A Volatility Chart

Dynamic Hedged Equity

Our Dynamic Hedged Equity strategy is designed to achieve returns consistent with long equity exposure over a market cycle. It systematically provides a volatility-reducing hedge by buying puts and selling calls.

Strategy Goals

Parametric’s Dynamic Hedged Equity strategy provides a thoughtful approach to equity risk management and is designed to provide a volatility-reducing hedge that is always in place and is never market timed. Using a risk-based option selection methodology, the strategy re-indexes each option tranche’s new strikes to the risk environment perceived by the market at that time. Multiple tranches per month seek to reduce path dependency, smooth returns, and better achieve statistical significance as compared to less frequent observations often found in other strategies.

Investment Philosophy

 

 

 What the Objectives Are

 

 

  • Achieve returns consistent with outright long exposure of the underlying index (net of fees) over multiple market cycles;
  • Hedge against 28 day drawdowns generally greater than 5.00% on average and gains greater than 3.50% on average;
  • Mitigate portfolio volatility to a level less than that of the underlying index; and
  • Maintain high levels of liquidity and transparency by utilizing only exchange-traded options.

 

 

What the Strategy Does

 

 

  • The Dynamic Hedged Equity Overlay strategy offers significant and thoughtful strategic equity risk management providing a volatility-reducing hedge that is always in place and is never market timed.
  • Using a risk-based delta option selection methodology, the strategy re-indexes each option tranche’s new strikes to the risk environment perceived by the market at that time.

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

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Volatility Management

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Volatility Management

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