Citi tail risk expert John Liu preps Spartus Capital Management

By Lawrence Delevingne

Wed Jan 18, 2012



The firm plans to launch in the first quarter with a long-volatility strategy.


 

John Liu
(Photo: iGlobal)
Veteran equity derivatives investor and former Citigroup tail risk expert John Liu is preparing the launch of Spartus Capital Management in the first quarter, according to people familiar with the situation.

Formed in late 2011, Spartus will operate a so-called long-volatility strategy that will attempt to profit from gyrations in financial markets, especially equity indexes. Liu's specialty is tail risk, but the fund will attempt to generate...

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