Covered Call Strategies - Discussions and Performance

ibartman

In November of 2013, the East Bay Municipal Utility District ("EBMUD") considered adding "covered call" strategies to its retirement fund.

They considered proposals from 15 advisors, and after scoring those responses, focused on the performance and process used by 4: Gateway, Glenmede, Parametric/Eaton Vance, and Van Hulzen (Iron Horse).

For those considering a similar strategy, the almost 300 page pdf may be of interest. Presentations from the different advisors occur about halfway through the document, but these are preceded by general discussion and commentary from the Utility District's Retirement Board.

(1) Archive: EBMUD Retirement Board Meetings: See Nov 19 2013

(2) Nov 2013 East Bay Municipal Utility District Quarterly Report (Covered Call Strategies) ~ 300 pages

PS: As discussed at end of Jan 16 2014 report, EBMUD selected Parametric/Eaton Vance and Van Hulzen. In the Jan 2014 report (see first link above), they also discussed the relative merits of Bank Loans and Short Term High Yield Bonds, as alternatives to a Core Fixed Income strategy.

bee

Thanks for the thread...a few additional links I found on the topic of covered calls.

This article discusses covered calls as part of a mutual fund investment:
a select group of mutual funds that make use of options techniques

2012 Forbes article on what works , what doesn't with covered calls:
covered-calls-what-works-what-doesnt/

Ted

DeariBartman: I don't believe a covered call strategy is best suited for mutual funds.
Regards,
Ted

M* Option-Selling Is Not Income;
http://news.morningstar.com/articlenet/article.aspx?id=612677

P.S. You are not welcome at Wrigley Field:
https://www.google.com/search?q=bartman&tbm=isch&tbo=u&source=univ&sa=X&ei=mAUBU-m-KKaOyAHQtYGoBw&sqi=2&ved=0CDUQsAQ&biw=1600&bih=754

David_Snowball

For what it's worth, three lines: the S&P500 as a benchmark, the titanic Gateway Fund (GATEX, green) and Bridgeway Managed Volatility (BRBPX, blue). Bridgeway charged 0.94% at $35 million. Gateway charges 0.94% at $8.2 billion. And Bridgeway, over the long term, beats them. Too, from 2001 - the start of 2013, it also beat an all-stock portfolio with vastly lower volatility.

If you add the RiverPark Gargoyle Hedged Value line, you see only the performance since conversion - which is substantially better than any of the other three but so comparatively short that I hesitated to include it.

David