Noticed this hedge fund company managing something they call a FTSE option programme that is supposedly based on an 18 yr old formula for short strangles developed by Leonard Berney. I've looked at the historical performance and it is impressive (in up and down markets). So what gives? Is this the holy grail? What are its disadvantages and risks? www.remingtongrp.com and www.remington-york.com For some reason you have to right click "Save as..." to get the pdf
Looks similar to this CTA: http://www.autumngold.com/Advisor/CTAProfile.php?op=profile&id=10 I remember reading an interview with this guy late 1999, his equity curve was impressive then with virtually no down months. All he appeared to do was sell out of the money call and put spreads. Can't see how there is any actual edge in that. I think he got lucky to string a lot of small winners together, got a fair bit of money under management to get some good incentive fees before the inevitable implosion started.