Rcube Macro Portfolio 04/08/2016: Adding US Small Cap Puts & VIX
​US equity downside is a bargain. It is too cheap to be ignored. The VIX deviation from our model’s fair value is the largest ever. The last two episodes when the gap was comparable were in May 2008 and in July 2014 and July 2015.
Rcube is an independent Global Macro research company focused on generating high risk‐adjusted returns by providing clear investment reasoning and actionable investment strategies covering all asset classes (Equities, Credit, Interest Rates, Commodities, Volatility and Forex).
Rcube’s flagship publication, the Macro Portfolio™, describes our investment strategy recommendations and is sent to our subscribers on a regular basis.
Rcube's research methodology combines systematic-fundamental and discretionary approaches. We are active in all asset classes. The research team identifies and captures opportunities in global liquid markets by leveraging and integrating investment experience, risk management and quantitative research. The quantitative part aims at identifying the factors influencing asset prices and returns. The final investment strategy recommendations are discretionary.
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