Transformational Innovation Opportunities: Equity Reverse Convertible Model Portfolios

This report outlines model portfolios of stocks suited for reverse convertible strategies within three key innovation themes: Artificial Intelligence, Power and Resources, and Longevity. It provides methodology, risk disclosures, and quantitative screens for selected securities.

Key Takeaways

• 1.Three transformational innovation opportunities (TRIOs) — Artificial intelligence, Power and resources, and Longevity — are identified as core drivers for equity markets.
• 2.Reverse convertibles provide a structured way to generate yield and build defensive exposure to these long-term themes, particularly amid elevated implied volatility.

Table of Contents

• Introduction
• Portfolio construction
• Benefits of the CIO model portfolios
• Artificial Intelligence Portfolio
• Power & Resources Portfolio
• Longevity portfolio
• Sector exposure
• Strike comparison
• Historical simulation
• Momentum screen
• Volatility screen
• Market & Volatility Snapshot
• What is a reverse convertible?

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