Investment Overview

The strategy aims to create implicit downside protection through a core position in the MSCI ACWI℠ Index and Treasury Bills, combined with fully collateralised short equity index call and put options (no leverage).
The strategy uses a disciplined implementation process that adapts to changing market volatility without the need for market timing or forecasts.
Over a full market cycle, income generated from option sales is expected to more than offset the equity risk premium forgone.

Investment Objective

The Global Defensive Equity Strategy seeks to produce significantly lower return volatility and consistently favourable risk-adjusted returns compared to a fully-invested equity portfolio.
Over a full market cycle, the return objective of the strategy is to outperform the MSCI ACWI℠ Index with at least 40% lower risk as measured by standard deviation of returns.
The strategy is expected to outperform in flat and lower equity markets, and trail the MSCI ACWI℠ in strong equity markets.

Portfolio Construction

Designed to capitalise on the tendency of implied volatility to excess subsequent realised volatility.
Through the systematic sale of equity index options, investors can harvest the volatility risk premium - a distinct, persistent and significant return stream - without the use of leverage or market forecasts.
These strategies are designed to increase portfolio diversification at a lower cost than traditional alternative investments, without sacrificing liquidity

Investment Team

Thomas Lee, CFA, Chief Investment Officer

31 years of industry experience

31 years with Parametric

BS, University of Minnesota

MBA, University of Minnesota

Alex Zweber, CFA, CAIA, Managing Director, Investment Strategy

15 years of industry experience

13 years with Parametric

BA, Macalester College