Buckingham Global Capital : Nanhua Buckingham Offshore Multi-Strategy Fund (WEP)

Summary

The Fund uses Buckingham Global’s Flagship strategy, the Weekly E-mini Program (“WEP”), which trades E-mini S&P 500 futures and options with a long-only VIX hedge overlay to generate absolute returns with a low correlation to the S&P 500. WEP is a proprietary options strategy which utilizes pure quantitative models with 20 plus years of back-testing results and is designed to outperform the index in both bull, bear and congested markets. The Fund is available for US QEP Investors using Non-Taxable funds, and for certain Non-US Investors.

Investment Strategy

The Weekly E-mini Program (“WEP”) Focuses on short duration derivatives: the option expires within 2-8 days because the time decay is the most rapid during this final week of expiration. Algorithms identify the option strikes with the best risk/reward ratio. WEP employs a rigorous 100% systematic risk management, risk mitigation and exit strategy to lower overall volatility. Utilizes ratio put spreads lieu of fully naked options which adds a long gamma element to the program. Hedges with long-only VIX futures Strategy Hightlights Features quant-driven S&P 500 option strategy with a proven track of delivering consistent absolute returns. Utilize 80% systematic trading approach model to increase the probability of winning trades. Targets 15~20% returns per year with 8% annual volatility. Low overall correlation with a traditional stock/bond portfolio. Potentially can outperform S&P 500 in downward, bear market. Historical Sharpe Ratio of 2.0+. Target is to outperform the S&P 500 index 80% of the time.

Risk Management

100% Systematic Risk Management: There are GTC sell stop orders applied on or around all short strikes of all ratio spreads. If the stops are triggered, the program goes delta neutral and exits the market from all options volatility/volatility arbitrage trades. The program can also employ a long-only VIX hedge overlay that is triggered by proprietary volatility and trend models.