%0 Journal Article %A Thomas Schneeweis %A Richard B Spurgin %T The Benefits of Index Option-Based Strategies for Institutional Portfolios %D 2001 %R 10.3905/jai.2001.318987 %J The Journal of Alternative Investments %P 44-52 %V 3 %N 4 %X This study reviews the potential benefit of index option-based strategies as well as the unique risk and return distributions that result from these strategies. The empirical results are based on the replication of passive option-based strategies using daily option data collected over the past thirteen years. These passive benchmarks are then compared to the performance of a number of active managers. The results indicate that many passive investment strategies offered risk-adjusted returns that exceeded the underlying index over the time period studied. Furthermore, the returns to these passive option-based strategies provide useful benchmarks for the performance of the active managers studied. Results presented here demonstrate that the source of this additional return can be identified and explained by combining a passive stock index investment with a passively managed option portfolio. This is important because it demonstrates that the returns achieved by actively managed strategies are not necessarily dependent on the unique skills of the managers. %U https://jai.pm-research.com/content/iijaltinv/3/4/44.full.pdf