Global Equity-oriented Options-based Strategies RFI

Type of Request:


PCA is in the process of identifying qualified investment management organizations to manage a Global Equity-oriented Options-based strategy on behalf of one of our public fund clients. The most relevant strategies should exhibit full-cycle equity betas (ACWI) of 0.5-0.7 while also harvesting the volatility risk premium. Examples may include cash-secured put-writing, covered calls, and combinations of cash, equity exposure, and short straddles/strangles. Strategies that rely on strategically purchasing options will not be considered. U.S.-centric strategies will also not be considered. Proposed strategies are expected to provide global equity-like returns over a full market cycle but with 50-80% of the volatility of the broad global equity markets. One manager will be selected with an approximate mandate size of $600-800 million (subject to change). This mandate will be fully funded (i.e., not an overlay). The selected manager will likely be benchmarked to the following blended benchmark: 50% CBOE S&P 500 PutWrite Index (PUT) / 25% MSCI ACWI Ex. U.S. Index ND / 25% Merrill Lynch 3-month T-Bill Index.


In order to be considered for this mandate, managers must complete and return this RFI via email and hard copy to PCA by no later than February 9, 2018.