Algorithmic investment and execution products

Offerings

Equity, Arbitrage and PMS products

Summary I-Alpha Active Long-ShortAlpha Active Long Alpha Active Allocation Alpha Active EIF Active
Nature Market-neutral, pure arbitrage Market Neutral Long – Short Long Only Hybrid (Equity + Debt Like allocation) Fully hedged arbitrage strategies
Instruments Equity future & options contract Equity future & options contract S&P BSE 500 Equities S&P BSE 500& Equity future & options contract Equity F&O, Currencies, Commodities
Liquidity Notice by 15th of month for end of month exit 1 Month T+ 5 days DNotice by 15th of month for end of month exit Monthly subscription and redemption cycle
Expected Return (Net of fees & expenses FD Rate+ 2.5% 30% p.a Nifty 50 + 5% Crisil Hybrid Conservative Index + 4% 7% annualized dollar net returns
Max Drawdown 0% 8% 20% 5% 0%

Summary

I -Alpha

It's a 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)

Long Alpha

It's a directional strategy that aims to consistently outperform the benchmark equity index while maintaining low volatility. It is a quantitatively managed fund that implements a systematic rule-based trading model to remove human subjectivity. The strategy takes data from the market as input and identifies investible businesses from S&P BSE 500 universe using a combination of technical and fundamental factors based on which the position is built in the top ranked stocks. The capital is always invested in our equity portfolio optimized for risk rated returns. The portfolio is regularly re-evaluated and rebalanced. This product has equity index (e.g. Nifty50) kind of risk with a much superior expectation of returns.

Excess return over NIFTY 50: 52.46% (May'19 to Sep20)

Long Short Alpha

It's a market neutral trading strategy which is run algorithmically in which long and short positions are simultaneously taken in different futures instruments, based on the signals generated by our proprietary quant model, and a directionally neutral portfolio is created This portfolio is regularly re evaluated and rebalanced on an on going basis This portfolio is expected to generate consistent returns over time that are uncorrelated to the market

Returns : 55.8% (Sep'19 to Sep20)

Allocation Alpha

The product dynamically allocates capital between Indian equities, foreign equities and low-risk debt/ debt-like instruments. The equity exposure varies from 0% to 60%. The aim of the product is to systematically generate capital appreciation by investing in a portfolio of equity or equity linked securities while secondary objective is to generate income through investments in debt and money market instruments, managing risk through active asset allocation. Based on our proprietary capital allocation model, we reduce the equity exposure when markets are over-valued and increase the exposure when markets are under valued. The equity exposure is taken via Long Alpha fund and the low-risk debt like exposure may be taken via I-Alpha Arbitrage fund

Excess return over Crisil Hybrid conservative index: 33.98% (Mar'19 to Sep20)

EIF

It's a quant multi strategy market neutral dollar hedged fund focused on generating alpha in emerging markets The fund trades cross listed securities in equity, commodity and currency derivatives Using a state of the art, proprietary, low latency algorithmic execution platform, EIF constructs a hedged portfolio and targets to generate uncorrelated single digit returns

Returns : 6.82% (Jan'15 to Sep20)

Approach

It is an investment approach that uses statistics & mathematical modellingand data analysis to establish inter relationships between stock and other asset classes to create investment strategies and generate alpha • It is based on empirical evidencerather than on subjective forecasts, hence reduces investor bias and emotion in decision making • Study big data sets simultaneously to analyze multiple asset class, sectors, regions and countries. Improve speed & execution • Keep track of risk management, asset allocation, execution management and portfolio attribution • Allows a portfolio to be constructed or analyzed based on long term expected returns and volatility.

Type of investment

Public market investments

Licensing requirements

Yes. We are a SEBI approved Algo trading firm.

Regulated

AMFI (In process of obtaining ARN No.).

Core benifits

Relatively low rish with high liquidity and downturn protection of investment.

Region

India. Currently dealing with INR investment opportunities.

Statistical Advantage

Minimal to no human intervention with Robust back testing to establish signal; out of sample validation.

Want to know more about quant based investments.

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