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Citi tail risk expert John Liu preps Spartus Capital Management

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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 consistent profits, not just outsized returns during times of economic calamity.

The new fund has attracted attention from large institutional investors, according to the