Σ1

Let me take you back to grad school for a few moments, or perhaps your college undergrad. If you’ve studied much finance, you’ve surely studied beta in the context of modern portfolio theory (MPT) and the Capital-Asset Pricing Model (CAPM). If you are a quant like me, you may have been impressed with the elegance [...]

Building superior investment portfolios is what money managers are paid to do. As a fund manager, I wanted software to help me build superior, positive-alpha portfolios. Not finding software that did anything like I wanted, I decided to write my own. When I build or modify a portfolio I start with investment ideas. Ideas like [...]

A Baseball Analogy Imagine you’re the general manager of a Major League ball club.  Your primary job is to construct (and maintain) a team of players  that will win lots of games, while keeping the total player payroll as low as possible.  When considering a hypothetical roster a baseball GM has two primary objectives in [...]

Portfolio Software: Plain English Yesterday I wrote an early version of financial software to help users improve their investing portfolios.  This software has the ability to solve financial problems in a very different way than taught in graduate-level finance classes.   Rather than relying solely on a type of mathematics called statistic analysis, Sigma1 software [...]

If you’ve no heard of BitCoin (BTC, $BCOIN) you’re missing out on a long-shot currency bet opportunity.  The risk: value could plummet to zero.  The reward: If all goes perfectly you could buy a sizable piece of the next reserve currency.   Likely something in-between will happen.  Read more about BitCoin.

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 [...]

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 [...]

I ask myself what value-adds will distinguish the Σ1 Fund from the numerous fund out there. Here are a few key distinguishing points:

1. Innovative, industry-leading transparency for a hedge fund.
2. Far lower overall expenses than typical for a hedge fund.
3. Far lower investment minimums, by far, than a typical hedge fund.