1. Fund’s fact
2. Investment strategy
3. Performance/ Reporting
4. Trading strategy
5. Macro economic environment
6. Risk management
2. Investment Strategy
2.1 – Please describe your strategy.
The fund works in the euro zone markets through index options (mainly on Dax and Eurostoxx50 indexes). The positions will be arranged in structured strategies expiring in a period of about a month, which is a standard expiration date. We tend to limit the maximum number of positions in the whole strategy to maximize the yield. That does not mean that we do not invest with short-term goals of a few days or hours, but aim to cover positions that become too risky.
Our investment strategy is particularly innovative. We tend to open the positions three or four weeks before the expiration day, structuring arbitrages on volatility. The strategy earns by the virtue of these arbitrages and because the time decay process every month with a low level of risk, because the arbitrage is hedged with long positions (through positions on futures and put options with expiration of almost a year into the future).
2.2 – Please describe your investment objectives.
The principal investment objective of the Fund is to achieve capital appreciation on funds under management while actively managing the risk associated with the trading strategy of the Fund. The strategies aim to generate a monthly return of around 0,50% to 4,00% and to suffer only occasional limited losses in adverse situations.
2.3 – What is the level of Return targeted by the Euroption Strategic Fund?
20-25% per annum net of fees.
2.4 – Asset classes invested in?
The Fund will invest exclusively in derivative financial instruments, options and futures contracts, quoted in the most important Stock Exchanges; in the beginning the Fund will invest on Xetra Dax, Eurostoxx 50, and then on the English Liffe and CME.
2.5 – Time horizon for your investments?
Time horizon for investors in Euroption Strategic Fund is typically 12 months.
2.6 – Geographical focus.
Mostly Western Europe & USA.
2.7 – How long has the Investment Manager been involved in investments of the type proposed for the Euroption Strategic Fund?
The Investment Manager has more than 5 years of experience in such investment.
2.8 – What kind of information do you use to determine your investments (street, proprietary)?
Proprietary information.
2.9 – Will large amounts investment funds affect your performance ? If so, in what way?
No, the strategy and the target of returns will remain the same, at least up to 100 millions of AUM.
2.10 – Maximum fund investment capacity.
Likely to close to new investments at 150 million euros. Over this amount it is likely that a second fund would be launched.
2.11 – Have you made changes to your strategy during the years?
Yes, we made some adjustments in relation to the levels of volatility, which is the central focus of our strategies.
2.12 – Have you experienced a bear market? If so, how did this affect the type of investments proposed?
Yes, we have experienced a bear market, but the type of investments that we seek out are market neutral and are not affected by bull or bear markets. Furthermore, we experienced much better results on bear markets than in bull markets.
2.13 – What has been your maximum draw down?
We experienced our maximum loss, using this strategy, on June 2003, with a drawdown of 9,45%, but that year we close with a performance of 91,85% of net return, because of extremely high levels of volatility.
In 2005 we lost less than 1% in a month, with a total return of 24,37%.
2.14 – Which is the single biggest contributing factor to your performance?
The selection process of the index options, considering the Greeks.
2.15 – What sort of event would cause you to modify your investment strategy?
Our approach is market independent and the type of investments we follow works in all market conditions and consequently there is little which would significantly alter our approach.
2.16 – Is your Fund a "Fund of Hedge Funds"?
No, our Fund must be viewed as a "single manager hedge fund" with its own unique proprietary strategy.
2.17 – Is your Fund a "multi-strategy" Fund?
No, we follow one strategy usually handled by three physical fund managers. The multiple-strategy approach used by some funds or FoFs (Fund of Funds) is usually adopted for reasons of diversification that are not required in our methodology as a result of the high returns offered by our present trading techniques. Our Fund must be viewed as a "single strategy fund”.
2.18 – Is your approach more art than science?
Our approach is systematic and proven. Since our approach focuses on arbitrage positions primarily in derivatives, we simply enter a trade when we are certain of the spread. Thus, our approach is nothing more than discovering the opportunities and the application of simple mathematics.
2.19 – What is your competitive edge?
Disciplined implementation. A stable management team and more than 10 years of experience in our specialist area with a particular eye for innovation.
2.20 – What are your best qualities?
Self-motivation, enthusiasm, long-standing high level of experience, superior professionalism and drive to innovation.
2.21 – In what ways are you a disciplined manager?
We focus on the process and let the numbers tell the story.
2.22 – How does your approach differ from other managers?
We apply an alternative investment strategy than that applied by virtually all other hedge fund managers. We consider our strategy unique in the hedge fund sector because we offer monthly significant results in every market condition, with the real possibility of high returns yearly.
2. Investment strategy
3. Performance/ Reporting
4. Trading strategy
5. Macro economic environment
6. Risk management
2. Investment Strategy
2.1 – Please describe your strategy.
The fund works in the euro zone markets through index options (mainly on Dax and Eurostoxx50 indexes). The positions will be arranged in structured strategies expiring in a period of about a month, which is a standard expiration date. We tend to limit the maximum number of positions in the whole strategy to maximize the yield. That does not mean that we do not invest with short-term goals of a few days or hours, but aim to cover positions that become too risky.
Our investment strategy is particularly innovative. We tend to open the positions three or four weeks before the expiration day, structuring arbitrages on volatility. The strategy earns by the virtue of these arbitrages and because the time decay process every month with a low level of risk, because the arbitrage is hedged with long positions (through positions on futures and put options with expiration of almost a year into the future).
2.2 – Please describe your investment objectives.
The principal investment objective of the Fund is to achieve capital appreciation on funds under management while actively managing the risk associated with the trading strategy of the Fund. The strategies aim to generate a monthly return of around 0,50% to 4,00% and to suffer only occasional limited losses in adverse situations.
2.3 – What is the level of Return targeted by the Euroption Strategic Fund?
20-25% per annum net of fees.
2.4 – Asset classes invested in?
The Fund will invest exclusively in derivative financial instruments, options and futures contracts, quoted in the most important Stock Exchanges; in the beginning the Fund will invest on Xetra Dax, Eurostoxx 50, and then on the English Liffe and CME.
2.5 – Time horizon for your investments?
Time horizon for investors in Euroption Strategic Fund is typically 12 months.
2.6 – Geographical focus.
Mostly Western Europe & USA.
2.7 – How long has the Investment Manager been involved in investments of the type proposed for the Euroption Strategic Fund?
The Investment Manager has more than 5 years of experience in such investment.
2.8 – What kind of information do you use to determine your investments (street, proprietary)?
Proprietary information.
2.9 – Will large amounts investment funds affect your performance ? If so, in what way?
No, the strategy and the target of returns will remain the same, at least up to 100 millions of AUM.
2.10 – Maximum fund investment capacity.
Likely to close to new investments at 150 million euros. Over this amount it is likely that a second fund would be launched.
2.11 – Have you made changes to your strategy during the years?
Yes, we made some adjustments in relation to the levels of volatility, which is the central focus of our strategies.
2.12 – Have you experienced a bear market? If so, how did this affect the type of investments proposed?
Yes, we have experienced a bear market, but the type of investments that we seek out are market neutral and are not affected by bull or bear markets. Furthermore, we experienced much better results on bear markets than in bull markets.
2.13 – What has been your maximum draw down?
We experienced our maximum loss, using this strategy, on June 2003, with a drawdown of 9,45%, but that year we close with a performance of 91,85% of net return, because of extremely high levels of volatility.
In 2005 we lost less than 1% in a month, with a total return of 24,37%.
2.14 – Which is the single biggest contributing factor to your performance?
The selection process of the index options, considering the Greeks.
2.15 – What sort of event would cause you to modify your investment strategy?
Our approach is market independent and the type of investments we follow works in all market conditions and consequently there is little which would significantly alter our approach.
2.16 – Is your Fund a "Fund of Hedge Funds"?
No, our Fund must be viewed as a "single manager hedge fund" with its own unique proprietary strategy.
2.17 – Is your Fund a "multi-strategy" Fund?
No, we follow one strategy usually handled by three physical fund managers. The multiple-strategy approach used by some funds or FoFs (Fund of Funds) is usually adopted for reasons of diversification that are not required in our methodology as a result of the high returns offered by our present trading techniques. Our Fund must be viewed as a "single strategy fund”.
2.18 – Is your approach more art than science?
Our approach is systematic and proven. Since our approach focuses on arbitrage positions primarily in derivatives, we simply enter a trade when we are certain of the spread. Thus, our approach is nothing more than discovering the opportunities and the application of simple mathematics.
2.19 – What is your competitive edge?
Disciplined implementation. A stable management team and more than 10 years of experience in our specialist area with a particular eye for innovation.
2.20 – What are your best qualities?
Self-motivation, enthusiasm, long-standing high level of experience, superior professionalism and drive to innovation.
2.21 – In what ways are you a disciplined manager?
We focus on the process and let the numbers tell the story.
2.22 – How does your approach differ from other managers?
We apply an alternative investment strategy than that applied by virtually all other hedge fund managers. We consider our strategy unique in the hedge fund sector because we offer monthly significant results in every market condition, with the real possibility of high returns yearly.
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