DeltaShift

Our DeltaShift Strategy is a managed call-option writing program that seeks to enhance total return and reduce volatility in an equity portfolio without needing to adjust holdings or allocations. It offers a beta of 0.9.

Strategy Goals

The Parametric DeltaShift Strategy is a managed call-option writing program that seeks to enhance total return and reduce volatility in an equity portfolio. It can be implemented with concentrated stock positions, diversified equity portfolios or passive indexing strategies. Our systematic, disciplined call-option writing programs seek to shift the risk-return profile of a long-equity portfolio without adjusting holdings or allocations.

Investment Philosophy

We seek to

Generate incremental return versus a long only equity portfolio over a market cycle
Provide a cash flow hedge by generating excess cash in stressful market environments
Reduce volatility in all stages of the market cycle
Outperform passive mechanical buy-write indices

Investment Thesis

Equity index options have historically traded above “theoretical fair value”, and we expect this to continue

Option prices contain a “Volatility Risk Premium” (VRP) paid by option buyers to option sellers
The VRP is meaningful and likely to persist, it is a diversifying premium that most portfolios currently do not hold
A covered call portfolio can capture the VRP by selling covered options without introducing leverage

DeltaShift is offered by Parametric Investment & Overlay Strategies. For additional information please visit the Disclosure page.

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Investment advisory services offered through Parametric Portfolio Associates^® LLC ("Parametric"), an investment advisor registered with the US Securities and Exchange Commission.

Parametric (National Registration Database No. 42850) is also registered as a Portfolio Manager with the securities regulatory authorities in certain provinces of Canada with regard to specific products and strategies. Parametric provides advisory services directly to institutional investors and indirectly to individual investors through financial intermediaries. The information on this website does not constitute an offer to sell, or a solicitation of an offer to purchase, securities in any jurisdiction to any person to whom it is not lawful to make such an offer. Investing entails risks and there can be no assurance that Parametric (and its affiliates) will achieve profits or avoid incurring losses. All investments are subject to potential loss of principal. Parametric does not provide tax or legal advice. Prospective investors should consult with a tax or legal advisor before making any investment decision. Please refer to the Disclosure page for important information about investments and risks.

S&P Dow Jones Indices are a product of S&P Dow Jones Indices LLC (“S&P DJI”) and have been licensed for use. S&P^® indexes are registered trademarks of S&P DJI; Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); S&P DJI, Dow Jones, and their respective affiliates do not sponsor, endorse, sell, or promote Parametric and its strategies, will not have any liability with respect thereto, and do not have any liability for any errors, omissions, or interruptions of the S&P Dow Jones Indices.

DeltaShift

Strategy Goals

Investment Philosophy

We seek to

Investment Thesis

Connect with our team on this strategy

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