alpha matters mar2014
TRANSCRIPT
Quant Research
APR 2014
Introducing AlphaMattersQuantitative Research services and
products for market participants
Proven offerings in
Key Expertise
the market
in:
Trend / Mean Reversion / Stat Arb modeling;
Complete trading system design
Proprietary and Confidential ALPHAMATTERS2
Core Team
Ganapathy Subramanian: 20+ years in the start up ecosystem as an investor, mentor and entrepreneur; Engg from NIT (Trichy), MBA from XLRI
Bharath Rao: 10+ years of experience in analytics, product development and marketing; Engg from RV College of Engineering (Bangalore), MBA from University of Georgia; Led Developer Marketing in IBM and held senior positions in many startups
Hemanth Kumar: 8+ Years of Research Experience in Image Processing, Speech Recognition, Computer Vision and Artificial Intelligence; Credited with 3 patents; Engg from PESIT (Bangalore) Completing PhD at the Indian Institute of Science
Model the Market’s
Develop proprietary indicators after
validation of hypotheses
Mind with MathMathematical modeldesign integratingtime tested trading
practices
Entry /Exit Signals plus real time trade management
Generate Alphaconsistently
Proprietary and Confidential ALPHAMATTERS4
IndexMatters:(Index trading system)
Comprehensive intraday trading system for NIFTY (Indian Equity Index) from
entry till exit
Annualized yield:~38%
Can be used as an alpha generating input for hedged strategies or as a Decision Support System for intraday
hedging the Indian index Nifty
Distributed through Thomson Reuters and
several brokers in Indian market
Instruments Nifty Futures (Current Month)
Net Winners’ Ratio 59%
Performance Metrics of IndexMattersTime Period 2 years
Frequency of trades ~ 1.7 per day
Profitability (Post Transaction) 0.09% per trade
Max Drawdown 2.6% of Capital
Sharpe Ratio 2.9
Annualized Return 38%
Transaction Cost Assumed 0.06% per trade
Leverage Assumed 1x
Equity Curve of IndexMatters
1 7 13 19 25 31 37 43 49 55 61 67 73 79 85 91 97 103 109 115 121 127 133900000
950000
1000000
1050000
1100000
1150000
1200000
1250000Cumulative Capital versus Time in Days
CommodityMatters
Short Term Momentum based trading system for agri commodities
Annualized Yield:~29%
Being evaluated by an APAC based hedge
fund
Can be used asDSS for hedging
Decisions
Instruments Corn, Wheat, Soy Futures (2nd Month Continuous)
Net Winners’ Ratio 48%
Performance Metrics of CommodityMattersTime Period 4 Years
Frequency of trades ~ 1 per day
Profitability (Post Transaction) ~ 0.1% per trade
Max Drawdown 14% of Capital
Sharpe Ratio 1.7
Annualized Return 29%
Transaction Cost Assumed 0.03% per trade
Leverage Assumed 1x
Instruments Corn, Wheat, Soy Futures (2nd month Continuous)
Net Winners’ Ratio 48%
Performance Metrics of CommodityMattersTime Period 4 Years (Feb 2010 ton Jan 2014)
Frequency of trades ~ 1 per day
Profitability (Post Transaction) 0.09% per trade
Max Drawdown 12% of Capital
Sharpe Ratio 1.7
Annualized Return 29%
Transaction Cost Assumed 0.03% per trade
Leverage Assumed 1x
Equity Curve of CommodityMatters
1 40 79 118 157 196 235 274 313 352 391 430 469 508 547 586 625 664 703 742 781 820 859 898 937 976500000
1000000
1500000
2000000
2500000
3000000
Cumulative Capital versus Time in Days
Proprietary Algorithms
Feature Selection Algorithm to
identify the early and confirmatory indicators (like
implied vol, global markets, broader markets, high beta indices, currency
etc.)
An advanced classifier built on
top of SVM, trained on 200k
samples & tailored to financial
markets torecognize when“random walk”
breaks
Intelligent filter designed to cut
the market noise and identify 2 to3
real trends / reversals in a day
and trail the trends
Tools
Algos
• Stat ArbPar
adig
ms • Mean
Reversion• Trade
Execution
• Factor Models
• TrendFollowing
Too
l Exp
ertis
e • Matlab / R / Python,
• Excel / VBA,• PHP• MySQL• C / C++ /
Java
Mat
h E
xper
tise • Time Series
Modelling• Multivariate
Regression• Neural
Networks• Support Vector
Machines• Decision Trees• Markov Chains• Monte Carlo
Simulations
Customers / Partners
Financial Information providers
Broking firms
Advisory service provider
HedgeFunds
Collaborate in Developing Algo trading systems / Decision Support Systems;
License our IP;
Customize our IP to different markets;
Leveraging us
