- Main strategy:
taking advantage of anomalies and inefficiencies in option markets
- Discrepancies between the implied volatility of options and the historical or expected volatility lead to investment opportunities
- Mostly market-neutral positions, hedged with the underlying
- Strictly controlled and limited risk
(maximum loss is often just the option premium paid)
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- Mainly Options and Futures on Euro-Bund, Euro-Bobl, Euro-Schatz, T-Bonds, T-Bills, T-Notes and DJ Euro Stoxx 50
- Targeted annual return on capital in the 12% to 15% range
- Yearly Volatility well under 10%
- Maximum theoretical loss limited to 3% per month
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Da Vinci Strategy
