A live track record can only show the regimes markets have handed us since inception. The backtest reaches back through the ones they haven’t — on real, observed option prices.
The Helion strategy is implemented in both the Horizon and Meridian funds. Those vehicles differ in legal structure and investor eligibility — not in investment approach. Everything on this page describes the strategy itself, on a backtested / hypothetical basis. It is not a presentation of either fund’s live results.
Helion’s live history contains real drawdowns — but they share a defining feature: every one resolved in a V-shaped recovery. It contains no multi-year secular bear, because there hasn’t been one since 2000–02.
A long-dated, convex option sleeve is most exposed in precisely that regime — a slow, grinding decline that carries markets lower without ever spiking volatility.
So rather than assume, we tested the strategy against the two secular bears markets have actually seen: the dot-com bust (2000–02, index −49%) and the Global Financial Crisis (2007–09, index −57%) — on the real option prices that traded through both.
Convexity is not a hedge. It is leverage — and leverage cuts both ways.
In both secular bears, unmanaged convexity drew down more deeply than the index it is built on. It enters a bear heavily exposed, and long-dated options fall faster than the index. Most managers would bury this. We lead with it — because everything that follows only means something if you believe this part.
Peak-to-trough, on real observed option prices. The convex sleeve is the deepest bar in both crises.
Backtested / hypothetical. Real option data; the reserve sleeve is a calibrated proxy (see “What Is Real”).
Survival depended on the shape of the recovery. In the GFC’s sharp V-shaped rebound convexity round-tripped its drawdown and recovered — the convex thesis working as designed. In the dot-com bust, an L-shaped grind with no bounce to recover into, that same unmanaged convexity compounded losses and badly lagged. The one regime absent from the live record is the regime in which convexity’s greatest strength inverts into its greatest liability.
Our production data provider’s surface begins in 2013. To reach the dot-com bust and the GFC we sourced an independent vendor’s record of real, listed SPX option prices back to 1990 — then validated it against our production data on the years where both exist.
The dot-com bust and the Global Financial Crisis are replayed on the option prices that actually traded through them — validated to within a fraction of a percent of our production data. It is a reconstruction of those markets, not an estimate of them.
The full validation record — every window, every gate, and where the vendor data disagrees and by how much — is in the technical paper, available under NDA.
Declines do not all look alike, and any single trigger tuned for one shape of decline will be late to the others — which matters most for a convex book, because it is the slow, grinding bear that hurts it worst. What Helion does about that is a rules-based exposure layer. In a sustained decline, recommended exposure is reduced toward a defensive floor; returning to full exposure is deliberate rather than automatic. All of it is implemented, advisory, and de-risk-only.
When the framework confirms a sustained deterioration, recommended exposure is cut toward a defensive floor — promptly, on rules, and auditable at every step. It does not wait for conviction.
Exposure is not restored on the first strong week. Bear markets produce vigorous rallies that fail, and a discipline that re-engages on one of them is not a discipline. Getting out is the easy half; this governs the hard half.
The framework produces exposure recommendations shown on the desk and reviewed and executed by the CIO. It never auto-trades, and it guarantees no protection.
How the framework is built — the signals themselves, the parameters that govern them, and the rules that combine them — is proprietary and is not published. What follows is what the framework did.
Lower is better. Peak-to-trough, real option data. Same engine, same contracts — changing only whether the discipline is active.
It does not make the strategy safe. It makes the failure mode survivable — and, avoiding the deepest holes, it compounds from a far higher base through the recovery that follows.
Logarithmic scale. Real option data. Net of an illustrative 2/20 fee model, vs. S&P 500 total return.
Hover any year to read both values for that year.
Avoiding the deepest bear drawdowns is what separates the disciplined line from the index over a full cycle.
2000–2025, real option data, net of an illustrative 2/20 fee model. The dot-com years (2000–02) are where the discipline earns its keep.
Hover any year to read all three returns for that year.
| Real options record · 2013–2025, net of fees | Return / yr | Worst drawdown | Sortino |
|---|---|---|---|
| Unmanaged convexity | 19.7% | −31.9% | 1.60 |
| Current strategy — with the discipline | 19.7% | −24.0% | 1.79 |
| Out-of-sample (2021–2025, held back from development) | 13.9% | −20.5% | 1.40 |
Comparable net return with a materially shallower drawdown and a better risk-adjusted return — the discipline earns its keep on downside and consistency, not by chasing return. On this 2013–2025 record the strategy compounded roughly 19.7% net of an illustrative 2/20 fee model — in line with the fund’s ~19.7% reported net. The out-of-sample years were held back from development, and the improvement rests on round, un-optimized parameters — consistent with a real edge rather than a curve fit.
We draw the line as tightly as we can: everything that can be real, is real.
| Input | Real / modeled | Source & anchor check |
|---|---|---|
| Option prices & surface strikes, expirations, mid prices | Real | Listed SPX options, 1990–2025 (one independent source pre-2013, a second commercial source 2013+). Validated: NAV corr 0.97, price median 0.26%. |
| S&P 500 price path | Real | 2000 peak 1527 · 2002 low 777 · 2007 peak 1565 · 2009 low 677 ✓ |
| Interest rates | Real | US Treasury (FRED), used to recompute implied vol & greeks from raw bid/ask. |
| Dividend yields | Real | Shiller monthly series ✓ |
| Volatility (VIX) | Real | Actual / reconstructed crisis VIX, corr 0.992 (1996–2012). 2008 peak ~81 · 2002 peak ~42 ✓ |
| Fixed-income / reserve sleeve | Calibrated proxy | The only modeled input. Rather than observed bond prices, the reserve sleeve uses a calibrated, rate-regime proxy for the desk’s active fixed-income management — making it the least certain part of the backtest. It is flagged plainly in The Honest Limits and the disclosures below. |
We discard vendor-supplied greeks and recompute implied volatility and greeks from raw bid/ask with real rates and dividends — so the option leg is internally consistent across all 35 years.
Research runs the same engine as live trading from identical configuration files — the production logic is real code, never rewritten for the scenario.
Option tenors are capped to what actually traded in each era, and the reserve sleeve is modeled as an active, rate-regime return rather than an assumed flat yield.
The 2021–2025 years were held back from development. The discipline improves return and drawdown there too — the test that separates a real edge from a curve fit.
We would rather you hear it from us than find it later.
It is not a hedge, and it does not prevent losses. The convex sleeve is long-dated and can and does experience large drawdowns. Investors can lose principal.
It costs upside in sharp recoveries. A discipline that de-risks into weakness will sometimes be out of the market when it snaps back. A disciplined re-entry reduces that cost — it does not eliminate it.
The reserve sleeve is a modeled proxy. The option leg is real observed data; the fixed-income/reserve return is a calibrated proxy of the desk’s active management, and a genuine source of modeling uncertainty.
The out-of-sample evidence rests on a limited number of independent bear episodes. It is supportive. It is not conclusive.
It is a discipline, not a guarantee. It improved risk-adjusted outcomes in testing. It cannot promise to do so again. Backtested results are not indicative of future results.
Plenty of managers will sell you asymmetric upside. Very few will show you the regime in which their own engine breaks — and fewer still have built, tested and shipped a rules-based discipline to survive it.
What the research says is narrow and specific: a convex sleeve, left alone, is a magnificent instrument in a market that recovers and a wealth-destroying one in a market that grinds. The difference between those two outcomes is not conviction, or timing, or a view. It is a rules-based exposure layer that de-risks promptly, returns to exposure deliberately, and is auditable at every step.
That is what Helion is. Not a hedge. Not a guarantee. A convex core with a disciplined risk framework wrapped around it — built to sit as a complementary sleeve inside a real portfolio, and honest enough to tell you where it hurts.
We’ve shown you what the framework did. Under NDA, qualified investors can see the evidence behind it in full — the complete record, the validation work, and the research programme that produced it. What the paper does not contain, and what we do not hand over under any agreement, is how the framework works. That is not a negotiating position and it is not a matter of trust: the way it is built is the firm itself, and it stays in-house — NDA or not.
The technical paper, available to qualified investors under a non-disclosure agreement, includes:
What it withholds is the construction: the signals, the parameters that govern them, the rules that combine them, and the mechanics of implementation. We are glad to prove the discipline works and to show you how rigorously it was tested. We will not show anyone how to rebuild it.
Access is subject to NDA and verification of investor status. Hypothetical and backtested performance is not indicative of future results.
Qualified investors, advisers, family offices and institutional allocators can request the technical paper and validation record under NDA.
Request AccessHelion Strategies reviews each request and reserves the right to decline. Interests are offered only through the applicable offering documents.
Hypothetical and backtested performance. All performance shown on this page is backtested / hypothetical. Backtested performance is not indicative of future results and has inherent limitations, including that it is prepared with the benefit of hindsight and does not reflect the impact of actual trading, financing, liquidity constraints, or the emotional factors of real investment decisions.
Real option data, one modeled component. The option leg of the backtest uses real, observed listed SPX option prices (one independent source for periods before 2013 and a second commercial source from 2013), reconciled against each other over their overlap. The fixed-income / reserve sleeve is a calibrated proxy of the desk’s active management, not observed data, and is a source of modeling uncertainty.
Net of an illustrative fee model; not a fund return. Return figures are shown net of an illustrative 2% management / 20% incentive fee model (8% soft hurdle, full catch-up, high-water mark). They are the strategy book’s research return, not the live, audited net-of-fee return of any fund; actual fees, transaction costs, financing and slippage would affect realized returns. Live fund performance is reported separately on the Performance page.
One strategy, two vehicles. This page describes the Helion strategy, implemented in both the Helion Strategies Horizon Fund and the Helion Strategies Meridian Fund. Those vehicles differ in legal structure and investor eligibility, not in investment approach. Nothing here is a presentation of either fund’s live results.
Advisory framework. The exposure-management framework described here is advisory: it produces exposure recommendations reviewed and executed by the CIO. It does not automatically execute trades, and it does not guarantee any protection or outcome.
Risk. Options strategies are complex and involve substantial risk. A long-dated convex sleeve can experience large drawdowns. Investors can lose principal. Nothing herein is a guarantee of returns, risk reduction, downside protection, liquidity, or successful execution.
Offering. Interests are offered only through the applicable Private Placement Memorandum, operating agreement, subscription documents and governing documents, which control in the event of any conflict with this page. This material is for informational purposes only, is not an offer to sell or a solicitation of an offer to buy any security, and is not tax or legal advice.
