Historical Performance

Superior Return in 2022

In April 2022, the emergence of S&P 500 0DTE options brought a qualitative leap for our theta harvesting strategy. Since then, our profit has grown at a steady pace without any significant drawdown. The 2022 annual return after costs is 82.78%.

Lower Risk, Higher Returns

Our portfolio performed exceptionally well in 2022, with a negative beta of -0.22, indicating that it moves in the opposite direction of the S&P 500 and has much lower volatility or risk. Our portfolio also achieved a high alpha of +78.52%, meaning that it generated a large excess return over the market. Our Sharpe ratio, which measures the risk-adjusted return, was 3.87, far exceeding the S&P 500.

Consistently Outperformed the S&P 500 Benchmark

The fund has delivered steady profits for its partners since its inception in November 2016. It has achieved a net return of +230.5% by the end of 2022, beating the S&P 500 by 154.5%.