Strategy Goals: Smoother Ride to Global Equity Markets
The Parametric Global Defensive Equity (GDE) strategy aims to outperform the MSCI ACWISM Index by following a different path to low volatility equity. It seeks to structurally reduce equity market risk, while adding a relatively uncorrelated risk premium to enhance returns. It is expected that this tradeoff over the long term will lead to a smoother ride along the way and more predictable outcomes. In addition, it seeks to reduce the magnitude of drawdowns and recover faster from stress events.
Portfolio Construction: Harvesting the Volatility Risk Premium
GDE portfolios are constructed and managed to capitalize on the equity "volatility risk premium" that has historically been embedded in equity index option prices. GDE creates implicit downside protection through a core asset allocation that is split between equity and U.S. Treasury Bills.