Philosophy

Short volatility strategies with an emphasis on proper risk management provide an opportunity to earn positive, uncorrelated returns over the long term. LJM aims to provide opportunities for individual clients and institutions to improve risk adjusted portfolio returns through exposure to well-managed volatility strategies.

Trading Methodology

  • Invest in volatility through dynamic, hedged portfolios of options against S&P 500 Index Futures
  • Build portfolios that are net short volatility in the aggregate
  • Dynamically hedge by layering long and short options
  • Use discretion to incorporate strategic adaptations to changing market conditions

Risk Management

  • Real time portfolio risk analysis
  • Stress testing including exposure to market and volatility changes
  • Dynamic portfolio re-balancing based on internal metrics to maintain prudent and consistent risk/reward profiles
  • Global macro analysis overlay to scenario analysis to mitigate exposure to most probable scenarios

Investment Process

  • Exercise strict discipline within a discretionary strategy
  • Apply macro economic, market, and portfolio analysis daily in investment committee meetings
  • Incrementally build positions within the portfolio
  • Continuously monitor risk via real-time scenario analysis

A Track Record of Performance

LJM has continued its track record of innovation by introducing several distinct implementations of its option writing program.

Preservation & Growth a dynamic, strongly hedged portfolio of long and short S&P index equity options to garner returns through the inefficiencies of options pricing and time decay. LJM introduced the LJM Preservation and Growth Strategy in 2006 to offer a consistent, moderate rate of return with low correlation to the S&P equity index. View Performance

Moderately Aggressive a dynamic, moderately hedged portfolio of long and short S&P index equity options to garner returns through the inefficiencies of options pricing and time decay. This product is suited for investors who understand and accept the risks and potential volatility associated with aggressive returns. View Performance