Parametric

VRP_WebBanner4.jpg

VRP STRATEGIES

Parametric’s VRP strategies aim to provide a significant and persistent source of return without the use of leverage or market forecasts. They do so by harvesting the "Volatility Risk Premium" - a well-researched phenomenon based on the discrepancy between the implied and realized volatility of equity index options. Parametric has developed a series of sophisticated VRP strategies meeting different investor objectives.   

 

Liquid Alternative

The Liquid Alternative strategy employs a mix of fully collateralized S&P 500® Index options to seek increased returns without increased risk. Liquid Alternative can be used as a standalone allocation or in a core-satellite framework with a portfolio of hedge funds, potentially reducing the overall fees associated with a typical alternatives portfolio without compromising risk-adjusted returns. 

Read more about this strategy


Defensive Equity

The Defensive Equity (DE) strategy seeks to achieve attractive risk-adjusted returns relative to the S&P 500 Index across all market environments. DE creates implicit downside protection through a core asset allocation that is split between equity and U.S. Treasury Bills.  Equity index call and put options are then sold against these core positions.

Read more about this strategy


Global Defensive Equity

The Global Defensive Equity strategy creates implicit downside protection through a core asset allocation that is split between equity and U.S. Treasury Bills.  Equity index call and put options are then sold against these core positions. All short option positions are fully-covered in order to eliminate any potential leverage. 

Read more about this strategy


Dynamic Put Selling

Parametric Dynamic Put Selling seeks to generate consistent absolute returns by selling fully-collateralized equity index options against a base portfolio of short-term Treasury Bills. 

Defensive Equity

The Defensive Equity (DE) strategy seeks to achieve attractive risk-adjusted returns relative to the S&P 500 Index across all market environments. DE creates implicit downside protection through a core asset allocation that is split between equity and U.S. Treasury Bills.  Equity index call and put options are then sold against these core positions.

Read more about this strategy


Global Defensive Equity

The Global Defensive Equity strategy creates implicit downside protection through a core asset allocation that is split between equity and U.S. Treasury Bills.  Equity index call and put options are then sold against these core positions. All short option positions are fully-covered in order to eliminate any potential leverage. 

Read more about this strategy


DeltaShift

The Parametric DeltaShift Strategy is a managed call option writing program that seeks to enhance total return and reduce volatility implemented in conjunction with holding of concentrated stock positions, diversified equity portfolios or passive indexing strategies. 

Read more about this strategy 


Low Volatility Equity

Parametric US Low Vol Equity seeks to outperform S&P 500® Index over a full market cycle on both an absolute and risk-adjusted basis, consistently outperform a custom benchmark of the beta-adjusted S&P 500® Index, and compare favorably to low volatility equity indices such as the MSCI USA Low Volatility Index and others while using an alternative approach of de-risking the portfolio and then adding exposure to an alternative risk premium.

Contact Us For More Information

Contact Us