I'm sorry, I should have explained what the BXM is. I was excited to hear about it, and got ahead of myself.
Like I said, I was waiting since a year ago for this to actually come to market.
From the BXM microsite: http://www.cboe.com/micro/bxm/introduction.aspx
 Quote:
In 2006 Callan Associates, an investment services consulting firm, published a new study on the CBOE S&P 500 BuyWrite Index, with an analysis of performance from June 1988 through August 2006. Their study builds upon the earlier studies done by Professor Robert Whaley (now at Vanderbilt University) and by Ibbotson Associates. The new Callan Associates study had several key findings, including:
* BXM generated superior risk-adjusted returns over the last 18 years, generating a return comparable to that of the S&P 500 with approximately two-thirds of the risk. (The compound annual return of the BXM was 11.77% compared to 11.67% for the S&P 500, and BXM returns were generated with a standard deviation of 9.29%, two-thirds of the 13.89% volatility of the S&P 500.)
* The risk-adjusted performance, as measured by the monthly Stutzer Index over the 18-year period, was 0.20 for the BXM vs. 0.15 for the S&P 500. A comparison using the monthly Sharpe Ratio yielded similar results (0.22 vs. 0.16, respectively), confirming the relative efficiency of the BXM over the 219-month study period.
* The BXM underperformed the S&P 500 during most rising equity markets and consistently outperformed the S&P 500 in all periods of declining equity markets, demonstrating the return cushion provided by income from writing the calls.
* The BXM generates a return pattern different from that of the S&P 500, offering a source of potential diversification. The addition of the BXM to a diversified investor portfolio would have generated significant improvement in risk-adjusted performance over the past 18 years.
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You could definitely implement this yourself, and could probably do it cheaper. But, like buying a fund vs doing it yourself, you have professionals doing the work for you. Also, they would deal with tracking error, etc.
Also, the fact that this is an ETN makes me think it could potentially be much more tax-advantaged over using a similar strategy yourself in a taxable account. ETNs do not make interest payments, and are supposedly treated as a prepaid contract, so you get long-term capital gain treatment when you sell it after a year (I believe). This is the same as the DJP Commodity tracking structure ETN. This structure could be challenged in the future though.
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