The CBOE S&P 500 PutWrite Index provides an interesting index to add to the return dynamics of a pure index strategy using the VIX index as an indicator for going into and out of it. But does it generate returns?
read moreCalculating Price-to-Earnings and Price-to-Dividends figures from the whole merged CRSP and Compustat universe (exchcd in (1,2,3) and shrcd in (10, 11)) you get the following figures.
