Performance
| As of 3/31/23 | Inception Date | |||||||
|---|---|---|---|---|---|---|---|---|
| QTD | YTD | 1 Year | 3 Year | 5 Year | 10 Year | Since Inception | ||
| Glenmede Secured Options (Gross) | 6.4% | 6.4% | -5.9% | 13.5% | 6.5% | 7.0% | 7.0% | 12/31/2003 |
| Glenmede Secured Options (Net) | 6.2% | 6.2% | -6.4% | 12.8% | 5.8% | 6.2% | 6.3% | |
| CBOE Buywrite Index | 6.0% | 6.0% | -6.9% | 12.3% | 4.2% | 5.8% | 5.2% | |
| CBOE Putwrite Index | 6.7% | 6.7% | -3.2% | 15.5% | 6.0% | 6.5% | 6.7% | |
Calendar Year Returns
| 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Glenmede Gross | -10.9% | 19.2% | 5.1% | 19.5% | -3.9% | 6.9% | 6.9% | 8.0% | 6.4% | 13.9% | 10.4% | 8.6% | 14.8% | 25.5% | -29.2% | 9.3% | 16.0% | 5.4% | 9.6% |
| Glenmede Net | -11.4% | 18.5% | 4.4% | 18.7% | -4.6% | 6.1% | 6.1% | 7.2% | 5.6% | 13.1% | 9.7% | 9% | 14.2% | 24.8% | -29.6% | 8.7% | 15.4% | 4.9% | 9.0% |
| CBOE Buywrite TW Index | -11.4% | 20.5% | -2.8% | 15.7% | -4.8% | 12% | 7.1% | 5.2% | 5.6% | 13.3% | 5.2% | 5.7% | 5.9% | 25.9% | -28.7% | 6.6% | 13.3% | 4.3% | 8.3% |
| CBOE Putwrite TW Index | -7.7% | 21.6% | 2.1% | 13.4% | -5% | 10.6% | 7.4% | 6.0% | 6.0% | 12.3% | 8.1% | 6.2% | 10% | 31.5% | -26.8% | 9.8% | 15.1% | 6.7% | 9.5% |
| Gross +/- | 0.5% | -1.3% | 7.9% | 3.8% | 0.9% | -6.1% | -0.2% | 2.8% | 0.8% | 0.6% | 5.2% | 2.9% | 8.9% | -0.4% | -0.5% | 2.7% | 2.7% | 1.1% | 1.3% |
*Volatility Risk Premium is defined as Implied Volatility minus Subsequent Realized Volatility. Subsequent Realized Volatility is the annualized standard deviation of daily returns over the subsequent 1-month period. Implied volatility is the estimated volatility of a security’s price. It represents an estimate of future price movement over a 1-month period, not an indication of price, and there is no guarantee price will follow the prediction.
Alpha: The excess return of an investment relative to the return of a benchmark index.
Performance quoted is past performance and is not a guarantee of future results. Products have fees that reduce their performance, indexes do not. You cannot invest directly in an index. For further information see the Fact Sheet below.
Overview
The Glenmede Secured Options Strategy utilizes active options selection as it seeks to:
- Dampen volatility
- Generate option premium income
- Balance upside participation with a downside cushion
- Provide additional diversification to asset allocation with Volatility Risk Premium (VRP)*
We believe the combination of these characteristics has the potential to outperform the S&P 500 over the long term on a risk adjusted basis.
Active management approach Team seeks to identify and select the “better option”
Active Options Selection Focus on options, not an stock selection
Adaptable Process Incorporate market conditions into strategy investment decisions versus systematic rules
Asset class expertise Extensive experience navigating various market environments
Portfolio Managers average 23 years of Options investment experience
Size matters Designed to minimize the impact to alpha sources through all market cycles
Portfolio Managers
Literature
This website is for informational purposes only and is not a solicitation for any product or service. GIM products are actively managed and their characteristics will vary. All investment has risk, including the risk of loss of principal. There can be no assurance that efforts to manage risk or to achieve any articulated investment objective will be successful. An investor should consider investment objectives, risks, charges and expenses carefully before investing. For additional information regarding risks and about the firm, please refer to Related Literature and Disclosures.