Disciplined Repeatable Rules-Based Process 

 
The Managed Risk Fund strategy is composed of 3 components, designed to work together to weather any market environment in a systematic way:
 
•a long position in the SPY ETF (S&P500 index)
•a long position in a SPY leap put option
•a short strangle with SPY, adjusted on a monthly basis
 

  • During a strong bull market, the long SPY portion of the portfolio generates the bulk of the returns, while the leap put’s loss of value is hedged by the short strangle.
  • During a strong bear market, the exponential gain of the leap put covers the linear loss of the SPY ETF, and then some.
  • During a sideways market like 2011, the SPY position and the leap put neutralize each other, but then the short strangle generates income.
 
 
 
 
Posted in Investment Process | Leave a comment