Return and Risk of CBOE Buy Write Monthly Index

Whaley, Robert E.

doi:10.3905/jod.2002.319194

Cited by 105 publications

(56 citation statements)

References 15 publications

(10 reference statements)

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“…Whaley (2002) examines the profitability of BXM (a Buy Write Monthly Index tracking a Covered Call on S&P 500) over a period ranging from 1988 to 2001 and find that BXM has significantly lower historical volatility when compared with the index, however, it has offered nearly the same return as the index.…”

Section: Relative Risk Perception and The Puzzle Of Covered Call Writingmentioning

confidence: 99%

Relative Risk Perception and the Puzzle of Covered Call Writing

Siddiqi

2015

SSRN Journal

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Section: Relative Risk Perception and The Puzzle Of Covered Call Writingmentioning

confidence: 99%

Relative Risk Perception and the Puzzle of Covered Call Writing

Siddiqi

2015

SSRN Journal

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“…Though realized market volatility is usually lower than implied volatility (Whaley, 2002;Feldman & Roy, 2005); implied market volatility is a good indicator of market uncertainty.…”

Section: Gaussian Distribution For Returns)mentioning

confidence: 99%

A Correction for Classic Performance Measures

2012

CBR

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Non-normality in asset returns is now a common feature of financial markets. However, many practitioners as well as investors do still refer to classic risk adjusted performance measures to assess their investment. For example, Sharpe and Treynor ratios are designed for a Gaussian world. Then, employing them for a performance assessment prospect relative to the risk borne is a biased approach. If we look for consistency in risk assessment and in asset performance valuation, we need to look for robust methods or tools. Moreover, the well-known mathematical consistency and numerical tractability concerns drive our preference for simple methods. Under this setting, we propose to account in a simple way and to some extent for the skewness and kurtosis patterns describing the deviations from normality. We adjust therefore the classic Sharpe and Treynor ratios to asymmetries in the downside and upside deviations from the mean values of asset returns. Specifically, the adjusted Sharpe and Treynor ratios are weighted by the upside and downside deviation risks. Accounting for skewness and kurtosis changes generally the ranking of hedge fund performance. Moreover, the obtained adjusted performance measures capture well the skewness and/or kurtosis patterns in hedge fund returns depending on the targeted investment strategy.

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“…(Rubinstein (1994)) 2) Superior historical performance of covered-call writing. (Whaley (2002)) 3) Worse-than-expected performance of zero-beta straddles. (Coval and Shumway (2001)) 4) Average call returns appear low given their systematic risk.…”

Section: Anchoring and Adjustment Heuristic In Option Pricingmentioning

confidence: 99%

Anchoring and Adjustment Heuristic in Option Pricing

Siddiqi

2015

SSRN Journal

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Return and Risk of CBOE Buy Write Monthly Index

Cited by 105 publications

References 15 publications

Relative Risk Perception and the Puzzle of Covered Call Writing

Relative Risk Perception and the Puzzle of Covered Call Writing

A Correction for Classic Performance Measures

Anchoring and Adjustment Heuristic in Option Pricing

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