Our Enhanced Income Core strategy seeks to provide a high level of current income, with capital appreciation as a secondary objective while enhancing diversification and reducing risk by employing a series of proprietary rankings and filters. Also available in a tax-advantaged version.
Strategy Goals
The Parametric Enhanced Income Core strategy is a separate account offering consisting of a diversified portfolio of closed-end funds and ETFs. The objective of the strategy is to provide a high level of current income, with capital appreciation as a secondary objective. The strategy seeks to enhance diversification and reduce risk by employing a series of proprietary rankings and filters. A tax-advantaged version, which utilizes municipal bonds and tax-managed equities, is available for taxable investors.
Investment Philosophy
Diversification
- Diversifying risks by asset class, security and fund manager may help to improve income stability.
- Maintaining broad exposure across asset classes helps to create opportunities to exploit evolving sentiment in the CEF market.
Selection
- Filtering helps to generate a sensible investable universe, omitting the most concentrated, leveraged, illiquid and unseasoned funds.
- Systematic ranking of CEFs produces a consistent framework for selecting funds most aligned with the income mandate.
Execution
- Liquidity-aware allocations and sensitivity to turnover limit implementation slippage.
- Liquidity focused in-house trading team seeks to minimize trading impact.
More to explore
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Parametric Enhanced Income Core
by Alexander Paulsen, Director of Research (emeritus)
November 11, 2019
Many investors are drawn to the closed-end fund universe as a source of income. In this paper we highlight how closed-end funds may lend themselves to this aim as well as some of the potential drawbacks. We also describe an investment process designed to efficiently capture a stable income stream from the closed-end fund universe.