Private

Tracker on Orca Bason

Note: GenTwo is a platform provider for structured products. This information is intended for professional investors only.

What is this product?

A tracker certificate giving professional investors access to Orca Bason International Ltd — a Cayman Islands feeder fund providing exposure to a systematic, behaviorally-driven S&P 500 options strategy — through a portfolio of fund units, without the operational complexity of direct fund subscription.

How does it work?

The certificate tracks a reference portfolio of units in Orca Bason International Ltd, with the certificate’s value updated weekly in line with the fund’s own valuation cycle. As an open-end structure with no fixed maturity date, the certificate continues until the issuer exercises its termination right; secondary market liquidity is provided monthly, with buy orders processed on the 25th of each month and sell orders on the 5th, subject to a 21 business day notice period. At redemption, the certificate settles in cash at the prevailing portfolio value, meaning investors receive a payment reflecting their proportional share of the fund units rather than the units themselves.

What is the underlying asset?

The underlying is a portfolio of fund units in Orca Bason International Ltd, a Cayman Islands-registered feeder vehicle that channels capital into Orca Bason Fund, LP: a US-registered limited partnership operating a fully systematic S&P 500 options strategy. The strategy uses no leverage and does not short derivatives, with weekly premium at risk capped at 2% of NAV. Alongside the options engine, the fund allocates capital to a hedged long equity portfolio, providing a capital preservation component across market conditions.

At the core of the strategy is the BASON model, short for Bayesian Adjusted Social Network, a proprietary methodology developed by Oraclum Capital LLC, whose Chief Investment Officer is the academic originator of the underlying research. The model runs weekly competitive crowd-forecasting surveys, aggregating directional views on the S&P 500 from a curated pool of participants and correcting for individual biases using Bayesian inference. The resulting signal is traded through short-dated SPY options with expirations of zero to two days. Since inception, the strategy has generated a three-year track record with high risk-adjusted returns and low correlation to broad equity markets. The approach draws on the well-established principle that aggregated crowd judgments, when properly calibrated, can systematically outperform individual forecasters, applied here to produce returns that are designed to be largely uncorrelated with traditional market exposure.

Who is behind it?

The underlying strategy is managed by Oraclum Capital LLC, a New York-based investment manager and General Partner of Orca Bason Fund, LP, which operates the BASON model. The certificate is issued by ORCA Issuer SPC Ltd., a Cayman Islands-incorporated segregated portfolio company established specifically for this purpose, with ISP Securities AG (Switzerland) serving as paying agent and GenTwo AG providing the platform infrastructure that enables structured product access to the fund strategy.

What kind of instrument is this?

A tracker certificate is a structured product that tracks the performance of an underlying asset or portfolio. Investors gain exposure to the underlying’s returns without owning the physical assets directly, holding instead a claim against the issuer for payment at maturity or redemption.