This paper presents a simulation of a global investment strategy that combines diversification and option strategies, in particular the covered call strategy, on the Swiss Exchange. As the return distributions of portfolios including options are possibly non-normal, the mean-variance framework may not be appropriate to assess the relative performance of such portfolios. Stochastic dominance and modified betas are the alternative approaches used in this paper to compare portfolios. The results show that the use of option strategies consistently improves the performance of stock portfolios