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 a set of progressive risk exposure rules, adjusted depending our overall performance achieved during the year.
Fees and other details
We have traded our main strategy, the directional options strategy, during more than 110 weeks of live trading (half of which was live trading before the fund was initiated, during 2021 and 2022, half of which was during the fund’s first year of trading, in 2023). This strategy, exploiting the weekly BASON® signal of markets going up or down, buys 2-day-to-expiry call or put option spreads for S&P500 (through the SPY ETF) each Wednesday (with expiry on Friday), and sells them before the end of trading on Friday.
| Investment approach | Details |
|---|---|
| Investment thesis | Long/short fund that uses scientific innovation to deliver alpha to its investors. We apply our options strategy on SPX and SPY indices based on weekly signals from our proprietary BASON methodology. We hedge the rest of the portfolio with US T-Bills. |
| Type of fund | Open-ended, derivatives, equities, bonds |
| Access to liquidity | Monthly (BASON positions opened each Wed, closed each Fri) |
| Entry fee | 1.5% (charged as one-off upon entry) |
| Management fee | 1.5% (charged 0.125% per month from year 2 onwards) |
| Exit fee | 0% |
| Performance fee | 25% (8% hurdle rate*, high watermark**) |
| Asset allocation | 10% BASON, 90% collateral hedges |
| 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 charged if return is below the hurdle rate). **High watermark applied for quarterly earnings (meaning we cannot charge a fee if your balance is below zero YTD)