Σ1

Yesterday I made several trades. I bought BWX and WIP to close my short positions, while maintaining long positions in EFA and VEA, effectively going shorter against the USD. Even though I have been emulate the CBOE S&P 500 BuyWrite Index (BXM) for somewhat less than PBP’s 0.75% expense ratio, I decided eat some crow [...]

Since May 10th the Sigma1 Fund is down over 1000 dollars, closing today at $37,856.48.  I’ve been thinking about reducing the leverage of the fund from its current 1.57X to closer to 1.2X.  I have been weighing the cost of realizing some short-term capital gains versus a desire to deleverage. On a separate note I’ve [...]

I believe the US economy is finally, gradually, haltingly emerging from its drug-induced slumber. So, what is my opinion on US equities?   Neutral to mildly bullish. The fact of the matter is that US equities are leading economic indicators.  Unless you believe in momentum investing, which I don’t (see disclaimer), past market moments do not [...]

This morning I realized that the Sigma1 Proprietary Trading Fund was allocated slightly dollar-centric rather than dollar-neutral.  To bring it back to USD-neutral I bought some BWX shares to cover a portion of my short positions.  Today the NAV of Sigma1 closed at $39,035.

As of this evening, the total NAV of the Sigma1 Proprietary Trading Fund is: $38,672.43, up over 10 percent from the original investment of $35,000.  Currently the Fund has no options positions and only long and short equity and EFT positions plus cash. Note: Returns for outside investors would be lower after fees.  Currently the [...]

Sigma1′s investing plans are hitting an inflection point.  On one hand, I’m very happy with Sigma1′s investment tack in the current economic environment.  On the other hand, I’ve been reading a lot of securities law and regulations, and finding a rigid framework that makes creative cost structures, well, virtually impossible. In essence, I’m learning that [...]

Unaudited total return of the Sigma1 Fund is 10.26%

As of tonight, the Sigma1 private-equity fund is up 6.44% since its inception less than 4 months ago.  I’ve used this time to begin putting several of my investing ideas into practice.  I started out cautiously the first couple of weeks, making sure I knew enough about the new trading platform I was using.  I’ve [...]

As I read “How I Became a Quant“  it seems that quants are more often born than made.  Of course it takes time to time to become a quant in the same way it takes time to become a doctor, lawyer, or engineer.  The difference is that one does not exactly just get a degree [...]