstration on how portfolio managers may implement a leveraged version of BXY
The full paper in PDF format is available for download at – White Paper