structurALPHA® Global Hedged Equity

a global, multiple equity market buy-write

Inception: December 31st, 2010

Strategy Description

The structurALPHA® Global Hedged strategy is a globally diversified and hedged Managed ETF portfolio consisting of four separate, single-market, hedged strategies. Underlying long positions are whole-market ETFs, hedged by short one-month at-the-money call options. The short hedges are rolled at or just prior expiration to the next month. The underlying long index exposures and the short option hedges are maintained at all times, regardless of market action or volatility environment, with no tactical adjustments. Re-balancing the underlying equity exposures to policy weights is strategic and valuation based.


Objective

The structurALPHA® Global Hedged strategy is a rules-based hedged equity strategy with the primary objective of outperforming a global equity benchmark in risk-adjusted terms—over the long-term. The underlying equity exposures are: U.S. Large Cap, U.S. Small Cap, Developed Markets and Emerging Markets.


Suitability

The structurALPHA® Global Hedged strategy is suitable for investors who wish to maintain globally balanced equity exposures and returns, but with significantly reduced risk. It is also suitable for investors who want to enhance portfolio returns—especially in low-return environments—through the cash premium captured by the methodical sale of the option hedge(s) across multiple equity markets and varying volatility environments. It is a perfect alternative for investors who seek to include hedged or risk-modified exposures in their asset mix, and prefer them in a low-cost, transparent and liquid vehicle.


Rationale

The same compelling return and risk metrics delivered by the structurALPHA® U.S. Large Cap Buy-Write strategy are earned in this strategy as well with the added diversifying benefit of harvesting volatility and option premium in four markets: U.S. Large Cap, U.S. Small Cap, Global Developed and Global Emerging markets. The volatility of each underlying market is different and as such, option premium available each month varies by underlying exposure.

The structurALPHA® Global Hedged (Buy-Write) strategy is compelling as a stand-alone limited-risk global equity strategy or as an efficiency expanding exposure within a global asset allocation.

From the Portfolio Manager:

Preempting the SPY ex-Div

Rolled the short September 243 call options a day early to preempt getting called away as the SYP goes ex-dividend tomorrow (9/15). We closed the short September calls and re-established a short position at the October 250 strike. Volatility and option premium are at historic low levels...still, we follow the strategy protocols and sell the option hedge regardless of volatility levels. For reference, the first striking price our Large Cap Buy-Write strategy sold in July of 2010 was 109.

Thomas F. McKeon, CFA | 2017-09-14

Raising Cash for SEP Expiration

Raised a little cash in selected accounts today to make sure there is enough cash to roll the hedges this coming Friday at the September option expiration. The market has rallied strongly since the August expiration and all of our underlying hedged exposures are well in-the-money. As such, we will be spending money to close the short option positions and collecting a little bit less as we re-establish a hedge on the October expiration. Also, the StateStreet S&P 500 ETF (SPY) goes ex-dividend this expiration Friday and our protocol is to roll the hedge a day early in order not to get called away, when our short option hedges are in-the-money. That way, our portfolios get to collect the healthy SPY quarterly dividend. An added bonus is that covering the hedges at a loss creates short-term losses....this can be useful at tax time.

Thomas F. McKeon, CFA | 2017-09-12

Welcome to PM Insights

Here we will be sharing our thoughts and insights on recent market action and any portfolio activity we have taken across our suite of strategies or particular to this strategy. Topics will include: valuations, allocation tilts, volatility, premium captured at the monthly hedge roll and anything else the portfolio manager feels is relevant.

Thomas F. McKeon, CFA | 2017-09-05


Investment Performance

Performance through: October 31, 2017

Trailing Returns: Period structurALPHA Global Hedged CBOE BXM MSCI ACWI Global
Hedge Fund
Year to Date 11.11 10.58 20.22 5.15
One Month 0.88 0.59 2.10 0.69
Three Month 2.12 1.79 4.56 1.59
Six Month 5.44 5.35 10.54 3.00
One Year 12.00 13.26 23.86 6.98
Two Year 15.13 18.09 27.13 5.58
Two Year (Ann.) 7.30 8.67 12.75 2.75
Three Year 18.36 25.73 27.76 3.42
Three Year (Ann.) 5.78 7.93 8.51 1.13
Four Year 24.04 36.13 38.40 4.41
Four Year (Ann.) 5.53 8.02 8.46 1.08
Five Year 30.39 46.42 71.54 11.67
Five Year (Ann.) 5.45 7.92 11.40 2.23
Six Year 47.04 65.56 87.27 12.61
Six Year (Ann.) 6.64 8.77 11.02 2.00
Inception 52.86 65.81 80.01 3.96
Inception (Ann.) 6.41 7.68 8.98 0.57

Inception: December 31st, 2010

 

Annual Returns structurALPHA Global Hedged CBOE BXM MSCI ACWI Global
Hedge Fund
2016 4.60 7.07 8.49 2.50
2015 1.69 5.24 -1.84 -3.64
2014 2.33 5.64 4.71 -0.58
2013 9.81 13.26 23.44 6.72
2012 6.56 5.20 16.80 3.51
2011 8.00 5.72 -6.86 -8.87
         

All performance figures are percents. Performance composites and calculations are Global Investment Performance Standards (GIPS) compliant results from actual client accounts. Performance figures are net of CSCM maximum annual fee and all transaction costs. Past performance does not guarantee future returns. All investments involve risk. The use of options in a portfolio may not be suitable for all investors.