Zero Beta Program – Niederhoffer

The Zero Beta Program delivers true market-neutral absolute return with a beta of approximately 0.00 to the S&P 500 and a correlation of just +0.04 since 2020. Designed to maximize the incremental Sharpe Ratio improvement when added to any existing portfolio, Zero Beta is the purest expression of R. G. Niederhoffer Capital Management’s alpha generation divorced from any equity directional exposure.

Strategy

The program applies the full suite of the firm’s 60+ diverse, systematic trading rules across all four major asset classes – equities, fixed income, foreign exchange, and commodities – with an average investment duration of approximately three days. The strategy is grounded in over 30 years of research into how cognitive and behavioral biases impact financial markets, and performs particularly well in volatile market conditions when investors are most susceptible to biased, predictable behavior.

Performance Highlights (since January 2020)

Annualized return: +23% vs. +15% for the S&P 500
Sharpe Ratio: +1.04 vs. +0.71 for the S&P 500
Maximum drawdown: –14% vs. –24% for the S&P 500
Beta to S&P 500: 0.00
Correlation to S&P 500: +0.04

Longer-Term Track Record (since January 2000)

Annualized return: +11.2%
Total return: +1,511%
Sharpe Ratio: +0.52
Maximum drawdown: –36%

Key Characteristics

Designed for investors seeking pure alpha with zero equity directional exposure
Consistent positive returns regardless of equity or fixed income market direction
Average monthly return in S&P down months: +1.0%
Average monthly return in S&P up months: +1.0%
Daily liquidity available

Note: ZB100 Share Class began live trading May 1, 2025. Prior results are pro forma based on actual trading records with mathematical adjustments for leverage and fee targets.