Founder & Fund Manager,
AuM: USD 7 million
Strategy: Global Macro with Equity Bias
Sport: Martial Arts
Food: Asian cuisine
Book: The Art of War by Sun Tzu
If you could time travel back to day one of your fund and have 15min with your former self to communicate any lessons you’ve acquired with the intention of saving yourself headaches, what would you tell yourself?
As Graham used to say: “In the short run, the market is a voting machine but in the long run, it is a weighing machine.” So be patient even if for a few months the market is not in line with your convictions. But as Dan Loeb stressed in 2008 at the apex of the financial crisis, sometimes you have to be also able to change your mind in response to the evolution of market signals/data.
How do you manage your portfolio?
We implement a twofold approach: the top-down approach through macroeconomic analysis gives us the main direction to allocate funds between asset classes; and we implement it with a bottom-up approach through a fundamental analysis for find undervalued stocks, futures and options.
What is the difference between you and all the other Global Macro managers out there?
First of all, we have a bias in equity and we do not concentrate on interest rates or currency trading. Moreover, we built a proprietary macroeconomic model based on momentum of macroeconomic data instead of the traditional momentum models that analyze asset classes’ prices. Additionally, we complement my 20 years stock picking experience with the use of various and alternatives sources for the investment ideas generation. Last but not least, academic research shows one of the main factors that have the biggest impact on the performance of an investment fund portfolio is a low fee structure, which is why we implement 1&10 instead of the classic 2&20.
How do you generate alpha?
We think that alpha can be generated just from extensive research and independent thinking. Our edge begins with our model and it is explored through our conviction that the internet community of financial professionals, research firms and industry specialists are an incredibly large and cost efficient source of investment ideas.
And what is the real difference?
In these crowdsourced financial communities (e.g. Seeking Alpha, Tip Ranks, Market Bit, etc.) you do not just find interesting ideas analysed from different perspectives by different people (e.g. managers, analysts, people directly or indirectly working with a specific company) but you also find comments below these researches supporting or attacking the thesis expressed bringing a new light and a new point of view on it.
You returned 15.13% in August 2015 alone when there was a correction in most markets. How did you do that?
August returns were the results of both our long term macroeconomic model and our short term model tracking volatility. Whilst the earlier gave us the signal to come out of equities at the beginning of April due to the slowing macroeconomic data; the latter gave us the signal in July of a potential upcoming and significant spike in volatility. In response to these signals we opened positions in ‘out of the money’ put options on S&P500. The initial total position in options in July was only 1,5% of NAV but it has generated a 15% net return in August.
And how did you manage in less than 3 years to return 91.92%?
Our strategy aims at providing 20% annually accepting a certain grade of monthly volatility. 2013 returns were mainly driven by equity investing that brought 70% of the results instead options and futures just 30%. In 2014 instead the equity investing contributed to 60% of the fund’s profit and options and futures to the remaining 40%.
What does your risk management look like?
We run daily three main reports: the VaR report gives an idea of the daily potential losses depending on the total portfolio and on each position; our macroeconomic signal report provides the framework for the portfolio gross exposure and the volatility product exposure limits; and finally our portfolio positions report permits to analyze and adjust each investment in order to respect our strictly quantified loss peak.