Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JWM
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • LinkedIn
  • Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Wealth Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Wealth Management

The Journal of Wealth Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JWM
    • Editorial Board
    • Published Ahead of Print (PAP)
  • LinkedIn
  • Twitter
Article

Performance Analysis of Options-Based Equity Mutual Funds, Closed-End Funds, and Exchange-Traded Funds

Keith Black and Edward Szado
The Journal of Wealth Management Summer 2016, 19 (1) 51-69; DOI: https://doi.org/10.3905/jwm.2016.19.1.051
Keith Black
is managing director of the Chartered Alternative Investment Analyst Association in Amherst, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: kblack@caia.org
Edward Szado
is assistant professor of finance at Providence College in Providence, RI, and director of research at the Institute for Global Asset and Risk Management in Amherst, MA.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: eszado@providence.edu
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Click to login and read the full article.

Don’t have access? Click here to request a demo 
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600

Abstract

Mutual fund managers may implement a variety of trading strategies using exchange-traded equity and equity index options. These strategies predominately include covered calls, wherein call options are sold against long positions, and put writes, wherein put options are sold against cash collateral. Previously, the literature has documented superior risk-adjusted performance of mechanical index strategies, such as the Chicago Board Options Exchange (CBOE) S&P 500 Buy-Write Index (BXM) and the CBOE S&P 500 Put-Write Index (PUT). This study documents strong risk-adjusted performance of a large sample of listed funds, which earned similar returns to the S&P 500 Index from 2000 through 2014, with substantially less risk as measured by standard deviation or beta. While the performance of the BXM is stated before fees, the sample of options-based funds outperformed BXM after fees over the sample period.

  • © 2016 Pageant Media Ltd
View Full Text

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Wealth Management: 19 (1)
The Journal of Wealth Management
Vol. 19, Issue 1
Summer 2016
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Wealth Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Performance Analysis of Options-Based Equity Mutual Funds, Closed-End Funds, and Exchange-Traded Funds
(Your Name) has sent you a message from The Journal of Wealth Management
(Your Name) thought you would like to see the The Journal of Wealth Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Performance Analysis of Options-Based Equity Mutual Funds, Closed-End Funds, and Exchange-Traded Funds
Keith Black, Edward Szado
The Journal of Wealth Management Apr 2016, 19 (1) 51-69; DOI: 10.3905/jwm.2016.19.1.051

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Performance Analysis of Options-Based Equity Mutual Funds, Closed-End Funds, and Exchange-Traded Funds
Keith Black, Edward Szado
The Journal of Wealth Management Apr 2016, 19 (1) 51-69; DOI: 10.3905/jwm.2016.19.1.051
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • LITERATURE REVIEW
    • METHODOLOGY
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • ENDNOTE
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Can the Improved CMBO Strategies Beat the CMBO Index?
  • Risk-Adjusted Returns of Socially Responsible Mutual Funds II: How Do They Stack Up in Australia?
  • Out of the Money or Striking It Rich? Evidence on the Risk-Adjusted Return Performance of Options-Based Equity Funds versus the S&P 500 and Other Benchmark Alternatives
  • Google Scholar

More in this TOC Section

  • Editor’s Letter
  • Well-Being Advisers
  • Editor’s Letter
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • LinkedIn
  • Twitter

MORE FROM PMR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Log In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 1534-7524 | E-ISSN: 2374-1368

  • Site Map
  • Terms & Conditions
  • Cookies
  • Privacy Policy