Market conditions have remained active, with oil prices, geopolitical developments, and equity market expectations continuing to influence volatility.
Oil has declined over the recent period and remains an important factor in current positioning. Equity markets have also rallied, in part on AI-related earnings results, while geopolitical headlines have continued to shift. Current market expectations remain divided between further gains and a potential correction.
Earnings reactions have been mixed. One company reported 92% revenue growth for the quarter while its shares declined approximately 20%. Separately, a large-cap technology company experienced a one-day move of approximately 20%, its largest since 2008. Broad volatility remains low, while leveraged volatility products have declined to new lows over the past month.
The yield curve has also steepened notably. From Chase's perspective, an inverted yield curve can serve as a caution signal, while a significant steepening warrants additional attention. The current movement may also reflect a more hands-off Federal Reserve posture, allowing market-determined pricing to have a greater influence on rates.
MTD: +0.70%
YTD: +3.90%
1-Year: +5.77%
Performance figures are preliminary raw data and are presented before applicable management and incentive fees.
The monthly report has been received and is currently being reviewed for accuracy. Net figures reflect management fees and incentive fee give-backs and differ from the raw figures above. Those net figures are not yet final.
MTD: +0.25%
YTD: +16.0%*
Performance figures are preliminary raw data and are presented before applicable management and incentive fees.
*The current YTD figure requires verification. Updated figures will be provided following the review of the monthly reporting.
MTD: +2.64%
YTD: approximately +12.5%
1-Year: approximately +12.5%
Performance figures are preliminary raw data and are presented before applicable management and incentive fees.
Synthetic accounts currently hold significant stored value in covered calls, with positions written at the money and expirations extending through October, November, and December. This positioning reflects current market conditions and provides exposure to different potential market outcomes.
MTD: approximately +6.25%
YTD: approximately +27%
1-Year: approximately +40%
Performance figures are preliminary and presented before applicable management and incentive fees. Mid-month data for the Volatility Advantage Fund remains preliminary and is subject to review.
Current volatility positions are staggered at approximately two-week intervals rather than weekly and are generally positioned approximately 40% out of the money. Current positioning places greater emphasis on covered calls, while the volatility component remains more conservatively structured.
Average Zero Accounts: +8.65% YTD / approximately +17% 1-Year
Average Synthetic Accounts: +14.7% YTD / approximately +31.25% 1-Year
These figures are preliminary and may vary based on account structure, allocation, timing, and other account-specific factors.
Where LEAP positions have appreciated substantially, their allocation within an account can increase relative to the original allocation. For example, a position that originally represented 12% of an account may now represent approximately 36%. Rolling these contracts can reset exposure closer to the originally intended allocation while establishing a new reference strike.
Accounts with custom allocations established two to three years ago, where a significant portion of the synthetic SMA remains allocated to LEAP positions, carry higher exposure and are currently a priority for review.
Rolling appreciated LEAP positions may result in the realization of long-term capital gains in taxable accounts. This consideration does not apply to positions held within IRAs.
The current positioning of the synthetic accounts includes covered calls with expirations extending through October, November, and December. This structure provides flexibility as market conditions change while maintaining the existing strategy framework.
Volatility trades are currently structured with shorter, staggered expirations and strikes approximately 40% out of the money. The current approach reflects a more conservative allocation to the volatility component alongside greater exposure to covered calls.
The monthly report is currently being reviewed for accuracy, including the impact of management fees and incentive fee give-backs. Reviewed figures will be circulated internally before any client distribution.
The views expressed herein reflect current market commentary and portfolio observations as of the date published and are subject to change without notice. Statements made by portfolio managers represent current opinions based on prevailing market conditions and should not be interpreted as guarantees, forecasts, or assurances of future performance or market direction.
Any performance information shown is preliminary, unaudited, and may reflect results before applicable fees, expenses, or final administrator reporting where noted. Actual investor results may differ based on fee structure, timing of contributions or withdrawals, and other account-specific factors.
This material is provided for informational purposes only and does not constitute investment advice, a recommendation, or an offer to buy or sell any security, fund, or investment strategy. Past performance is not indicative of future results. All investments involve risk, including possible loss of principal.
