Investment Overview

Seek to take advantage of the historical imbalance between natural buyers and natural sellers of stock index options
Employs a systematic, rules-based option writing strategy
Seek to mitigate risk by writing options spreads (rather than stand-alone options), limiting loss potential, staggering roll dates evenly and using exchange-traded options
Seek returns that are in excess of cash with low volatility variability and that are uncorrelated to traditional portfolio risks
 

Portfolio Construction

Writes call and put spread combinations on the S&P 500 Index
Options are out-of-the money, 28-day, exchange-traded options
Option spread combinations result in fixed maximum potential loss for each position

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


 

Benchmark

ICE BofAML 3-Month U.S. Treasury Bill Index