TTU20: How to Identify Trades No One Else is Looking For ft. Roman Lutz of Future Value Capital – 2of2

Top Traders Unplugged

Niels Kaastrup-Larsen

Investing, Business News, News, Business

4.8 • 712 Ratings

🗓️ 7 August 2014

⏱️ 61 minutes

🔗️ Recording | iTunes | RSS

🧾️ Download transcript

Summary

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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Follow Niels on Twitter, LinkedIn, YouTube or via the TTU website.

IT’s TRUE ? – most CIO’s read 50+ books each year – get your FREE copy of the Ultimate Guide to the Best Investment Books ever written here.

And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.

Follow Roman Lutz on Linkedin.

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PLUS: Whenever you're ready... here are 3 ways I can help you in your investment Journey:

1. eBooks that cover key topics that you need to know about

In my eBooks, I put together some key discoveries and things I have learnt during the more than 3 decades I have worked in the Trend Following industry, which I hope you will find useful. Click Here

2. Daily Trend Barometer and Market Score

One of the things I’m really proud of, is the fact that I have managed to published the Trend Barometer and Market Score each day for more than a decade...as these tools are really good at describing the environment for trend following managers as well as giving insights into the general positioning of a trend following strategy! Click Here

3. Other Resources that can help you

And if you are hungry for more useful resources from the trend following world...check out some precious resources that I have found over the years to be really valuable. Click Here

Disclaimer

Transcript

Click on a timestamp to play from that location

0:00.0	You're listening to Top Traders Unplogged, episode number 020, where I continue my conversation
0:06.8	with Roman Lutz, managing partner of future value capital. This episode is sponsored by Saxo Bank
0:13.9	and Swiss Financial Services. Welcome back to Top Traders Unplugged, where the best traders in the
0:20.5	world come to share their experiences, their successes, and their failures.
0:24.8	Let's rejoin the conversation with your host, veteran hedge fund manager, Niels Kastrop Larson.
0:33.6	I'm good. But I would actually be interested in hearing from you how you do trend following.
0:47.1	I mean, in just broad speak, how do you implement it?
0:53.7	We use very simple models.
0:55.8	So typically moving average crosses.
0:58.7	And we use a combination of like a short model and with a longer term model.
1:06.4	Typically the longer term model is the dominant model because we want to minimize transaction
1:14.3	costs.
1:15.3	So you don't want to trade in and out every day.
1:18.2	So we basically want to capture long-term trends.
1:21.9	It's also different.
1:22.7	You know, our momentum strategies have a different function in the portfolio than they do, for example,
1:32.7	with a CTA.
1:34.2	In CTA, they have to generate performance.
1:38.2	In our case, it's good if they generate performance, but if they don't it's not so bad because we have
1:48.6	other strategies especially in a in a mean reverting or in a non-trading environment which should
1:55.2	perform well like merger arbitrage or volatility arbitrage or carry you know a carry trade
2:00.7	is is a mean reverting in my rent where, you know, as the prices are not moving
	...

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