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The Derivative

111 EpisodesProduced by RCM AlternativesWebsite

Welcome to The Derivative by RCM Alternatives, where we dive into what makes alternative investments go, analyze the strategies of unique hedge fund managers, and chat with interesting guests from across the investment world. Hosted by RCM Managing Partner, Jeff Malec, join us to take a ride through… read more

1:37:38

Capturing the Global Sell-Off with Bastian Bolesta of Deep Field Capital

This timely episode gets into just what kind of investment strategy you would have needed to have to capture the huge down move in markets recently and huge spike up in volatility. We talk with Bastian Bolesta, founder and CEO of Swiss-based hedge fund Deep Field Capital, about: designing and implementing effective tail risk strategies, how most of the sell-off has happened in overnight hours, paddle boarding on the Hudson River, whether the “boy” is controlling the machine or the “machine” controlling the boy, Red Cross founder Henry Dunant, the theoretical upper bound of the VIX, squashing the sombrero, and of course…the Coronavirus/COVID-19 pandemic.

Deep Field Capital AG is a purely systematic shop based in Zug, Switzerland trading highly reactive intraday and short-term systematic programs in global futures and equity markets with a positive skew, convex profile in a top-tier institutional setup. They also run a Volatility Arbitrage strategy composed of four different “pillars”:

  1. Calendar spreads in the VIX
  2. VIX/SP spreads
  3. Intraday capture in equity indices
  4. Intraday capture in VIX futures

Note: If you want to skip straight to strategy/market talk, fast forward to 34:37.

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Disclaimer: This podcast is provided for informational purposes only and should not be relied upon as legal, business, or tax advice. All opinions expressed by podcast participants are solely their own opinions and do not necessarily reflect the opinions of RCM Alternatives, their affiliates, or companies featured. Due to industry regulations, participants on this podcast are instructed not to make specific trade recommendations, nor reference past or potential profits. And listeners are reminded that managed futures, commodity trading, and other alternative investments are complex and carry a risk of substantial losses. As such, they are not suitable for all investors. For more information, visit www.rcmalternatives.com/disclaimer

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