Solutions & Multi-Asset
Parametric Global Defensive Equity Strategy
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Parametric Global Defensive Equity Strategy
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Solutions & Multi-Asset
Parametric Global Defensive Equity Strategy
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Parametric Global Defensive Equity Strategy
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Parametric’s defensive equity strategies are designed to capitalize on the tendency of implied volatility to exceed subsequent realized volatility. Through the systematic sale of equity index options, investors can harvest the Volatility Risk Premium-a distinct, persistent and diversifying return stream-without leverage or market forecasts. These strategies are designed to increase portfolio diversification at a lower cost than traditional alternative investments without sacrificing liquidity.
Systematic Investment Process |
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Disciplined and rules-based investment process that is designed to result in repeatable and more formulaic results without the use of market forecasts or interference from behavioral biases. |
Faster Recovery |
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The defensively structured base portfolio is designed to reduce drawdowns during stress events, and consistent exposure to the VRP aims to deliver faster recovery to peak valuation compared to a long-only equity portfolio. |
Portfolio Diversification |
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Places investors in the path of a diversifying VRP, delivering favorable risk-adjusted returns without sacrificing liquidity.1 May be used as a complement to or replacement for hedge fund or low-volatility equity allocations. |
1 Diversification does not eliminate the risk of loss.
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Parametric GDE creates implicit downside protection through a core position in the MSCI ACWI Index and US Treasury bills, combined with fully collateralized short equity index call and put options. No leverage is used in the portfolio. To achieve these long-term investment objectives, multiple layers of diversification are incorporated into the portfolio construction process to meaningfully reduce risk. |
