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Volatility Risk Premium

Parametric’s VRP strategies aim to provide a significant and persistent source of return without the use of leverage or market forecasts. They do so by harvesting the "Volatility Risk Premium" - a well-researched phenomenon based on the discrepancy between the implied and realized volatility of equity index options. Parametric has developed a series of sophisticated VRP strategies meeting different investor objectives.

Defensive Equity

Our Defensive Equity strategies aim to deliver comparable long term returns and lower volatility as compared to their respective indexes with more predictable outcomes than traditional low volatility strategies. It offers a beta of 0.5.


Liquid Alternative

Our Liquid Alternative strategy is designed to systematically capture VRP using a transparent and rules-based investment process without the use of leverage. It offers a beta of 0.3, comparable to many hedge funds.


Global Defensive Equity

The Global Defensive Equity strategy creates implicit downside protection through a core asset allocation that is split between equity and U.S. Treasury Bills.  Equity index call and put options are then sold against these core positions. All short option positions are fully-covered in order to eliminate any potential leverage. 


Dynamic Put Selling

Our Dynamic Put Selling Strategy is an absolute return strategy that captures VRP through the sale of fully collateralized equity index options. It offers a beta of 0.1.

Defensive Equity

Our Defensive Equity strategies aim to deliver comparable long term returns and lower volatility as compared to their respective indexes with more predictable outcomes than traditional low volatility strategies. It offers a beta of 0.5.


Global Defensive Equity

The Global Defensive Equity strategy creates implicit downside protection through a core asset allocation that is split between equity and U.S. Treasury Bills.  Equity index call and put options are then sold against these core positions. All short option positions are fully-covered in order to eliminate any potential leverage. 


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.


Low Volatility Equity

Our Low Volatility Equity strategy seeks to outperform the S&P 500® Index over a full market cycle with less volatility while capturing VRP. It offers a beta of 0.75.

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

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