Quadriga Igneo

Quadriga Igneo is designed to preserve capital and deliver high negatively correlated returns during adverse and hostile markets (effectively acting as an insurance policy) with neutral/positive carry. The strategy looks at ‘anti-bubble’ assets, those that have become artificially cheap as a result of the ongoing monetary experiment, and is built around three core blocks: precious metals, US treasuries, and long only insurance. Core precious metals is the largest portfolio allocation, targeting 50% of the overall exposure (no shorts), and is implemented primarily via long gold positions (futures and options). The fund can also trade gold miners and DM/EM FX crosses (vs. gold). The US treasuries and TIP bucket is sized at 20-30% of total risk, with the fund trading the whole interest rate curve. In addition to this there is a long-only insurance strategy which is actively managed across asset classes including puts on risk assets and calls on so called ‘anti-bubbles’ (e.g. gold, Vix, etc). This portfolio comprises about 20-30 option contracts (vanilla, hybrid and exotic; max premium per option < 1% NAV) where there is a strong emphasis on managing the cost of hedging and maximising convexity. The weighting between these three engines is dynamically adjusted and rebalanced on ongoing basis to maintain intact the product characteristics, with the fund typically monetising the insurance pay-offs and reinvesting these proceeds into the other two buckets.