Strategy
This approach attempts to deliver attractive risk-adjusted returns by investing in a portfolio replicating the S&P 500® and systematically writing, or selling, S&P 500 Index call options against the portfolio, resulting in cash flows that moderate portfolio volatility and provide protection in down markets. Though portfolios will not participate in gains above the strike price of the call option, reducing upside potential in strong markets, the cash flows generally enhance returns in moderately rising and stable markets. Additional capital preservation approaches may be employed using exchange-traded options as market conditions dictate.