UTM OPTION STRATEGIES FUND - Oct ’23 Factsheet

Designed to deliver consistent and sustainable growth, UTM Option Strategies Fund is a quantitative, algorithm driven open-ended fund
focused on the US options markets. It is a play on Volatility as an asset class and has low correlation with asset classes that dominate most
investors’ portfolios

Investment Approach Risk Management

UTM OS accepts the stochastic (random) nature of price UTM OS deploys a proprietary real-time, fully automated,
returns and overlays quantitative principles to develop API based Risk Management system which runs on
confidence bands for price movements. The options dedicated Google Cloud Platform instances.
markets are then used to develop trading strategies which The system monitors the fund’s positions every minute of
make use of these confidence bands. every trading day against model parameters (which also
The fund maintains monthly short positions in index change based on a number of factors) and alerts portfolio
(S&P500) options and strives to generate 1% to 2% each managers if there is any need for position adjustments
month before reverting to cash on expiry weekend. (upside or downside).
The strategy is correlated (although in a smoothed manner) Key Risks (pls refer main deck for mitigants)
to Volatility and hence provides good diversification for
• Tail risk
equity which is generally anti-correlated to Volatility
• Volatility spikes
Investment Highlights • Implicit leverage
• Expected Returns : c. 15 % pa • Gap risk
• High Sharpe ratio • Liquidity risk
• Non-directional, mid-frequency strategy • Concentration Risk
• Experienced Sponsors; MAS regulated • Compliance, AML, Operations etc
Fund Information Investment Details Fee Information
ISIN/BBG: SGXZ28728889/UTUOSAU SP Min Investment: US$ 200,000 Management Fee: 1.5% pa
Singapore Variable Capital Company Liquidity: Quarterly Performance Fee: 15%
Tax: PricewaterhouseCoopers LLP Lock-up: None Other fund expenses absorbed by
Audit: Deloitte & Touche LLP Investors: Accredited sponsors
Fund Admin: Krypton Fund Services NAV Print: Monthly HWM and Equalization accounting
• regulated
UTM Option Strategies: NAV Monthly Returns (As of the 3rd Friday of the Month)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2023 2.0% 2.4% (0.6%) 2.1% 1.5% 2.0% 1.7% 1.2% 2.0% 1.4%
2022 3.0% 2.9% 2.0% 2.0% (1.9%) (1.0%) 1.8% (0.7%) 1.9% 2.2% 2.0% 1.9%
2021 2.8% 2.7% 2.6% 2.2% 1.8% 0.5% 3.0% 1.6% 2.1% 2.0% (1.8%)

Return and Risk Stats

Last Mth Return + 1.4%
YTD2023 (9 mth) Returns + 14.6%
2022 Returns +15.9%
2021 Returns +24.7%
Sharpe Ratio 1.6
Since Inception (anulzd) +20.1%
# of Positive Trdng Mths 28/33
Max Monthly Drawdown (1.9%)
Contact Details
Sanjay Chowdhry Tee Chyng Wen
Founder & Partner Founder & Partner
+65 9632 8379 +65 9725 9458
sanjay@utmlab.com.sg cwtee@utmlab.com.sg
#17-01, MBFC Tower 3, Singapore 018982
utmlab.com.sg

This document does not constitute an offer or a solicitation to buy or sell any interest in the fund. Such an offer may be made only by means of the fund’s Information
Memorandum. This document is confidential and intended solely for the person to whom it was transmitted by the fund. The fund is only available to qualified
accredited investors as defined by Singapore SFA (Cap. 289).
Oct 2023
 UTM OPTION STRATEGIES FUND - Oct ’23 Factsheet

rd
Note: Returns as of calendar month end (not as of 3 Friday of month) since Eurekahedge data is as of calendar month end

Source:
www.eurekahedge.com/Indices

This document does not constitute an offer or a solicitation to buy or sell any interest in the fund. Such an offer may be made only by means of the fund’s Information
Memorandum. This document is confidential and intended solely for the person to whom it was transmitted by the fund. The fund is only available to qualified
accredited investors as defined by Singapore SFA (Cap. 289).
Oct 2023