Parametric’s Defensive Equity solution can be implemented as an options-only mandate on top of a client’s chosen base portfolio. This allows investors to maintain their existing allocations rather than swapping out a portion of their equity exposure (as is done for a fully-funded implementation).
Our Defensive Equity – Options Only strategy sells out-of-the-money index put and call options against a base portfolio.
It is designed to:
- Enhance returns with systematic option selling
- Improve the risk/return profile of a long-only portfolio by accessing the volatility risk premium, a diversifying risk premium.
Parametric’s Defensive Equity – Options Only strategy seeks to enhance performance and provide attractive risk-adjusted returns over the long term when compared to equity-only portfolios. This capital efficient, transparent method can be reasonably expected to help plan sponsors add expected return with a relatively modest increase in risk at the total plan level.
Over the long run, Parametric’s Defensive Equity – Options Only strategy aims to deliver more attractive risk/return characteristics than equities alone. Its balanced blend of short index puts and short index calls is designed to produce profitable outcomes.