Historical Performance
Superior Return in the 0DTE Era
The introduction of S&P 500 0DTE options in April 2022 marked a strategic inflection point for our Theta harvesting approach. This shift has facilitated consistent capital appreciation characterized by minimal drawdowns. From 2022 through 2025, the strategy delivered a net annual return of +23.36%, outperforming the S&P 500’s +10.77% by a factor of more than two.
Lower Risk, Higher Returns
Our portfolio performed exceptionally well from 2022-2025, with a negative beta of -0.36, indicating that it moves in the opposite direction of the S&P 500 and has much lower volatility or risk. Our portfolio also achieved a high monthly alpha of +2.19%, meaning that it generated a large excess return over the market. Our Sharpe ratio, which measures the risk-adjusted return, was 1.62, far exceeding the S&P 500.
Consistently Outperformed the S&P 500 Benchmark
Launched in November 2016, the fund has provided partners with nearly a decade of reliable gains. With a total net return of +318.3% through 2025, the strategy has outperformed the S&P 500 by a wide margin, successfully navigating multiple market cycles while maintaining a focus on steady profit delivery.
