Sigma Capital’s long vol fund sizzles in August


Sigma Capital’s Asia long volatility fund delivered a 12% return in August, its best monthly performance ever since its launch more than three years ago. For the year-to-date to the end of August, the fund had gained 10%.

The Sigma Asia Equity VA Fund systematically tracks equity derivatives activities, from listed to OTC and plain vanilla to exotics, and uses a proprietary system to screen and rank possible trade ideas. Penjing Asset Management seeded the fund that began trading in 2008 with $18 million capital, and is at present at $23million.

Sigma’s CIO Jimmy Cheng says the fund