Investment Philosophy
We synthesize quantitative methods with heuristics to optimize returns by identifying patterns and predicting the price movements by studying autocorrelation across asset classes. Risk management is a subset of tail behaviour of returns – the nature of the symmetry and peakedness of returns and embodies an anti-Martingale system.
Investment Strategy
The Vītabhaya (Sanskrit for fearless) strategy is a high-frequency strategy that combs through the market microstructure for exchange-traded futures instruments across asset classes. It offers structural resilience enabling capital preservation by limiting drawdown and faster market recovery in both range-bound and trending markets by using in-built risk management techniques such as volatility-adjusted position sizing and loss limits per position.
Managed Futures as an Asset Class
Managed Futures have long been used by Sovereign Wealth Funds (SWFs), pension plans, endowments and High Net Worth Individuals (HNWI) to diversify risk whilst maintaining optimal return as per their parameters. Managed Futures have traditionally exhibited lower correlations to many asset classes, such as equities, fixed income and real estate and as a subset help to reduce portfolio volatility.
There is an added advantage to exposure to all major asset classes via futures; including but not limited to equities, indices, fixed income, currencies,
energy, agricultural commodities, interest rates.