Detailed Methodology
- Identify Sustainable Names [Stance ESG LCC ESG Pass List]
- Estimate Expected Price Range over 30 market days
- Compute and Adjust options premia based on days to maturity with holiday adjustments
- Compute Daily Yield relative to Expected Price Range
- Filter for Out of Money Calls ONLY
- Identify Lot size minimums for optimizer
- Feed into optimizer Max Portfolio E[Yield By Day] / E[Risk]
Current Model Portfolio Snapshot
| Number of Equities* | 75 |
|---|---|
| Target Annualized Option Yield** | 12.00% |
| Average Distance to Money** | 6.90% |
| Average Market Days to Expiry** | 16.90 |
| Maximum Weight* | 1.77% |
| Median Weight* | 1.44% |
*As of September 30, 2025; ** As of August 31, 2025
Current Model Portfolio Snapshot
*As of September 30, 2025
Performance
February 1, 2015 - September 30, 2025
| Investment (as of 9/30/2025) | Feb 2025 | Mar 2025 | Apr 2025 | May 2025 | Jun 2025 | Jul 2025 | Aug 2025 | Sep 2025 | ITD |
|---|---|---|---|---|---|---|---|---|---|
| Stance Sustainable Income (Gross) | -0.03% | -2.57% | -2.26% | 3.49% | 3.08% | 1.01% | 3.13% | 1.71% | 7.60% |
| Stance Sustainable Income (Net) | -0.03% | -2.57% | -2.50% | 3.49% | 3.08% | 0.76% | 3.13% | 1.71% | 7.08% |
| S&P 500 Daily Covered Call Index TR | -1.07% | -4.89% | -3.23% | 5.12% | 5.44% | 2.32% | 1.27% | 3.70% | 8.45% |
| Trailing Period (as of 9/30/2025) | Stance Equity (Gross) | Stance Equity (Net) | S&P 500 TR Index |
|---|---|---|---|
| Inception Return (Annualized) | 12.37% | 11.60% | 13.60% |
| Standard Deviation | 13.86% | 13.83% | 14.67% |
| Beta | 0.85 | 0.85 | 1.00 |
| Alpha | 0.88% | 0.21% | 0.00% |