Episode description
Episode description
How would it feel to identify trades no one else you know is looking for?
Our guest is back and this interview is all about carry trades, mean reverting environments, merger arbitrage, volatility arbitrage, tail hedges and how to become the best trader possible. It’s quite likely there is something in this interview which will help propel you forward as a hedge fund manager or in your research of managers.
Welcome back to the second part of our interview with Chief Excutive Officer of Future Value Capital, Roman Lutz.
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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE
In This Episode, You’ll Learn:
- Simple Models used by Future Value Capital to implement trend following
- How they utilize carry trades
- The third area of models: Tail Hedges
- Learn about how to carry potentially large value variance swaps while keeping the premium for holding them down
- Where the variance exchange swaps derive from whether from OTC with counterparts or constructed using exchange listed products
- Learn about Credit Support Annex (CSA)
- Risk management procedures at Future Value Capital
- The purpose for tactical asset allocation meetings and the decisions that are made
- The common performance drivers and if there is a dominant part of the portfolio that is responsible for the performance
- How Roman translates the complex trading strategy of Future Value Capital to investors
- How Future Value Capital implements trades and why they consider it a key strength of their program
- How much AUM would be optimal running the program or if the potential is unlimited
- How to create certainty around the risk Future Value Capital holds and how they define that risk
- What Roman Lutz considers to be one of the riskiest thing that could happen in the financial system
- What to expect in terms of returns and drawdown when investing in Future Value Capital
- How to realize when a model is no longer working
- Personal habits that contribute to Roman’s success in managing a hedge fund
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