I-Alpha

Algorithmic investment and execution offerings

I-Alpha is Estee’s market neutral arbitrage product which aims to deliver consistent returns while maintaining nearly zero market exposure. The algorithm identifies mispricing between various market instruments at any given point of time and takes hedged positions to capture the pricing differences. Our positions are hedged using equivalent risks (e.g. index futures against its components). In most cases, we can create a perfect hedge however, in certain cases we are not able to create a perfect hedge as the equivalent instruments may not have the liquidity or listed products to take the required positions. In such cases, we construct the hedge with equivalent securities with as close a hedge as possible. In simple terms, this is an arbitrage product that does not take any directional bets. All the trades captured are balanced at the time of execution locking in a pricing gap opportunity. Price movement typically has minimal impact on our portfolio and underlying risk is typically expected to be the same, but there may be marginal price / venue risk as different sides of the arbitrage trade could be taken in different exchanges / markets. The product has a 10 year track record of consistently generating average net return of 1.01% per month at low volatility. The fund has not had a single month of negative return since its inception.

Excess return over Risk Free rate: 12.85% (Sep'09 to Sep20)

Product Characteristics

Product Structure

Discretionary PMS

Nature of Product

Market-neutral, pure arbitrage

Instruments

Equity F&O. 99% of investment amount is placed as a Deposit

Liquidity

Notice by 15th of month for end of month exit

Risk / Return

Expected Return

Deposit rate +2.5% post all fees pre-tax basis

Expected Sharpe

2.5

Expected Max Drawdown

0%

Key Risks

Major risk is that of system/algorithm failure. Impact of systematic/market risk is low

Investment Amount

INR 2.5 Cr, subject to a maximum of INR 20 Cr

Gross Return Series

Moonbeam.in

Fund Performance Metrics (Annualized)

Measure Since Inception
(24 Sep ‘09)
12 Months 6 months 3 months September 2020
Annualized Net Return 12.85% 11.36% 10.49% 9.29% 4.89%
Excess Return Over Risk Free 5.26% 6.69% 6.71% 5.63% 1.06%
Standard Deviation 1.66% 0.97% 1.19% 1.11% 0.97%
Sharpe Ratio 3.17 6.86 5.62 5.05 1.09

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All investment are subject to market risk. Please read the offer document thoroughly. To learn more contact us.