Andrew King, an Investment Specialist at Deutsche Bank, follows up with Paul regarding the Harvest Collateral Yield Enhancement Strategy (CYES) discussed in a previous meeting. The strategy involves managing short-dated index option spreads on the S&P 500 to exploit volatility risk premium and time decay. It aims to add incremental returns and diversification benefits to existing portfolios without capital outlay, using the portfolio as collateral. The strategy is managed by Harvest, a leader in managed option strategies with over $10BN in AUM.
doj/DataSet10/EFTA01386791.pdf
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