Statistical Arbitrage - Medium

This is a statistical arbitrage portfolio comprising of stock futures on NSE created based on various equity factors.

Returns: 14.6 % (1Y)

Volatility:

leveraged


Portfolio Update:

Daily


Min Investment:

None



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.
Machine Learning: We use powerful machine learning algorithms to extract the most out of the technical, fundamental and macroeconomic factor data
Limit on max sector allocation

PB Ratio

PE Ratio

Rebalancing Frequency

Daily

Next Update

Aug. 12, 2022

Type

3

Performance Metrics

Disclaimer: The content and data available in the material prepared by the company and on the website of the company, including but not limited to index value, return numbers and rationale are for information and illustration purposes. Use of back-tested data has inherent limitations including the following: The results do not reflect the results of actual trading or the effect of material economic and market conditions on the decision-making process, but were achieved by means of retrospective application, which may have been designed with the benefit of hindsight. Actual performance may differ significantly from back-tested performance. Information present in the material prepared by the company and on the website of the company shall not be considered as a recommendation or solicitation of an investment or investment strategy.