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A portal to showcase R&D towards confluence of a/ Machine Learning (ML) and Artificial Intelligence (AI) frontiers b/ Fundamentals (bottom-up) Analysis and c/Macro Acumen, for practical alpha generation.
The in-place modeling framework is eclectic, systematic, robust and back-tested in auto-pilot mode. It forms the core, which is used along with asset-class-specific anciliary models, to generate alpha from macro (multi-asset), liquid credit and equities markets.
More below.
Macro
Macro
This strategy uses rigorously and ingenuously developed machine-learning models to:
Allocate risk capital (L/S) across macro asset classes
Informed by return-predictions based on macro and markets data
While maintaining target volatility and maximizing diversification
Credit
Credit
Suite of models to systematically idenitfy price dislocations and alpha opportunities in credit markets (cash, synthetics and derivatives)
Practical know-how and track record of constructing and executing (including use of program trading and structured products) strategies, leveraging deep understanding of:
Sources of supply and demand across various niche pockets
Microstructure
Fundamentals
Portfolio Profile: Long gamma/volatility, neutral theta/carry neutral, neutral beta, extremely liquid
Equities
Equities
L/S Factors Rotation using Macro Models and Proprietary Fundamentals Factors Baskets (in past, have used S&P Research Signals/IHS Markit, Barra)
L/S Stat Arb (US and EU)
L/S US and EU Financials (Banks, Insurance, Specialty Finance): leveraging sector expertise, stat-arb and macro models
Research, etc.
Research, etc.
White Papers (upon request)
Repository (WIP)
Consulting (not being offered currently)
Consulting (not being offered currently)
Investment Opportunity Analysis
2023 advisory engagements with two FCA-regulated firms
Special-situations modeling and investment/trading strategy for semi-distressed corporates and banks (eleven live cases over a span of seven weeks)
Portfolio Analysis
Portfolio Construction and Optimization
Risk Reports, Performance and Risk Attribution across factors - idiosyncratic, style and macro
Consulting services are not being offered currently
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