CBOE Russell 2000 Strategy Benchmark Indexes Outperform Russell 2000® Index

Improving risk-adjusted returns and enhancing yields are common guidelines for using options-based strategies.  The CBOE recently added 5 new CBOE Russell 2000 strategy benchmark indexes to a line-up now totaling 26 based on a variety of underlying indexes.

By design each CBOE strategy benchmark index offers a unique risk/reward characteristic providing investors with the flexibility to choose an appropriate strategy for different risk tolerances and market outlooks.

As the year end approaches, it’s a good opportunity to review the performances of all six CBOE Russell 2000 Strategy Benchmark Indexes relative to the Russell 2000 Index.

CBOE Russell 2000 Strategy Benchmark Indexes

  • CBOE Russell 2000 BuyWrite Index (BXR)
  • CBOE Russell 2000 Conditional BuyWrite Index (BXRC)
  • CBOE Russell 2000 30-Delta BuyWrite Index (BXRD)
  • CBOE Russell 2000 PutWrite Index (PUTR)
  • CBOE Russell 2000 One-Week PutWrite Index (WPTR)
  • CBOE Russell 2000 Zero Cost Put Spread Collar (CLLR)

Below is a chart highlighting the hypothetical return of a $1,000 investment in each CBOE Russell 2000 BuyWrite Strategy Indexes relative to the Russell 2000 year-to-date (last prices on each index is based on levels calculated 12/28/15).

RR 1

Below is a chart highlighting the hypothetical return of a $1,000 investment in each CBOE Russell 2000 PutWrite Strategy relative to the Russell 2000 Index year-to-date (last prices on each index is based on levels calculated 12/28/15).

RR 2

A final chart shows the CBOE Zero-Cost Put Spread Collar Indexes relative to the Russell 2000 Index year-to-date (last prices on each index is based on levels calculated 12/28/15).

RR 3

 

Risk/Reward Attributes

The daily risk and return characteristics for each CBOE Russell Strategy Benchmark Index highlights the different risk adjusted returns for each options-based strategy compared to a passive investment in the Russell 2000:

                                             BXR          BXRC          BXR          PUTR          WPTR          CLLR          RUT

Average Daily Return      0.016%      0.006%       0.004%     0.02%         -0.01%       -0.01%        -0.02%

Standard Deviation        12.31%      13.42%       14.57%   11.43%         11.46%      12.41%       16.72%

Maximum Daily Return    2.30%       2.30%         2.44%      2.19%           2.28%        2.01%         2.84%

Minimum Daily Return   -2.84%      -2.84%        -3.45%      -2.69%        -3.26%       -3.04%        -4.06%

Periods Up (%)                 55.82%     51.41%       51.00%     55.42%        61.04%     49.79%       49.80%

Periods Down (%)            44.18%     48.59%       49.00%     44.58%       38.96%      50.21%       50.20%

In 2015, all six CBOE Russell 2000 Strategy Benchmark Index provided varying risk/return attributes.  However, they all offered better risk adjusted returns than passively holding a position in the Russell 2000.

To learn more about CBOE Strategy Benchmark Indexes, a description of each strategy, their methodologies, and key papers about BuyWrite, PutWrite, and other Option-Based Strategies visit www.cboe.com/Benchmarks

To learn more about options-based funds visit www.cboe.com/Funds