Lemvi Multi-Strategy

Selection of Uncorrelated Themes

The Lemvi Multi-Strategy primary allocates in equities using an investment approach that involves picking stocks that appear to be trading for less than their intrinsic or book value on every long run benefiting from the overreaction of markets movements that do not correspond to a company’s long-term fundamentals.

It also targets a multi-strategy approach to combine a wide array of uncorrelated themes in order to advance the risk adjusted returns, primary using directional Global Macro trades and specific trade implementations such as calendar spreads on future curves, options and other assets-Exclusive focus on absolute return and market-neutral investments;

The strategy is easily accessible through a liquid product (Actively Managed Certificate) with Swiss counterparties and ISIN code.

More than 100 markets:

Base Metals

Copper

Precious Metals

Gold
Silver
Platinum
Palladium

Bonds and Interest Rates

North America
Europe
Japan

Softs

Coffee
Sugar
Cocoa
Orange Juice

Agricultural

Corn
Cotton
Lean Hogs
Live Cattle
Lumber
Milk
Rice
Soybean
Wheat

Foreign Exchange

Global including Emerging Markets

Equities and Options

Global Stocks
Indices

Other

Volatility

INVESTMENT PHILOSOPHY

Size by expected performance contribution
Multi-Strategy Approach:

  • Calendar Spreads on Commodities
  • Equities and Options with improved trade implementation
  • Long Term Themes with high probability of winning

OUR PRINCIPLES FOR PORTFOLIO ALLOCATION

  • Market Neutral, long optionality
  • High Reward/Risk trade design
  • Long convexity and positive carry bias
  • Diversification, sizing, liquidity and correlations considered
  • Downside and tail risks, scenarios and stress tests checked
  • Constant watch of Portfolio construction and risk monitoring
  • Average holding period of 2 to 3 months

INVESTMENT PROCESS

Idea Generation and Development

Develop ideas and themes through multiple approaches

  • Fundamental Analysis
  • Technical and Systematic Analysis
  • Event Analysis
  • Professional Contacts

Trade Selection

Convert themes and ideas into actionable trades

  • Valuation
  • Time Horizon
  • Suitability and Liquidity

Timing and Execution

Enhance trade entry and exit levels through analysis of price and behavioral patterns

Portfolio Construction and Risk Management

Construct portfolio which minimizes volatility and correlation, while preserving capital through real-time risk management

RISK MANAGEMENT

1 Risk Manager and back-up PM
A frame of more than 30 rules checked live:

  • Net and Gross exposure per contract, per leg and for the overall portfolio
  • Correlation matrix and volatility per asset
  • Behavior and volatility of strategy
  • Stress tests given different extreme scenarios
  • Stop losses per trade and for the overall portfolio
  • Daily and Monthly volatility of each trade and for the portfolio
  • Margin on Equity (Initial and maintenance)
  • VaR (99% to 99.9% from 1 to 4 days ahead)
  • Open interest per contract and percentage of daily volume held
  • Average bid/ask per contract and TER
  • Counterparty risks (cash held in different banks)
  • Strategy drift live checking