Sun, Jan 19, 2020
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Global Sigma emerges as fixed income player

Monday, October 03, 2016

Bailey McCann, Opalesque New York for New Managers:

Florida-based Global Sigma has been capitalizing on recent volatility in the options market with its BondVol strategy. The strategy is up just over 3 percent for the year through August 12th, at a time when many peer funds are having difficulty maintaining positive returns. Global Sigma's $72 million BondVol strategy began trading in 2015, using treasury bond and note futures. The firm also manages its flagship weekly expiry options strategy which was started in 2009, and led to the firm becoming one of the most active traders of weekly expiry options in the CTA industry.

The strategies are run by Hanming Rao, formerly of Millennium Partners who acts as CIO and Ivan Skobtsov who acts as portfolio manager. Skobtsov was previously at PIMCO.

"In the universe of fixed income options we focus on those with shorter expiration dates because we are most comfortable with managing gamma in this subset," Skobtsov tells Opalesque by way of explaining the strategy. "With a longer time horizon there is more information decay. We want to work with options that have statistically significant information surrounding them."

The strategy relies on a portfolio of fixed income put and call options with a primary focus on treasury note and bond futures that are inefficiently priced. The treasury futures are used to hedge portfolio exposures to ......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Other Voices: PFIC: what U.S. investment funds should be particularly aware of and newly proposed regulations[more]

    By: Kris Hatch, Idan Netser, Fenwick & West LLP U.S.-based venture capital and other funds that invest in foreign companies must be careful to avoid the passive foreign investment company (PFIC) rules, which could substantially increase the tax owed on exit for U.S. taxpaying investors. U.S. per

  2. Renaissance employees could face clawbacks over hedge fund's tax maneuver[more]

    Jim Simons's Renaissance Technologies LLC has produced the greatest investment returns of any hedge fund. Now, it also may be facing an unusually painful tax headache. Last week, Renaissance sent a letter to its current and former employees warning that the Internal Revenue Service could force them

  3. D.E. Shaw's Orienteer strategy posts double-digit returns this year, EcoR1 puts up big gains as the hedge fund scoops up biotech, Ex-hedge fund BlueCrest extends winning run with 50% gain[more]

    D.E. Shaw's Orienteer strategy posts double-digit returns this year From Reuters: D.E. Shaw's Orienteer platform, the backbone of the $50 billion investment firm's multi-asset class offerings, posted high double-digit returns this year, the best ever in its six year lifetime. The Orie

  4. PE/VC: Private equity takes a breather from investing in banks, 2019's 10 defining moments in venture capital, Another record year for PE secondaries amid more GP-led transactions, How 2019 became the best year in private equity's history[more]

    Private equity takes a breather from investing in banks From American Banker: FirstCapital Bancshares of Texas has aspirations of going public in the next couple of years and it's counting on the resources and expertise of private-equity backer Castle Creek Capital to help it realize that

  5. BlackRock's flagship hedge fund Obsidian returns more than 13% in 2019 after stumbling in August, Eiad Asbahi's Prescience Point gained more than 100% last year, Ray Dalio's most prominent fund suffers first annual loss since 2000, Sundheim's D1 posts strong gains[more]

    BlackRock's flagship hedge fund Obsidian returns more than 13% in 2019 after stumbling in August From Business Insider: BlackRock's 23-year-old Obsidian hedge fund bested the average hedge fund, returning more than 13% in 2019 even after losing money in August. The fund, manage