Key Takeaways
- • Lemvi Crypto AMC received The Hedge Fund Journal's CTA and Discretionary Trader award for Best Risk Adjusted Returns in 2023 in the Cryptocurrency Long/Short category.
- • Lemvi's returns have come mainly from option trading across options, futures and derivatives, and from event-driven strategies around forks and ICOs, with futures-versus-spot arbitrage yielding as much as 8-10% annualized without leverage.
- • The strategy runs close to market neutral, typically 5-10% net long due to gamma, and uses cheap optionality rather than directional views, with 20-30 risk limits in place.
- • Lemvi trades roughly the top 20 liquid digital assets across six to seven large exchanges, caps counterparty exposure at 30% per exchange, and says it expects to recover 100-140% of its FTX exposure.
- • Investments are structured as a certificate through GenTwo AG with one issuer per client, accepted only in USD, and limited to Swiss-based investors channelled through Swiss banks; US and UK investors are not accepted.
Summary
Lemvi Crypto AMC, a Swiss-linked crypto manager, received The Hedge Fund Journal's CTA and Discretionary Trader award for Best Risk Adjusted Returns in 2023 in the Cryptocurrency Long/Short strategy category, according to the publication's profile in Issue 170. Portfolio manager Maxime Gillot began trading crypto strategies in 2017, when he identified arbitrage opportunities by applying hedge fund analysis to digital assets. Gillot says some delta-one arbitrage between exchanges has become less attractive, but growth and institutionalisation of digital currency markets have created new, more scalable arbitrages in futures.
Per the profile, the largest performance contributors have been option trading, which arbitrages discrepancies between options, futures and other derivatives, and event-driven strategies around forks. Lemvi mixes discretionary and systematic approaches, operates nine trade types that have been unchanged since inception, and concentrates on the one to three most interesting trades at a time. The futures-to-spot arbitrage can reach 8-10% annualized without leverage. When the publication interviewed Gillot in October 2024, Bitcoin futures traded at USD 67,000 against a spot price of USD 61,700. Lemvi rarely uses leverage, though it may go up to 200% gross exposure on hedged trades.
Directional exposure is limited. Gillot said median net exposure of 10% long is misleading because option Greeks must be considered, and the strategy is often 5-10% net long due to gamma. The strategy was briefly 5% net short in May 2021 and was net short through puts during part of the 2018 crypto winter. Lemvi trades roughly the top 20 liquid digital currencies, with around 90-95% of exposure in the top five. It also maintains 20-30 risk limits covering Greeks, expiries, currencies, counterparties and liquidity.
According to the profile, Lemvi avoids statistical arbitrage, market making, trend following and mean reversion, and takes no view on relative value between coins beyond spot, futures and options on the same asset. Lemvi trades with the six largest exchanges by volume, caps exposure at 30% per exchange, and says Binance exposure was removed over two years before the founder's arrest on money laundering concerns. It says it expects to recover between 100% and 140% of its FTX exposure. Custody is provided by Copper, and the vehicle is a certificate issued through GenTwo AG, with one issuer per client, a 0.25% annual fee and a USD 20,000 minimum ticket. Investors are primarily Swiss-based, and US and UK investors are not accepted.
Per the profile, the largest performance contributors have been option trading, which arbitrages discrepancies between options, futures and other derivatives, and event-driven strategies around forks. Lemvi mixes discretionary and systematic approaches, operates nine trade types that have been unchanged since inception, and concentrates on the one to three most interesting trades at a time. The futures-to-spot arbitrage can reach 8-10% annualized without leverage. When the publication interviewed Gillot in October 2024, Bitcoin futures traded at USD 67,000 against a spot price of USD 61,700. Lemvi rarely uses leverage, though it may go up to 200% gross exposure on hedged trades.
Directional exposure is limited. Gillot said median net exposure of 10% long is misleading because option Greeks must be considered, and the strategy is often 5-10% net long due to gamma. The strategy was briefly 5% net short in May 2021 and was net short through puts during part of the 2018 crypto winter. Lemvi trades roughly the top 20 liquid digital currencies, with around 90-95% of exposure in the top five. It also maintains 20-30 risk limits covering Greeks, expiries, currencies, counterparties and liquidity.
According to the profile, Lemvi avoids statistical arbitrage, market making, trend following and mean reversion, and takes no view on relative value between coins beyond spot, futures and options on the same asset. Lemvi trades with the six largest exchanges by volume, caps exposure at 30% per exchange, and says Binance exposure was removed over two years before the founder's arrest on money laundering concerns. It says it expects to recover between 100% and 140% of its FTX exposure. Custody is provided by Copper, and the vehicle is a certificate issued through GenTwo AG, with one issuer per client, a 0.25% annual fee and a USD 20,000 minimum ticket. Investors are primarily Swiss-based, and US and UK investors are not accepted.
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