Investment approach
We have designed the strategy to benefit from positive asymmetry, meaning that we are implementing a strategy that has at least a 3:1 potential risk-return profile for any given week. Rather than selling volatility, we are buying volatility each week, looking to profit handsomely in a handful of weeks each year where the market makes its largest swing in our direction, but we also benefit during less volatile times as long as the S&P500 ends up in the same direction as our prediction. In losing weeks, we limit the losses relative to our maximum allowed risk exposure each week.
We use progressive risk-exposure rules that adapt to realized performance and prevailing conditions, keeping position sizing systematic rather than discretionary.
Structure, liquidity, and fees
We have live traded our main directional options strategy across more than 110 weeks spanning pre-fund and fund capital. The strategy uses the weekly BASON® signal on market direction to buy 2-day-to-expiry or 0-day-to-expiry calls or puts on SPY each Wednesday and exit before Friday’s close.
| Strategy overview | Details |
|---|---|
| Investment thesis | A long/short fund grounded in scientific research and behavioural insight. We express weekly BASON signals through options on SPX and SPY, while the rest of the portfolio is held in US T-Bills and collateral hedges. |
| Type of fund | Open-ended; derivatives, equities, bonds |
| Access to liquidity | Monthly (BASON positions generally opened midweek and closed before week-end) |
| Entry fee | 0% |
| Management fee | 1.5% (charged 0.125% per month from year 2 onwards) |
| Exit fee | 0% (no holding period) |
| Performance fee | 25% (8% hurdle rate*, high watermark**) |
| Asset allocation | 2% BASON, 8% cash, 90% in hedged longs (2026) or T-Bills (prior to 2026) |
| Return-adjusted allocation | 80-90% BASON, 10-20% bond and equity hedges |
| Geographic exposure | 100% USA (US equities, US bonds, US equity options, US dollar) |
| Sector exposure | n/a (investing only into index options, no individual stocks) |
| Asset exposure | Derivatives 10%, Equities and bonds 90% |
Hurdle rate = 8% annual, 2% quarterly (no performance fee is charged if returns are below the hurdle rate). High watermark applies to quarterly earnings (meaning we cannot charge a fee if your balance is below zero YTD).