In this paper, we formulate the mechanics of a potential S&P GSCI® Crude Oil Covered Call Index and explore the impact of writing covered call strategies across a range of strikes and market environments. Our findings suggest that covered calls are able to reduce volatility and drawdown of a...

Since the beginning of the decade, flows to institutional and retail products in the international small cap space have grown at a faster clip than flows to international large caps.The reasons for this are fairly obvious - greater alpha generating opportunities and higher diversification...

The index effect, or the excess returns of a stock added to a leading index, is one of the most researched pricing anomalies in finance.Is the index effect shrinking? To answer this question, we study the index effect for headline indices of five of the biggest equity markets in the world: U.S....