Sun, Aug 18, 2019
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. Regulatory: Coming to America: US instigates major study into Mifid II[more]

    From IR Magazine: In the latest impact of Mifid II coming to America, a major investigation concentrating on research for small issuers has been successfully instigated by US politicians, on the back of the US coming closer to the European regulation. The US lower House of Congress, the House o

  2. Study: Quantitative investment strategies: Theory vs practice[more]

    From All About Alpha: When pitching an investment product with a backtested history the frequent response from potential investors is that they have never seen a bad backtest. Naturally this is true as there is no point in marketing a strategy with a poor backtest as investors have zero interest in

  3. 6 out of 10 investors seek to move assets from UK amid brewing of perfect storm[more]

    Opalesque Industry Update - Six out of 10 investors are now actively seeking to move assets out of Britain as a perfect storm looks set to hit the UK economy, reveals a new poll. The survey of more than 740 clients carried out by deVere Group, one of the world's largest independent financial

  4. Investing: Hedge funds take record short bets against Aston Martin, Investor sentiment reaching reversal point, says Lipper,It's time to buy into this long-suffering strategy, Investors, 'starved for returns,' flood private markets in search of high-growth opportunities[more]

    Hedge funds take record short bets against Aston Martin From FT: Hedge funds have taken record short positions in the debt and equity of Aston Martin, betting that the luxury carmaker will continue to struggle after one of the most disastrous stock market debuts of recent years.

  5. Crayhill Capital Management closes $100M transportation financing in Mexico[more]

    Bailey McCann, Opalesque New York: Private credit shop Crayhill Capital Management is providing a senior secured credit facility of up to $100 million to Mutuo Financiera, a vehicle fleet leasing company focused on clean energy passenger transportation in Mexico. Crayhill Capital Management is l