Quantitative Strategies Volatility Strategies

MassPRIM Saw Equity Overlay Harvest Rich Vol Premium In 2021, 2022 Uncertain

Mar 3, 2022

Massachusetts Pension Reserves Investment Management’s equity options overlay helped the state retirement trust smooth its equity portfolio’s returns last year. Officials told board members in December that its USD1 billion put spread collar strategy performed well in 2021, recovering from a COVID-connected lag at the start of 2020.

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