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Our enhanced equity strategies employ an actively managed covered call approach that seeks to reduce risk and increase the returns of an equity allocation. The strategies seek to generate alpha through the systematic sale of equity index or ETF options. The strategies employ a quantitative, rules-based portfolio construction process with qualitative inputs. These rules provide the portfolio management team with flexibility around option strikes, execution time, and allocations to underlying holdings.

Capitalizing on Volatility Risk Premiums

Equity index implied volatility (as measured by the CBOE VIX Index) has historically traded at a large premium to the subsequent realized volatility of the underlying stocks. This market inefficiency, known as the volatility risk premium, is sustained by ingrained behavioral biases, such as aversion to loss, which cause investors to consistently overpay for ETF and index options to hedge their portfolios. Volatility risk premiums exist across the market for index and ETF options and vary month-to-month as market conditions change.

We believe that an actively managed, dynamic approach to covered call investing is the most effective way to capture the volatility risk premium over time, reduce risk and increase the returns of an equity allocation. Each month, we seek to identify the most attractive volatility risk premiums among ETF and index options, targeting:

  • At-the-money strike prices for ETF and index options with attractive volatility risk premiums
  • Out-of-the-money strike prices for ETF and index options with less attractive volatility risk premiums


Key Investment Professionals

Dan Cheeseman

Portfolio Manager

Contact Us

Contact Guggenheim Investments for more information about this strategy or to learn more about our capabilities.


Important Disclosures

Past performance is not a guarantee of future results. Investing involves risk, including the possible loss of principal. There is no guarantee that any investment strategy will achieve its investment objectives or is suitable for all investors. Diversification does not ensure profit nor protect against loss. Every asset class is subject to various risks that affect their performance in different market cycles. Fixed income investments are subject to certain risks including market, interest-rate, issuer, credit, and inflation risk. Equity investments are subject to market risk or the risk of loss due to adverse company and industry news, or general economic decline. Alternative investments are subject to market risk, currency risk, foreign investment risks, liquidity risks, higher fees and expenses, regulatory restrictions, and volatility due to speculative trading and use of leverage.

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Guggenheim Investments represents the following affiliated investment management businesses of Guggenheim Partners, LLC: Guggenheim Partners Investment Management, LLC, Security Investors, LLC, Guggenheim Funds Distributors, LLC, Guggenheim Funds Investment Advisors, LLC, Guggenheim Corporate Funding, LLC, Guggenheim Partners Europe Limited, Guggenheim Partners Japan Limited, and GS GAMMA Advisors, LLC.