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PUTW underperformance?

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I was excited to read about the new SO momentum fund as I have been thinking about doing some PUT writing on my retirement accounts.    I imagine when Wisdom Tree (very smart people) launched PUTW they had killer backtests and all the data suggesting returns should at least keep pace with the underlying but here is a chart of their fund vs. SPX since inception in 2016:



I know the goal of put writing is not to necessarily increase returns but to reduce volatility and increase Sharpe but the image below shows PUTW has a lower Sharpe than just buy and hold SPY.   

Hoping @Jesse can shed some light on this as he studies these things......



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@FrankTheTank, PUTW is the benchmark for our strategy (not an actual holding, meaning, we are trying to beat PUTW). It's the benchmark b/c it's an investable alternative that people could easily buy and hold. PUTW is attempting to track the CBOE put write index, which goes back to 1986 with a Sharpe of 0.66 vs. 0.50 for the S&P 500. You can see on the Steady Momentum strategy description page that the simple methods we'll actually be using would have boosted the Sharpe north of 0.8 during this period. 


The S&P 500 has produced one of it's best periods ever post financial crisis for risk adjusted returns. For example, since 2009 it has a Sharpe of 0.95,while it's long term Sharpe (1930-2018) is about 0.4. Expected returns for the S&P 500 are far less the next decade than the less decade, making put writing a potentially attractive diversifier.  

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