Flagship Managed Convexity
The strategy leverages Protean's agentic AI pattern recognition signals — grounded
in Fractional Brownian Motion modeling — to identify
geometric inflection points across global markets and dynamically manage opportunistic
and uncorrelated exposures.
Portfolio construction emphasizes bespoke, mixed-duration convexity vehicles, with a
systematic focus on net vega reduction — built to endure the full spectrum of market regimes.
Derivative Instrumentation
Debit spreads serve as the primary structure, offering inherent vega mitigation.
Shorter-duration opportunities may utilize outright puts or calls, while orthogonal
positions may employ covered credit spreads for additional net vega reduction.
Capital Allocation Framework
01
Opportunistic Long LEAP ConvexityDynamic value-screened, AI momentum signals & continuous monitoring
40%
02
Single-Name Momentum / Thematic ConvexityFundamental research-driven, variable duration
0 – 10%
03
Opportunistic Single-Name Short ConvexitySame screening process as bucket 1
0 – 10%
04
Benchmark Long Convexity (SPX)LEAP to intermediate duration
5 – 10%
05
Macro / CTA TacticalCross-asset: commodities, fixed income, crypto, BRICS indices
5%
06
Systemic Downside ProtectionSPX puts / VIX calls; short to intermediate duration
0 – 10%
07
Rolling Tail-Risk HedgesExtremely short duration
0.01%
08
Portfolio Exposure OffsetUnconstrained, opportunistic risk-reduction; covered vol selling for net vega reduction
0 – 14.99%
Risk Parameters
Factor Concentration Limit
15% NAV
Factor Hedge Trigger
10% NAV