Investment Committee Meeting
Macro Outlook & Events
BP Return Target
Investment Committee Meeting: The investment committee meets before markets open to review the current portfolio, analyze the current market environment, and discuss the macro outlook and potential impact of events. The outcome is a plan of action for the day’s trading, including a target adjustment to the long-term basis point return target. In most markets, LJM aims to incrementally add to the strategy’s potential return daily.
Portfolio Adjustments: As markets react throughout the day, the portfolio team looks for opportunities to select trades that positively affect the portfolio’s risk/reward profile based on empirical data. Option strike selection for both revenue-generating trades and risk-mitigating trades is based on the Portfolio Management Team's 17 years of executing volatility strategies.
Risk Monitoring: LJM uses real-time scenario analysis to monitor portfolio exposure as market levels and volatility levels change throughout the day. Chief Risk Officer, Arjuna Ariathurai, monitors potential profits and losses based on the most probable market scenarios and recommends trades to keep risk tolerance targets in line. Arjuna works closely with Chief Portfolio Manager, Anish Parvataneni, to select the optimal revenue-generating and risk-mitigating trades. LJM also stresses the importance of patience and discipline when it comes to risk management for volatility strategies. Through our years of experience, we recognize the value in accepting short-term volatility to target higher and smoother returns over the long term.