DDTZ provides 10% downside protection against S&P 500 losses while capturing upside to a predetermined cap, resetting each June. The fund uses options to create asymmetric returns — you eat the first 10% of losses, then get protection below that.
How It Works
The fund buys S&P 500 options to create a defined outcome period running June to June. It combines protective puts starting 10% below the market with call spreads that cap gains at a level set each year based on option prices. Between reset dates, the buffer and cap levels float with the market, so timing matters significantly.
Key Features
- 10% buffer absorbs losses between -10% and -20% if held the full year
- Upside cap typically 15-20% annually, set based on option premiums at reset
- June annual reset means protection levels depend entirely on entry timing
Risks
- First 10% losses hit you fully — this isn't blanket downside protection
- Mid-period buyers get unpredictable buffer/cap levels that move with the market
- Options pricing can create tracking error of 1-2% even in flat markets
Who Should Own This
Best for investors who want equity exposure but would panic-sell in a 20% drawdown. Works as a core holding for retirees or conservative accounts willing to give up some upside for defined downside limits. Requires holding through the full June-to-June period for advertised outcomes.