Investment Overview
Strategy Description
The approach is designed to be market neutral and employs double calendar spreads. It is a short gamma, long vega, time arbitrage discipline. They isolate the theta inherent in options and capitalize on the differing levels of time decay that occur as a result of proximity to expiration and strike price. The instruments used in the strategy are SPY options to maximize liquidity. Positions are established as a result of a proprietary equation model and trading decisions are made on a binary rule set.
The returns, since they recently began allocating in this approach, have been exceptional both from a total return and consistency perspective. Attached is a monthly performance summary that shows their results to date.
The teams confidence in the strategy is reflected in the fee structure where there is a 10% quarterly hurdle for performance fees combined with a high water mark. The vehicle for investors would be separate accounts so complete transparency and daily liquidity.
