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Total Posts: 49
Joined: Apr 2018
Posted: 2019-07-04 16:28
According to CBOE, PutWrite outperformed S&P 500 with lower volatility from 1986 to 2016. Looks pretty good. The ETF expense ratio of 0.4% is not negligible though.


Total Posts: 1578
Joined: Jun 2004
Posted: 2019-07-04 17:45
You mean on the ETF? I have not looked at it, but like all programatic ETFs it's probably a ripoff.

You can replicate it yourself for about 25% of the cost. It's a pain but on the other hand, doing it yourself allows you to add all sorts of little alphlets into it, like picking different indices based on expected return (i.e. overlay stuff like momentum or what not) and level of vol, IV/RV etc. It's about an hour or two a month of work and you might be able to automate some of it.

“My dear, here we must run as fast as we can, just to stay in place. And if you wish to go anywhere you must run twice as fast as that.”
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