Investment Policy
The Tungsten CONDOR Fund employs strictly risk-limited multi-leg option strategies, such as Iron Condors or Iron Butterflies, on the S&P 500 Index with only three days to expiration. The strategy aims to capitalize on the relatively high volatility risk premium (VRP) of these options and their significant time decay during the remaining term. Once positions are opened, the focus shifts to minimizing potential losses from adverse index movements and gradually closing short positions at a profit before expiration. Each multi-leg pair is initiated with a clearly defined probability of ending positively. The higher the VRP, the greater the expected "hit rate" for options positions closing with a gain. The standout feature of the CONDOR strategy is its fundamentally market-neutral positioning. Regardless of daily market fluctuations, this results in "zero correlation" of the fund to all traditional asset classes, significantly contributing to the diversification of multi-asset portfolios. Furthermore, the strategy carries no so-called "tail risk," setting it distinctly apart from other short-volatility strategies.
Manager Profile
Lutz Klaus is joining Tungsten as Partner and Executive Director coming from Mayfair Asset Management, the well renowned family office of the Herz family (“Tchibo”). He started his career in the Asset Management department of cologne-based private bank Sal. Oppenheim subsequently leaving for the multi-billion Euro Degussa Pension Fund where he became CIO. During his tenure the fund successfully avoided most pitfalls of the recent financial crisis leading to several Awards from “Portfolio Institutionell.” His investment style is a combination of modern portfolio construction theory paired with derivative overlay strategies.
Lutz Klaus holds a degree as “Diplom Ökonom” from the University of Giessen and is a CFA Charterholder.