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 captures February's long-vol trade

Tuesday, February 20, 2018

Bailey McCann, Opalesque New York for New Managers:

Florida-based Global Sigma rode February's volatility to new highs. The firm's AGSF strategy is up +2.8 percent through February 16 and +4.2 percent YTD and its Vol/Arb program is up +14 percent through February 16 and 19.6 percent YTD.

Global Sigma CIO Hanming Rao tells Opalesque that he opted to go long-volatility in the second half of 2017 and maintained his positioning through the start of the year. That bet paid off earlier this month when the VIX hit new highs. "We expect that VIX will revert to more historical ranges - mid-teens to 20s over the remainder of the year," Rao says.

Global Sigma runs high turnover strategies that trade weekly expiry options. The firm's AGSF program has typically been short-volatility, but as VIX hit new lows and stayed there in 2017, Rao felt the index was likely to revert to its historical mean in the near term and opted to adjust the portfolio's position. Global Sigma's models generate one-day forecasts designed to help the investment team identify mispriced options. In the second quarter of last year, the team added a long VIX tail risk hedging model into its forecasts. With the addition of this model, the portfolio transitioned to a net long volatility/vega exposure.

The Vol/Arb strategy uses the same one-day forecast model to take a view on the VIX. The strategy l......................

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