Traded Options Fund
Objectives & Strategy of the Traded Options Fund
The objective of the Traded Options Fund is to be a non directional investment that generates strong returns in both rising and falling
markets, irrespective of general market conditions. This is achieved through writing a limited number of Options based on the FTSE100
Index, selected FTSE100 stocks, gold, crude oil (WTI) and the GBP/EUR & GBP/USD currency pairs. An Option is a contract that provides the
right, but not the obligation, to buy or sell a specific amount of a specific security or other financial asset at a specific price within a
predetermined time period. The holder of a Call Option has the right to buy the underlying security or other financial asset. The holder of a
Put Option has the right to sell the underlying security or other financial asset. The seller of the Option contracts is called the “writer”.
The principle strategy of the Fund is selling (known as “writing”) Options. The assumption is that as time passes, time value will erode the
value of the Option and hence it can be bought back for less than it was sold for thereby creating a profit. The principal Option trading
strategy adopted by the Trader for the Fund is selling “short strangles” – these are Option strangles with a short expiry date, typically
around eight weeks. When the Trader becomes the holder of a short strangle position he is taking the view that the underlying asset price
will remain in a range between the “strike price” on the Call Option and the “strike price” on the Put Option during the period until expiry of
the Options. The “strike price” is the fixed price at which the holder of an Option can purchase, or sell, the underlying security or
commodity. The “Option premium” is the profit that the Trader earns by selling these two Options and is the maximum profit for this
position. In other words, the Trader earns the maximum achievable profit, up front, when the short strangle is established.
The Trader’s strategy is to set up the short strangle and then to close out the position by buying back the Options when the volatility of the
underlying asset either drops or the underlying price moves in the Fund’s favour. Although a large proportion of all Options expire
worthless, the Trader will normally reduce overall risk and exposure by closing Option positions ahead of expiry.
The reason that short strangles are attractive is that the underlying asset price would need to move significantly up or down before the
short strangle became loss-making. This is because both the Call and Put Options are “out of the money” when the short strangle is
established. If there is a sharp move that in the Trader’s view threatens the profitability of a short strangle position the Trader may also
consider whether to adjust the current position by moving the strike prices of the Call and Put Options in relation to the movement of the
underlying asset price. Initially, the Trader would decide if it was possible to remain in the originally-traded month or to move (or “roll out”)
to a later expiry to reduce immediate exposure.
In certain extreme market conditions there may be a significant move in the price of the underlying asset, to such an extent that the Trader
is unable to react in time to protect the position. In order to mitigate this risk, the Trader will buy Put or Call Options even further out of the
money than the sold Options. These Options should then hedge against extreme market movement by limiting downside risk.
Fund Key Information The Trader
Target Returns 30% - 40% p.a. The Trader is Lewis Charles Securities Limited – an established
Structure Bermuda OEIC financial services company based in the City of London. Lewis
Charles specialises in the provision of Futures and Options, fund
management, corporate finance, and foreign exchange. Since
Management Fee 1% p.a. inception in 2000, it has quickly established a strong reputation for
Initial Charge 0% - 3% knowledge and expertise in the stock-broking and financial
Min Subscription £10,000 services industries.
NAV date Monthly - last business day
Frank Freeman is the Principal Trader for the Fund. Frank has
worked in the Futures and Options industry for over 35 years.
5 business days prior to any
Redemption Notice Towards the turn of the 1990’s, Frank moved to Mees Pierson
Derivatives (MPD), where he began to specialise in traded options.
Redemption Fee $150 administration fee
Upon moving to Linnco he began to develop the advisory system
Manager that is incorporated in the discretionary programme today. Frank
began working with Mark Knight in earnest at Sucden UK Ltd,
Trader Lewis Charles Securities
having first met at MPD, and continued to refine the advisory
Auditor KPMG system. The system and his team continued to grow at first at
Administrator ISIS Fund Administration Sucden and then ODL, before in 2009 the team moved to Lewis
Settlement & Custody Macquarie Bank Charles Securities to branch out into the discretionary market.
Subscriptions Bank JP Morgan
TRADED OPTIONS FUND – “The Short Strangle”
FUND CODES RISK
The fund is rated as aggressive, but in normal market conditions
BLOOMBERG CAITOPA BH
(where information is known and priced in) the fund should
generally return a profit irrespective of market direction. If the
FUND ADVISERS & PROMOTERS selected assets experience rapid and extreme volatility that does
not allow the Trader to adjust or close positions then the fund
The Fund Adviser is Curzon Capital Limited, based in Mayfair, could be exposed to a higher risk of loss. As Options are leveraged
London. The company was founded in 1999 and is authorised and financial instruments losses as well as returns can be amplified and
regulated in the UK by The Financial Services Authority. investors may not get back their original subscription.
Curzon Capital is dedicated to structuring and distributing TAX
innovative, tax-efficient investments for promotion through both
the international and UK IFA communities, and certain overseas At this date, there are no Bermuda taxes payable by the Company,
financial institutions. Benefiting from its talented team of or its shareholders not ordinarily resident in Bermuda. The
professionals, Curzon has a pool of knowledge and experience Company has received from the Minister of Finance of Bermuda
that it brings to bear on the most complex of financial solutions, under the Exempted Undertakings Tax Protection Act 1966 an
rendering them easily understandable and saleable. assurance that, in the event of there being enacted any legislation
imposing any tax that affects the Company or its shareholders,
International promotion is provided in partnership with ATSG such tax shall not until 28 March 2016 become applicable.
Funds Ltd. ATSG has an excellent reputation for providing
Investors should consult their professional advisers on the possible
international IFA’s with exciting and thematic investment
tax consequences of investing under the laws of their countries of
opportunities not previously available to retail investors.
citizenship, residence, ordinary residence or domicile.
This factsheet offers information about the Traded Options Fund managed by Curzon Alternative Investments (Bermuda) Limited, and distributed by Curzon Capital Limited
with international co-promotion services provided by ATSG Funds (Dominica) Limited. The Traded Options Fund is a Segregated Account within an exempt open ended mutual
company incorporated under the laws of Bermuda and registered as a Segregated Accounts Company under the Segregated Accounts Company Act 2000 (as amended). The
information in this document should not be construed as investment advice or an offer or solicitation to subscribe for shares. All information contained in this factsheet is
sourced directly from the parties named and is believed to be correct – however no reliance should be placed on this information and it should be used for guidance only.
Investors should read all literature pertaining to the Fund and should understand how the Fund works before entering into any investment agreement. There can be no
guarantee that the Managers objectives for the Fund will be achieved. Options are leveraged financial instruments and losses as well as returns can be amplified – it is possible
that investors may not get back the amount originally invested. The Fund was launched in January 2011, and as such the amount of historical data is limited.
www.curzonalternatives.com Curzon/ATSG TOF v1.2011