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* | 85 |
|---|---|
| Target Annualized Option Yield* | 12.00% |
| Average Distance to Money* | 11.74% |
| Average Market Days to Expiry* | 23.69 |
| Maximum Weight* | 2.62% |
| Median Weight* | 1.18% |
*As of December 31, 2025
Current Model Portfolio Snapshot
*As of December 31, 2025
Performance
February 1, 2015 - December 31, 2025
| Investment (as of 12/31/2025) | Feb 2025 | Mar 2025 | Apr 2025 | May 2025 | Jun 2025 | Jul 2025 | Aug 2025 | Sep 2025 | Oct 2025 | Nov 2025 | Dec 2025 | ITD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Stance Sustainable Income (Gross) | -0.03% | -2.57% | -2.26% | 3.49% | 3.08% | 1.01% | 3.13% | 1.71% | -1.02% | 3.51% | -0.28% | 9.93% |
| Stance Sustainable Income (Net) | -0.03% | -2.57% | -2.50% | 3.49% | 3.08% | 0.76% | 3.13% | 1.71% | -1.26% | 3.51% | -0.28% | 9.13% |
| CBOE S&P 500 BuyWrite TR | -0.56% | -4.65% | -1.63% | 0.90% | 2.66% | 0.72% | 0.97% | 1.80% | 2.57% | 2.18% | 1.65% | 6.57% |
| 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% |