University of Massachusetts study on “15 Years of Russell 2000 Buy-Write”.
This summary updates a 2007 study conducted by Kapadia and Szado from the University’s Isenberg School of Management. The research highlights 15 years of performance data ending  March 31, 2011 and concludes that a passive buy-write strategy of one month to expiration calls on the Russell 2000 consistently outperformed the index. Over 182 months, the 2% out-of-the-money buy-write returned 263% (8.87% annually), while the return on the RUT was 226% (8.11% annually).  Over the entire period the annualized standard deviation for the buy-write portfolio was 16.57%, almost 4 ½ percentage points lower than for the RUT portfolio. View summary brochure (PDF).

Download the full study.

Loosening Your Collar: Alternative Implementations of QQQ Collars (PDF)
Szado and Schneeweis have updated the data through September 30, 2010 in their original modified collar study. The appendix to the paper finds that a long protective collar strategy using 6-month put purchases and consecutive 1-month call writes earned far superior returns compared to a simple buy-and-hold strategy while reducing risk by almost 65%. Click here to download the updated summary brochure and the full paper.