Investment Objective
The Strategic Volatility Premium aims to enhance the returns of a fixed-income allocation to U.S. Treasury Notes through an options-based overlay strategy, which is generally based on ISG market views. The Portfolio implements this strategy by selling options on securities or indices, generating income from premiums. To mitigate risks when the price of the underlying assets moves close to or beyond the exercise price of the written options, the Portfolio may also purchase long options or invest directly in the underlying assets.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.8 | 1.0 | 0.3 | 0.8 | 0.6 | 0.1 | 0.0 | 0.4 | 0.4 | 0.3 | 0.5 | 0.1 | 0.1 | |
| 2022 | 1.0 | 0.9 | 0.5 | 0.7 | 0.3 | 0.3 | 0.8 | 0.6 | 0.4 | 0.9 | 0.0 | 0.5 | 0.3 |
