Summary

The portfolio is designed for investors who, in addition to positive returns, seek to diversify with a product whose best scenario occurs in times of increased volatility and declines in equities.

The target is to outperform the inverse of the declines in falling years and to obtain positive returns in rising years of the S&P 500.

In relation to the traded instruments, we hold a net bullish position in volatility and bearish in S&P through options and futures.