Arcanum Asset Management

Equity Index Option Program (Prop)

Year-to-Date
N/A
Minimum Investment
500,000
Management Fee 1.50%
Performance Fee 20.00%
Annualized Volatility 25.51%
Sharpe (RFR=1%) 0.87
CAROR 20.79%
Assets 3,500,000
Worst Drawdown -50.08
S&P Correlation 0.22

Summary

Paul Gleeson was an early pioneer in recognizing volatility as an ‘asset class’ capable of delivering above average risk-adjusted returns In 1997 he formed Arcanum Investment Management to articulate his option trading strategy which was designed to monetize the volatility in Equity indices The strategy has been developed over time to ensure that trades are optimized to match prevailing market conditions Investors can access the strategy via the Equity Index Option Programme The Programme has generated a compound annual return of more than 25% since inception in October 1997(1); the strategy has generated audited annualized returns of more than 27% since June 2006