Gray Rectangle

Risk Disclosure

Trade Restrictions Risk: Like other strategies that utilize exchange-traded instruments, a trading halt or other suspension of trading, whether or not temporary in nature, may limit Parametric’s ability to implement portfolio modifications.
Liquidity Risk: During periods of heightened volatility, there may be a reduction in liquidity that impacts option pricing or bid/offer spreads. Such occurrences could impact Investment Manager’s ability to establish new or liquidate existing positions and subject portfolio to losses.
Early Termination Risk:  Early termination of options positions may produce results meaningfully different from typical long-term expectations.
Option Collateral Risk: Changes in option collateral requirements could require positions to be modified or removed, which may produce results meaningfully different from objectives.
Opportunity Risk: Selling call options could limit investment gains if underlying index advances beyond call strike price.  Selling put options creates an obligation to buy the market at a strike price that may be higher than the market price at expiration.

Disclosures

Parametric Portfolio Associates® LLC (“Parametric”), headquartered in Seattle, Washington, is registered as an investment adviser with the U.S. Securities and Exchange Commission under the Investment Advisers Act of 1940. Parametric is a leading global asset management firm, providing investment strategies and customized exposure management directly to institutional investors and indirectly to individual investors through financial intermediaries. Parametric offers a variety of rules-based investment strategies, including alpha-seeking equity, alternative and options strategies, as well as implementation services, including customized equity, traditional overlay and centralized portfolio management. Parametric is a majority-owned subsidiary of Eaton Vance Corp. and offers these capabilities through investment centers in Seattle, WA, Minneapolis, MN and Westport, CT.  This material may not be forwarded or reproduced, in whole or in part, without the written consent of Parametric Compliance. Parametric and its affiliates are not responsible for its use by other parties.

The strategies described herein are offered by the Parametric Investment & Overlay Strategies segment of Parametric. Parametric Investment & Overlay Strategies AUM as of 3/31/2017 is approximately $111.47 billion. 

This information is intended solely to report on investment strategies and opportunities identified by Parametric. Opinions and estimates offered constitute our judgment and are subject to change without notice, as are statements of financial market trends, which are based on current market conditions. We believe the information provided here is reliable, but do not warrant its accuracy or completeness. This material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. Past performance is not indicative of future results. The views and strategies described may not be suitable for all investors. Investing entails risks and there can be no assurance that Parametric will achieve profits or avoid incurring losses. Parametric does not provide legal, tax and/or accounting advice or services. Clients should consult with their own tax or legal advisor prior to entering into any transaction or strategy described herein.

Charts, graphs and other visual presentations and text information were derived from internal, proprietary, and/or service vendor technology sources and/or may have been extracted from other firm data bases. As a result, the tabulation of certain reports may not precisely match other published data. Data may have originated from various sources including, but not limited to, Bloomberg, MSCI/Barra, FactSet, and/or other systems and programs. Parametric makes no representation or endorsement concerning the accuracy or propriety of information received from any other third party. 

The effectiveness of the option strategy is dependent on a general imbalance of natural buyers over natural sellers of index options. 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 assurances 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 at the following web address: http://www.optionsclearing.com/about/publications/character-risks.jsp

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 intra-period mispricing may occur.  Swaps require periodic payments, may be less liquid than futures, and may have counterparty/credit risk.  Some investment strategies require a cash investment equal to the desired amount of exposure.

“Bloomberg” is a trademark and service mark of Bloomberg Finance L.P. (“Bloomberg”). This strategy is not sponsored or endorsed by Bloomberg and Bloomberg makes no representation regarding the content of this material. Please refer to the specific service provider’s web site for complete details on all indices.

“Standard & Poor’s” and “S&P” are registered trademarks of S&P Dow Jones Indices LLC (“S&P”), a subsidiary of The McGraw-Hill Companies, Inc. This strategy is not sponsored or endorsed by S&P, and S&P makes no representation regarding the content of this material. Please refer to the specific service provider’s website for complete details on all indices. 

The Standard and Poor's 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index was developed with a base level of 10 for the 1941-43 base period.

Treasury Bills are a short-term debt obligation backed by the U.S. government with a maturity of less than one year. T-bills are sold in denominations of $1,000 up to a maximum purchase of $5 million and commonly have maturities of one month (four weeks), three months (13 weeks) or six months (26 weeks).

The Chicago Board Options Exchange Volatility Index (“VIX®”) reflects a market estimate of future volatility, based on the weighted average of the implied volatilities for a wide range of strikes. 1st & 2nd month expirations are used until 8 days from expiration, then the 2nd and 3rd are used.

The Bloomberg Barclays US Aggregate is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and non-agency). Provided the necessary inclusion rules are met, US Aggregate eligible securities also contribute to the multi-currency Global Aggregate Index and the US Universal Index, which includes high yield and emerging markets debt. The US Aggregate Index was created in 1986 with history backfilled to January 1, 1976.

All contents copyright 2017 Parametric Portfolio Associates® LLC. All rights reserved. Parametric Portfolio Associates®, PIOS, and Parametric with the iris flower logo are all trademarks registered in the US Patent and Trademark Office.

Parametric is headquartered at 1918 8th Avenue, Suite 3100, Seattle, WA 98101. Parametric’s Minneapolis investment center is located at 3600 Minnesota Drive, Suite 325, Minneapolis, MN 55435. For more information regarding Parametric and its investment strategies, or to request a copy of Parametric’s Form ADV, please contact us at 206.694.5575 (Seattle) or 952.767.7700 (Minneapolis), or visit our website, www.parametricportfolio.com.

 
{F33BD959-1499-4857-91FB-3B0EF4ADCB43}

Loading...