VRP

Defensive Equity

The Parametric Defensive Equity (DE) strategy offers liquid access to an alternative risk premia that is uncorrelated with traditional asset classes while helping diversify overall portfolio risk. It seeks to structurally reduce equity market risk, while adding a relatively uncorrelated risk premium to enhance returns. It is expected that the tradeoff between equity market risk, which the DE seeks to structurally reduce, and the volatility risk premium (VRP) seek to provide a smoother ride over the long term and more predictable outcomes. In addition, it seeks to reduce the magnitude of drawdowns and to recover faster from stress events.


Upside Potential

  


Downside Protection

 

 

  

Uncorrelated Returns

Portfolio Construction

 

DE construction graphic

For informational and illustrative purposes only. Not an offer to buy or sell securities. Past performance not indicative of future results. Not able to invest directly into indexes. Investing in an options strategy involves risks. One or more combinations of the following risks may be incurred: trade restrictions risk, liquidity risk, early termination risk, option collateral risk, and opportunity risk. See disclosure pages https://parametricportfolio.com/risk-disclosure for additional information. All investments are subject to loss. For use with Investment Professionals and Accredited Investors Only. Not for use with the public.

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What is the Volatility Risk Premium?

Parametric’s volatility risk premium (VRP) solutions aim to provide a significant and persistent source of return without the use of leverage or market forecasts. Rather, they are designed to harvest the diversifying VRP – 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 to meet investors’ different risk/return objectives.


VRP Beta Chart

For informational and illustrative purposes only. Investing in an options strategy involves risks. One or more combinations of the following risks may be incurred: trade restrictions risk, liquidity risk, early termination risk, option collateral risk, and opportunity risk. See disclosure pages https://parametricportfolio.com/risk-disclosure for additional information. All investments are subject to loss. For use with Investment Professionals and Accredited Investors Only. Not for use with the public.

 

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