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 "FLEX" options
Option spread combinations result in fixed maximum potential loss for each position

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

Bank of America/Merrill Lynch 3-Month U.S. Treasury Bill Index