logicatailrisk
Logica Capital commentary for the month ended October 2021. Q3 2021 hedge fund letters, conferences and more Logica Absolute Return (LAR) \- Upside/Downside Convexity - No Correlation Tactical/dynamic balanced Put/Call allocation - StraddleLogica Tail Risk (LTR) \- Max Downside Convexity – Strong Negative Correlation Tactical/dynamic downside tilted Put/Call allocation - Ratio StraddleSummaryFollowing its first significant losing month in 2021, the S&P 500 rocketed straight back to all-time highs. In the process, the CBOE Volatility Index (VIX) recorded its lowest close of the year, and lowest...
ValueWalk
Logica Capital commentary for the month ended November 2020, discussing inflation breakevens. Q3 2020 hedge fund letters, conferences and more Logica Absolute Return \- Up/Down Convexity - No Correlation Logica Tail Risk \- Max Downside Convexity - Negative Correlation November 2020 Performance* Logica Absolute Return -2.1% Logica Tail Risk -3.1% S&P 500 +10.9% VIX -17.45 pts Year To Date Performance* Logica Absolute Return +14.5% Logica Tail Risk +15.8% S&P 500 +13.7% Returns are Gross of fees to illustrate strategy performance.*** Logica Absolute Return Fund, LP returned -2.17% (net) for Nov...
ValueWalk
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