| Summary: | 碩士 === 國立清華大學 === 計量財務金融系 === 105 === The S&P 500 BuyWrite Index have, on average, outperformed the S&P 500 Index over the past 15 years while realizing lower standard deviations of returns. This analysis dissects the new strategy CBOE S&P 500 Covered Combo Index, introduces the strategy’s construction and its story. Then, we see the relationship between the factors and strategies, and compare the performance with other strategies and S&P 500 index. Finally, we focus on the alpha in this strategy, which is the difference between absolute return and expecting return, and then we make a conclusion about this strategy and discuss which investors are recommended to use this strategy.
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