The market has traded largely sideways over recent weeks. Current market pricing reflects a reduced likelihood of a Federal Reserve rate increase, with expectations centered on the Fed holding rates steady in September. Equity markets have generally responded positively to that outlook.
At the same time, the yield curve has continued to steepen as long-dated Treasury yields have moved higher. Steepening of this kind has historically coincided with periods of elevated market uncertainty. Volatility is also near its lowest level of the year.
The current combination of equities near all-time highs, volatility near year-to-date lows, and a steepening yield curve is an uncommon set of conditions and remains an area we are monitoring closely.
Corporate earnings have also remained a factor in current market conditions, with approximately 82% of companies reporting results above expectations during the current reporting season. The current environment continues to reflect a tension between the earnings picture and other factors, including the yield curve, inflation, and energy prices.
Inflation and interest-rate policy remain unresolved and may continue to influence market conditions. We are also monitoring developments in Federal Reserve policy and communication. Changes in interest-rate expectations or central bank communication practices can contribute to shifts in market pricing and volatility.
MTD: 0.5%
YTD: +3.6%
Performance figures are net of fees, preliminary, and unaudited as of August 17, 2026. Official monthly closes from NAV Fund Services govern fund performance.
The strategy continues to operate within its defined options-based framework. Fund positioning and risk exposure are adjusted as market conditions change.
MTD: +1.1%
YTD: +17.0%
Performance figures are net of fees, preliminary, and unaudited as of August 17, 2026. Official monthly closes from NAV Fund Services govern fund performance.
Recent positioning has included adjustments to volatility exposure and covered call activity in response to current market conditions.
MTD: +3.5%
YTD: +13.5%
Performance figures are net of fees, preliminary, and unaudited as of August 17, 2026. Official monthly closes from NAV Fund Services govern fund performance.
Against the fund's long-dated equity call positions, covered calls are currently being written more actively than usual. This positioning reflects current market conditions and is subject to adjustment as conditions change.
MTD: +7.65%
YTD: +28.6%
Performance figures are net of fees, preliminary, and unaudited as of August 17, 2026. Official monthly closes from NAV Fund Services govern fund performance.
The Volatility Advantage Fund includes directional long-dated equity call exposure alongside a scaled short volatility component. The fund name describes the strategy it employs and should not be interpreted as a description of its overall risk level.
Average Zero Strategy Accounts: +17.3% 1-Year
Average Synthetic Strategy Accounts: +13.8% YTD / +26.5% 1-Year
Average Across All Accounts: +18.3% 1-Year
Performance figures are net of fees, preliminary, and unaudited as of August 17, 2026. Interactive Brokers statements are the record for separately managed accounts. Individual account results may vary based on allocation, timing, account structure, and other account-specific factors.
Several adjustments have been made across the strategies in recent weeks. Short volatility positions have moved from a weekly to a biweekly cycle, with new contracts established further out of the money. Current volatility exposure is lighter than the standard allocation, and UVXY reached a new all-time low during the most recent session.
Covered calls are currently being written more actively against long-dated equity call positions. In oil, the strategies continue to roll smaller strangles and adjust them according to the established schedule. Contracts expiring Friday are currently approximately 10% out of the money. Oil moved higher during the most recent session following geopolitical developments.
Positions are managed according to defined premium-based exit parameters, including a waiting period before re-entry following a volatility spike. If volatility rises from current levels, the process calls for reducing covered call exposure and re-establishing volatility positions rather than attempting to defend existing positions.
These strategies remain exposed to volatility spikes and rapid reversals in either direction. The funds recorded a drawdown during the prior month, illustrating the potential impact of these conditions. Incentive fees accrue only on net new gains, and no incentive fee is charged until a capital account exceeds its prior high-water mark.
If market conditions develop toward a second rate-hiking cycle, the current process calls for reducing exposure and shortening durations rather than defending existing positions.
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.
