The CBOE Russell 2000 PutWrite Index had a 9.1% annualized return and 14.1% annualized standard deviation for the period as compared to 8.7% and 19.5%, respectively, for the Russell 2000 Index.
Annualized Returns & Standard Deviation: January 2001 – December 2015
CBOE Russell 2000 PutWrite Index & Russell 2000 Index
Sources: Bloomberg, CBOE. Annualized returns of the CBOE Russell 2000 PutWrite Index and Russell 2000 Index. Data is from January 2001 to December 2015. Data for the CBOE Russell 2000 PutWrite Index is hypothetical back-tested data. Past performance is no guarantee of future results.Please see the end for important legal disclosures.
Pat Fay, Global Director of Index Derivatives, FTSE Russell:
“The CBOE Russell 2000 PutWrite Index had a higher return with less volatility than the Russell 2000 Index over the last 15 years. This helps illustrate the power for some market participants of using options-based indexes as portfolio analysis and diversification tools.”
Mark Shore, Chief Research Officer, Shore Capital Research, LLC:
“In addition to higher long-term returns, the CBOE Russell 2000 PutWrite Index has experienced less dramatic drawdowns in bearish markets and quicker recoveries than the Russell 2000 Index.”
The CBOE Russell 2000 PutWrite Index is designed to track the performance of a hypothetical strategy that sells a monthly at-the-money (ATM) Russell 2000 index put option. The written Russell 2000 put option is collateralized by a money market account invested in one-month Treasury bills. The PUTR index rolls on a monthly basis, typically every third Friday of the month.
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Views expressed by Pat Fay and Mark Shore of Shore Capital Research, LLC are as of March 16th and subject to change. These views do not necessarily reflect the opinion of FTSE Russell or the London Stock Exchange Group.
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Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. However, back- tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the underlying economic data used in the calculation of the index.