Buying deep OTM puts is likely the essence of the strategy, although in reality they probably run something more sophisticated than the recipe outlined in the book.
The firm did gain that in March 2020 but the media made it out to be more than what it is in reality, as always. There is a 2020 Q1 (written on April 7) leaked letter to investors:
"Based on your required invested capital at the start of the year, in March 2020 you experienced a +3,612% net return on capital; year-to-date you have experienced a +4,144% net return on capital"
Impressive numbers? However:
"As in my last Decennial Letter to you, we will show this portfolio effect by updating the performance of the hypothetical Universa “risk mitigated portfolio,” which pairs our actual net performance (monthly administrator-provided net returns, using yours from your start date, expressed as returns on a standardized capital investment) with an SPX position (a realistic proxy for the systematic risk being mitigated). The weightings between the two are 3.33% and 96.67%, respectively, as per the weightings we have always recommended for a fully “tail-hedged” Universa risk mitigated portfolio."
+3612% on 3.33% allocation is +120%. While still impressive, it is nowhere near the thousands that showed up in the headlines everywhere. If you had 100% allocation to this fund, you'd probably lose everything within the first year.
The previous one was on March 19 2020. Looks like Copper, Soybean, Corn, AUD are the top performers right now, but it seems across the board..
