OBJECTIVE

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Seeks to provide the ultimate ideal - negative correlation with overall positive return

 

PROCESS

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The Logica Tail Risk (“LTR”) strategy employs a quantitative/mathematical approach to seeking superior risk adjusted absolute returns across a wide range of market conditions, regimes, and economic cycles through a core focus on volatility as an asset class, utilizing proprietary selection, trading, and allocation models, to construct a portfolio of balanced sources of long volatility exposure. These proprietary sources of long volatility are systematic sub-strategies which are complementary to one another in pursuit of a long volatility thesis, but differ in each aiming to extract independent sources of alpha from the market. Further, LTR’s portfolio construction process, and risk mitigation procedures, employ multiple quantitative metrics and methodologies to allocate and optimize capital amongst the sub-strategies in a way that seeks to best achieve the objectives of minimizing net concentration, maximizing upside participation, and maintaining constant market downside protection. LTR accepts a reasonable level of directional exposure, both broadly diversified and macroeconomic in scope, and consistent with generating excess returns, while always maintaining the primary goal of preservation of capital, substantive negative correlation to equity markets, and being convexly profitable to market shoulder and tail risk.

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