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Maestro Zen is a portfolio designed to produce a smooth path of returns. This specialist CTA program focuses on volatility
and aims to extract value in all market environments. We achieve this by combining strategies with mirror performance cycles.
On the one hand, Maestro aims to exploit the opportunities created by the extended trading session for futures contracts, when the futures contract trades without the informational support of the underlying market. At such times, the futures may then get carried away by external factors and experience a price deviation that may not be in line with the valuation of the underlying market in absence of significant news. The most suitable environment for this short-term mean-reverting strategy is with upside volatility momentum. A common mistake has been to design long options strategies for such environments. However much intuitive, this approach is inefficient as it must be continuously invested, even during stable times when carry costs hurt performance
On the other hand, Zen captures the spread between implicit and realized volatilities. Zentak uses option spread strategies with a systematic approach by exploiting structural market characteristics and a stability signal for timing. A long protection feature makes Zentak resilient in transition periods with no or limited drawdowns.
All instruments are exchange-traded listed derivatives. We focus on major equity indices, so mitigating liquidity and counterparty risks.
Strategy Asset Classes