Statistical Arbitrage

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*Last Updated: Sept. 6, 2020

This is a statistical arbitrage portfolio comprising of stock futures on NSE looking at various equity factors in the market combining them using machine learning.

Live Performance
Backtested Performance
Performance Metrics
Annualized Return Annualized Risk Max Drawdown Monthly Return Quarterly Return Half-Yearly Return Yearly Return YTD Return Since Inception
Statistical Arbitrage 131.98 6.08 4.19 3.12 15.14 39.76 118.54 63.85 14.26

More Details

Rationale

The strategy seeks to achieve its investment objective by combining multiple indicators based on equity fundamental & technical factors using powerful machine learning based position sizing. We are nearly market neutral in all times with a very minimal drawdown on exposure. It takes a leverage of 3X.

Rebalancing Frequency

Daily

Risk Management

Maximum position: 12.5%

Mechanism

Machine Learning: We use powerful machine learning algorithms to extract the most out of the technical, fundamental and macroeconomic factor data

Universe

All Stock Futures

Risk Management

The Fund is market neutral at all time, with 4% drawdown on exposure.