TABLE 5
FROM:
Great in practice, not in theory: An empirical examination of covered call writing
Michael L McIntyre and David Jackson
BACK TO ARTICLETable 5. Realised returns, volatilities, and correlation with the FTSE 100 Index
| Company | Annual returns (%) | Volatility (%) | Correl. coeff. | Company | Annual returns (%) | Volatility (%) | Correl. coeff. |
|---|---|---|---|---|---|---|---|
| ALD | -3.43 | 24.09 | 0.39 | MS | 0.35 | 34.69 | 0.41 |
| BBL | 17.11 | 29.35 | 0.65 | PO | -7.07 | 26.51 | 0.43 |
| BOT | 0.35 | 23.19 | 0.38 | RTZ | 7.89 | 25.02 | 0.44 |
| BP | 20.92 | 23.65 | 0.29 | RUT | 9.51 | 25.64 | 0.44 |
| BSS | -1.20 | 44.85 | 0.37 | RYL | 14.63 | 33.41 | 0.58 |
| CAD | 5.82 | 26.07 | 0.37 | SAN | 5.42 | 32.95 | 0.37 |
| CIR | 5.60 | 23.60 | 0.33 | STL | -4.18 | 26.06 | 0.28 |
| CUA | 0.86 | 31.45 | 0.58 | TAR | 3.94 | 33.55 | 0.27 |
| CW | 7.19 | 29.80 | 0.54 | TCO | -5.12 | 32.56 | 0.39 |
| DIX | 11.30 | 33.00 | 0.28 | TW | 15.92 | 26.57 | 0.30 |
| GXO | 27.26 | 32.48 | 0.60 | ULV | 4.88 | 22.15 | 0.53 |
| HSB | 14.86 | 28.03 | 0.69 | VOD | 6.94 | 24.31 | 0.52 |
| ICI | 16.13 | 31.86 | 0.36 | ZCA | 33.43 | 33.11 | 0.50 |
| LMO | -3.03 | 29.43 | 0.24 |
