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| Quarter | Letter Date | Fund Name | QTD | YTD | Tickers | Themes | Quick Take |
|---|---|---|---|---|---|---|---|
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"Logica's tail risk strategy finished June flat (+0.03%) while the S&P fell -1.06% amid elevated volatility and multiple binary events. The Fed's hawkish pivot, Iran conflict, and semiconductor concerns drove eight 1%+ daily moves and pushed realized volatility to 17.3%."
Logica's tail risk strategy posted +0.03% in June while the S&P 500 declined -1.06%, demonstrating the intended cushioning effect during a month of elevated volatility without sustained stress. June featured eight trading days moving more than 1%, with realized volatility climbing from 9.6% to 17.3%, creating improved gamma scalping opportunities. The month was dominated by binary events including a hawkish Fed pivot (dot plot flipping from cuts to hikes), Iran conflict escalation and de-escalation, and semiconductor sector concerns around memory cycles and AI datacenter costs. Deep out-of-the-money tail protection spiked repeatedly on these headlines while at-the-money volatility remained muted, suggesting hedgers are reaching for crash convexity around named risks. The manager's alpha engine successfully cushioned declines (capturing -34% to -41% of down days) while giving back measured amounts on rallies. With the Fed policy regime shifting toward hikes, multiple geopolitical risks unresolved, and RV elevated, the manager sees expanding opportunity for their convex profile and remains positioned for potential unwinds in the second half of 2026.
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