Sat, Aug 15, 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. PE/VC: How private equity co-investments can accelerate investor returns following a crisis, Pandemic slowed private equity fund closings in first half, Private-equity giants inking more deals in Asia[more]

    How private equity co-investments can accelerate investor returns following a crisis Investing in a post-crisis period is never simple. The atmosphere of opportunity compels investors to put capital to work. However, where and how to best invest becomes more important than ever. P

  2. Investing: Viking Global slashes exposure to hot tech stocks, Warren Buffett may have bought back a record $7bn of Berkshire Hathaway stock in the past 3 months[more]

    Viking Global slashes exposure to hot tech stocks From Institutional Investor: Viking Global Investors in the second quarter sharply cut back on positions in at least three of the market's hottest tech and internet stocks, according to a regulatory filing made public late Friday afterno

  3. PE/VC: Private equity firms bet on insurance, Private equity sees late July mini-boom as funds gear up for 'new normal'[more]

    Private equity firms bet on insurance From Institutional Investor: Major publicly traded private equity firms' assets under management are growing, largely thanks to investments in insurance companies. A new analysis from PitchBook of five major private equity firms' second-quar

  4. Private real estate fundraising plummets 28% with 58 funds closed in Q2 2020[more]

    Laxman Pai, Opalesque Asia: The number of private real estate funds reaching a final close has plummeted so far this year. Just 58 private real estate funds reached a final close in Q2 2020, down 28% from 81 funds closed in Q1 2020 and 47% from Q2 2019 (110), said a report by Preqin. That said

  5. Opalesque Exclusive: Katch secures guaranteed income through private debt to SMEs[more]

    B. G., Opalesque Geneva: Short-term lending to SMEs can be a good alternative to traditional fixed income, provided the risks are well under control. One fund that does just that is the Katch Global Lending Opportunitie