Investment Approach & Philosophy

ICON TrueNav Strategy is a proprietary option trading system designed to profit from short-term mean reversion of the stock market while limiting losses when momentum is dominant. TrueNav’s model was developed to select optimal option positions suited for any market condition. The result is a high risk-adjusted return with a low correlation to the stock market. TrueNav’s main advantage is always being net long option premium, so losses due to large market shocks are automatically capped. Although such long premium strategies usually lose money over time, TrueNav avoids this by hedging some of its long option premium by selling other options that its model has determined are overpriced. The trading universe is in the liquid, near-expiry options (< 2 months) on major equity Indices.

Capturing Profits from Mean Reversion

TrueNav vs S&P 500 (compounded returns)

ICON TrueNav utilizes long-premium/short-theta option positions to profit from short-term mean reversion of the stock market while limiting losses when momentum is dominant. The result is high risk-adjusted returns with a low correlation to the stock market.

Implementing Option Strategies to
Capture Mean Reversion while Limiting Tail Risk

Long options/volatility must be added to short options positions to limit tail risk.
However, naively buying options to hedge short option risk can decimate returns
Instead, options should be purchased when below “fair value” and sold when above. Our proprietary models have proven to be profitable at determining option fair value.
Furthermore, multiple option strategies should be included in the positions to generate
profits in a broad range of mean-reversion outcomes while simultaneously
reducing return volatility

TrueNav Tends to be Profitable in All Market Conditions

Data from both back testing and live trading since January 2015

ICON TrueNav Portfolio Management Team

Beno Blass

Beno has over two decades of experience developing and trading option strategies. His experience includes prop-trading fixed income options on London’s LIFFE exchange for First Continental, trading MAOF options on the Tel Aviv stock exchange for Gmul-Sahar, and he was also the Risk Manager for Barak Capital.

Omer Naveh

Omer has over two decades of experience trading the European, US and Israeli derivatives markets for Barak Capital and Sahar Securities. Omer was also the Risk Manager for IBI pension fund and has an LLB. in Law, and a B.A. in Business.

Wade Vagle, CFA CAIA

Wade has over two decades of experience trading options, developing predictive and risk management models, and managing teams of proprietary traders in the US, Europe and Asia. He has a BS in Chemical Engineering, a Udacity Nanodegree in Data Analysis, and has earned the CFA and CAIA designations.Beno has over two decades of experience developing and trading option strategies. His experience includes prop-trading fixed income options on London’s LIFFE exchange for First Continental, trading MAOF options on the Tel Aviv stock exchange for Gmul-Sahar, and he was also the Risk Manager for Barak Capital.