Global Vista Advisors, LLC : Global Vista Options ("GVO")

Summary

The Global Vista Options (“GVO”) program seeks to maximize investment returns by extracting THETA (time value) from futures options in a diversified market portfolio. The program was designed with the objective of achieving top quartile, risk adjusted absolute returns, which are uncorrelated to CTA, Equity, Bond, and Hedge Fund indices, while providing value-added diversification to portfolios consisting of traditional assets.

Investment Strategy

"The Global Vista Managed Futures/CTA strategy program aims to achieve non-correlated returns by extracting THETA from futures options in a diversified market portfolio. The strategy is based on selling (writing) options. The maturity of the options is 2-5 months. A proprietary trading system which was designed as a risk management tool, signals at any given time during the trading hours the option offering the highest probability of expiring worthless with the highest premium attached (risk-return analysis). The market volatility determines the contract size (quota) and the market distance. Both technical and fundamental aspects are evaluated. The aims of the Investment Manager and the strategy are to maintain an average margin allocation of 50% of the fund's total assets. Margin allocation is a critical aspect of the funds risk control and position management procedures. Most positions are covered (vertical credit spreads and calendar spreads) but by using liquid products, deep out of the money strikes and tight exit rules, some strangles and naked positions are also included to enhance performance. Extra deep out of the money long positions (especially puts) are used to mitigate risk and reduce drawdowns during extremely volatile periods and market meltdowns. If conditions prevail synthetic long positions may also be taken. Diversification among different categories such as energies, metals, grains, softs, meats, currencies, GVO generates alpha both from volatility and market direction by selling covered options contracts (no naked) with a typical maturity of 2-5 months. It employs a hybrid systematic / discretionary decision-making process, while using strict proprietary systematic Risk Management procedures, based on a Three-Tier approach. GVO attempts to predict where the market will NOT go rather than WHERE and WHEN it will go, and rely less on timing the market and direction.

Risk Management

Strict use of risk management (RM) procedures developed by our research team. A Three-Tier RM approach is applied :

1st-Tier (position level):
Position risk is monitored on real time basis and software generated alerts & triggers lead to the activation of exit signals (stop loss that limit position risk to 2%-4% of portfolio’s valuation. Please note that there is no guarantee that any stop loss order will be executed at the stop price. Therefore, there can be no guarantee that placing a stop order will limit losses or protect profits. 2nd-Tier (position level)
Each position has an initially defined maximum risk limit (vertical spreads instead of naked positions) Limits portfolio drawdowns due to improbable ‘price gaps’ of a single underline asset to acceptable predefined levels (10%-20%)
3rd-Tier (portfolio level)
Specially designed extra hedges (calendar, back ratio spreads and synthetic puts) are always present to mitigate volatility spikes and markets’ meltdowns (“black swan” events)