Logica Capital May 2021 Commentary: How to structure a volatility portfolio

2 weeks ago | Economy | 0 comments

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ValueWalk

Logica Capital commentary for the month ended May 2021. Q1 2021 hedge fund letters, conferences and more Logica Absolute Return (LAR) – Upside/Downside Convexity – No Correlation Tactical/dynamic balanced Put/Call allocation – Symmetric StraddleLogica Tail Risk (LTR) – Max Downside Convexity – Strong Negative Correlation Tactical/dynamic downside tilted Put/Call allocation – Ratio StraddleMay 2021 Performance* Logica Absolute Return +0.5%Logica Tail Risk +0.2% VIX -9.9% (-1.9 pts)Naive Straddle -7.4%**S&P 500 +0.6%YTD Performance* Logica Absolute Return +0.4%Logica Tail Risk -2.8% VIX -26.3%…

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