The Vitamin Labs project
an experimental space to improve quantitative investment strategies
Before diving into the Vitamin Labs project, you need to understand my background and what led me here.
1. Who am I (speed dating version)
In a nutshell: I am a Quantitative Investments, Volatility (VIX in particular) and Crypto expert with Over 14 years of financial engineering and trading at top banks (JPM,GS) and hedge funds (Laurion).
I strongly believe that approaching finance with a quantitative angle does not have to be overly complicated to be useful and that it can serve a broader audience, not only in traditional finance but also in crypto.
This space is meant to support that claim.
2. Vitamin Labs
Vitamin Labs’s main goal is to help democratize access to quant knowledge both for tradfi and crypto.
It is not meant to be a bragging space about how to generate optically spectacular alphas and backtests, but an environment where I will discuss best practices to scale up investments in sometimes illiquid environments (hi crypto) in the most compliant fashion.
Topics covered:
Quantitative strategies: I will explicit certain strategies (e.g the volatility control revisited for crypto a.k.a the “smoothcoin” strategy) and will usually discuss:
Trading considerations (where to trade - or not to trade, market impact, how to avoid frontrunning)
Scalability & Compliance (those go hand in hand in my view)
Specific trades: As the time of this post (Feb 20th 2023) I particularly like being long VIX long delta for example. You might know why in a follow-up post
Financial modelling: I will sometimes use simple models to show how attractive certain trades are (using conservative assumptions)
not giving trade recommendations: all the views are mine and mine alone
Structured products: I will try to show how they can enhance portfolios with specific examples (e.g call overwriting in tech today) and how understanding their dynamics can improve one’s understanding of the financial world drastically
Street positioning and flow analysis
pricing considerations
how to build intuition
Crypto as an asset class beyond gambling: I am a strong believer that crypto will be adopted more broadly. For institutions, it will not happen with the current tools. For retail, a new narrative than “I can do x10 but lose it all quickly” need to emerge. I will regularly post on building a framework for a broader adoption.
What trades for TradFi institutions
Credit considerations
Public vs private blockchain
Regulation
Timing guess
How does crypto fit in a diversified portfolio
Publication frequency and details
My initial goal is to publish 1 post on average per week. The content is free for now (feel free to contribute).
Why do I do this?
I intend to build my own project down the line and realize that building a like-minded community in today’s world is key (especially in crypto related matters). My bet is that by sharing some insights forged through years of practice and research I can connect with a group of people that I will one day be able to leverage.
Also more simply, I am quite passionate about all those topics and finally have the freedom and time to post what I want.
3. Who am I (more formal version)
I started my trading career in the early aftermath of the financial crisis in 2010 at JPMorgan (Exotics Derivatives trading). Around that time, the investment space was being reshuffled and the Hedge Fund dominance was being challenged by passive investments (ETFs). Banks embarked on a competitive journey to design Systematic Strategies (QIS) that provided investors with new alphas and market accesses in a cheaper and transparent fashion. The QIS space is estimated to have grown since the GFC into a business representing hundreds of billions of dollars of AUM.
Around 2014, I had become the head trader within the US Equity group for systematic strategies. I spent my time engineering new strategies, refining hedging algorithms and investigating markets microstructure to stay one step ahead of my competitors.
In 2015, some of my microstructural research bore fruit and I expanded my mandate to head the QES group (1 trading team, 1 quant research team and 1 engineering team) and designed the very first intraday systematic strategy. That strategy required a coordinated effort to establish market leading standards in terms of compliance and market risk which are being used across the street today. (The strategy and group I created won awards years after my departure:
I left JPM in 2017 to join Laurion Capital Management, a quantitative multi-strategy hedge-fund where I worked for 6 years as a PM on a broad range of investment strategies. Towards late 2021, my research lead me to focus on the regulated crypto markets (CME futures on Bitcoin and Ethereum) and I saw a strong parallel with the early days of the VIX markets (high volatility, flow driven as opposed to macro or fundamental driven). I spent most of 2022 diving into the crypto ecosystem and investigating whether it was ready for QIS. Vitamin Labs was born out of this research effort.
I have decided to move back to France in early 2023 after 15 years abroad, and left Laurion to have more time to explore becoming an entrepreneur (most likely in the institutional crypto space).
Today I am spending a fraction of my time consulting for corporate and startup clients as well as refining my personal exploration to establish my own project.
During my free time, I try to apply quantitative methods to different aspects of life. For example, I built Haystock during Covid to better detect real-estate investment opportunities in NYC (or to help my friends avoid making mistakes in certain cases by detecting red flags even brokers would not know).
