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By Opalesque Geneva:

"I want to provide my clients with a solution that beats the S&P yet has downside protective qualities," said Roy Niederhoffer during a recent presentation in Geneva. In fact, rare are the hedge funds that have managed to beat the S&P in the last 20 years, he added. His famous flagship strategy, the RGN Macro Diversified Program, has barely matched it.

The Program is a short-duration quantitative strategy launched in 1997 that captures market volatility with directional longs and shorts in the futures market. It has annualised 7.5% in the last 25 years and is negatively correlated to all equity and hedge fund indices.

Mr. Niederhoffer found a simple solution to that old index-beating conundrum: overlay his return stream on top of the S&P, maintain a full allocation to the index and add his additional return of 7.5% on top. So, in October 2024, he created a new share class just for that called SP50.

The RGN Macro Diversified SP50 share class has a 100% exposure to the S&P 500 (with ETFs and futures) and a 50% overlay investment of the Macro Diversified trading program. The combination aims to provide higher returns and lower volatility than the S&P500. Its hypothetical results in the last 25 years would have shown an ever so slightly lower volatility level than the S&P500's, and higher returns (12% p.a. versus the S&P500's 7.7% p.a.).

Opalesque asked Mr. Niederhoffer to clarify some points:

Opalesque:......................

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