This is a book about writing covered calls and cash-secured puts against a diversified ETF portfolio, dressed up with a title that promises something it never delivers. The mechanics are solid; the hedge fund framing is marketing.
The one idea
The book's actual idea is narrow and useful: buy round lots of optionable ETFs, then sell either covered calls against them or cash-backed uncovered puts every month, always writing the near-term option and reinvesting the moment you're assigned or the option expires. Wolfinger argues, leaning on modern portfolio theory, that individual investors cannot reliably pick winning stocks or time the market, so the only lever left to improve on buy-and-hold is to collect option premium on a diversified position instead of trying to be right about direction.
The case rests on the CBOE's BuyWrite Index (BXM), a benchmark that mechanically sells the nearest out-of-the-money S&P 500 call every month against a portfolio that tracks the index. From June 1988 to June 2004, BXM returned 525 percent against 317 percent for the S&P 500 itself, while beating the index in only 9 of those 16 years. The strategy loses to a strongly rising market and wins almost everywhere else: flat markets, mild declines, and moderate rallies.
The 'hedge fund' in the title is a rhetorical stretch. There is no leverage, no shorting, no absolute-return mandate, and no fee structure being replicated. What's actually being taught is an income overlay on a long-only, fully-invested ETF book. The book is honest about this inside its own pages; it just never says so on the cover.
What it actually teaches
Wolfinger's approach is not a single sequence so much as a repeating monthly cycle applied to a fixed portfolio. Here are its working parts, in the order you'd actually execute them.
BUILD THE ETF BASE
Allocate your investable cash into optionable ETFs bought in round lots of 100 shares (a hard requirement, since one option contract covers 100 shares). The book lists roughly 40 optionable ETFs and HOLDRs circa 2004 (VTI, IWV, MDY, DIA, OEF, EFA, sector SPDRs, and more) and walks through ten sample $100,000 portfolios, from a single-fund VTI position to sector tilts using biotech and financial HOLDRs.
CHOOSE YOUR STRIKE STYLE
Every month, pick where to write relative to the stock price. Out-of-the-money calls are the most bullish and aggressive: in the book's worked example (BCD at $32.50, 5 Sep 35 calls at $0.90 for a one-month expiration), the position returns 10.8 percent in a month (129.1 percent annualized) if assigned, with a $31.60 downside break-even. In-the-money calls (5 Sep 30 calls at $3.30) cut the max profit to $80 per 100 shares but drop the break-even to $29.20, trading upside for protection. At-the-money strikes sit in between and carry the most time premium of the three.
COMPUTE THE TWO BREAK-EVENS
The upside break-even equals strike price plus premium collected; above it, a plain stockholder out-earns you. The downside break-even equals the stock price at entry minus the premium collected; below it, you're losing money, though less than an unhedged holder. Every trade example in the book is run through both numbers.
WEIGH EXPIRATION LENGTH
Writing options with more time to expiration raises the dollar premium and lowers the break-even, but lowers the annualized return. The book's Table 10.1 shows a Dec 30 (four-month) in-the-money call on the same $32.50 stock yielding a $250 max profit (27.27 percent annualized) versus a one-month version yielding $80 (32.88 percent annualized). As a rule of thumb, the book states time premium scales roughly with the square root of time to expiration, so a four-month option carries about twice the time premium of a one-month one.
CONSIDER THE PUT-WRITING MIRROR
Uncovered (cash-backed) put writing produces an identical risk profile to covered call writing at the same strike, according to the book's own risk table: buying 100 shares at 42 and writing a Nov 40 call for $3.50 has the same $150 max profit and $3,850 max loss as writing a Nov 40 put for $1.50 with $3,850 cash held in reserve. The stated advantage of puts is one commission instead of two; the stated disadvantage is that not every broker allows uncovered puts, and it's psychologically easier to oversell puts you can't actually cover than to overspend buying stock.
ROLL WHEN THE SITUATION DEMANDS IT
Near expiration, you can buy back a short option and simultaneously sell a further-dated one, either to avoid an unwanted assignment, defer a taxable gain, or lock in an attractive premium spread before it narrows. The book's example: with ETFQ at $40.36 and one week left, buying back a Jun 40 call for $0.65 and selling a Jul 40 call for $3.00 nets $2.35, versus the $2.00 the investor had originally hoped to collect by waiting.
What it looks like Monday morning
A reader who follows this book literally opens a discount brokerage account, buys ETFs only in 100-share lots from the optionable list, and picks one consistent strike style (the book recommends at-the-money or slightly in-the-money for most investors) rather than swinging between styles based on a market opinion. The actual weekly task is small: check positions once a week, and on the Monday after each monthly expiration, either roll into a new option on stock you still own or reinvest the cash from an assignment into more ETFs and write again.
The harder Monday-morning task is honest position sizing on the put side. The book's clearest warning is that naked put writers who aren't tracking full cash-backing per contract can find themselves owing far more stock than they can pay for on an assignment notice; a reader adopting this method should decide up front how much of the portfolio is actually cash-backed, not just how much premium looks attractive to collect.
| Metric | BXM (buy-write) | S&P 500 |
|---|---|---|
| Total compounded gain | 525.38% | 316.93% |
| Years BXM beat the index | 9 of 16 | - |
| Worst relative years | 1995-1998 (index ran away) | - |
| Best BXM years vs. index | 2000 (+17.5 pts), 2002 (+15.7 pts) | - |
Source: CBOE data as reproduced in the book's Table 12.1; this is a benchmark index, not the author's own trading results.
Sometimes the bulls win, sometimes the bears win, but the pigs always lose.Mark D. Wolfinger, Create Your Own Hedge Fund
Where it fails
- The title oversells what's inside. There is no leverage, no short book, no absolute-return target, and no fee structure resembling an actual hedge fund anywhere in this book. What's taught is a long-only, fully-invested ETF portfolio with a monthly option-premium overlay. A reader who buys this expecting hedge fund techniques (pair trades, market-neutral spreads, macro positioning) will find none of it; the book itself never claims otherwise once you're past the cover.
- The core evidence stops in mid-2004, before the two regimes that would have tested it hardest. The BXM track record cited (525 percent vs. 317 percent for the S&P from June 1988 to June 2004) predates both the 2008 crash and the 2009-2021 bull run. The book's own data shows the strategy loses to the index in strongly rising markets (it trailed badly in 1995-1998), which describes most of the market since 2009. A reader relying on this specific comparison is relying on a stat frozen 20 years before this review.
- The year-long worked example in Chapters 15 and 16 is admitted fiction. Wolfinger states directly that 'the results described are all fictional' before walking through a full year of month-by-month covered call decisions on a hypothetical portfolio. It's a reasonable teaching device, but it is not a real track record, and the book offers no live or backtested account-level performance of its own recommended method, only the third-party BXM and MCWX indexes, which use a fixed monthly at-the-money-or-just-OTM rule that differs from the flexible strike selection the book actually recommends.
- Half the named instruments are gone or renamed. The book's core optionable-ETF and HOLDRs lists (Tables 13.1 and 13.2) include names like Vanguard Total Market VIPERs (now Vanguard Total Stock Market ETF), streetTRACKS Dow Jones Global Titans, and a full page of Merrill Lynch HOLDRs (BBH, RTH, SMH structure, PPH, and others), all of which were unwound or converted by 2011-2012 when the HOLDRs structure was discontinued. A 2026 reader following the tables verbatim will be trading tickers that no longer exist.
- It assumes a 2004 volatility and interest-rate world that no longer holds. The book explicitly notes the VIX was 'near 15' in mid-2004 and calls current option premiums 'lower than they have been through much of options' history,' then predicts richer premiums in the coming years. It also assumes near-zero benefit from interest on cash reserves. Both underlying conditions (volatility regime, cash yield on collateral) have moved substantially since 2005 in ways that change the real-world math of every worked example in the book without changing the arithmetic method itself.
- It quietly assumes a broker that allows uncovered put writing and a reader who already has meaningful capital. The book itself flags that 'many brokerage houses do not allow their clients to sell uncovered put options, even when they are cash backed,' which is why Chapter 15 covers covered calls only. Every sample portfolio is built on $100,000, and 100-share ETF lots are treated as a fixed requirement, so a reader with a few thousand dollars gets one line acknowledging the problem ('$10,000 may be enough to get started') and no real guidance for building this method from a small account.
Who it is for
Buy it if
You already hold a diversified ETF portfolio, understand basic option mechanics, and want a clearly explained, historically grounded case for selling covered calls or cash-secured puts against it every month instead of trying to pick stocks. It's also useful as a plain-English primer on break-even math for anyone new to option writing.
Skip it if
You're looking for anything resembling actual hedge fund strategy (leverage, shorting, market-neutral positioning, absolute return), or you want a current, tradable list of optionable ETFs and a live track record rather than a 20-year-old index comparison and a fictional case study.
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