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20 How to Identify Trades No One Else is Looking For with Roman Lutz of Future Value Capital – 2of2

Roman Lutz of Future Value Capital on Top Traders Unplugged with Niels Kaastrup-Larsen

“It is important to have some tail hedges in the portfolio. We are basically long forward starting variance, again dealing with variance swaps, long six month variance swaps and short three month variance swaps. Basically what this leaves us with is a long Vega position. If markets collapse overnight, this position should generate a very positive P/L.” – Roman Lutz (Tweet)

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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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

“In a mean reverting environment as we have seen over the last couple of years, you lose on the momentum strategies, you lose.” – Roman Lutz (Tweet)

  • 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

“Most strategies have non-normal distributed returns. If they appear to have normally distributed returns, we’ve probably missed something.” – Roman Lutz (Tweet)

  • 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
  • Plus much, much more…

“I actually take much more away from meetings where I get challenged.” – Roman Lutz (Tweet)

Sponsored by Swiss Financial Services and Saxo Bank:

Saxo Bank Sponsor of Top Traders Unplugged

Connect with Future Value Capital:

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Call Future Value Capital: +44 203 008 7292

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“Passion, common sense and patience are the key things for becoming a Top Trader.” – Roman Lutz (Tweet)