Ross, Jeffrey and Antle

RJA Global Hedged Equity Strategy

The RJA Global Hedged Equity Strategy provides qualified institutional investors with a customizable solution to access global volatility risk premium and achieve equity-like returns with reduced volatility.

Strategy Description

The RJA Global Hedged Equity Strategy involves systematic selling of cash-secured put options to harvest the volatility risk premium. The strategy utilizes a combination of securities associated with broad equity market indices (e.g. S&P 500, MSCI EAFE, MSCI EM, etc.) to achieve the investment objective while maintaining a low tracking error to client-specified benchmark. The notional exposure of the options is fully collateralized at the start of each monthly expiration cycle. The strategy employs a proprietary trading algorithm to collect more volatility risk premium, rebalance delta and de-lever on the downside.

The strategy is constructed using a building block approach to portfolio construction so it is fully customizable to clients' specific benchmarks.

View the factsheet for the Global Hedged Equity Strategy. [PDF] PDF