Michael Green has joined LA-based boutique quantitative hedge fund Logica Capital as Chief Strategist & Portfolio Manager. 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. Prior to Thiel, Green founded Ice Farm Capital, a discretionary global macro hedge fund seeded by Soros Family Management. 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. 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. 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.
Logica writes: “Collectively, both strategies keep the best of what Logica has to offer, a skilled trading approach to pure long volatility, but adding more consistent bi-directional exposure. While we will continue to offer large client accounts the opportunity to customise exposure to their broader portfolio needs, as a small firm with an extraordinary opportunity ahead of us, we want to focus our efforts on offering our most robust, pre-selected portfolio construction to maximise our ability to capture this rapidly emerging opportunity. We look forward to discussing these refinements with investors.”
