Equity PLUS

Parametric’s Equity PLUS (Premium Liquid Upside Strategy) is a systematic investment solution that combines large-cap equity with beta-neutral call writing and seeks to capture a more reliable source of alpha than traditional stock selection.

Equity PLUS seeks to outperform the S&P 500® and consistently produce top-quartile performance relative to US large-cap managers. Equity PLUS is best suited for investors who are looking to capture US large-cap equity exposure and are dissatisfied with high fees and low realized alpha from traditional equity portfolios.

Investing in an options strategy involves risk. All investments are subject to loss. Learn more.

Explore our suite of VRP solutions

An enhanced equity portfolio

Using a model-driven approach, PLUS is designed to remove emotions and guesswork from the investment decision-making process.

Equity PLUS augments a passive S&P 500® portfolio with a unique source of value-add: beta-neutral call overwriting. This combines systematic equity index call options selling with incremental long equity exposure via futures to access the options-based volatility risk premium. A rules-based tail risk management overlay enhances its downside risk profile.

Portfolio Construction

Intended benefits of Equity PLUS

Alpha

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Our beta-neutral implementation of call overwriting seeks to better isolate the VRP as the strategy’s key source of value-add, potentially delivering alpha that’s different and more consistent than with traditional stock selection.

Transparency

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Our rules-based portfolio design is disciplined and transparent. It seeks to minimize the impact of any market event and improve the formula of investment outcomes.

Experience

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Our team has built customized investment solutions across equities, options and futures for over three decades. We leverage these capabilities into a single portfolio supplemented with a risk management overlay.

How Equity PLUS works

Base portfolio
Alternative return source
Risk management overlay

We start with a core position of 100% S&P 500® equity, then we build the base portfolio from there.

We sell index call options (100%) against long S&P 500® futures (20%) to seek to generate a positive carry.

We design portfolios to manage losses in the event of a drastic market sell-off. This seeks to minimize the risk of margin calls or forced liquidation during tail events.

The information represents how the investment team generally applies their investment processes under normal market conditions.

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Strategy overview

Want to know more about Parametric Equity PLUS?

Download our strategy overview.

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Why choose Parametric?

$572.1B+

Total firm AUM

$17.5B+

VRP solutions AUM

30+

Years of firm experience

As of 9/30/2024

MORE WAYS TO INVEST

Volatility Risk Premium

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The effectiveness of the option strategy depends 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 programs 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 judgment 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 or financial advisor prior to contemplating any derivative transactions. The options risk disclosure document can be accessed at the following web address: https://www.theocc.com/Company-Information/Documents-and-Archives/Options-Disclosure-Document.

Equity PLUS

Alpha

Transparency

Experience

Why choose Parametric?

Volatility Risk Premium

Get in touch

More to explore

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