Summary

The Strategic Enhanced SP500 Program (SESP) is designed to improve upon traditional long-only investment vehicles - using the S&P500 index as a baseline - by smoothing or even enhancing performance during range-bound periods as well as market shocks. The program combines a long equity element with momentum and spread arbitrage methodologies in specific market volatility instruments that enable improved risk management and in turn superior returns. The strategy has been formalized into an automated system, thereby eliminating human intervention and ensuring unencumbered operation. The system attempts to produce consistent returns in varying market and volatility environments that have little or no correlation to traditional and alternative strategies alike. This makes it a valuable component of any multi-asset class portfolio as it can greatly reduce overall volatility. The strategy was developed by investment professionals by utilizing the expertise and knowledge gained through years of trading and market observation.