METAURUS INVESTMENT STRATEGIES

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See how Metaurus’ suite of strategies can enhance portfolio construction to achieve customizable investment exposure. Our strategies focus on unbundling and optimizing dividend cash flows, harvesting the embedded dividend risk premium, and disaggregating the sources of investment return.

Benefit from Metaurus’ extensive background in structured products and our “duration” framework approach to equity assets. Strategies can be implemented in both public and private structures.

STRATEGIES

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.

Target Duration EQUITY

Customized Equity Portfolio’s Duration & Volatility

The Metaurus Target Duration Equity is a systematic and dynamic strategy that seeks to customize an equity portfolio’s duration and volatility through the tactical use of short duration equity (dividend strips). This strategy allows for equity portfolios to be differentiated based on "horizontal" criteria such as equity duration & maturity as opposed to the more traditional "vertical" criteria based on industry sector or investment style.

Enhanced Dividend Overlay

Enhanced Portfolio

Enhanced Dividend Overlay is designed as an alpha-generation strategy that can be applied to an existing equity or fixed income portfolio. This extension of the Dividend Risk Premium Strategy can also help enhance the cash flow characteristics of an existing investment strategy. It can change key metrics including a portfolio’s cash distribution profile, 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 shortterm 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

¹ The Term Structure of Returns: Facts and Theory”, Van Binsbergen and Koijen, Journal of Financial Economics, 2017.

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 ℠ TECHNOLOGY

Real-Time, Dynamic Asset Sorting Technology

Dynamic Reassignment Technology is a patent-pending process designed to dynamically sort and re-assign assets, in real time, between portfolios based on instantaneous relative performance measures. This approach separates stocks, or other assets, into continuously changing sub-indices that can provide a gauge of realized dispersion and correlation.

It allows for exposure to assets with certain 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 and can be applied to any number of sub-indices.

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 initial 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.