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Covered Calls: The Income Illusion

Some investors are attracted to covered call funds because of their high income yields and seemingly high risk-adjusted returns. However, the appearance of high income and high risk-adjusted returns is the result of clever financial product design, not of actual improvements to returns or risk-adjusted returns. Episode 171 with Campbell R. Harvey:    • RR #171 - Campbell R. Harvey: The Pas...   ------------------ Follow Ben Felix on Twitter:   / benjaminwfelix   Visit Rational Reminder: https://rationalreminder.ca/ Join the Rational Reminder Community: https://community.rationalreminder.ca/ Follow the Rational Reminder on: Twitter:   / rationalremind   Instagram:   / rationalreminder   Visit PWL Capital: https://www.pwlcapital.com/ Follow PWL Capital on: Twitter:   / pwlcapital   Facebook:   / pwlcapital   LinkedIn:   / pwl-capital   You can find the Rational Reminder podcast on Google Podcasts: https://www.google.com/podcasts?feed=... Apple Podcasts: https://itunes.apple.com/ca/podcast/t... Spotify Podcasts: https://open.spotify.com/show/6RHWTH9... ------------------ Sources: Shefrin, H., & Statman, M. (1993). Behavioral Aspects of the Design and Marketing of Financial Products. Financial Management, 22(2), 123. https://doi.org/10.2307/3665864 Black, F. (1975). Fact and Fantasy in the Use of Options. Financial Analysts Journal, 31(4), 36–41. https://doi.org/10.2469/faj.v31.n4.36 Merton, R.C., Scholes, M.S., & Gladstein, M.L. (1982). The Returns and Risks of Alternative Put-Option Portfolio Investment Strategies. The Journal of Business, 55, 1-55. https://doi.org/10.1086/296153 Rendleman, R. J. . (1999). Option Investing from a Risk-Return Perspective. The Journal of Portfolio Management, 25(5), 109–121. https://doi.org/10.3905/jpm.1999.319700 Sharpe, W. F. (1994). The Sharpe Ratio. The Journal of Portfolio Management, 21(1), 49–58. https://doi.org/10.3905/jpm.1994.409501 Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. The Journal of Finance, 55(3), 1263–1295. https://doi.org/10.1111/0022-1082.00247 Van der Meer, Robert and Sortino, Frank and Plantinga, Auke, The Impact of Downside Risk on Risk-Adjusted Performance of Mutual Funds in the Euronext Markets (July 19, 2001). Available at SSRN: https://ssrn.com/abstract=277352 Leggio, K. B., & Lien, D. (2004). Is covered call investing wise? Evaluating the strategy using risk-adjusted performance measures. In C.-F. Lee, Advances in Quantitative Analysis of Finance & Accounting (Vol. 1, pp. 187–204). WORLD SCIENTIFIC. https://doi.org/10.1142/9789812565457... Farago, A., & Hjalmarsson, E. (2023). Long-horizon stock returns are positively skewed. Review of Finance, 27(2), 495–538. https://doi.org/10.1093/rof/rfac021 Bessembinder, H. (2018). Do stocks outperform Treasury bills? Journal of Financial Economics, 129(3), 440–457. https://doi.org/10.1016/j.jfineco.201... Goetzmann, W., Ingersoll, J., Spiegel, M., & Welch, I. (2007). Portfolio Performance Manipulation and Manipulation-proof Performance Measures. Review of Financial Studies, 20(5), 1503–1546. https://doi.org/10.1093/rfs/hhm025 Brooks, R., Chance, D., & Hemler, M. (2019). The “superior performance” of covered calls on the s&p 500: Rethinking an anomaly. The Journal of Derivatives, 27(2), 50–61. https://doi.org/10.3905/jod.2019.1.087 Shefrin, H., & Statman, M. (1993). Behavioral Aspects of the Design and Marketing of Financial Products. Financial Management, 22(2), 123. https://doi.org/10.2307/3665864 Calluzzo, P., Moneta, F., & Topaloglu, S. (2021). Complex instruments have increased risk and reduced performance at mutual funds. Critical Finance Review. https://doi.org/10.2139/ssrn.2938146 Portfolio Growth chart. Source: portfoliovisualizer.com