Active Portfolio Mgmt in Crypto Markets · Active Portfolio Mgmt in Crypto Markets A diversified...
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Active Portfolio Mgmt in Crypto Markets A diversified actively managed multi-asset Crypto Investment approach © Copyright 2019 All Rights Reserved Krypto Lunch, Chris Zulliger Zürich, 14.11.2019
Transcript of Active Portfolio Mgmt in Crypto Markets · Active Portfolio Mgmt in Crypto Markets A diversified...
Active Portfolio Mgmt in Crypto Markets A diversified actively managed multi-asset Crypto Investment approach
© Copyright 2019 All Rights Reserved
Krypto Lunch, Chris Zulliger
Zürich, 14.11.2019
Content
03
Contact Why Active?
02 01
Our Story
Our Story
• Established in the canton of Zürich in 2010
• Alternative fund management, wealth and investment advisory and other services
• Primary mandate is to produce superior returns for its family office
• Alternative investment vehicles: Commodity futures & options, index futures, FX OTC
• Quantitative trading models, machine learning algorithms
• First investment in crypto assets in early 2012
• Well connected to the Crypto Valley from the very start
To strive
To seek
To find
And not to yield
Ulysses
Adrian Marcu
Portfolio Manager
First crypto investment: 2016
Nikolay Naletov
Trading & IT Manager
First crypto investment: 2015
Jordan Sardinha
Business Development &
Sales
First crypto investment: 2016
Chris Zulliger
Portfolio- & Risk Manager
First crypto investment: 2012
Our Crypto Team Resilience AG
Our Approach
Active Portfolio Management 01
Selection & Diversification 02
Investment Process & Restrictions 03
04 Risk Mgmt: Best Available Partners
Why? It is worth doing your homework
• Passive Investing means being indifferent to bubbles
• Market capitalization weighting: potentially overvalued assets get more allocation
• Most products are passively tracking the Top10 market cap crypto assets
• Small reductions in downside exposure can make big difference in long-term returns
• The lower the downside capture, the better wealth preservation during market
downturns
• BTC 20k, if you did not reduce downside risk back then, you are still in the red by
more than 55%
If you did, you know have up to six times the bigger BTC position…
• «Offense sells tickets, but defense wins championships» Bear Bryant
Active Portfolio
Management
Why? It is worth doing your homework
• Correlations break down in severe market declines (2014, 2018)
• In portfolio theory: Boyer, Gibson and Loretan (1999)
• In Crypto asset practice: e.g. EOS price correlation with BTC from 0.86 (2017) to 0.39
(2018)
Active Portfolio
Management
Why? It is worth doing your homework
• Find hidden gems
• Common to value investors, finding hidden gems is possible and important
• High multiples in valuation occur before a Crypto Asset enters Top20 or Top10 of
market cap
• Look out for the next FANGs of Crypto Assets before they enter Top 20 or Top10
• Effective risk management requires active portfolio management
• Passive products are modeled to not discriminate when it comes to risk potential
• A diversified portfolio needs discrimination when it comes to risk, since market
conditions change over time
• Explicit and tactic knowledge
• Explicit knowledge as a source of performance in active portfolio management
(Greenwood)
• Tactical knowledge as earned over time through experience
• Last but not least: Simply don t̀ buy the 98% «questionable» and/or dead projects
Active Portfolio
Management
Why?
Because outperformance is possible.
6 Months, Resilience vs. BTC, Mythenstein, AMUN HODL5, Fundstrat
Active Portfolio
Management
Source: Bloomberg.com, 12.11.2019
Why?
Because outperformance is possible.
3 Months, Resilience vs. BTC, Mythenstein, AMUN HODL5, Fundstrat
Active Portfolio
Management
Source: Bloomberg.com, 12.11.2019
Active Selection – some thoughts
• Platform economy
• Some use cases of DLT make more sense than others
• High network externalities – but tendency to one provider markets
• Technology cycles
• Invest along the technology cycle,
• Diversify (funding risk, technical risk or exploration risk)
• Disintermediation
• Disintermediation where it belongs – but not for the very sake of it
Selection &
Diversification
Diversification
Not just aligned with market capitalization like in passive products, but across:
• Industries
• Media, advertising, gambling, infrasctructure, exchanges, trading, computing, storage, browser,
social, crowdfunding, healthcare, insurance, identity, IoT, financial services, payment, banking
• Juristictions
• Huge regulatory risks: for private chains and permissioned chains, diversification across
juristictions is key
• Diversification across different regulatory frameworks
• Generations of technology
• Diversification across different generations of DLT
• Do not ride a dead horse, do not put all into the latest unproven technology
• Assets
• Diversification across different assets:
• Bitcoins, Altcoins, Tokens, Derivatives, futures, options, STOs, ICOs, IEOs
• Equity
Selection &
Diversification
Adequate Investment Processes
Asset Specific Investment Restrictions
• Passive Investing has no investment restrictions…
Investment Process
& Restrictions
Risk Management
Asset specific risks
• Storage Risk
• Illiquidity Risk
• Diversification Risk
• Valuation Risk
• Volatility Risk
• Fraud, Theft and Cyber-Attack Risk, Direct Access Risk
• Regulatory Risk
Counterparty Risks
Pioneering Crypto Financial Services since 2013
Innovative Structuring House
Europe’s Most Secure Crypto Storage
Global Financial Services
Resilience AG
Seestrasse 11
CH-8703 Erlenbach
Switzerland
+41 43 544 88 76
www.resilience.ag
PORTFOLIO
MANAGER Chris Zulliger
Email: [email protected]
Tel: +41 43 544 24 32
SALES
Jordan Sardinha
Email: [email protected]
Tel: +41 43 544 88 73
