This presentation is for use only with investors who are not “U.S. Persons” (as defined in Regulation S under the Securities Act of 1933) outside of the United States. It is strictly confidential and may not be reproduced for, disclosed to or otherwise provided in any format to any other person or entity (other than your professional advisors bound by obligations of confidentiality) without the prior written consent of Imperium Fund™. This presentation does not constitute an offer to sell, or a solicitation of any offer to buy, securities in any jurisdiction to any person.
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1300 Washington Ave
P.O. Box 190124
Miami Beach, FL 33119
(305) 875-3863
Presentation
Imperium Fund™ is a classic American hedge fund with a low beta*, aiming to achieve competitive absolute returns adjusted for risk, independent of financial market conditions.
The Fund's activities are centered on identifying and exploiting inefficiencies in the equity market within the volatility segment. When considering volatility as a synthetic asset class, a well-known phenomenon is that implied volatility—impacting option pricing—tends to be higher on average than realized or actual market volatility. The Fund's strategy captures these "inefficiencies" by selling structured options spreads against the broad market, generating cash flow. Given the S&P 500 historical variance, the Fund is positioned to achieve positive uncorrelated returns in the medium and long term, employing a protective approach to managing risks associated with volatility.
The Fund is structured to be independent of market cycles and capture yields in bullish and bearish market phases.
* A low beta value means security is less volatile than the market and less risky.
1. Investment strategy
The investment strategy of Imperium Fund™ is an active investment strategy that combines investment and speculative components within a single investment approach. The strategy was envisioned and developed by the fund manager at Columbia University in New York from 2010 to 2018.
The strategy is based on arbitrage—that is, the difference between historical and implied volatility in the U.S. stock market. The essence is that implied volatility, which is a determining factor in the value of options, depends on the sentiments of market participants. As a result, there is a discrepancy between implied and actual (historical) volatility, which in many cases is lower or significantly lower than what is reflected in the pricing of options.
Historical vs. Implied Volatility (2023)
The Fund's strategy uses this difference to generate cash flow that is independent of the condition of the stock markets.
Investment Objective
The objective is to consistently target a gross return of at least 25% (twenty-five percent) for the Fund on a yearly basis.
Stock Market Indices (2014-2023)
| Year | S&P 500 | Dow Jones | NASDAQ | FTSE 100 | RTS | SSE |
| United States | Great Britain | Russia | China | |||
| 2023 | 24.23% | 13.70% | 43.42% | 3.78% | 11.63% | -3.70% |
| 2022 | -19.44% | -8.78% | -33.10% | 0.91% | -39.18% | -15.13% |
| 2021 | 26.89% | 18.73% | 21.39% | 14.30% | 15.01% | 4.80% |
| 2020 | 16.26% | 7.25% | 43.64% | -14.34% | -10.42% | 13.87% |
| 2019 | 28.88% | 22.34% | 35.23% | 12.10% | 44.93% | 22.30% |
| 2018 | -6.24% | -5.63% | -3.88% | -12.48% | -7.42% | -24.59% |
| 2017 | 19.42% | 25.08% | 28.24% | 7.63% | 0.18% | 6.56% |
| 2016 | 9.54% | 13.42% | 7.50% | 14.43% | 52.22% | -12.31% |
| 2015 | -0.73% | -2.23% | 5.73% | -4.93% | -4.26% | 9.41% |
| 2014 | 11.39% | 7.52% | 13.40% | -2.71% | -45.19% | 52.87% |
| Last 10 Year Average Annual Return | 11.02% | 9.14% | 16.16% | 1.87% | 1.75% | 5.41% |
| Year | S&P 500 | Dow Jones | NASDAQ |
| United States | |||
| 2023 | 24.23% | 13.70% | 43.42% |
| 2022 | -19.44% | -8.78% | -33.10% |
| 2021 | 26.89% | 18.73% | 21.39% |
| 2020 | 16.26% | 7.25% | 43.64% |
| 2019 | 28.88% | 22.34% | 35.23% |
| 2018 | -6.24% | -5.63% | -3.88% |
| 2017 | 19.42% | 25.08% | 28.24% |
| 2016 | 9.54% | 13.42% | 7.50% |
| 2015 | -0.73% | -2.23% | 5.73% |
| 2014 | 11.39% | 7.52% | 13.40% |
| Last 10 Year Average Annual Return | 11.02% | 9.14% | 16.16% |
2. Creating Alpha
Since Imperium Fund™ aims to achieve investment returns far above the general market level, the question arises: Is this possible through option selling?
Indeed, modern financial theories and models, such as Modern Portfolio Theory (MPT) and the Capital Asset Pricing Model (CAPM) , assert that achieving an abnormal return is only possible with an increase in risk. However, this statement pertains to passive investing. As mentioned earlier, the Fund's strategy is based on combining investment and speculative components within a single investment strategy. Therefore, to understand what supports the belief that the Fund can systematically outperform the market, we should consider three fundamental factors underlying its operations.
Factor 1. The Growth of the American Stock Market
The first factor that gave the Imperium Fund™ its name is the long-term (imperial) growth of the U.S. stock market.
Historical Growth of the S&P 500 Index (1993-2023)
If we look at the chart of the S&P 500 index, it becomes clear that periods of decline—such as in 1929, 1987, 2000-2002, 2007-2008, and 2022—have always been followed by long-term growth. This growth has been very stable, averaging around 8% per year (12% including dividends) since the index was established in 1957. This stability is related to the fact that the U.S. stock market is closely tied to the economy, with its main participants being pension funds and institutional investors. Therefore, investing in the S&P 500 is, de facto, investing in the growth of the U.S. economy itself. The S&P 500 index is also a benchmark for professional investors worldwide.
One way to understand the Fund's investment strategy is to think of it as a method of investing in the historical growth of the S&P 500 through premium selling. The strategy is designed to profit from both upward and downward movements, serving as a natural hedge against corrections.
Factor 2. Cyclicality of Volatility
If the minimum return—namely, the return of the index—is generated through the ongoing sale of options on the S&P 500, then the cyclicality of volatility comes into play to achieve additional returns.
VIX Cyclicality (2008-2022)
The importance of the cyclicality of volatility lies in the fact that it is an empirical observation. After a spike in volatility, there is always a subsequent drop (known as a volatility crash), and this can be utilized (and is widely used) in strategies to achieve additional returns without adding an element of uncertainty, and therefore without increasing risk.
Factor 3. Options Time Decay
Finally, the third fundamental factor is the time decay of option prices, which allows for the incorporation of a mathematical component into investment activities.
According to the philosophy of the Imperium Fund™, selling options is inherently a bet on the right side of the market, as each option, essentially an insurance policy for the stock market, loses value from the moment it is created. On the one hand, this means that time works in favor of the option seller; on the other, the market itself provides an advantage by allowing the use of price decay to create investment strategies that accommodate an abnormal rate of return.
This factor is precisely what the Fund uses to generate investment alpha.
3. Risk Management
Investing is associated with risk. Therefore, risk management is given special importance. The Fund's investment activities are conducted based on strict rules and standards that govern all aspects of its operations.
Risk Management Parameters
| Portfolio: | ETF & Index Options |
| Average Time to Expiration: | 1-2 weeks |
| Max Time to Expiration: | 45 days |
| OTM Distance: | > 1 Standard Deviation |
| Allocation Frequency: | Intraday |
| Option Premium Reinvestment: | 65-80% |
| Greeks: | Delta: |<18%|, Gamma: |<3%|, Vega: |<1%|, Theta: >1%, Rho: <1% |
| Risk Monitoring: | Market analysis, volatility and portfolio changes are monitored continuously in real-time using proprietary technologies and third-party platforms. |
4. Research & Development
Imperium Fund™ bases its operations on the results of a 14-year investment research project, Stock Following®, initiated at Columbia University in New York in 2010 and continuing to this day.
The main question that needed to be answered within the project was: what distinguishes the strategies of well-known investors like George Soros, Carl Icahn, or Stanley Druckenmiller—who consistently achieve abnormal rates of return deemed impossible according to modern theories and models—from the strategies of other investors? As it turns out, the answer is far from obvious and lies in the realm of active investing (not to be confused with trading), which requires an understanding and exploiting market nuances rather than just knowledge of technical or fundamental analysis methods or other approaches to investing.
Soros Fund,
30% annualized return over 19 years
Tiger Management,
32% annualized return over 20 years
Icahn Enterprises,
31% annualized return over 43 years
Duquesne Capital,
30.4% annualized return over 30 years
Berkshire Hathaway,
22.3% annualized return over 36 years
The project demonstrated that the abnormal returns earned by these managers are not random but are explained by their investment approach. Throughout the project, a proprietary investment theory was formulated, an investment school was established, and in 2018, a methodology for active investing was developed, along with a set of proprietary techniques and technologies that enable a well-founded expectation of achieving abnormal rates of returns in speculative markets.
5. About Us
Imperium Fund™ was established in 2024 to practically implement the ideas of active investing, including the concept of “Playing on the Right Side of the Market.”
The Fund's investment philosophy is based on the premise that since the stock market cannot be predicted with sufficient accuracy, the investor's task is to “adapt” to the market, making it work in their favor rather than trying to outsmart it by determining direction through fundamental or technical analysis. This concept is called “Playing on the Right Side of the Market,” and it is reflected in all aspects of the Fund's operations, primarily in its investment strategy.
Dmitry Khaustovich
Fund Manager
Columbia University graduate, GS’16 (Financial Economics), author of the investment methodology Stock Following®, Microsoft® Certified Professional, 2003.
Fund Structure
| Instruments: | ETF & Index Options |
| Investment Objective: | 25% (gross rate) |
| Minimum: | $100,000 USD |
| Subscription/Supplemental: | Monthly |
| Redemption Terms: | Quarterly with 45-day notice |
| Lock-Up: | 6 months |
| Management Fee: | 0%* |
| Incentive Fee: | 25% |
| High-watermark: | Yes** |
| Domicile: | State of Delaware (USA) |
* A zero management fee is offered to investors who invest capital in 2024.
** A high-water mark is a benchmark that hedge funds use as a criterion for charging management fees to investors. It represents the highest value that an investment fund or account has ever achieved. The existence of a high-water mark ensures that the hedge fund will only receive compensation when it achieves success.
6. Getting Started
Imperium Fund™ is open to investors who are not citizens or permanent residents of the United States, as defined in Regulation S of the Securities Act of 1933.
Investors falling under this category can request additional information via feedback or contact our official representative at: +1 (305) 875-FUND (3863) Monday to Friday from 9 AM to 6 PM Eastern Standard Time, EST (UTC−05:00).
Updated October 27, 2024