Fund Management

Stratsbay Hedge Fund

Investment Process


5 steps of systematic wealth creation process forms the foundation of the equity products which are fine-tuned as per product specific mandate.

Generation

    Develop ideas through statistical and fundamental observations capturing both macro and micro components of the market.

Research and Development

    Ideas to be converted into actionable models,tested to confirm generation of alpha and aim to ensure market neutrality as much as possible for relative value models.

Model Validation and Forward Testing

    Model to be forward tested for purposes ofvalidation for a period of time. Fine tuning ofmodels during the process.

Portfolio Testing

    The model inclusion is studied to assess the impact on the portfolio including sensitivity analysis of key risk parameters.

Risk Management

    Key risk measures such as position sizing,drawdown and correlation to be assessed during the life of the model. Underperforming models to be assessed carefully for model death.

Investment Philosophy


The Stratsbay Hedge Fund employs systematic strategies for trading exchange listed (primarily BSE & NSE) liquid securities including stocks, stock indices, futures, options and other derivative instruments. The holding period of positions could be from a day to several days. Application of reasonable leverage for attractive positions within permissible norms as laid down by SEBI for Category III Alternative Investment Funds. The Hedge fund investment process employs quantitative directional & long-short equity and derivatives trading strategies with technical sources of excess returns. The Hedge fund investment strategies and portfolio will aim to be neutral with respect to market risk for relative value strategies and carry directional risk to provide additional alpha and a hedge against "fat-tail" relative value model breakdown. The discretionary component of the portfolio would be based on a rigorous fundamental analysis.

Objective


The key objective of the Stratsbay Fund is to generate superior risk-adjusted positive absolute Hedge Fund investment returns over time through statistical & fundamental systematic trading strategies while preserving capital, limiting volatility and maintaining liquidity.

Fund Features


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    Superior risk adjusted return.

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    Employment of fundamental and statistical quantitative relative value trading strategies.

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    Strategy benefits from volatility and dislocations in markets.

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    Fund aims to be neutral with respect to market risk.

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    Any discretionary or directional risk to provide hedge against "fat-tail" relative value model breakdown.

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    Capital Protection Oriented Fund with high liquidity.

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    Not left at the mercy of a single asset class - "go where opportunity is".

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    Investment Manager is jointly invested so interests are 100% aligned with investor.

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    Throughly researched, tested and grounded in market principles - not just a standstill artifact.

Historical Quarterly Composite Performance (%)

Year Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar YTD Leverage²
2014-15 - - - - - - - - - - -1.02% 1.57% 0.53% 1.40x
2015-16 2.19% 1.70% 0.07% -0.69% 1.41% 1.68% 1.02% 1.55% -0.32% 1.43% -0.17% -0.58% 9.63% 0.90X
2016-17 1.39% -1.40% -2.27% 0.43% 0.93% 1.26% -0.11% 2.22% - - - - 2.76% 0.88x
1. The returns are after management fee, incentive fee & fund expenses.
2. Average of daily leverage.
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Know your Portfolio Risk Measures: Your Portfolio quality is higher even if your steadier returns.
Alpha Alpha is the excess return of the fund over the benchmark.
Beta Beta is a measure of the risk of the portfolio in comparison to the benchmark. A value of Beta <1 means lower risk than the benchmark while a Beta >1 means the risk is higher than the benchmark.
Annual Tracking Error Tracking Error is the divergence of the portfolio in comparison to the benchmark. It explains the excess risk in the porfolio as compared to the benchmark. It should be understood along with the Information Ratio.
Information Ratio Information Ratio(IR) explains the risk adjusted performance of the fund against the benchmark. IR is the ratio of portfolio excess returns (against the benchmark) divided by the Tracking Error. IR>1 is very good as it means that the excess return generated was greater than the excess risk vis-a-vis the benchmark.
Maximum Drawdown Maximum Drawdown is the maximum historical loss realized by the portfolio on a Mark to Market (MTM) basis. It indicates the maximum downside risk over a specified time period. A Maximum Drawdown lower than the benchmark indicates a better risk-adjusted portfolio.

Investing Involves Risk. This document is for information purposes only and should not be viewed as a legal offering document or solicitation. Offers to invest in this fund are made only by the Discretionary Portfolio Management Services Agreement. Past performance does not guarantee future results and there is no assurance that the managed accounts will necessarily achieve its objectives. Any forward-looking information and/or opinions contained in this document are based on the market information available at the time of publication and are subject to a number of known and unknown risks, uncertainties, assumptions as to future events and other factors that could cause the actual results to differ materially from those implied by the information set forth herein. This information is confidential and is intended for only the person or entity to whom it was sent and in no circumstances may this material be shown, copied, transmitted, or otherwise given to any person other than the authorized recipient. The sector allocations and holdings shown are based on the strategy's model portfolio. The holdings shown do not represent all of the securities purchased, sold or recommended for any particular advisory client and in the aggregate may represent only a small percentage of an account's portfolio holdings. Actual portfolios may differ as a result of account size, client-imposed investment restrictions, the timing of client investments and market, economic and individual company considerations. Securities are shown for illustrative purposes only and are not a solicitation to buy or sell any particular security or invest in a particular sector. Narnolia Velox may act as either a discretionary investment manager or a non-discretionary model provider in a variety of separately managed accounts. Any performance information included herein represents the performance achieved by Narnolia Velox as a discretionary investment manager with trade implementation responsibility for accounts included in a performance.

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Analyst Mohalla