Quantitative hedge fund Logica Capital has hired Thiel Macro portfolio manager Michael Green as chief strategist and portfolio manager.
Green has already worked with Logica Capital founder Wayne Himelsein to launch a standalone absolute return fund that incorporates existing Logica strategies with long volatility trading models.
Previously, Green managed discretionary macro portfolios focusing on volatility strategies for the family office of Silicon Valley pioneer Peter Thiel. Los Angeles-based Logica manages volatility market neutral and tail risk/asymmetric alpha strategies.
In an interview, Green said his relationship with Himelsein started after an exchange the two quants had on Twitter. “I DM’ed him, said we should grab coffee, and we talked for two hours,” he said. At the time, Green wanted Thiel Macro to evaluate Logica Capital as an external manager.
“He approached long volatility very differently,” Green said. “Most people who trade vol do it from a relative value standpoint like Nassim Taleb’s approach. If there’s a huge selloff, you’re seeing significant remarking of volatility. That is the fat tails component of Black Swan.”
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. “But by the time the event occurs, you have sunk more into it than you are recovering. So from a portfolio standpoint, there are performance risks in both directions. If I over-hedge, I get fired.”
[II Deep Dive: The $22 Trillion Question]
The new strategy created by Green and Himelsein uses the exact same principles and performs on the upside and the downside, according to Green.
“This allowed us to increase our exposure to the market and open up an opportunity for investors who want to capture the potential upside to market as well as limit the exposure to sharp corrections,” he said. The strategy, launched January 1st, is up 4.67 percent for the month.
Prior to Thiel Macro, Michael founded Ice Farm Capital, a discretionary global macro hedge fund seeded by Soros Family Management. Between 2006 and 2014, Green founded and then managed the New York office of Canyon Capital Advisors, a $23 billion multi-strategy hedge fund. At Canyon, Green launched the firm’s global macro strategies, ultimately overseeing more than $5 billion of exposure across equity, credit, foreign exchange, commodity, and derivative markets.
Green’s broader research has focused on distortions that are being created by the growing market share of passive investing and by low interest rates caused by global central bank policy. The hedge fund manager has researched how the two trends are driving systematic volatility selling as investors search for yield.
