Rawlinson

Asymmetric Return Capital


Introduction

Asymmetric Return Capital is a new investment firm launched in October 2015 designed to make profits for its partners from volatility-related mispricing across multiple asset classes.  Based in New York, with associated offices in UK, it is the brainchild of former Visium Asset Management and Sabretooth Capital Management alumnus Brian Wisk.

Activities

ARC is a quantitative trading firm which aims to profit from price dislocations arising from trading futures and options across asset classes, including commodities, equity indices, rates, and individual stocks.  The portfolio will manage twenty to thirty themes including, for example, the differential between commodity and equity volatility—and will trade multiple securities within that theme. The firm may hold up to 200 individual positions, and aims to balance exposure across asset classes, taking long-term volatility positions, as well as conduct intra-day and episodic trading around volatility spikes.

ARC has contracted Washington Square Technologies, a consulting firm which delivers trading and risk management systems lead by Kirat Singh and Mark Higgins, the architects of proprietary desk trading and risk management systems at Bank of America, Goldman Sachs and JPMorgan, to design its risk management system.

ARC aims to bring the capabilities of a large bank’s derivatives desk to this new structure, which will capture data, such as macroeconomic indicators, down to a millionth of a second.  ARC has noted, “Many institutional investors are still running their derivatives business in Excel. It’s unfortunate.  Our specialized skillset post Dodd-Frank should be available to a large pension fund.”

The founder of the fund, Bryan Wisk, began his career as a primary market marker for Citigroup on the Chicago Board Options Exchange. He departed in 2006 for Visium Asset Management, where he served as a senior derivatives trader. He worked as an analyst at Tiger Management-seeded Sabretooth Capital Management from 2011 to 2012 before leaving to begin the preparatory work to launch ARC.

ARC is based in Manhattan and has five employees, including Chief Executive Daniel King, who previously served as a Managing Director and head of the Financial Institutions Group for interest rate sales at Bank of America Merrill Lynch; Chief Operating Officer Steven Gilson, former director of operations at Visium Asset Management; Portfolio Manager Adam Sherman, who most recently served as a founding partner at Quantavium Management, a systematic fixed income fund; and Portfolio Manager Andrew Chan, a former portfolio manager at Chicago Trading Company.

Context

ARC is positioned to take advantage of increased volatility across asset classes as quantitative easing measures slow. “We are starting to see market dislocations as central bank policies shift.  Correlations are starting to break down” – Bryan Wisk, Founder and CIO of ARC.

“Mainstream economists try to analyse capitalism by leaving out banks, debt and money.  This is like an ornithologist trying to work out how a bird flies while ignoring the fact the bird has wings” – Professor Steve Keen.

Visit the ARC website here