Σ1

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 [...]

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 [...]

In today’s investment environment, if one wants to make any positive return on investment (and avoid negative inflation-adjusted returns) one must accept some risk.   CAPM presents a simplified model of risk as embodied by, sigma, or standard deviation.  Interestingly, the basic CAPM risk model does not encompass the concept of utility. It turns out that [...]

Sigma1 Position Overview Component Hard Short Med Short Light Short Neutral Light Long Med Long Very Long Equities X International Equities X Emerging Markets X Bonds X Corporate Bonds X International Bonds X Cash and Short-Term X Intermediate-Term Bonds X Long-Term Bonds X Equity-ETF Call Options X Equity-ETF Put Options X USD (US Dollar) X [...]

I created the Σ1 Fund for several reasons. A proprietary fund in which to invest some of my LLC’s assets. A real-world investment vehicle in which to test, refine, and showcase  investing and trading strategies. A hedge fund where my LLC can also make revenue from fees. (Fees as low as reasonably possible.) A fund [...]

The PowerShares S&P 500 BuyWrite ETF (PBP) and iPath CBOE S&P 500 Buy/Write Index ETN (BWV) both seek to track the BXM Index.  Each advertises a 0.75% expense ratio/annual fee.  The BXM Index reports an “18 years [history], generating a return comparable to that of the S&P 500 with approximately two-thirds of the risk”.  Should [...]