CalSTRS Allocates $100 million to Low Vol Covered Call Program

Posted: March 26, 2015 | by: Thomas F. McKeon, CFA

Allocation is an effort to maintain equity exposure with less risk.

From the PR Newswire of March 25, 2015: Parametric Portfolio Associates LLC ("Parametric"), a subsidiary of Eaton Vance Corp. (NYSE: EV), announced that the firm was recently awarded a $100 million mandate as part of a larger low volatility and covered call program that California State Teachers' Retirement System (CalSTRS) is putting in place in 2015. Parametric's allocation was completed with a pair of $50 million tranches funded in January and February.


CalSTRS' program, named Stabilized Equity, is designed to allocate assets to low-volatility equity strategies with the goal of maintaining equity exposure with less risk.


The mandate was awarded to Parametric Portfolio Associates, the largest manager in the covered call arena. Many institutional investors need to maintain equity exposure to meet their objectives but have become concerned with equity risk and valuations after the more than six-year equity market rally. Covered call—also known as buy-write—strategies offer the perfect combination of characteristics: equity returns, reduced risk and superior positive market capture asymmetry. As a result, institutional adoption of covered call strategies continues to grow.

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