Sensa 500 A: Product Details

Overview

Sensa 500 A writes S&P 500 put options with on average 1 month to expiry at conservative levels of moneyness with a low level of implied leverage on notional.

The strategy is not expected to significantly outperform the S&P 500 on an absolute basis but have historically exhibited a much lower level of volatility.

Collateral is recommended to be invested in 30 day T-bills but given the conservative nature of the product the investor may also consider using an existing diversified portfolio as collateral.

Data Highlights

We do the leg work. We intake, calculate and process more data than humanly possible. This means you have more time and resources to manage your wealth effectively and ultimately do more with less.

We monitor all underlying options (c. 15,500 unique contracts trading at any time) on the S&P 500 in real time and based on our back-tested and AI augmented algorithms we provide you with updated investment recommendations as soon as certain investment criteria are met.

Performance

Since the beginning of 2004 the strategy has provided more than double the cumulative return of the underlying S&P index with close to half the level of volatility.

The max drawdown over the period has been significantly lower than the S&P 500 index.