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Global Low Beta VRP

Parametric’s Global Low Beta Volatility Risk Premium (VRP) strategy seeks consistent incremental returns by selling fully collateralized equity index options against a conservatively structured base of US Treasuries and global equity.

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This strategy is suited to investors seeking an alternative to hedge funds; it is designed to deliver more predictable returns, better liquidity, greater transparency, and lower fees.

Investing in an options strategy involves risk. All investments are subject to loss. Learn more.

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A strategy that
adapts to the market

Global Low Beta VRP employs a rules-based, systematic approach that avoids forecasts and market timing but remains responsive to changing market conditions through the use of dynamic strike prices. Implied volatility drives the determination of strike price, and strike prices move further out of the money in higher-volatility environments. Frequent expirations mitigate risk and allow for the capture of mean reversion in volatility.

Due to economic, behavioral, and structural factors, options buyers are willing to pay a premium to sellers to hedge against the risk of drawdowns and volatility. Global Low Beta VRP capitalizes on this tendency for index options to trade at higher implied volatilities than realized volatility.

Portfolio construction

Model beta: 0.3


Portfolio construction

Intended benefits of Global Low Beta VRP

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Absolute returns

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Global Low Beta VRP aims to produce total returns above those of US Treasury bills.

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Investors gain access to the volatility risk premium, offering the potential for long-term diversification benefits compared to traditional risk premiums.

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A stringent rules-based process eliminates behavioral biases and market timing.

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Hedge fund alternative

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Global Low Beta VRP is designed to deliver better liquidity, greater transparency, and lower fees than hedge funds.

Strategy overview
Want to know more about Parametric Global Low Beta VRP?

Download our strategy overview.


Why choose Parametric?


Total firm AUM


VRP solutions AUM


Years of firm experience

As of 3/31/2024
Volatility Risk Premium


Volatility Risk Premium

Parametric's volatility risk premium solutions are strategies that seek to benefit from the VRP, a distinct and diversifying risk premium that options buyers pay to options sellers. We’ve historically observed that this premium can be a persistent source of return, better positioning your clients’ portfolios to weather market volatility over a full market cycle and improve overall performance.

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Liability-driven investing, Volatility, Overlay, Fixed income, Commodity, Options, Institutional investor, +4