Moderately Rising Market
Optimal returnWritten options expire worthless while core holdings appreciate steadily. The fund generates targeted cash flows without excessive leverage.
Investment Policy
Quantitative & StatisticalAsymmetrical Risk Profile
Strategy &
Risk Management
Zenth Capital's investment strategy combines quantitative model analytics with active derivative hedging to capture asymmetric return opportunities within strictly monitored risk frameworks.
Mathematical discipline.
Proven control.
Three-tier architecture
The Three Portfolio Layers
The strategy is modularly structured in three complementary segments that jointly generate returns while safeguarding capital.
Layer 1 • Foundation
Core Allocation & Liquidity
The majority of fund capital is allocated to highly liquid cash instruments, short-term debt securities or high-grade baseline assets.
This provides the required broker margin buffer and ensures positions never face forced liquidation under adverse market conditions.
Layer 2 • Yield
Statistical Premium Collection
Active deployment of options structures on broadly diversified, liquid stock market indices (such as the S&P 500 and Euro Stoxx).
By selectively writing covered options with statistically favorable exercise probabilities, the fund systematically harvests time-decay (theta) and the spread between implied and realized volatility.
Layer 3 • Protection
Tail Risk Hedging
Continuous acquisition of out-of-the-money put options and asymmetric spreads to protect the portfolio against severe market drawdowns ('black swan' events).
During acute market panic or liquidity contractions, this layer caps maximum drawdown and generates liquidity to restructure exposures.
Market Dynamics
Performance Across Market Regimes
The model automatically adjusts positioning based on prevailing market volatility and trend persistence.
Sideways / Calm Market
Optimal returnTime decay (theta) works continuously in the fund's favor. The absence of large dislocations keeps margin requirements low and risk minimal.
Gradually Falling Market
Active defenseStatistical boundaries adjust promptly. Strike prices are rolled downward and short-term hedges insulate capital value.
Acute Shock / Market Crash
Volatility hedge activeLong out-of-the-money put options surge in value due to the sudden spike in implied volatility (vega), structurally muting drawdowns.
Risk Metrics
Greek Risk Parameters
The investment committee continuously tracks quantitative sensitivity measures across all derivative positions.
Delta (Δ)
Directional SensitivityMeasures portfolio sensitivity to underlying index movements. Maintained strictly delta-neutral within pre-set tolerance bands.
Gamma (Γ)
Acceleration RiskMonitors the rate of change in Delta during sharp market swings, preventing exponential risk expansion.
Theta (Θ)
Time DecayDaily erosion in value of written options that benefits the fund as long as positions remain active.
Vega (ν)
Volatility SensitivityGauges portfolio response to shifts in implied market uncertainty (such as reflected in the VIX index).
Internal Framework
Strict Control Rules
Conservative Margin Management
The fund utilizes only a restricted percentage of available broker margin. The vast majority of the cash buffer remains untouched to prevent extreme margin calls under all conditions.
Exclusively Highly Liquid Indices
No trading in illiquid single stocks or niche securities with shallow order books. Execution takes place on deep, globally regulated benchmark markets.
Stop-Loss & Roll Protocols
When a statistical threshold is breached, a predefined protocol executes automatically: positions are immediately closed, rolled to a later expiry, or additionally hedged.
No Uncapped Liabilities ('Naked Selling')
Every written option position is covered by cash, underlying assets, or a purchased wing position with a farther strike.
Statutory Notice
Statutory Risk Warning
Attention! You are investing outside AFM supervision. No license and prospectus requirement for this activity.
Investing in financial instruments and derivatives carries risks, including the potential loss of (part of) the investment. Consult the information memorandum prior to participation.
Past performance is no guarantee of future results. The value of your investment may fluctuate.
Interested in a deeper look at our quantitative models?
Schedule an introductory meeting with our portfolio management team for an in-depth strategy briefing.