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

 

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.

How to invest and related products

The Parametric Defensive Equity Strategy is designed to be implemented in a separately managed account (SMA) maintained by a qualified custodian. Investors should contact their financial advisor to establish an SMA. Parametric also subadvises a fund with a similar strategy, offered and distributed by our affiliate, Eaton Vance Distributors Inc., a registered broker-dealer.

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*We provide a link to the Eaton Vance website for your convenience only. It is for informational purposes only and is not an offer to buy or sell any security. Although Parametric is an affiliate of Eaton Vance, Parametric does not administer the website or control any of its content. Accordingly, this link is provided as is, without representation or warranty, express or implied, as to the accuracy of such content or its completeness or timeliness, all of which (including, without limitation, any implied warranties of merchantability or fitness for a particular purpose) Parametric expressly disclaims. This link’s appearance on Parametric’s website should not imply our endorsement of the linked site or its content. Parametric is not responsible for your use of the linked site, its content, or any other resources (including, without limitation, other linked sites and their contents) accessible through it. If you choose to leave this website and visit the linked site, you will be subject to its terms of use and privacy policies. By continuing to the linked site, you acknowledge and agree to the foregoing.

Derivatives such as futures, swaps, and other investment strategies have certain disadvantages and risks. Futures require the posting of initial and variation margin. Therefore, a portion of risk capital must be preserved for this purpose rather than being allocated to a manager. Liquid futures may not exist for published benchmarks, which may result in tracking error. Also, some intraperiod mispricing may occur. Swaps require periodic payments, may be less liquid than futures, and may have counterparty or credit risk. Some investment strategies require a cash investment equal to the desired amount of exposure.

The effectiveness of an options strategy depends on a general imbalance of natural buyers to natural sellers. This imbalance could decrease or be eliminated, which could have an adverse effect. A decision as to whether, when, and how to use options involves the exercise of skill and judgment, and even a well-conceived and well-executed options program may be adversely affected by market behavior or unexpected events. Successful options strategies may require the anticipation of future movements in securities prices, interest rates, and other economic factors. No assurance can be given that the judgments of Parametric in this respect will be correct.

Options are not suitable for all investors and carry additional risks. Investors must ensure that they have read and understood the current options risk disclosure document before entering into any options transactions. In addition, investors should consult with a tax, legal, and/or financial advisor prior to contemplating any derivative transactions.The options risk disclosure document can be accessed here.

For additional information please visit the Disclosure page.

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