We apply a “duration” framework to equity assets – similar to what has been done in the fixed income markets for decades. The strategies can be implemented in public or private structures depending on the client’s particular goals and investment profile.
Dividend Multiplier Strategy
Unbundle and Reallocate Index Dividend Cash Flows
The Metaurus Dividend Multiplier Strategy (DMS) is designed to provide cash flows that are a multiple of an index’s dividend yield in exchange for modestly reduced, yet uncapped, exposure to the index’s long-term price appreciation potential. This approach disassembles a traditional growth & Income strategy and reassembles it into one of variable income and growth.
Dividend Risk Premium
Capture Embedded, Isolated Dividend Growth
Historically, dividend futures prices typically trade at a discount to analyst dividend forecasts. The Dividend Risk Premia Strategy (DRP) is designed to harvest the risk premium embedded in the expectations for future dividends. It seeks to improve a diversified portfolio’s expected Sharpe ratio, with reduced volatility, and with low to no correlation to other assets. It can be deployed domestically or in a blended international approach.
Enhanced Dividend Overlay
Enhanced Portfolio
The Enhanced Dividend Overlay is designed as an alpha-generation strategy that can be applied to any existing equity or fixed income portfolios. This extension of the Dividend Risk Premium can also help enhance the cash flow of your existing investment strategies. It can change key metrics including a portfolio’s cash distributions, duration, and volatility while maintaining the core, underlying approach.
Isolated Short-Duration Equity
Unbundled Short-Term Dividend Exposure
The strategy seeks to provide isolated and targeted exposure to an index’s short-term dividend cash flow. Separately traded dividend cash flow (or dividend strips) can act like short-duration equity assets and can be very sensitive to changing market expectations of future cash flows. Academic research has shown that dividend strips, relative to their underlying index, provide: 1
- Higher Absolute Excess Returns
- Higher Risk-Adjusted Returns and Sharpe Ratios
- Lower Volatility
Isolated Long-Duration Equity
Unbundled Long-Term Dividend Exposure
The “long-duration” component of an index is the present value of its potential long-term dividend payments in the future. The strategy offers exposure to an index’s total cash flow and performance, reduced by the value of the index’s Isolated Short-Duration Equity component. Similarly, this approach can alter portfolio metrics including cash distributions, duration, and volatility which may help with asset-liability matching.
Dynamic Reassignment℠
Real-Time, Dynamic Asset Sorting Technology
Dynamic Reassignment is a patent-pending technology designed to dynamically sort and re-assign assets, in real time, between portfolios based on instantaneous performance measures. This approach separates stocks, or other assets, into continuously changing “Lead” and “Lag” sub-groups that can provide a gauge of realized dispersion and correlation. It allows for exposure to assets with similar characteristics, but without having to select and own the individual assets in advance – “Own the Box, Not the Stocks”.℠
The technology represents a claim on constituent assets that meet a particular performance metric in real-time. The technology can also be applied to various assets classes using any observable metric.
Commodity Trend-Following
Systematic, Long-Only, Algorithmic Trading Strategy
The Strategy is based on systematic, trend-following investment principles. It applies proprietary algorithms and rigorous risk management procedures to establish position levels and to set dynamically adjusting protective stops. This long-only strategy focuses on only the most liquid commodities and may offset the effects of inflation.