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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 ......................

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