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).
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).
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).
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