The sponsors publish the numbers themselves. Here are the four largest covered-call funds against the index each one holds, total return including every payout, as of September 2026.
Why the gap exists
A covered call is two things at once: a long position in the index, and a short position in the index’s volatility. The academic decomposition splits it into roughly two-thirds passive equity, one-third short volatility, and a leftover piece that bets on the index not rallying, which earns nothing on average. The premium received each month is the payment for selling the upside above the strike. In a rising market the fund keeps the premium and gives up the rally, and the rally is usually worth more.
The long-run capture numbers say the same thing in plain form: from 2009 to 2024 the category captured about 56% of the market’s upside and about 60% of its downside. Slightly more of the losses than of the gains.
When it looks good
In a flat or falling year the premium cushions the fall and the strategy beats the index. 2022 was such a year. The 2023 to 2025 rally was the opposite: the oldest Nasdaq-100 covered-call fund rose about 5% in the first nine months of 2023 while its index rose 35%. Over a full cycle the cushion has cost more than it saved.
What this says about the tax pitch
A tax label cannot fix a return gap of this size. The 60/40 treatment saves at most about 10 points of federal rate on the option premium alone, and California ignores it. Return of capital defers the tax on the payout but not the 4 to 11 points a year on the whole holding. For anyone who does not need the cash, the index ETF underneath has beaten every one of these funds after tax and before it.