Daniel Farqeut & Alessio Coviello, Banque Cantonale du Valais, Sion, Switzerland 2023 07 17 07 30 13

Source: Notion | Last edited: 2023-10-30 | ID: 36bbc331-7c6...

---

Video

Introduction of one team member

• Daniel has a finance background with a PhD in mathematics and experience in market making and macro trading.
• He joined Alessio in running the prop desk at their current bank, starting from scratch and building up the trading system.
• Their trading approach is model-based macro trading across different asset classes.

Introduction of another team member

• Alessio has a background in mathematics and financial engineering.
• He initially worked in volatility trading and collaborated with Daniel before joining him in running the prop desk.
• They found a good collaboration and decided to pursue their own project, focusing on independence and running their own business.
• They also engage in crypto trading on the side, utilizing their macro signals and technologies.

Trading Approach

• The team focuses on macro trends and relative value positions.
• They trade on big macro trends like rates and equities, and also take relative value positions between different commodities.

Frequency of Trading

• They do two trading sessions in a day, one in the morning and one in the afternoon.
• They hold positions for days to weeks.

Reason for Switching to Macro

• The team member switched to macro trading to better understand the market dynamics and what drives asset returns.
• They wanted to move away from the tech-heavy environment of market making.

Risk Metrics and Limits

• The team has risk metrics and limits set by the bank to avoid breaching contract terms.
• These include a daily VAR limit, cash usage limit, and a calendar year loss limit.
• The calendar year loss limit is the key constraint, as breaching it would lead to termination.

Pay Structure

• The team has a base salary and earns a bonus based on the net profit they generate, subtracting costs.
• The bank owns the intellectual property (IP) of all systems and signals created by the team, but the team retains a copy of the IP if they were to leave.
• They can use the IP if they move to a different place.
• The constraint is that they cannot sell the code to someone else because they don’t own it, making it harder for them to monetize.

Future Goals

• The team is happy with their current setup and has no immediate plans to seek new work.
• However, they are open to outside collaborations or capital allocation if it aligns with their goals.
• They have the flexibility to explore new opportunities.