A) Correct. A 90% upside capture ratio will leave KISS at $190 in the example below. The < 50% downside capture ratio means KISS will decline to $166 from $190 in a subsequent 25% crash. The market portfolio will decline to $150 from $200 in a subsequent 25% crash. KISS will begin compounding returns from a net asset value (NAV) of $166 in the next bull market vs. only $150 for the HODL'ers, whose stress levels are much higher than @42Macro clients because their portfolios are twice as volatile as KISS. I only studied math at @Yale, but I'm pretty sure exponential growth makes you richer, faster, when you compound from a higher NAV than from a lower NAV. And this example represents just ONE market cycle. Imagine repeating this process across 10-30 market cycles in your investing career. Bingo. FWIW, these institutional macro risk management understandings are why our testimonials page reads like this: