| ANNUALIZED SINCE INCEPTION | QUARTERLY | YTD |
|---|---|---|
| - | -0.48% | -0.48% |
Logica's March 2026 letter details a challenging month defined by geopolitical whipsaw from the Iran conflict. The S&P 500 fell 5.09% while VIX remained elevated in the 25-30 range, creating an expensive optionality environment where option carry costs were high but realized volatility remained insufficient for meaningful trading opportunities. The firm's Phase Shift signal activated, transitioning from scalping vol spikes to holding long-volatility inventory ahead of expected breakouts. However, the March 31 snap-back rally crushed VIX by 5.4 points, hurting positioning. LAA delivered -4.04% versus S&P's -5.09%, producing roughly 1.05% excess return. The quarter illustrated how the strategy behaves across volatility regimes, with low realized volatility creating headwinds despite elevated implied volatility. Looking forward, the key question is whether realized volatility will rise to meet implied levels or whether IV will compress as geopolitical concerns subside. The strategies remain positioned for asymmetric upside if volatility alignment occurs.
Logica employs long-volatility strategies designed to provide asymmetric protection during market stress while generating returns through systematic options trading and volatility scalping across different correlation targets.
VIX closed the quarter at 25.2, approximately 10 points above January starting level. The question going forward is whether realized volatility will rise to meet the level of concern embedded in the options surface, or whether implied volatility will compress back toward historical norms as geopolitical concerns subside. If the former, strategies are positioned to generate outsized excess returns. If the latter, strategies will carry long-convexity position with headwind while maintaining asymmetry.
| Date | Letter | Tickers | Keywords | Pitches | Quick Takes |
|---|---|---|---|---|---|
| Apr 15 2026 | 2026 Q1 | - | Geopolitical, Hedging, Iran, Options, Straddle, VIX, volatility | - | Logica's volatility strategies faced headwinds in March as geopolitical whipsaw from Iran conflict created expensive options environment with insufficient realized movement. Despite VIX elevated at 25-30, low realized volatility limited trading opportunities. LAA outperformed S&P by 105bps but March 31 reversal hurt positioning. Strategies positioned for asymmetric upside if volatility alignment occurs. |
| Jan 21 2026 | 2025 Q4 | VIX | convexity, Hedging, Options, quantitative, Systematic, Tail Risk, volatility | - | Logica's volatility strategies delivered positive returns in 2025 despite falling VIX, with April's market stress validating their convexity approach. December's compressed volatility prompted increased Vega exposure based on positive expectancy models, accepting higher costs for enhanced protection. The team emphasizes that rare events occur far more frequently than traditional models suggest, maintaining structural readiness for inevitable market turbulence. |
| Nov 17 2025 | 2025 Q3 | - | convexity, Correlation, dispersion, Hedging, Options, VIX, volatility | - | Logica capitalized on October's spot up, vol up anomaly where equities rallied 2.3% while VIX climbed 1.16 points. Low implied correlation and elevated dispersion kept volatility bid despite record highs, validating their disciplined Vega accumulation strategy. With systematic convexity positioning across three correlation-targeted funds, Logica exploits structural market fragility beneath the bullish surface, preparing for inevitable volatility expansion. |
| Oct 31 2023 | 2023 Q3 | - | Derivatives, Factor, Options, Scalping, technology, volatility | - | Logica's volatility strategies faced headwinds from continued factor dispersion and volatility suppression in October. Fast scalping outperformed slow scalping during whipsaw movements, while sector strategies struggled with large cap tech dominance. The fund's defensive Phase Shift mechanism provided downside protection but limited upside capture during the month-end rally. |
| Jul 31 2023 | 2023 Q2 | - | Derivatives, Hedging, Options, risk management, volatility | - | Logica's volatility strategies delivered positive July returns while benefiting from improved implied volatility conditions. The manager has conviction that volatility is cheap near historical lows and has methodically increased exposure. Their diversified approach generated alpha as markets broadened, demonstrating their ability to capture upside while maintaining defensive positioning through tactical options strategies. |
| Mar 31 2023 | 2023 Q1 | - | Banking, Factor Rotation, gold, Options, technology, volatility | - | Logica posted modest losses amid record factor dispersion as Nasdaq 100 surged 9.5% while Russell 2000 fell 5%. Banking volatility created intra-month spikes but VIX declined overall. Factor rotation hurt value-exposed positions while gold delivered strong +8.3% performance. Management maintains balanced strategy conviction, slowly rotating into semiconductors as trends evolve. |
| Jan 20 2023 | 2022 Q4 | - | - | - | |
| Nov 16 2022 | 2022 Q3 | - | - | - |
| QUARTER | THEMES | TAGS |
|---|---|---|
| 2026 Q1 |
VolatilityMarch was defined by geopolitical whipsaw as the Iran conflict drove headline-driven drops and reversals. VIX spent most of the month pegged in the 25-30 range while realized volatility held at 11-14%, creating a classic expensive optionality, insufficient movement setup where option carry cost was elevated but trading opportunities were constrained. |
VIX Implied Realized Options Straddle |
Risk AppetiteThe cost of protection always goes up when the need for protection goes up. The rise in IV certainly helped, but not nearly enough to confront the more impactful headwinds. Fear outperformed fact as the price of protection was twice as much as what was actually happening on the ground. |
Protection Hedging Fear Downside Tail | |
| 2025 Q4 |
OilOil represents the cheapest major asset class globally, trading at near-record lows relative to gold despite balanced fundamentals. The closure of the Straits of Hormuz has created the largest supply shock in industry history, disrupting 20 million barrels per day. Non-OPEC supply growth is slowing dramatically, with U.S. shale production plateauing outside the Permian Basin. |
Crude Oil Brent WTI Shale OPEC |
Natural GasNatural gas ranks in the 99.5th percentile of historical undervaluation relative to equities. U.S. production growth has concentrated entirely in the Permian Basin, with other shale regions declining. Once the Permian's current gas production surge runs its course, supply growth should plateau and eventually decline, setting the stage for materially higher prices. |
Henry Hub LNG Permian Shale Gas | |
SilverSilver surged 51% in Q4 and over 140% for the year, staging a dramatic catch-up rally relative to gold. This magnitude of silver outperformance has historically marked important turning points, suggesting a sell signal for precious metals. The rally mirrors the 1979 episode that signaled the end of the great gold bull market. |
Silver Gold Ratio Precious Metals | |
CopperCopper markets have moved back into surplus with exchange inventories rising to levels last seen in 2003. Despite strong performance in 2025, the fundamental outlook has deteriorated as Chinese demand slows and new supply comes online. Inventories now represent roughly 17 days of global demand, placing them in the top 20% of observations over thirty years. |
Copper Base Metals China Demand | |
UraniumSurging uranium demand meets a fragile supply base as nuclear power experiences renewed interest globally. The uranium fuel cycle faces structural supply constraints while demand continues to grow from both existing reactors and new nuclear construction programs worldwide. |
Uranium Nuclear Fuel Cycle | |
Platinum Group MetalsPGMs continued their powerful advance with platinum and palladium each surging roughly 28% in Q4. Policy reversals in both the U.S. and Europe regarding electric vehicle mandates are undermining the bearish narrative that assumed rapid ICE vehicle phase-out. The bull market in PGMs is only in its early stages. |
Platinum Palladium Auto Catalysts ICE Vehicles | |
CommoditiesThe commodity bull market has barely begun, with most commodities trading 46% below historical nominal peaks and 73% below real peaks when adjusted for inflation. Commodities remain near the lowest levels relative to equities observed in over a century, suggesting the cycle is only one-third complete in both duration and magnitude. |
Commodity Cycle Capital Cycle Valuation | |
| 2025 Q3 |
VolatilityOctober demonstrated the persistent spot up, vol up phenomenon where VIX climbed 1.16 points to ~16.3 despite strong equity performance. This structural dynamic reflects low implied correlation and elevated dispersion keeping volatility bid up even as indices hit new highs. The firm views this as validation of their disciplined Vega accumulation and convexity positioning approach. |
VIX Implied Volatility Dispersion Correlation Options |
Risk AppetiteThe market exhibits contradictory signals with record equity highs alongside persistent hedging demand and elevated implied volatility. Low implied correlation environments suggest investors are betting on idiosyncratic risks rather than synchronized market movements. This fragility beneath the surface creates ongoing demand for volatility protection at the index level. |
Hedging Protection Fragility Correlation Dispersion | |
| 2023 Q3 |
VolatilityThe fund operates volatility-based strategies using options scalping and straddle positioning. October saw modest VIX increases despite market declines, highlighting ongoing volatility suppression from speculators chasing smaller Vol Risk Premium bites. The manager expects this suppression to eventually unwind dramatically during stress events. |
VIX Options Straddles Scalping Risk Premium |
Factor DispersionExtreme divergence continues between large cap growth and small cap value, with the S&P 500 Pure Value Index down 9.1% YTD versus S&P 500 Growth Index up 15.3% YTD. This lack of market breadth has hurt the fund's sector and single stock call strategies that concentrate in momentum and anti-momentum exposures. |
Growth Value Small Caps Momentum Breadth | |
| 2023 Q2 |
VolatilityManager views implied volatility as cheap relative to historical levels, having reached near long-term lows. They have been methodically increasing long volatility exposure based on conviction that most vol crush pain is over. July demonstrated ideal conditions with zero cost of holding excess volatility despite market gains. |
Volatility VIX Options Implied Volatility Risk Management |
| 2023 Q1 |
VolatilityVIX declined 3.0 points for Q1 despite intra-month banking scare volatility. VVIX popped during bank failures but quickly reverted. Vol of realized vol falling more dramatically than vol of implied vol, creating coiled spring dynamics. |
VIX VVIX Implied Volatility Realized Volatility Options |
GoldGold provided a nice boost to macro overlay after a particularly bad February, bouncing back substantially with its best month since July 2020 at +8.3%. |
Gold Precious Metals Macro Overlay | |
SemiconductorsModels are slowly increasing positioning in semiconductors as part of factor rotation from 2022 winners. Tech sector drove Nasdaq 100 gains of 9.5% in March while models happened not to be positioned much in technology this month. |
Semiconductors Technology Factor Rotation |
| Date | Pitch Type | Author | Ticker | Company | Industry | Sub Industry | Bull / Bear | Exchange | Keywords | Action |
|---|---|---|---|---|---|---|---|---|---|---|
| No Elevator Pitches found | ||||||||||
| TICKER | COMMENTARY |
|---|---|
| No ticker commentary found. | |
| Ticker | Put/Call | Amount Bought | Shares Bought | % Change | Weight % |
|---|---|---|---|---|---|
| No Recent Buys Data | |||||
| Ticker | Put/Call | Amount Sold | Shares Sold | % Change | Weight % | Status |
|---|---|---|---|---|---|---|
| No Recent Sells Data | ||||||
| Industry | Prev Quarter % | Current Quarter % | Change |
|---|---|---|---|
| No industry data available | |||
