Rather than focus exclusively on the left tail convexity that has been the hallmark of Logica’s historical tail risk strategies, Logica Absolute Return raises exposure to the right tail outcomes, providing convexity in both directions. Between 2006 and 2014, Green founded and then managed the New York office of Canyon Capital Advisors, a $23 billion multi-strategy hedge fund. The strategy, launched January 1st, is up 4.67 percent for the month. Previously, Green managed discretionary macro portfolios focusing on volatility strategies for the family office of Silicon Valley pioneer Peter Thiel. Michael Green has joined Logica Capital as chief strategist and portfolio manager. “I DM’ed him, said we should grab coffee, and we talked for two hours,” he said. Green comes to Logica from Thiel Macro where he managed discretionary macro portfolios for the family office of Peter … His work on the impact of the growth of passive investing has been presented to the Federal Reserve, the BIS, the IMF and numerous industry groups. Green comes to Logica from Thiel Macro where he managed discretionary macro portfolios for the family office of Peter Thiel with an emphasis on volatility strategies. Michael Green has been a student of markets for nearly 30 years with a particular focus on market structure. “He approached long volatility very differently,” Green said. Michael has been a student of markets and market structure, for nearly 30 years. Similarly, the firm also recalibrated Logica Tail Risk to utilise more of its right tail strategies in order to increase down-capture positioning and thereby provide even greater left tail convexity than its traditional approach. His proprietary research into the shift from actively managed portfolios and investment funds to systematic passive investment strategies has been presented to the Federal Reserve, the BIS, the IMF and numerous other industry groups and associations. At the time, Green wanted Thiel Macro to evaluate Logica Capital as an external manager. In contrast, Himelsein designed a strategy that would give investors the ability to survive volatility in either direction, according to Green.“For those who buy true crisis protection, in an extreme crash, their portfolios may be up 1,000 percent,” Green said.
And from 2006-2014, he founded and managed the New York office of Canyon Capital Advisors, a USD23 billion multi-strategy hedge fund, where he established global macro strategies, managing in excess of USD5 billion of exposure across equity, credit, FX, commodity and derivative markets.The first collaboration with Green has already taken form in the introduction of the Logica Absolute Return strategy, which launched as a stand-alone strategy on 1 January, 2020 is a reconstitution of existing Logica sub-strategies and long volatility trading models.
“But by the time the event occurs, you have sunk more into it than you are recovering. If there’s a huge selloff, you’re seeing significant remarking of volatility. Prior to Thiel, Green founded Ice Farm Capital, a discretionary global macro hedge fund seeded by Soros Family Management. ... Green said his relationship with Himelsein started after an exchange the two quants had on Twitter. So from a portfolio standpoint, there are performance risks in both directions. His work on the impact of the growth of passive investing has been presented to the Federal Reserve, the BIS, the IMF and numerous industry groups.
Because of the stay-at-home order and related effects of COVID-19, Logica was unable to meet the original filing deadline for its ADV, and relied on the SEC CV-19 order to file by the extended deadline. Michael Green has joined LA-based boutique quantitative hedge fund Logica Capital as Chief Strategist & Portfolio Manager. That is the fat tails component of Black Swan.”Prior to Thiel Macro, Michael founded Ice Farm Capital, a discretionary global macro hedge fund seeded by Soros Family Management. Like a SpaceX rocket lofting a Tesla Roadster into orbit, Tesla stock is on a vertical trip into outer space. Michael Green is Chief Strategist and Portfolio Manager at Logica Capital Advisers and has been a student of markets for nearly 30 years with a particular focus on market structure. “Most people who trade vol do it from a relative value standpoint like Nassim Taleb’s approach.
Michael Green - Partner, Chief Strategist / PM . Los Angeles-based Logica manages volatility market neutral and tail risk/asymmetric alpha strategies. Quantitative hedge fund Logica Capital has hired Thiel Macro portfolio manager Michael Green as chief strategist and portfolio manager.