Introduced by CBOE in April 2002, the BXM is a benchmark index that measures the performance of a theoretical portfolio of long Standard & Poor's 500 Index stocks, and short S&P 500 Index call options (SPX) against the portfolio. Dividends received are included in the performance.
Rampart's implementation of the BXM Index, the Rampart BXM Strategy, is designed to replicate or closely approximate the CBOE BXM. It enables institutional investors to allocate assets to a buy-write strategy with a licensed investment manager.
A "buy-write," also referred to as a covered call, generally is considered to be an investment strategy in which an investor buys a stock or a basket of stocks, and also sells call options that correspond to the stock or basket of stocks. This strategy can be used to enhance portfolio returns and reduce volatility.
- In 2002, the BXM return was 14.45 percentage points higher than the return of the S&P 500 Index.
- For the five-year period ended December 31, 2002, the annualized return for the BXM was 5.5 percentage points higher than that of the S&P 500.
- From its June 1988 inception through December 2002, the annualized return of the BXM Index was almost one percentage point higher than that of the S&P 500 Index (BXM return of 12.0% vs. S&P 500 return of 11.1%).
CBOE calculates and disseminates BXM at the end of each trading day. Historical values for the BXM are available dating back to June 1988, when Standard and Poor's first started publicly disseminating dividend information. For more information about BXM and its use as a portfolio management tool, please visit http://www.cboe.com/bxm.
