Blog - Investing Notes
August 18, 2009 - The Strategy with the Highest Alpha Ever? (Updated 9/8/09 to add a forward link)
A reader asked: "What has been the highest alpha producing strategy you have seen?"
Selling unhedged, at-the-money, near-expiration put options on S&P 500 Index futures has a very high alpha compared to other strategies reported by reasonably reliable sources.
See, however, a reader argument that the study is flawed.
