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AGNITYA ASSET MANAGEMENT
Agnitya Asset Management has consistent history of stable returns for the investment of the clients. Our quantitative investment strategies are based on intensive mathematical research and own developed mathematical models . The quantitative strategies are executed from high frequency to mid frequency range. Agnitya quantitative strategies used plain vanilla to complex derivative products to structure strategies for clients. Agnitya has optimized and adopted the quantitative strategies in different market scenarios to ensure the stable return with minimum variance for the client portfolio,
Our Approach
Our Systematic approach from market data handling to PnL optimization is based on advance mathematical techniques.
Volatility Trading Strategies
Volatility strategies are based on statistical arbitrage of implied volatilities of exchange quoted equity derivatives. It exploits the statistical arbitrage in implied volatilities offered due liquidity of derivative market. The volatilities are executed in mid frequency range through the structures which are combination of vanilla derivatives. The above strategies are applicable in market event driven scenarios and provide high returns during the market events. The annual returns of these strategies from 2013 to 2019 are 4.26% with relative variance of 19.03%.
Directional Trading Strategies
The underlying spot directional trading strategies are based on advanced genetic neural networking algorithms, machine learning and pattern recognition methods. The dynamic convolution correlation structure is modeled to construct the trading portfolio to maximize the return with minimal variance. The above strategies are proven to be most consistent strategies for low volatility scenarios in market with long term annual return of 5.01% with relative variance of 17.02%.
Step Up-Convexity Trading Strategies
The convexity trading strategies are based on the mathematical concept of generating the gamma ladder portfolio with derivative positions. These strategies are based on AgT-RMS pricing libraries for derivative products. These strategies are applicable in all market scenarios and executed in mid frequency to low frequency range.
These strategies are executed for the Fixed Income products in low frequency range and are the most consistent strategies for the long term investments. The annual returns of the above strategies are EURIBOR 6M + 3.8% with relative variance of 13.09%.
The other optimised version of the above strategies are applicable with cross asset derivatives which are executed in mid frequency range.