Alpha

Fund Investment Objectives

Market neutral / non directional single hedge fund strategy based on shorting listed equity index option to capture "time value" (rolling short strangles) The strategy is strictly rule based driven by a quantitative investment process with strong focus on risk management with the aim to deliver consistent returns at moderate volatility. The strategy is live since 2003 and the track record shows not only strong double digit returns at relatively low volatility, but also low correlation to equity / bond markets and to major hedge fund strategies.