Lemvi Crypto AMC

Crypto Trading and Arbitrage

Lemvi Crypto Actively Managed Certificate (Lemvi Crypto AMC) manages Crypto Trading and Arbitrage strategies. These include Triangular Arbitrage, Calendar Spreads, Yield Trades, Futures Basis, Volatility Arbitrage, Event Driven and Relative Value Trading. The AMC invests into underlying coins and derivatives, with an aim to generate alpha both in a market neutral way but also with a long of short bias depending on opportunities.

Lemvi Crypto AMC is a unique institutional-grade product with independent counterparties, award-winning crypto custodian and market-neutral approach to cryptocurrencies, best-positioned to capture inefficiencies in the digital asset space in a secure and ‘traditional bankable’ way. Lemvi Crypto Strategy is easily accessible through a structured product (Actively Managed Certificate) with Swiss counterparties and ISIN code.

The Lemvi Crypto AMC is up more than 40% since its launch in Janaury 2020 (data until end of August 2020) and has known no down month since inception.

Crypto trading strategy with discretionary overlay.

Screen and swiftly identify market inefficiencies.

Trading experience enables to evaluate potential trade upside, risks and operational issues.

Strict trade plan process and portfolio checklists enable and disciplined investment approach.

OPPORTUNITY

Until recently crypto markets have been dominated by retail investors.

Crypto markets have had an institutional custody issue which is about to be solved, leading to a significant inflow of institutional assets.

The advent of institutional quality custody will cause a reallocation of institutional money to a currently small asset class with additional investment instruments such as ETF, Futures, Options, Security Tokens, etc., which will improve liquidity.

The market has grown significantly to reach around 200 BUSD of Market Cap.

The “Schumpeter spiral” of creative destruction around blockchain will create new opportunities in the coming months and years.

This large, volatile and still immature and inefficient market makes it perfect for arbitrage strategies.

Instruments

  • All instruments are listed and priced on the main cryptocurrency trading exchanges.
  • The strategy trades main cryptocurrencies in various instruments including spot, swaps, futures, options, ETFs, etc.
  • No ICO (Initial Coin Offering).

Strategies

  • Spot/Price Arbitrage: A price difference exists between different exchanges in both bull and bear crypto market.
  • Option Arbitrage: The strategy uses options to generate alpha from volatility arbitrage, dislocations and mispricing.
  • Event-Driven / Special Situations: Constantly monitoring crypto developments (regulation, products etc.) for event driven opportunities.
  • Yields on cryptocurrencies: the strategy can lend some fiat or cryptocurrencies with attractive yields, which would also limit the downside risk.

RISK MANAGEMENT

TRADITIONAL AND CONSERVATIVE RISK CONTROL TECHNIQUES APPLIED TO THE CRYPTO SPACE:

  • Risk management is built into the trade selection process
  • Risk is managed pre-trade, post-trade and at the portfolio level
  • Risk is allocated to short-term and medium term strategies

Risk is diversified across:

To short-term and medium term strategies

Different trade types

Different products and exchanges

Operational issue issued are closely monitored

Checklists used ensure compliance with all risk management procedures

Focus on capital preservation and profit retention

Double layer of risk management: At the trade and portfolio level

Independent Risk Officer

Pre-trade:

Risk management is built into the trade selection process

What is driving the current dislocation or opportunity?

What are future scenarios to drive trade profit or loss?

What are the market and operational (non-market) risks to the trade?

What risk factors or events invalidate the trade and how should we react to them?

How is the trade best implemented?

Does this trade reduce portfolio risk?

If a cross exchange trade then a scenario margin analysis made

Post-trade:

Daily review of trades

Trade P&L history is compared to pre trade plan

Are trade plan assumptions still valid?

How close is trade to reduce, stop loss or take profit levels?

How sensitive has the trade been to the absolute market level?

Have any new risk factors developed?