Investment Overview

Systematic, disciplined option overlay programs seek to shift the risk/return profile of an underlying equity exposure without adjusting portfolio allocations
Implemented with the sale and active management of short-dated (~1-3 month) call options on the underlying stock or, in the case of Portfolio DeltaShift, an index that correlates to the expected returns of the Client's portfolio
Seek to generate excess return under a variety of market conditions including moderately rising or declining environments, stable or flat markets, and periods of sharp declines over short time periods
Unlike traditional call writing, a key goal of DeltaShift is to maintain substantial (but not all) upside participation during times of sharp appreciation
Risk management employed by attempting to capture early profits when opportunities arise and mitigate losses through repurchasing and reallocating options when necessary
 

Portfolio Construction

A managed call-writing program seeking to enhance total return and generate incremental income for investors with concentrated stock positions or diversified equity portfolios
Long-term goal: seek to increase total return over multiple years net of fees
Seeks to maintain as much upside participation in underlying stock or equity portfolio as possible; In the case of Stock DeltaShift seeks to mitigate number of shares sold
Selects options to maximize upfront premium while maximizing upside potential on the underlying stock or index
Risk and return characteristics are monitored and evaluated on a real-time basis to identify profit capture and roll opportunities

Investment Team

Ken Everding, Ph.D, Managing Director, Parametric Portfolio Associates LLC

26 years of industry experience

12 years with Parametric Portfolio Associates LLC

B.S., Iowa State University

Ph.D., Yale University


Jonathan Orseck, Managing Director, Parametric Portfolio Associates LLC

23 years of industry experience

11 years with Parametric Portfolio Associates LLC

B.S., University of Pennsylvania

MBA, New York University


Larry Berman, Managing Director, Parametric Portfolio Associates LLC

26 years of industry experience

11 years with Parametric Portfolio Associates LLC

B.S., Boston University