Chapter Four – VRP in Action
Parametric’s Defensive Equity strategy is designed to deliver equity-approximating returns across most market environments1 with significantly below equity-market risk.
We access the volatility risk premium (VRP) through four components: 50% equity exposure (the S&P 500® Index), 50% U.S. Treasury bills, and an option overlay consisting of 50% written S&P 500® Index calls and 50% written S&P 500® Index puts.