Investment Objective
Long-term capital appreciation and option premium consistent with reasonable risk to principal.
The team seeks to gain an efficient exposure to the Volatility Risk Premium (VRP), by selling secured put options against Global Equity Indices. Our active options selection process is designed to potentially dampen volatility, capture option premium income, balance upside participation with a downside cushion and provide additional diversification to traditional asset allocation. We believe that flexibility inside of mandated parameters may have advantages over systematic strategies.
Key Tenets of Our Approach
Long-term capital appreciation and option premium consistent with reasonable risk to principal
Designed to balance upside participation with a downside cushion
Tax-aware enhanced yield on cash
No Leverage: 100% of the total notional value is invested across various Global Equity Index Options
Universe
- Global Equity Index Options that expire in less than 3 months (S&P 500 Index, Russell 2000 Index, MSCI EAFE and MSCI Emerging Markets)
Benchmark
- MSCI ACWI Index
- Blended Putwrite Benchmark
Operating Target
- Underlying equity exposure: MSCI ACWI Index.
- Seek to be fully invested in cash-secured puts or covered calls on the Global Equity Indices
Limiting Exposure
- Targets 100% cash-secured puts or covered calls on Global Equity Indices
- No external leverage
The Russell 2000 Index is an unmanaged, market value weighted index, which measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market. The Index is unmanaged.
The S&P 500 Index consists of 500 widely held common stocks. This unmanaged index is a total return index with dividends reinvested. The Index is unmanaged.
The MSCI EAFE Index is an equity index which captures large and mid cap representation across 21 Developed Markets countries around the world, excluding the US and Canada. With 798 constituents, the index covers approximately 85% of the free float- adjusted market capitalization in each country. The Index is unmanaged.
The MSCI Emerging Markets Index captures large and mid cap representation across 24 Emerging Markets (EM) countries. With 1,422 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. The Index is unmanaged.
The MSCI All Country World captures large and mid-cap representation across 23 Developed Markets (DM) and 23 Emerging Markets (EM) countries. With 2,480 constituents, the index covers approximately 85% of the global investable equity opportunity set. The MSCI EAFE Index is an unmanaged, market capitalization weighted total return index widely used as representative of equity performance in Europe, Australia and the Far East It includes dividends net of foreign withholding taxes. Returns are sourced from MSCI. The Index is unmanaged.
The Blended PutWrite Index is comprised of four benchmarks, weighted 40% CBOE S&P 500® PutWrite T-W Index, 10% CBOE Russell 2000® PutWrite Index, 40% CBOE MSCI EAFE PutWrite Index and 10% CBOE MSCI Emerging Markets PutWrite Index. It is provided so that investors may compare the performance of the Portfolio with the performance of a combination of indices that the Advisor considers similar to the Portfolio. The Index is unmanaged.
One cannot invest directly in an index.
This website is for informational purposes only. GIM products are actively managed and their characteristics will vary. All investment has risk, including the risk of loss of principal. There can be no assurance that efforts to manage risk or to achieve any articulated investment objective will be successful. An investor should consider investment objectives, risks, charges and expenses carefully before investing. For additional information regarding risks and about the firm, please refer to Related Literature and Disclosures.