The use of Delta Adjusted Exposure on Fact Sheets is common across many Fund Management companies. Please see below explanation provided by Goldman Sachs Asset Management on some of their Fact Sheets – we follow the same definition and rationale:
“All options positions are displayed on a delta adjusted notional value basis i.e., the exposure is option delta * underlying notional value. Delta adjustment is necessary to properly account for the sensitivity of options to changes in price of the underlying security as well as for making exposure comparisons to the underlying (measuring options exposure as premium will understate the economic exposure and risk, while measuring exposure as notional value will overstate the economic exposure).”
Please also note the following quote from a Fidelity Fund International fund Fact Sheet:
“all derivatives are included on an exposure basis and, where necessary, are delta-adjusted. Delta-adjusting expresses derivatives in terms of the equivalent number of shares that would be needed to generate the same return.”
Hence Portfolio Net Delta Adjusted exposure is, in many opinions, the most representative gauge of a fund’s overall exposure to equity markets.
Note: An option’s delta value can change regularly and behave non linearly dependent on the distance to the strike price of the option.