Using data from January 18, 1996 to March 31, 2011, we construct and evaluate returns on a buy-write strategy on the Russell 2000 index. The results demonstrate that the strategy has consistently outperformed the Russell 2000 index on a risk adjusted basis, when implemented with one month to...

The hedge funds industry has evolved tremendously in recent years. According to the CASAM CISDM Industry Report, assets under management in hedge funds had grown from less than USD 50 billion at the end of 1990 to over USD 2.1 trillion at the end of 2007. However, assets managed by hedge funds...

Hedge Fund Replication has generated significant academic and practitioner interest in recent years. This interest has been translated into several product offerings by the major investment backs such as Goldman Sachs, Morgan Stanley and J.P Morgan. Replication products generally follow three...

In 2008, the S&P 500 experienced a drawdown of about 50% from peak to trough. Many assets which are typically considered effective equity diversifiers also faced precipitous losses. In stark contrast, volatility levels as measured by VIX experienced significant increases and in 2008 repeatedly...

Using data from January 18, 1996 to November 16, 2006, we construct and evaluate returns on a buy-write strategy on the Russell 2000 index. The results demonstrate that the strategy has consistently outperformed the Russell 2000 index on a risk adjusted basis, when implemented with one month to...