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Alternative Market Briefing

Performance: CC Athena OS Fund returns 8% YTD trading options on the S&P, Update: Harbinger flagship fund loses 16% as oil prices dip

Tuesday, August 05, 2008

Opalesque Exclusive: CC Athena OS Fund returns 8% YTD trading options on the S&P From Benedicte Gravrand, Opalesque London: The CC Athena OS Fund returned 8% YTD (to July, +0, 43%) compared to the S&P USD which returned -13.71% and the S&P Euro which returned -19,14%. It performed well in the last 12 months (+17.13%) and has annualised 12.81% since inception (August 2002) – compared to the S&P USD at 5.65% and the S&P Euro at -2.23%.

The fund has been trading complex options strategies on the S&P500 since August 2002. It is based on 23 different options strategies and is protected by a sophisticated risk management system. The fund is managed by Conservative Concept AG, with offices in Germany and in Switzerland.

“The Athena Program trades complex options strategies (combination of short and long put/call options) on the S&P500 with an average maturity of 3-8 weeks,” said Martin Hess, director, to Opalesque in an email communication. “Therefore, the positioning (impact of individual strategies, perhaps up to 4) in the portfolio can be very flexible. Since May 2007, we have been employing a building block concept in managing the rolling portfolio positioning. The investment manager never invests 100% of the portfolio in a single move, but rather 25-33% in each strategy. When the first strategic trade is 'in the money' from a risk perspective, we set-up the next strategic trade. We watch the volatility, the ......................

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