Kim was on this before me -- but the way Regular Anchor was designed, it was ALWAYS going to lag the index -- because it wasn't fully invested. Our SPY position was only between 75%-90% of the portfolio, the rest was a hedge. In other words, if the strategy performed PERFECTLY, we'd still lag 10%-25%, which is why we moved to the leveraged version -- to eliminate that gap.
I remember reading The Complete Guide to Option Selling about 6-7 years ago. I remember thinking, "Man, this guy really doesn't seem to know what he's talking about, but he's the one managing millions of client money, so maybe I'm just not educated enough on the subject to see the brilliance of this." Nope.
Anyway, I'd be fascinated to read his new book if it ever gets released, if only for a laugh.