Enhanced Core Strategy

March 31, 2024

CURRENT MATERIALS

MANAGERS
PERFORMANCE
PORTFOLIO

Current Materials

Overview

INCEPTION January 1, 2022

OBJECTIVE Seeks to preserve capital and maximize current income.

INDEX 30 Day Treasury Bill (M)
STRATEGY
  • Maintains a disciplined risk management focus and capital preservation bias, while seeking consistent outperformance over money market interest rates.
  • Suitable for cash investors looking for cash management with a suggested minimum of $500,000.
  • Cash held in a Money Market or T-Bill is margined to write both put and call options to generate income.

Portfolio Managers

Aash M. Shah, CFA

Head of Investments & Sr. Portfolio Manager

David Harden, Founder

President | Portfolio Manager | Chief Executive Officer | Chief Investment Officer

Performance

Total Returns As Of March 31, 2024
*Inception Date: January 01, 2022
Growth of $1,000,000 January 1, 2022 - March 31, 2024
Past performance does not guarantee future results. Performance for rolling periods other than monthly are different and are available upon request. The monthly rolling periods are calculated based on the strategy return minus the benchmark return. Outperformance is not indicative of positive absolute performance. Rolling periods calculated monthly since inception.
Calendar Year Returns 2022 2023
30-day T-Bill (M) 5.12% 1.64%
Strategy Net of Fees 12.17% 15.39%
Performance (gross of fees) 1/1/22 - March 31, 2024
Options Return 11.04%
Money Market Return 2.94%
Total Return 14.3%
Options Performance Profile 1/1/23 - March 31, 2024
Average Monthly Return 0.88%
Average Weekly Return 0.21%
Monthly Standard Deviation (Annualized) 1.48%
Sharpe Ratio 5.05
Max Weekly Drawup 1.57%
Max Weekly Drawdown -0.41%
% Winning Weeks 97.44%
Correlation with S&P 500 -41.24%
Performance figures are past performance. Past performance does not guarantee future results. Performance figures are presented net of fees charged to clients. Actual fees may vary depending on, among other things, the applicable fee schedule and portfolio size. SGI fees are available upon request and may also be found in Part II of its Form ADV. Performance includes the reinvestment of dividends and other earnings. Investing involves risks including the possible loss of principal and fluctuation in value.

Methodology

  • Risk of options contracts is actively managed to ensure risk of being called/put is low.
  • SGI’s options traders choose deep out-of-the-money strikes (0.001 ~ 0.010 delta) that mostly expire within 1-7 days to generate income.
  • Delta risk can be controlled by dynamic hedging involving diagonals and iron condors.
  • SGI’s current target: 5-8% above the risk-free rate (~4%) to outperform.
Compliance Statement

Performance numbers for the most recent period are preliminary and subject to change. Returns for periods of less than one year are not annualized. Past performance is not a reliable indicator of future performance and should not be relied upon to make investment decisions. Investing involves risks including the possible loss of principal and fluctuation in value. Performance includes the reinvestment of dividends and other earnings.