Orion Capital Advisors : Orion Beta Opportunity Strategy (Proprietary)

Summary

The Beta Opportunity Strategy pursues capital growth and absolute returns over time through a systematic macro approach. The program is designed to be negatively correlated to the S&P 500 and seeks to deliver returns independent of market direction. The strategy is offered through separately managed accounts that produce daily transparency and liquidity. Orion’s strategy is founded on Orion Capital's systematic execution model connected to the probabilities of movement in volatility vs S&P500 pricing. Positions are determined using the combination of fundamental and technical analysis in Orion’s systematic execution model. The program currently trades long/short equity index futures, micro futures, long VIX futures and cash secured options. The program seeks to deliver returns in high and low volatility environments. The trades selected by the systematic execution model use a long short ratio structure to take advantage of volatility in the market. Trades are generally held between 15 and 80 days. The program manages risk by using long/short futures, buying long VIX futures, executing conditional exits according to the changing probabilities of each trade, closely monitoring margin to equity, and adhering to the rules of Orion's systematic execution model. Predefined margin-to-equity models are managed for new positions and the overall portfolio to keep risk within downside volatility parameters with a targeted average of 10% M/E. Long VIX futures are purchased systematically to further dampen account volatility, capture implied volatility, and further hedge downside risk. All positions are placed and monitored by Orion’s trading principals. All performance is net of fees.

Investment Strategy

Orion’s strategy is founded on Orion Capital's systematic execution model connected to the probabilities of movement in volatility vs S&P500 pricing. Positions are determined using the combination of fundamental and technical analysis in Orion’s systematic execution model. The program currently trades long/short equity index futures, micro futures, long VIX futures and cash secured options. The program seeks to deliver returns in high and low volatility environments. The trades selected by the systematic execution model use a long-short ratio structure to take advantage of volatility in the market. Trades are generally held between 15 and 80 days.

Risk Management

The program manages risk by using long/short futures, buying long VIX futures, executing conditional exits according to the changing probabilities of each trade, closely monitoring margin to equity, and adhering to the rules of Orion's systematic execution model. Predefined margin-to-equity models are managed for new positions and the overall portfolio to keep risk within downside volatility parameters with a targeted average of 10% M/E. Long VIX futures are purchased systematically to further dampen account volatility, capture implied volatility, and further hedge downside risk. All positions are placed and monitored by Orion’s trading principals. All performance is net of fees.