over diversification, plus hedging = flat returns

From August, 2017, to March, 2019, I sold monthly puts, then monthly calls against 4 ETFs.  The puts helped me to buy low & the calls to sell high.  My allocation target was 40% SPY (S&P 500), 15% EFA (developed foreign markets), 10% EEM (emerging markets)  & 35% TLT (long term treasurys).  Each ETF was very diversified.  Therefore, I was very diversified in the world's equity & bond markets.  Perhaps, nearly perfectly diversified!  Plus, by selling options against the ETFs, I was always hedged.  The diversity of the 4 ETFs protected me from high volatility.  The option hedging protected me from high volatility.  My performance was very modest compared to the markets covered by the ETFs.  At times, I beat the markets by a little. At times, I lost to the markets by a little.  Overall, although I made money, I slightly underperformed the markets.  Since March, 2019, I've sold puts, then calls against either SPY or DIA (Dow Jones Industrial Average), exclusively.  Nearly 100% allocation in US large cap equities.  With left over cash availabilty, I've sold puts, then calls against EEM, to provide some extra premium pop.  My performance has been in line with what's to be expected from option selling.  Against very strong markets, I've done well, with some underperformance.  Against very weak markets, I lose, but I lose less.  Against markets that are flat & slightly up or down, I tend to outperform.