Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 31, 2017 erstellt
Description:
The CBOE Russell 2000 PutWrite Index (PUTRSM Index) is an index that depicts a systematic cash secured put selling investment strategy. The index represents the performance that would be expected from owning a portfolio selling at the money Russell 2000 (RUT) put options against collateralized cash reserves held in a money market account. The strike price of the put options is based on a level that is the nearest strike just below the Russell 2000 on the dates that the strategy is rebalanced. Over most of the time periods analyzed, PUTR has tended to outperform the total return of a portfolio that replicates the total return of the Russell 2000 on both an absolute and risk adjusted basis. After analyzing historical returns, the authors took a look at applying the PUTR strategy in a leveraged portfolio. The result is that, based on historical returns, a leveraged PUTR strategy has outperformed the total return of the Russell 2000 while experiencing less volatility than a portfolio mirroring the Russell 2000