Our Investment Strategy
Strategy Overview
Systematic Options Segment
The Systematic Options Strategy capitalizes on two critical flaws in VIX-Related ETFs:
Flaw #1: Contango Price Movement
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Our research indicates that VIX ETFs containing futures contracts decline in value because the futures price is almost always higher than the value of the front month contract.
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Flaw #2: Reverse Stock Splits
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As VIX ETFs lose value, the total number of shares is reduced in order to increase the ETFs value and prevent it from going to $0.
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Strategy Overview
Long/Short Segment
Non directional strategy. We identify temporary-in-nature structural supply/demand imbalances & permanent disruptions created by fundamental as well as non-fundamental factors.
Liquidity provisions. Positions in portfolio can be turned over within a short time frame without market impact. We typically invest in stocks with an average daily volume above 1 million shares.
Actively-traded portfolio primarily in mid & large cap public equities
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- Trading around core positions
- Focus on short-term opportunities
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Use cash position to increase exposure into market weakness and for opportunistic volatility and ETF trades
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Strong Risk Management Approach
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Positions are held through earnings primarily by utilizing options to reduce downside risk
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Low gross and net exposures
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Use of proprietary modified real time VaR model to calculate appropriate exposures given market volatility and several other factors. Portfolio construction based on observation of markets. We seek to invest in areas where we have an edge
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Systematic Options Strategy
- 100% systematic
- Contrarian positioning
- Proactive for bearish market sentiment
- Strategy for high and low volatility
- Pre-defined risk management per position
- Positioned in high volume, liquid instruments
- Systematic selection process
- 30-day limited exposure per option leg
- Diversification using multiple algorithms per instrument
- On-shore fund available for US investors & off-shore fund available for non-US investors.
Long/Short Strategy
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Combines fundamental and technical analysis
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No directional bias
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Capitalizes on market inefficiencies
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Allocates to primarily to highly liquid US mid and large cap stocks
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High beta growth stocks
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Some small caps with tighter position limits and defined risk parameters.
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Blend of growth and value equity opportunities.
