Investment Methodology
 

Global Vista Indexes ("GVI") Program

Covered options (skewed iron-condors) are written on the S&P 500 index futures with a typical maturity of 3 months. The strike prices are systematically calculated by a proprietary algorithm that provides the most probable price range for the S&P 500 index. The decision-making process is hybrid systematic/discretionary, where positions are constructed systematically but the exact timing of every new trade is discretionary, depending on market fundamentals and technical analysis. Portfolio rebalancing is always made at least 30 days before the options’ expiration to minimize portfolio risk. Portfolio risk is also constrained by the low leverage employed (margin/equity approximately 10%).

Global Vista Options ("GVO") Program

Out of the money options are used with long maturities in order to attempt to maximize returns and minimize chances of expiring in the money with losses. The GVO program attempts to capitalize on official market statistics (according to CME data >80% of options expire worthless) and is fully diversified.

The GVO allocation process attempts to achieve a balance so as to have the optimum blend of profit potential and market exposure while maintaining risk levels within the parameters of the model. The program selects maturities for options positions which balance time (expiration) with appropriate strike prices based on probabilities and desired market exposure (delta).

We employ a hybrid systematic/discretionary decision-making process. Trading signals are based on a computerized systematic decision-making process but the final decision to open a trade is discretionary based on our market evaluation.
The systematic/quantitative part is based on:

• Fundamental evaluation (seasonality & macroeconomic conditions)
• Technical analysis
• Profit potential per position & risk evaluations

Risk Management procedures are systematic and based on a proprietary Three-Tier approach.

 

Operational Risk Management

• Strong and long term relationships with top tier trade execution and clearing partners
• Experienced staff
• Transact exclusively in exchange traded products resulting in no counterparty risk
• Robust system and personnel backup
• Ability to fully operate remotely
• Active business continuity and disaster recovery plan

 

 
© 2014 Global Vista Advisors, LLC  |  Disclaimer
Rue du Mont-Blanc 7, CH-1201 Geneva, Switzerland  |  T: +41 225 48 36 40  |  F: +41 225 18 01 30
 
 

There is a substantial risk of loss in trading futures and options. Commodity trading is not appropriate for all investors. Past performance is not necessarily indicative of future results.

This website does not constitute any recommendation or investment proposal. Nothing contained herein shall in any way constitute an offer or solicitation of an offer to buy or sell any securities or other investment product.