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 an index that correlates to the expected returns of the portfolio
Seek to generate alpha 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 covered call-writing program seeking to enhance total return and generate incremental income for investors with concentrated stock positions
Long term goal is to increase an underlying portfolio’s total return 200-500 bps (net of fees) annually
Seeks to mitigate number of shares sold and maintain as much upside participation as possible
Selects options to maximize upfront premium while maximizing upside potential on the underlying stock
Risk and return characteristics are monitored and evaluated on a real-time basis to identify profit capture and roll opportunities

Investment Team

Brad Berggren, CIO, Founder and Managing Director, Parametric Risk Advisors LLC
28 years of industry experience
13 years with Parametric Risk Advisors LLC
B.A., University of Vermont
Ken Everding, Ph.D, Managing Director, Chief Risk Officer, Parametric Risk Advisors LLC
25 years of industry experience
11 years with Parametric Risk Advisors LLC
B.S., Iowa State University
Ph.D., Yale University
Jonathan Orseck, Managing Director, Chief Operation Officer, Parametric Risk Advisors LLC
22 years of industry experience
10 years with Parametric Risk Advisors LLC
B.S., University of Pennsylvania
MBA, New York University
Larry Berman, Managing Director, Head of Trading, Parametric Risk Advisors LLC
25 years of industry experience
10 years with Parametric Risk Advisors LLC
B.S., Boston University

Benchmark

S&P 500 Index