An Introduction to The CBOE S&P 500 PutWrite Index - CBOE.com
An Introduction to The CBOE S&P 500 PutWrite Index - CBOE.com
An Introduction to The CBOE S&P 500 PutWrite Index - CBOE.com
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PUT <strong>Index</strong> vs. S&P <strong>500</strong> TRLong Term Relative Performance (June 1988 – January 2008)<strong>An</strong>nualized Standard Correlation Tracking Active Info.Statistical <strong>An</strong>alysis ROR Deviation Sharpe Alpha Beta R R 2 Error Premium RatioPUT <strong>Index</strong> 12.17% 8.30% 0.84 6.40% 0.49 0.80 0.64 8.59% 0.91% 0.11S&P <strong>500</strong> TR 11.25% 13.65% 0.49Bull Market Relative Performance (July 1994 – March 2000)<strong>An</strong>nualized Standard Correlation Tracking Active Info.Statistical <strong>An</strong>alysis ROR Deviation Sharpe Alpha Beta R R 2 Error Premium RatioPUT <strong>Index</strong> 19.66% 7.93% 1.70 8.00% 0.44 0.79 0.62 9.50% (6.28)% (0.66)S&P <strong>500</strong> TR 25.94% 14.20% 1.37Bear Market Relative Performance (April 2000 – February 2003)<strong>An</strong>nualized Standard Correlation Tracking Active Info.Statistical <strong>An</strong>alysis ROR Deviation Sharpe Alpha Beta R R 2 Error Premium RatioPUT <strong>Index</strong> (4.30)% 13.73% (0.61) 7.21% 0.62 0.81 0.66 11.17% 12.49 1.12S&P <strong>500</strong> TR (16.79)% 17.80% (1.21)11
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