Ross, Jeffrey and Antle

RJA PutWrite Select Fund

The RJA PutWrite Select Fund provides qualified institutional investors with an investment alternative to achieve equity-like returns with reduced volatility.

Strategy Description

The RJA PutWrite Select Fund follows an active, cash-secured put writing strategy. The objective is to harvest additional volatility risk premium with an active rules-based algorithm, beating the S&P 500 Total Return and the CBOE S&P 500 PutWrite Index over a full market cycle. Similar to the CBOE S&P 500 PutWrite Index, the Fund sells one-month at-the-money CBOE S&P 500 Index put options, and collaterializes the SPX Puts with short term Treasury Bills. Rather than holding each option until expiration, RJA dynamically closes and re-establishes positions based on a propietary algorithm that factors in market movements. The algorithm aims to increase the volatility risk premium collected to provide protection in downward trending markets and return in upward trending markets. The strategy was designed using RJA's proprietary technology and with careful attention to the highest standards of analysis and risk assessment.

The Fund launched in April 2016, and is being offered to a limited number of qualified institutional investors.

View the latest monthly commentary on the Fund. [PDF] PDF

View the factsheet for the Fund. [PDF] PDF