For conservative income investors, some new funds look too good to be true. That’s because they are.

Touting annual distribution rates of 50% or more, they generate cash by selling options contracts on some of the most speculative parts of the stock market. The good news is that the exchange-traded funds don’t carry the risk of instant ruin that sellers of the derivatives can face. The bad news is that what sounds edgy and lucrative are new flavors of an old and often disappointing strategy.