Some investors are attracted to covered call funds because of their high income yields and seemingly high risk-adjusted returns. However, the appearance of high income and high risk-adjusted returns is the result of clever financial product design, not of actual improvements to returns or risk-adjusted returns.

Episode 171 with Campbell R. Harvey:    • RR #171 - Campbell R. Harvey: The Pas...  
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Portfolio Growth chart. Source: portfoliovisualizer.com