This Vol Fund Run By A Former SAC Quant Is Crushing It

Discussion in 'Options' started by Banjo, Feb 8, 2018.

  1. Banjo


    Chuck Krug likes this.
  2. wintergasp


    Yes it's a Long-Vol fund, not a surprise that they're doing well.
  3. Saltynuts


    Thanks for posting Banjo. Interesting I was just thinking about something like this the other day.

    "is simple: it is long both the VIX and long S&P futures....What makes Global Sigma unique is that unlike other fat-tail funds who are mostly long the VIX and suffer constant theta decay in hopes of striking it rich on day when the VIX soars, this fund pair trades the VIX and the S&P with little if any day-to-day decay. Instead, what it hopes for is days like Monday when as Natixis pointed out on Tuesday, the "VIX spike corresponded to a 15% market crash", and instead the S&P dropped "only" 4%."

    My thinking was, starting to realize that shorting the long VIX ETFs at low VIX levels was so darn risky in the short term, but profitable in the long term, would be to just hold SPY until VIX levels spike. Then once they spike, try to short the VIX ETFs longs (or maybe buy SVXY (now that XIV is gone)). Do it very slowly. As you lever into the VIX ETFs, lever out of SPY.

    Fund seems to be doing something kinda-sorta similar.


  4. R1234


    "crushing it" ?
    7.1% CAROR with -5.5% DD ??
  5. ironchef


    I don't understand your post, so can you please explain?

    This according to the article:

    Seems like a very good approach but I suspect the devil is in the details and I do want to understand the details.

  6. wintergasp


    That's a sharpe of 1.5 though, it's very very good.
  7. Saltynuts


    bump so I can study this. Does the -5.5% DD means that is the most it ever went negative?