Yes, that's exactly what was described at http://www.lowriskstrategies.com/Build_Your_Own.html
EXCEPT they used call index options instead of SPY ETF. Using a call option would provide more 1/1 exposure to the index's returns than using an ETF.
I looked at the links from the first post. There was a link from one of them to http://lowriskstrategies.com
At that website there was alot of information on these securities. The basic idea is buying a zero coupon bond along with a call option on a stock index.
If the stock market...