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