ACM Market Neutral Volatility Strategy Fund

The ACM Market Neutral Volatility Strategy Fund, our flagship investment vehicle, allows investors the possibility to achieve significant returns in both bull and bear markets, while maintaining liquidity and minimizing drawdowns. 

Apis Token - ACM Strategy in a fully liquid Asset

The Apis Token, launched June 2018, has tokenized the investment returns from Apis Capital's ACM fund to allow foreign investors to benefit from the profits of the Fund's strategy with no minimum investment limits, and zero management and incentive fees. 

Fund Overview 

The ACM Market Neutral Volatility Strategy Fund seeks to provide investors with consistent returns by taking advantage of opportunities in the volatility expectations of the S&P 500 Index.
The strategy uses a dynamic, machine-learning based, predictive analytical model which performs well in bear and bull markets, with minimal Beta correlation. The fund’s strategy is long/short volatility of the S&P 500 Index.

•The strategy focuses on data driven predictive analytics, powered by machine learning algorithms, to identify opportunities where the market underestimates or overestimates future expectations of volatility

•S&P 500 volatility expectations at 30 days are defined by the VIX index, which tracks the prices of a series of index options. VIX futures act as a secondary derivative of volatility, and define the expected value of the VIX index at a specific future time.

•In general terms, bull markets overprice VIX futures, resulting in Future Risk Premium (FRP) and bear markets underprice VIX futures, but overprice S&P 500 Options, resulting in Volatility Risk Premium (VRP).

•Future uncertainty in the US equities markets requires a strategy capable of adapting and performing well in multiple market conditions.

AI-Powered Algorithmic Trading 

Data across the S&P 500 index and its options, as well as the VIX and VIX futures markets provides valuable insight into opportunities to enter positions, as well as when the markets have normalized, signifying exit.

•The strategy dynamics are driven by algorithms created by Apis’s team of experienced traders, machine learning and quantitative market experts.

•The algorithms are developed through extensive market simulation that is analyzed by Recurrent Neural Networks, using BPTT and LSTM techniques.

•Ongoing machine learning enables the strategy to evolve over time, adapting to changing market conditions, and allowing it to maintain its edge.

•Stress testing of the Neural Networks with out-of-sample data and Batch Normalization ensures that the strategy’s adaptation does not result in overfitting.

Historical Return

The fund has performed effectively in both advancing, declining and flat markets. Monthly returns are available to prospective accredited investors through:

RCM Alternatives   (no subscription required)

or by Contacting Us for an Investment Prospectus.

Prior performance is not indicative of future results. The awards and rankings listed are provided by each individual database, and are based on a comparison with other firms and funds in the same category, listed in each individual database. The awards and rankings do not represent a comparison with all firms or funds.

The performance of the Apis Token, which is designed to participate in the profits of the ACM Fund Strategy and effectively tracks it, is described here.

Please read the full disclaimer in the Private Placement Memorandum for full details on risks and performance.

Awards and Recognition 

  • Ranked #4 out of 540 listed funds by 3-year Return (2017)
  • Ranked #5 Fund by YTD Return (out of 540 listed Funds) (2017)

  • Ranked #1 of 62 Option Strategy Fund by YTD Return (2017)
  • Ranked #3 of 197 Overall Hedge Funds between $1MM and $10MM AUM by YTD Return (2017)
  • BMFR 1st Q 2018 Edition - BMFR - Past Year Ranked By Compound Annual Return
  • December 2017 - Performance Award - Options Strategies Ranked By Net Return
  • 2017 - Yearly Award - CTAs Managing Less Than $10M Ranked By Net Return
  • December 2017 - Performance Award - CTAs Managing Less Than $10M Ranked By Net Return
  • 2017 - Yearly Award - Options Strategies Ranked By Net Return
  • April 2018 - Performance Award - Options Strategies Ranked By Net Return
  • April 2018 - Performance Award - CTAs Managing Less Than $10M Ranked By Net Return
  • May 2018 - Performance Award - Options Strategies Ranked By Net Return
  • May 2018 - Performance Award - CTAs Managing Less Than $10M Ranked By Net Return
  • November 2018 - Performance Award - Options Strategies Ranked By Net Return
  • November 2018 - Performance Award - CTAs Managing Less Than $10M Ranked By Net Return

The performance and awards above refer to the performance of the ECM Income Opportunity Fund from January 2016 to December 2017, and the ACM Market Neutral Volatility Strategy Fund from January 2018 onwards. Both funds use the same strategy, and all investors in ECM switched over to ACM as of January 1st 2018.

Tax-Efficiency

The fund primarily trades Equity Index Options which are considered "Section 1256" Contracts. As such, even though the fund trades short term, by IRS rule, 60% of the gains are considered long term, resulting in reduced tax liability for investors as compared to traditional actively trading funds that trade stocks or other types of options.

For tax-exempt investors, such as 401k plans, the fund provides other benefits. It does not use “borrowed funds”, therefore none of its gains would be treated as UBTI (Unrelated Business Taxable Income) and would not be taxed. Conversely, most hedge funds, real estate investments, or other investment options for tax-exempt accounts usually use some form of borrowed funds (loans, margin etc.) and therefore subject tax-exempt account owners to taxes they would not otherwise have to pay.

Risks

The fund actively manages risk, using a key proprietary trading model which reduces risk when the fund's holdings are subjected to stress while maintaining the income stream from the positions that are held. The risk management strategy has proven to be effective during times of crises, such as August 2015, early 2016 market meltdowns, Brexit, and the tumult before the US election, successfully navigating periods of high volatility and returning consistent profits.

The greatest risk to the fund is a significant, one-time event that would disrupt the financial system and prevent the fund from adjusting its positions to implement its risk management strategy. This would be unlike the 2008 financial crisis, which although significant to most investors, occurred over a period of a year.. The riskiest event is a one-day catastrophe, and such an event, while certainly possible, is unlikely and would also greatly affect any other financial investments.

The potential for profit is not guaranteed, and substantial risk of loss exists. Investments may lose value. The risk management strategy described above was implemented in 2015 in an incubator fund, which predates the audited performance of funds managed by the firm, which began in January 2016, therefore references to events in 2015 do not guarantee similar results in the future. 

Minimum Investment

The minimum investment is currently $250,000. Smaller investments may be considered on a case by case basis.

Fees

Subscription Fee: None (currently)

Management Fee: 2% p.a.

Incentive Fee: 20% of profit above High Water Mark

Apis Capital Management also offers the newer type 1-or-30 Fee Structure. Please contact us for details.

Liquidity

As the fund invests in securities that are publicly traded with very high volumes and high liquidity, our clients' investments in the fund are nearly as liquid as cash. As such, redemption from the fund is typically available on a monthly basis.

This information does not constitute an offering of the Fund. Please request an Offering Memorandum for full details of the Fund. Investments are subject to risk.