LogicaCapital
Logica Capital commentary for the month ended May 31, 2023. SummaryThe story of May continues the story of 2023: thin breadth and extreme dispersion among stocks/indices (the Nasdaq 100 Index [NDX] gained +7.6%, while the Dow Jones declined -3.5% in May). In fact, a small number of large-cap tech are responsible for the great majority of the S&P 500’s gain on the year. We should note that this isn’t entirely atypical, as the market has seen long periods of such behavior throughout its history. We also note that “at-the-money” implied volatility has been punished YTD, seeing a much more dramati...
ValueWalk
Logica Capital commentary for the month ended March 31, 2023. SummaryMarkets/factors continued to diverge further in March, with the Nasdaq 100 Index gaining +9.46%, while the Russell 2000 fell -4.98%, in part due to failures of Silicon Valley Bank and Signature Bank. Through the end of Q1, we saw the Dow Jones Index up a paltry +38bps, while the Nasdaq 100 gained +20.5%. Separately, VIX/Implied Volatility came down slightly month over month in March but did see a nice intra-month pop due to the short-lived banking scare. At the close of Q1, VIX was down nearly -3.0 points for the quarter. Com...
ValueWalk
SummaryIn what ended as the S&P 500’s worst calendar year return since 2008, 2022 (and December 2022) displayed a consistent theme: the S&P 500 and other indices trailed significantly downward, but without the expected gain in VIX/Implied Volatility. Also of note: stocks and bonds exhibited a historically uncommon relationship, both plunging together in an extreme fashion. Q4 2022 hedge fund letters, conferences and more Commentary & Portfolio Return Attribution“Details create the big picture.”– Sanford Weill Most of our modules performed about as expected for 2022. Of particular note, our Mac...
ValueWalk
SummaryNovember brought us several fascinating storylines, from spectacular collapse(s) in the crypto space, to a historic equity/bond day in traditional markets. Concurrently, we experienced a fairly predictable relationship between implied volatility (IV)/VIX and the S&P 500, with perhaps slightly more volatility crush than normally expected. Logica’s strategies fared well, all things considered, due to several factors we discuss below. Q3 2022 hedge fund letters, conferences and more Commentary & Portfolio Return Attribution“It’s not whether you get knocked down; it’s whether you get up.”– ...
ValueWalk
Logica Capital commentary for the month ended October 31, 2022. SummaryAs we began last month – the S&P 500’s habit of seemingly obeying a calendar schedule continued in October with another large month – this time positive. Implied Volatility/VIX had a fairly “normal” month, which continued the pattern of muted implied volatility pop on down market moves, yet normal or (even outsized) implied volatility crush on market upside. While frustrating, this lopsided behavior inevitably has an end, and of course, must decrease to what becomes attractive long vol levels (to state the obvious, as IV fa...
ValueWalk
Logica Capital commentary for the month ended July 31, 2022. SummaryMarket indices charged upward with vigor while VIX/Implied Volatility were decimated in July. We have seen much of the same behavior as the rest of 2022: long volatility holders are punished on market rallies, and relative to historical precedent, not rewarded on declines. Logica Capital’s Commentary & Portfolio Return AttributionThere weren’t many surprises this month in our attribution, with S&P Puts heavily detracting and Calls providing the up capture. We continued to see our Sector & Single Stock Calls underperform just a...
ValueWalk
Logica Capital commentary for the month ended June 30, 2022. 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 StraddleSummaryIn what is becoming an incredibly familiar story (the broken records are stacking up!), June saw the S&P 500 down significantly without the expected response from VIX/Implied Volatility, as seen above. 2022 has also seen an astounding lack of volatility o...
ValueWalk
Logica Capital commentary for the month ended May 31, 2022.____ 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 StraddleSummaryThe S&P 500 Index closed flat for the month, but the path there was anything but smooth. In fact, it broached its lowest point since March 2021 before recovering its losses during the final week of the month. And in terms of volatility, despite the S&P...
ValueWalk
Logica Capital’s commentary for the month ended April 30, 2022.____ 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 StraddleQ1 2022 hedge fund letters, conferences and more SummaryThe S&P 500 Index closed the month at its lowest point since May 2021. Implied Volatility (IV) rose during April, albeit still exhibiting a “linear” rise rather than a “convex” rise when compared wit...
ValueWalk
Logica Capital commentary for the month of March 31, 2022. 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 StraddleQ1 2022 hedge fund letters, conferences and more SummaryWith early/mid-month fireworks to the downside and threats of a lower low, we continued to observe a muted reaction from implied volatility as compared with other crisis environments. Following that sell-off,...
ValueWalk
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