A Research-Driven Framework for Structured Products

First Principle Asset Management converts complex option payoffs into systematic, downside-aware portfolio sleeves. Our strategies are designed to enhance income, shape drawdowns, and improve risk-adjusted returns when paired with traditional equity and fixed income. We leverage institutional-grade research, direct bank relationships, and a disciplined investment framework to deliver structured-note portfolios that complement traditional 60/40 allocations. Our approach transforms volatility into income, uses defined barriers to manage downside risk, and creates payoff profiles that behave differently from long-only equities and bonds across various market regimes.

Core Portfolio Strategies: A Spectrum of Risk

The Tortoise

Income & capital preservation

Conservative sleeve of high-buffer income notes designed for principal stability and recurring cash flow.

  • Objective: 5–7% annualized cash yield from coupons
  • Structures: Buffered income notes with 30–40% downside protection
  • Fit: Complements core fixed income and defensive equity allocations

The Tortoise primarily uses short- to intermediate-term notes on diversified indices, laddered across issuers and maturities. Barriers are calibrated to withstand routine equity drawdowns, with issuer diversification and size limits designed to keep the sleeve aligned with capital-preservation objectives.

Flagship

The Albert Einstein Genius Fund

Flagship balanced structured portfolio

Flagship program blending income, growth, and defensive structures. Designed to replace a portion of traditional equity exposure while targeting improved risk-adjusted returns.

  • Objective: 7–9% long-term annualized return profile
  • Structures: Mix of buffered income, enhanced participation, and range-bound notes
  • Fit: Replacement for part of core equity allocation in balanced portfolios

The Albert Einstein Genius Fund combines diversified underlyings, staggered maturities, and multiple payoff types. Portfolios are constructed with 40–50% downside protection levels on broad indices at maturity, while using volatility premia and conditional upside to pursue equity-like returns with more defined downside frameworks.

The Hare

Growth with defined risk

Higher-octane sleeve for clients willing to accept greater market sensitivity in exchange for higher upside potential.

  • Objective: 10–13% annualized return potential in favorable markets
  • Structures: Autocallable growth notes with 20–30% downside protection
  • Fit: Satellite allocation for risk-tolerant clients within an overall plan

The Hare leans into structures with higher participation rates and conditional coupons, concentrated in broad indices and liquid sector baskets. Protection levels are shallower and more path-dependent, making this strategy appropriate only as a modest sleeve for clients with higher risk tolerance and long time horizons.

All objectives, ranges, and characterizations above are illustrative only and do not represent guarantees or projections. Actual results will vary, and structured products involve risks, including the potential loss of principal.

Where Structured Products Fit in a Portfolio

We do not treat structured notes as standalone trades. We design diversified sleeves that sit alongside traditional equity and fixed income, with clearly defined roles in income generation, drawdown management, and diversification.

Income Enhancement

Use volatility to generate repeatable cash flows through buffered income and coupon notes, rather than relying solely on dividends or bond yields.

Drawdown Shaping

Employ barriers and buffers to soften downside participation in adverse markets, while maintaining participation in moderate equity growth.

Diversification of Payoffs

Introduce payoff profiles that are not linear with the underlying market, helping diversify outcomes relative to long-only equity and credit.

The First Principle Framework

Our strategies are built as institutional sleeves, not tactical trades. We follow a repeatable process that links client objectives to payoff design, issuer selection, and ongoing risk management.

1

Define the Risk Budget

We begin with portfolio objectives, volatility tolerance, drawdown limits, and income targets. Structured sleeves are sized and slotted into the broader allocation, not layered on top.

2

Engineer the Payoff Library

We design a menu of allowed payoff types, barriers, tenors, and underlyings for each strategy, creating a rules-based architecture instead of ad hoc trades.

3

Construct Diversified Sleeves

Portfolios are built across issuers, maturities, and underlyings, with constraints on concentration and correlation. Structured sleeves are managed as programs, not individual notes.

4

Monitor & Rebalance

We maintain ongoing oversight of barriers, issuer risk, and market regimes, rolling maturing notes into new opportunities while keeping the sleeve aligned with its defined risk budget.

How the Strategies Behave Across Market Regimes

Structured-note portfolios are designed to respond differently to market regimes than long-only equities or bonds. The table below summarizes the intended behavior of each sleeve in common scenarios.

Market Regime The Tortoise Albert Einstein Genius Fund The Hare
Rising markets Collects coupons, may participate partially in upside depending on structure. Participates meaningfully in upside while still maintaining defined downside frameworks. High upside sensitivity; performance closely linked to equity path and call features.
Sideways / range-bound markets Coupons drive most of the return, potentially outperforming long-only equities. Income plus selective upside from range-bound and enhanced participation notes. Coupons and autocalls drive returns if indices remain within agreed corridors.
Moderate drawdowns Buffers and protection levels aim to absorb routine drawdowns, helping preserve capital. Buffers mitigate part of the drawdown, with loss participation only beyond defined levels. More exposed to drawdowns; protection is shallower and more path-dependent.
Severe stress Can experience losses, but diversified issuers and high buffers are intended to soften impact relative to pure equity. Losses may be realized beyond barrier levels; design focuses on recovery over the full cycle. Behaves more like an equity satellite; may experience material losses in severe bear markets.

Implementation for Advisors

First Principle strategies are delivered through SMAs and AMC structures, allowing advisors to plug institutional structured-product portfolios directly into existing models and custodial platforms.

Programmatic, Not Ad Hoc

Strategies are built as ongoing programs with defined rules, issuer lists, and risk limits, reducing dependence on one-off product pitches or opportunistic trades.

Institutional Infrastructure

We leverage institutional-grade partners for custody, administration, and execution, aligning our process with the standards of multi-family offices and institutional allocators.

Advisor-Centric Design

Sleeve-level reporting, model integration, and clear role definitions allow advisors to explain exactly how each strategy fits into client portfolios.