Thank you, Aziz!
Studies conducted for the CBOE by derivatives expert Robert Whaley (now
a professor at Vanderbilt), and investment research firms Ibbotson
Associates and Callan Associates appear to bear this out. They used
public data on share prices and options to backdate the new index to
1988. Callan, in 2006, concluded that the strategy "has generated
superior risk-adjusted returns over the last 18 years… generating a
return comparable to that of the S&P 500 at approximately
two-thirds of the risk."